SEC Info - Campbell Fund Trust - ‘10-Q’ for 3/31/23

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		Alternative Formats (Word, et al.) Condensed Schedules of Investments Controls and Procedures Defaults Upon Senior Securities Exhibits Financial Highlights Legal Proceedings Management's Discussion and Analysis of Financial Condition and Results of Operations Mine Safety Disclosures Notes to Financial Statements (Unaudited) Other Information Part Ii -- Other Information Quantitative and Qualitative Disclosure About Market Risk Risk Factors Signatures Statements of Cash Flows Statements of Changes in Unitholders' Capital (Net Asset Value) Statements of Financial Condition Statements of Operations Table of Contents Unregistered Sales of Equity Securities and Use of Proceeds
1	1st Page – Filing Submission
"	Table of Contents
"	Condensed Schedules of Investments
"	Statements of Financial Condition
"	Statements of Operations
"	Statements of Cash Flows
"	Statements of Changes in Unitholders' Capital (Net Asset Value)
"	Financial Highlights
"	Notes to Financial Statements (Unaudited)
"	Management's Discussion and Analysis of Financial Condition and Results of Operations
"	Quantitative and Qualitative Disclosure About Market Risk
"	Controls and Procedures
"	Part Ii -- Other Information
"	Legal Proceedings
"	Risk Factors
"	Unregistered Sales of Equity Securities and Use of Proceeds
"	Defaults Upon Senior Securities
"	Mine Safety Disclosures
"	Exhibits
"	Signatures

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2023 (Unaudited)

Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

A. General Description of the Trust

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

Effective August 31, 2008, the Trust began offering units of beneficial interest classified into Series A units, Series B units and Series W units. Effective July 1, 2017, the Trust began offering units of beneficial interest classified into Series D units. The rights of the Series A units, Series B units, Series D units and Series W units are identical, except that the fees and commissions vary on a Series-by-Series basis. Series A, Series D and Series W commenced trading on October 1, 2008, October 1, 2017 and March 1, 2009, respectively. The initial minimum subscription for Series A units, Series D units and Series W units is $ i i i 25,000 / / . Series B units are only available for additional investments by existing holders of Series B units. See Note 1.G., Note 1.I., Note 2, Note 3 and Note 10 for an explanation of allocations and Series specific charges.

B. Regulation

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

C. Method of Reporting

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

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

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

The daily exchange of variation margin associated with a Central Counterparty Clearing House derivative instrument is legally characterized as the daily settlement of the derivative instrument itself. Accordingly, the Trust accounts for the daily receipt or payment of variation margin associated with its centrally cleared swaps and futures as a direct reduction to the carrying value of the centrally cleared swaps and futures derivative asset or liability, respectively. The carrying amount of centrally cleared swaps and futures reflected in the Trust’s Statements of Financial Condition is equal to the unsettled fair value of such instruments, which generally represents the change in fair value that occurred on the last day of the reporting period.

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2023 (Unaudited)

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

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

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

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

D. Fair Value

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

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

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

Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes forward currency contracts that the Trust values using models or other valuation methodologies derived from observable market data. For centrally cleared swap contracts, the Trust uses current market quotations provided by an independent external pricing source to determine fair value. This category also includes fixed income investments.

Level 3 inputs are unobservable inputs for an asset or liability (including the Trust’s own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of March 31, 2023 and December 31, 2022, and for the periods ended March 31, 2023 and 2022 the Trust did not have any Level 3 assets or liabilities.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2023 (Unaudited)

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 March 31, 2023 and December 31, 2022.

Fair Value at March 31, 2023

Description

Level 1

Level 2

Level 3

Total

Investments

Short term investments

i 18,811,513

i 0

i 18,811,513

Fixed income securities

i 0

i 338,418,927

i 0

i 338,418,927

Other Financial Instruments

Exchange-traded futures contracts

i 10,946,442

i 0

i 10,946,442

Forward currency contracts

i 0

i 1,350,290

i 0

i 1,350,290

Credit default index swap contracts

i 0

( i 1,492,089

)

i 0

( i 1,492,089

)

Interest rate swap contracts

i 0

( i 3,355,938

)

i 0

( i 3,355,938

)

Total

i 29,757,955

i 334,921,190

i 0

i 364,679,145

Fair Value at December 31, 2022

Description

Level 1

Level 2

Level 3

Total

Investments

Short term investments

i 3,954,316

i 0

i 3,954,316

Fixed income securities

i 0

i 353,170,435

i 0

i 353,170,435

Other Financial Instruments

Exchange-traded futures contracts

i 2,626,404

i 0

i 2,626,404

Forward currency contracts

i 0

i 1,967,750

i 0

i 1,967,750

Credit default index swap contracts

i 0

i 381,247

i 0

i 381,247

Interest rate swap contracts

i 0

i 3,287,237

i 0

i 3,287,237

Total

i 6,580,720

i 358,806,669

i 0

i 365,387,389

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

E. Cash and Cash Equivalents

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

F. Income Taxes

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

Management has continued to evaluate the application of ASC 740, Income Taxes, to the Trust, and has determined that i no reserves for uncertain tax positions were required. There are i i 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 i i 2019 / through i i 2022 / tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2023 (Unaudited)

G. Offering Costs

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

If the Trust terminates prior to completion of payment to Campbell & Company for the unreimbursed offering costs incurred through the date of such termination, Campbell & Company will not be entitled to any additional payments, and Series A units, Series D units and Series W units will have no further obligation to Campbell & Company. At March 31, 2023 and December 31, 2022, the amount of unreimbursed offering costs incurred by Campbell & Company is $ i 113,993 and $ i 149,854 for Series A units, $ i 142,226 and $ i 141,935 for Series D units and $ i 274,171 and $ i 286,440 for Series W units, respectively.

H. Foreign Currency Transactions

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

I. Allocations

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

J. Recently Issued Accounting Pronouncements

In April 2020, the FASB issued ASU-2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting to provide optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. In July 2017, the head of the United Kingdom Financial Conduct Authority announced the desire to phase out the use of the London Interbank Offered Rate (“LIBOR”) and other Interbank offered rates (IBORs). In November 2020, United States and United Kingdom regulators made announcements planning to cease publication of overnight, one-month, three-month, six-month and one-year LIBOR and IBOR tenors after June 2023. As such, management has completed the transition of the affected rates and evaluated any future impact to be immaterial to the Trust.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2023 (Unaudited)

Note 3. SALES COMMISSION

The managing operator pays an upfront sales commission based on Series A units sold by selling agents who have executed selling agreements with the Trust. The Trust pays commissions based on Series A, Series B, and Series D units.

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

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

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

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2023 (Unaudited)

Note 4. TRUSTEE

The trustee of the Trust is U.S. Bank National Association, a national banking corporation. The trustee has delegated to the managing operator the duty and authority to manage the business and affairs of the Trust and has only nominal duties and liabilities with respect to the Trust.

Note 5. ADMINISTRATOR AND TRANSFER AGENT

NAV Consulting, Inc. serves as the Administrator of the Trust. The Administrator receives fees at rates agreed upon between the Trust and the Administrator and is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties. The Administrator’s primary responsibilities are portfolio accounting and fund accounting services.

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

Note 6. CASH MANAGER AND CUSTODIAN

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

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

Note 7. DEPOSITS WITH FUTURES BROKERS

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

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2023 (Unaudited)

Note 8. DEPOSITS WITH INTERBANK MARKET MAKER

The Trust’s counterparty with regard to its forward currency transactions is NatWest Markets Plc (“NatWest”). The Trust has entered into an International Swap and Derivatives Association, Inc. agreement (“ISDA Agreement”) with NatWest which governs these transactions. The credit ratings reported by the i three major rating agencies for NatWest were considered investment grade as of March 31, 2023. Margin requirements are satisfied by the deposit of cash with NatWest. The Trust typically earns interest income on its assets deposited with NatWest.

Note 9. DEPOSITS WITH SWAPS BROKER

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

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

Note 10. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

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

The Trust is not required to make distributions, but may do so at the sole discretion of Campbell & Company. A unitholder may request and receive redemption of units owned, subject to restrictions in the Declaration of Trust and Trust Agreement. Units are transferable, but no market exists for their sale and none is expected to develop. Monthly redemptions are permitted upon ten ( i 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 i twelve month-ends following purchase (the month-end as of which the unit is purchased is counted as the first month-end) as follows: i 1.833% of Net Asset Value per unit redeemed through the second month-end, i 1.666% of Net Asset Value per unit redeemed through the third month-end, i 1.500% of Net Asset Value per unit redeemed through the fourth month-end, i 1.333% of Net Asset Value per unit redeemed through the fifth month-end, i 1.167% of Net Asset Value per unit redeemed through the sixth month-end, i 1.000% of Net Asset Value per unit redeemed through the seventh month-end, i 0.833% of Net Asset Value per unit redeemed through the eighth month-end, i 0.667% of Net Asset Value per unit redeemed through the ninth month-end, i 0.500% of Net Asset Value per unit redeemed through the tenth month-end, i 0.333% of Net Asset Value per unit redeemed through the eleventh month-end and i 0.167% of Net Asset Value per unit redeemed through the twelfth month end. For the three months ended March 31, 2023 and 2022, Campbell & Company received redemption fees of $ i 608 and $ i 0, respectively.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2023 (Unaudited)

Note 11. CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES

Credit derivatives generally require the seller to make a payment to the buyer in the event the underlying referenced security or index to the contract defaults or another triggering event, as defined in the applicable derivative contract, occurs. The Trust sells credit derivative contracts for speculative investment purposes. i The following table summarizes the notional amounts of credit derivative contracts sold by the Trust by their maturity for contracts which are outstanding at March 31, 2023 and December 31, 2022. Notional amounts are disclosed as they represent the maximum potential payout, however, management believes that the carrying value of these contracts is a more relevant measure of these obligations. At March 31, 2023, the carrying value of such credit derivative contracts purchased was $( i 1,492,089). At December 31, 2022, the carrying value of such credit derivative contracts sold was $ i 381,247.
/

	March 31, 2023			December 31, 2022
Credit Default Index Swaps	Maturity Date: June 2028			Maturity Date: December 2027
Investment grade		$	i 57,905,714		$	i 73,504,094
Non-investment grade			i 82,410,791			i 25,156,817
Total		$	i 140,316,505		$	i 98,660,911

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

Note 12. TRADING ACTIVITIES AND RELATED RISKS

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

Market Risk

For derivatives, risks arise from changes in the fair value of the contracts. Market movements result in frequent changes in the fair value of the Trust’s open positions and, consequently, in its earnings and cash flow. The Trust’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the fair value of financial instruments and contracts, the diversification effects among the Trust’s open positions and the liquidity of the markets in which it trades. Theoretically, the Trust is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. The value of an interest rate swap will change as market interest rates rise and fall in conjunction with whether the contract is to receive or pay a fixed interest rate. As a purchaser of credit default index swaps, the Trust’s risk of loss is limited to any cash payments required under the swap contracts. Written credit default contracts (i.e., sell protection) expose the Trust to a market risk equal to the notional value of such swap contracts and any cash payments required under the swap contracts. See Note 1.C. for an explanation of how the Trust determines its valuation for derivatives as well as the netting of derivatives.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2023 (Unaudited)

The following tables summarize quantitative information required by 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 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 March 31, 2023 and December 31, 2022 is as follows:

Type of Instrument *

Statements of Financial Condition Location

Asset

Derivatives at

March 31, 2023

Fair Value

Liability

Derivatives at

March 31, 2023

Fair Value

Net

Agriculture Contracts

Net unrealized gain (loss) on open futures contracts

i 7,252,161

( i 5,716,915

)

i 1,535,246

Energy Contracts

Net unrealized gain (loss) on open futures contracts

i 2,302,936

( i 817,705

)

i 1,485,231

Metal Contracts

Net unrealized gain (loss) on open futures contracts

i 8,087,927

( i 4,780,593

)

i 3,307,334

Stock Indices Contracts

Net unrealized gain (loss) on open futures contracts

i 6,312,703

( i 2,345,110

)

i 3,967,593

Short-Term Interest Rate Contracts

Net unrealized gain (loss) on open futures contracts

i 956,136

( i 191,791

)

i 764,345

Long-Term Interest Rate Contracts

Net unrealized gain (loss) on open futures contracts

i 1,376,568

( i 1,489,875

)

( i 113,307)

Forward Currency Contracts

Net unrealized gain (loss) on open Forward Currency Contracts

i 42,199,875

( i 40,849,585

)

i 1,350,290

Credit Default Index Swap Contracts**

Credit default index swaps

i 1,494,922

( i 2,987,011

)

( i 1,492,089)

Interest Rate Swap Contracts**

Interest rate swaps

i 2,572,752

( i 5,928,690

)

( i 3,355,938)

Totals

i 72,555,980

( i 65,107,275

)

i 7,448,705

*	Derivatives not designated as hedging instruments under ASC 815

**	Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.

Type of Instrument *

Statements of Financial Condition Location

Asset

Derivatives at

December 31, 2022

Fair Value

Liability

Derivatives at

December 31, 2022

Fair Value

Net

Agriculture Contracts

Net unrealized gain (loss) on open futures contracts

i 2,362,910

( i 4,530,228

)

( i 2,167,318

)

Energy Contracts

Net unrealized gain (loss) on open futures contracts

i 2,696,056

( i 291,953

)

i 2,404,103

Metal Contracts

Net unrealized gain (loss) on open futures contracts

i 6,724,134

( i 4,773,071

)

i 1,951,063

Stock Indices Contracts

Net unrealized gain (loss) on open futures contracts

i 1,794,093

( i 3,944,508

)

( i 2,150,415

)

Short-Term Interest Rate Contracts

Net unrealized gain (loss) on open futures contracts

i 2,220,136

( i 374,153

)

i 1,845,983

Long-Term Interest Rate Contracts

Net unrealized gain (loss) on open futures contracts

i 6,290,661

( i 5,547,673

)

i 742,988

Forward Currency Contracts

Net unrealized gain (loss) on open Forward Currency Contracts

i 23,501,515

( i 21,533,765

)

i 1,967,750

Credit Default Index Swap Contracts**

Credit default index swaps

i 508,868

( i 127,621

)

i 381,247

Interest Rate Swap Contracts**

Interest rate swaps

i 4,972,588

( i 1,685,351

)

i 3,287,237

Totals

i 51,070,961

( i 42,808,323

)

i 8,262,638

*	Derivatives not designated as hedging instruments under ASC 815

**	Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2023 (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 ended March 31, 2023 and 2022 are as follows:

Type of Instrument	Trading Gains (Losses) for the Three Months Ended March 31, 2023			Trading Gains (Losses) for the Three Months Ended March 31, 2022
Agriculture Contracts	$	( i 417,774)		$	i 5,200,704
Energy Contracts		i 716,456			i 19,565,308
Metal Contracts		i 4,464,974			i 6,975,988
Stock Indices Contracts		i 531,775			i 1,168,001
Short-Term Interest Rate Contracts		i 1,088,311			i 4,905,169
Long-Term Interest Rate Contracts		i 1,243,550			i 10,754,775
Forward Currency Contracts		i 13,558,943			i 17,616,305
Credit default index swap contracts		( i 300,706	)		( i 1,394,715)
Interest rate swap contracts		( i 292,727)			i 1,904,681
Total	$	i 20,592,802		$	i 66,696,216

Line Item in the Statements of Operations	Trading Gains (Losses) for the Three Months Ended March 31, 2023		Trading Gains (Losses) for the Three Months Ended March 31, 2022
Futures trading gains (losses):
Realized***	$	( i 692,746)	$	i 42,007,020
Change in unrealized		i 8,320,038		i 6,562,924
Forward currency trading gains (losses):
Realized***		i 14,176,403		i 7,497,056
Change in unrealized		( i 617,460)		i 10,119,250
Swap trading gains (losses):
Realized		i 3,427,298		( i 613,017	)
Change in unrealized		( i 4,020,731)		i 1,122,983
Total	$	i 20,592,802	$	i 66,696,216

***

For the three months ended March 31, 2023 and 2022, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $ i 12,932 and $ i 19,768, respectively; and gains and losses on spot trades in connection with forward currency trading at the interbank market makers of $( i 445,194) and $ i 1,095,494, respectively.

For the three months ended March 31, 2023 and 2022, the monthly average of futures contracts bought and sold was approximately i 52,100 and i 30,300, respectively; the monthly average of notional value of centrally cleared swap contracts was approximately $ i 3,854,200,000 and $ i 1,348,700,000, respectively; and the monthly average of notional value of forward currency contracts was $ i 5,393,700,000 and $ i 3,250,200,000, respectively.

Open contracts generally mature within i three months; as of March 31, 2023, the latest maturity date for open futures contracts is June 2024 and the latest maturity date for open forward currency contracts is June 2023. However, the Trust intends to close all futures and offset all forward currency contracts prior to maturity. The latest termination date for centrally cleared swap contracts is June 2028.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2023 (Unaudited)

Credit Risk

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

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

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

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

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

The amount of required margin and good faith deposits with the futures brokers, swaps broker, and interbank market maker usually range from i 10% to i 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at March 31, 2023 and December 31, 2022 was $ i 58,882,203 and $ i 55,308,662, respectively, which equals approximately i 12% and i 12% of Net Asset Value, respectively. Included in cash deposits with the futures brokers, swaps broker and interbank market maker at March 31, 2023 and December 31, 2022 was restricted cash for margin requirements of $ i 78,527,544 and $ i 64,050,963, respectively, which equals approximately i 15% and i 13% of Net Asset Value, respectively.

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2023 (Unaudited)

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

Offsetting of Derivative Assets by Counterparty

As of March 31, 2023

Type of Instrument

Counterparty

Gross

Amounts of

Recognized

Assets

Gross

Amounts

Offset in the

Statements of

Financial Condition

Net Amounts of

Unrealized Gain

Presented in the

Statements of

Financial Condition

Futures contracts

UBS Securities LLC

i 13,442,376

( i 7,714,115

)

i 5,728,261

Futures contracts

Goldman, Sachs & Co.

i 12,846,055

( i 7,627,874

)

i 5,218,181

Forward currency contracts

NatWest Markets Plc

i 42,199,875

( i 40,849,585

)

i 1,350,290

Centrally cleared swap contracts

Centrally Cleared

i 4,067,674

( i 4,067,674

)

i 0

Total derivatives

i 72,555,980

( i 60,259,248

)

i 12,296,732

Derivative Assets and Collateral Received by Counterparty

As of March 31, 2023

Net Amounts of

Unrealized Gain

Presented in the

Gross Amounts Not Offset in the

Statements of Financial Condition

Counterparty

Statements of

Financial Condition

Financial

Instruments

Cash Collateral

Received

Net Amount

UBS Securities LLC

i 5,728,261

i 0

i 5,728,261

Goldman Sachs & Co. LLC

i 5,218,181

i 0

i 5,218,181

NatWest Markets Plc

i 1,350,290

i 0

i 1,350,290

Centrally Cleared

i 0

Total

i 12,296,732

i 0

i 12,296,732

Offsetting of Derivative Liabilities by Counterparty

As of March 31, 2023

Type of Instrument

Counterparty

Gross

Amounts

of Recognized

Liabilities

Gross

Amounts

Offset in the

Statements of

Financial Condition

Net Amounts of

Unrealized Loss

Presented in the

Statements of

Financial Condition

Futures contracts

UBS Securities LLC

i 7,714,115

( i 7,714,115

)

i 0

Futures contracts

Goldman, Sachs & Co.

i 7,627,874

( i 7,627,874

)

i 0

Forward currency contracts

NatWest Markets Plc

i 40,849,585

( i 40,849,585

)

i 0

Centrally cleared swap contracts*

Centrally Cleared

i 8,915,701

( i 4,067,674

)

i 4,848,027

Total derivatives

i 65,107,275

( i 60,259,248

)

i 4,848,027

*	Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2023 (Unaudited)

Derivative Liabilities and Collateral Pledged by Counterparty

As of March 31, 2023

Net Amounts of

Unrealized Loss

Presented in the

Gross Amounts Not Offset in the

Statements of Financial Condition

Counterparty

Statements of

Financial Condition

Financial

Instruments

Cash Collateral

Pledged

Net Amount

UBS Securities LLC

i 0

Goldman, Sachs & Co.

i 0

NatWest Markets Plc

i 0

Centrally Cleared

i 4,848,027

i 0

( i 4,848,027)

i 0

Total

i 4,848,027

i 0

( i 4,848,027

)

i 0

Offsetting of Derivative Assets by Counterparty

As of December 31, 2022

Type of Instrument

Counterparty

Gross

Amounts

of Recognized

Assets

Gross

Amounts

Offset in the

Statements of

Financial Condition

Net Amounts of

Unrealized Gain

Presented in the

Statements of

Financial Condition

Futures contracts

UBS Securities LLC

i 11,125,617

( i 9,805,944

)

i 1,319,673

Futures contracts

Goldman, Sachs & Co.

i 10,962,373

( i 9,655,642

)

i 1,306,731

Forward currency contracts

NatWest Markets Plc

i 23,501,515

( i 21,533,765

)

i 1,967,750

Centrally cleared swap contracts*

Centrally Cleared

i 5,481,456

( i 1,812,972

)

i 3,668,484

Total derivatives

i 51,070,961

( i 42,808,323

)

i 8,262,638

*	Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.

Derivative Assets and Collateral Received by Counterparty

As of December 31, 2022

Net Amounts of

Unrealized Gain

Presented in the

Gross Amounts Not Offset in the

Statements of Financial Condition

Counterparty

Statements of

Financial Condition

Financial

Instruments

Cash Collateral

Received

Net Amount

UBS Securities LLC

i 1,319,673

i 0

i 1,319,673

Goldman, Sachs & Co.

i 1,306,731

i 0

i 1,306,731

NatWest Markets Plc

i 1,967,750

i 0

i 1,967,750

Centrally Cleared

i 3,668,484

i 0

i 3,668,484

Total

i 8,262,638

i 0

i 8,262,638

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2023 (Unaudited)

Offsetting of Derivative Liabilities by Counterparty

As of December 31, 2022

Type of Instrument

Counterparty

Gross

Amounts

of Recognized

Liabilities

Gross

Amounts

Offset in the

Statements of

Financial Condition

Net Amounts of

Unrealized Loss

Presented in the

Statements of

Financial Condition

Futures contracts

UBS Securities LLC

i 9,805,944

( i 9,805,944

)

i 0

Futures contracts

Goldman, Sachs & Co.

i 9,655,642

( i 9,655,642

)

i 0

Forward currency contracts

NatWest Markets Plc

i 21,533,765

( i 21,533,765

)

i 0

Centrally cleared swap contracts

Centrally Cleared

i 1,812,972

( i 1,812,972

)

i 0

Total derivatives

i 42,808,323

( i 42,808,323

)

i 0

Derivative Liabilities and Collateral Pledged by Counterparty

As of December 31, 2022

Net Amounts of

Unrealized Loss

Presented in the

Gross Amounts Not Offset in the

Statements of Financial Condition

Counterparty

Statements of

Financial Condition

Financial

Instruments

Cash Collateral

Pledged

Net Amount

UBS Securities LLC

i 0

Goldman, Sachs & Co.

i 0

NatWest Markets Plc

i 0

Centrally Cleared

i 0

Total

i 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 i 30%. Campbell & Company’s attempt to manage the risk of the Trust’s open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses. Campbell & Company controls the risk of the Trust’s non-trading fixed income instruments by limiting the duration of such instruments and requiring a minimum credit quality of the issuers of those instruments.

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

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2023 (Unaudited)

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, forward and centrally cleared swap markets under the sole direction of Campbell & Company, LP, the managing operator of the Trust. Specifically, the Trust trades in a diverse array of global assets, including global interest rates, stock indices, currencies, credit 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. Effective August 1, 2017, the Trust began offering Series D units.

As of March 31, 2023, the aggregate capitalization of the Trust was $507,169,445 with Series A, Series B, Series D and Series W comprising $378,697,030, $44,945,784, $25,234,996 and $58,291,635, respectively, of the total. The Net Asset Value per Unit was $4,110.97 for Series A, $4,542.54 for Series B, $1,647.49 for Series D and $5,047.52 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 assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates utilized in preparing the financial statements are reasonable and prudent; however, actual results could differ from those estimates. The Trust’s significant accounting policies are described in detail in Note 1 of the Financial Statements.

The Trust records all investments at fair value in its financial statements, with changes in fair value reported as a component of realized and change in unrealized trading 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 generally maintains 60% to 75% of its net asset value in cash, cash equivalents or other liquid positions in its cash management program over and above that needed to post as collateral for trading. These funds are available to meet redemptions each month. After redemptions 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.

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

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

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

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

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

Off-Balance Sheet Risk

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

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

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

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

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

Results of Operations

The returns for the three months ended March 31, 2023 and 2022 for Series A were 4.12% and 20.47%, Series B were 4.22% and 20.11%, Series D were 4.42% and 16.33% and Series W were 4.62% and 18.35%, respectively.

2023 (For the Three Months Ended March 31)

Of the 4.12% return for the three months ended March 31, 2023 for Series A, approximately 4.34% was due to trading gains (before commissions), approximately 1.12% due to investment income and approximately (1.34)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series A.

Of the 4.22% return for the three months ended March 31, 2023 for Series B, approximately 4.34% was due to trading gains (before commissions) approximately 1.12% due to investment income and approximately (1.24)% due to brokerage fees, management fees, sales commissions, and operating costs incurred by Series B.

Of the 4.42% return for the three months ended March 31, 2023 for Series D, approximately 4.34% was due to trading gains (before commissions) approximately 1.12% due to investment income and approximately (1.04)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series D.

Of the 4.62% return for the three months ended March 31, 2023 for Series W, approximately 4.34% was due to trading gains (before commissions) approximately 1.12% due to investment income and approximately (0.84)% due to brokerage fees, management fees, performance fees, offering costs and operating costs incurred by Series W.

During the three months ended March 31, 2023, the Trust accrued management fees in the amount of $2,510,527 and paid management fees in the amount of $2,459,661. During the three months ended March 31, 2023, the Trust accrued sales commissions in the amount of $2,139,953 and paid sales commissions in the amount of $2,090,147. During the three months ended March 31, 2023, the Trust accrued performance fees in the amount of $122 and paid performance fees in the amount of $122.

An analysis of the 4.34% gross trading gains for the Trust for the three months ended March 31, 2023 by sector is as follows:

Sector	% Gain (Loss)
Credit		(0.27	)%
Commodities		1.01	%
Foreign Exchange		2.80	%
Interest Rates		0.62	%
Equity Indices		0.17	%
		4.34	%

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The Trust showed a profit in January. Gains came from stock index, commodity, foreign exchange (FX), and credit positions, while interest rate holdings produced some partially offsetting losses. Global stock indexes generated the largest gains for the Trust in January. Net long positioning on a variety of equity holdings gained as most major global stock indexes finished the month in the green. The general risk-on sentiment was fueled by China reopening optimism and the hopes that the world’s Central Banks ease off their aggressive rate-hike cycle. A slew of mixed Q4 earnings reports and continued layoff announcements were largely ignored as money flowed into riskier assets. Commodity trading also provided gains for the Trust to start the year. Long coffee and sugar holdings generated the biggest wins within the softs sub-sector as those prices rallied on supply concerns. Industrial metals generated additional gains for the Trust spearheaded by a long LME copper position. The base metals complex experienced a significant monthly rally on back of the weak US dollar, ongoing China reopening optimism, and increasing concern over dwindling stockpiles. Foreign exchange trading produced additional Trust profits. The US dollar experienced a sell-off in January and the gains on long Emerging Market (EM) positions, versus short the USD, more than offset the losses incurred in the short Developed Market (DM) currencies. Longs in Latin American currencies were the main EM gainers as risky assets and carry trades were bought in the risk-on environment. Interest rate positions generated partially offsetting losses on the month. US Treasuries advanced (yields fell) after easing US inflation data strengthened the case for the Fed to turn less aggressive, hurting short positioning along the curve. In Europe, short positioning on German bonds added to Trust losses as prices followed Treasuries higher despite hawkish rhetoric from Lagarde and other European Central Bankers. Long positioning on UK gilts and the Aussie 10-year bond generated partially offsetting gains.Short protection positions in the credit indices which narrowed sharply alongside the broader rally in risk assets generated gains for the Trust.

The Trust showed a robust profit in February. Gains came from fixed income, foreign exchange (FX), and commodity positions, while stock indices produced some partially offsetting losses. Credit holdings had limited P&L impact on the month. Interest rate positions dominated Trust gains in February with long-dated and short-dated instruments equally contributing to profits. US Treasury prices fell (yields rose) as hotter-than-expected inflation data and an extraordinary jump in payrolls elicited increasingly hawkish commentary from Fed members throughout the month, benefiting short positioning. Euro-area core inflation accelerated to a record, prompting money markets to price in a higher ECB terminal rate, which created gains for short German bond positioning. Interest rate swap holdings were also additive, led by a payer position in Mexican rates as yields moved higher after a larger-than-expected rate hike from Mexico’s Central Bank. Foreign exchange trading produced additional Trust returns. The US dollar rallied over the course of the month and the Trust’s short positions in the Developed Market (DM), versus long the US dollar, drove sector gains. A short Norwegian krone holding (against long USD) was a major P&L contributor in the FX sector as the krone continued to be susceptible to weakness in energies, ultimately ending the month as the worst performing G-10 currency in 2023. Commodities provided additional profits for the Trust in February. Short holdings across the industrial and precious metal sub-sectors profited as increasing expectations for further Fed policy tightening and a stronger US dollar weighed on metals prices. Net long global stock index positioning generated some offsetting losses during the month. After a strong start to the year, February saw equity markets retrace in North America and Asia. In the US, stronger-than-expected economic releases, which included labor and inflation data, spurred a meaningful repricing of FOMC rate expectations. In the APAC region, strained US-China geopolitical relations and weaker near-term demand outlooks for China further weighed on risk sentiment. Long positioning on European equities provided some offsetting gains as markets proved more resilient to higher rates in the region.

The Trust realized a loss in March. Losses came from interest rate, stock, commodity, and credit holdings, while foreign exchange (FX) produced some partially offsetting gains during the month. Interest rate positions dominated Trust losses on the month, with both long-dated and short-dated instruments suffering in the wake of the banking crisis that drove global bond prices higher (yields lower). The negative impact on the financial sector from the US Fed’s policy tightening campaign prompted traders to scale back rate hike bets, hurting short US Treasury positioning across most tenors. Partially offsetting gains came from long UK Gilt and Aussie 10-year bond positioning, both of which benefited from the rapid shift to less risky assets. Stock holdings also weighed on Trust performance amid a volatile month of trading. Predominantly long stock positioning was negatively impacted after the collapse of Silicon Valley Bank and the ensuing fears of contagion. Some stock P&L losses were recovered with prices rallying off mid-month lows as the banking sector stabilized and investors weighed the possibility of the Fed pausing its rate increases. Commodity positions added to Trust losses in March. Short precious metal holdings generated the largest sub-sector losses as bullion prices rose amid the banking sector turmoil, diminished expectations for further Fed tightening, and a softer US dollar. Credit trading generated additional losses as a short protection position in the iTraxx Senior Financial index suffered after credit spreads widened sharply in the wake of the Silicon Valley Bank and Credit Suisse fiascos. Foreign exchange trading provided some partially offsetting Trust gains. While the DXY index traded lower during the month on back of the shift to a more dovish outlook on the US Federal Reserve, a few of the so-called commodity currencies were the exceptions. The Trust profited from short-positions on the Aussie dollar and Norwegian krone, which both traded softer on back of weakness in oil markets.

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2022 (For the Three Months Ended March 31)

Of the 20.47% return for the three months ended March 31, 2022 for Series A, approximately 21.91% was due to trading gains (before commissions) and approximately (0.10)% due to investment loss, offset by approximately (1.34)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series A.

Of the 20.11% return for the three months ended March 31, 2022 for Series B, approximately 21.91% was due to trading gains (before commissions) and approximately (0.10)% due to investment loss, offset by approximately (1.70)% due to brokerage fees, management fees, sales commissions, performance fees and operating costs incurred by Series B.

Of the 16.33% return for the three months ended March 31, 2022 for Series D, approximately 21.91% was due to trading gains (before commissions) and approximately (0.10)% due to investment loss, offset by approximately (5.48)% due to brokerage fees, management fees, sales commissions, performance fees, offering costs and operating costs incurred by Series D.

Of the 18.35% return for the three months ended March 31, 2022 for Series W, approximately 21.91% was due to trading gains (before commissions) and approximately (0.10)% due to investment loss, offset by approximately (3.46)% due to brokerage fees, management fees, performance fees, offering costs and operating costs incurred by Series W.

During the three months ended March 31, 2022, the Trust accrued management fees in the amount of $1,683,378 and paid management fees in the amount of $1,564,199. During the three months ended March 31, 2022, the Trust accrued sales commissions in the amount of $1,460,348 and paid sales commissions in the amount of $1,390,171. During the three months ended March 31, 2022, the Trust accrued performance fees in the amount of $1,530,801 and paid performance fees in the amount of $0.

An analysis of the 21.91% gross trading gains for the Trust for the three months ended March 31, 2022 by sector is as follows:

Sector	% Gain (Loss)
Credit		0.00	%
Commodities		10.46	%
Foreign Exchange		5.89	%
Interest Rates		5.32	%
Equity Indices		0.24	%
		21.91	%

The Trust showed a gain in January with gains coming from interest rate, commodity, and foreign exchange (FX) positions, while stock index and credit holdings produced some partially offsetting losses. Interest rate positions produced the largest gains for the Trust during January, with profits most pronounced in long-dated instruments. Global yields jumped (prices fell) as persistent, rising inflation prompted central banks to increase efforts in tightening monetary policy. Short UK gilt positioning contributed the most sizable gains after UK inflation hit its highest reading since 1992 on surging demand, higher energy costs, and supply chain disruptions. Commodity trading provided additional profits for the Trust during the month. Long positioning on the petroleum complex generated the best sector gains. Energy markets advanced as supply constraints and heightened geopolitical tensions coincided with a recovery in demand amid easing concerns surrounding the severity of the Omicron variant. Longs on soy products also produced gains as soy markets advanced on tight supply expectations amid persistent South American weather concerns. Foreign exchange trading produced additional gains for the Trust with long US dollar positions (versus short foreign currency) benefiting. The greenback rallied during the second half of January with the DXY dollar index reaching a multi-year high on back of the decidedly hawkish approach from the Federal Reserve. At the January FOMC meeting, the Fed signaled they intend to raise interest rates as early as March and the market subsequently priced in five hikes during 2022. Largely long positioning on global stock indices produced losses for the Trust in January, with most major benchmarks posting large losses for the month. Investor worries about inflation, persistent supply chain issues, and the upcoming rate hikes from the Federal Reserve fueled the risk-off trading. In credit trading, short protection positions generated further offsetting losses as US and European credit spreads widened sharply alongside the unwind of risky assets.

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The Trust showed a modest loss in February with losses came from foreign exchange, credit, fixed income, and stock index positions as commodity holdings produced some partially offsetting gains. Foreign exchange trading produced losses for the Trust. Short positions in developed market currencies (against long USD) were overwhelmed as the recent strength in the greenback was countered by this month’s demand for commodity currencies like the Australian and New Zealand dollars. Short positions in some Eastern European currencies (against long USD) provided partially offsetting gains as Russian contagion fears drove weakness in Polish and Hungarian assets. In credit trading, short protection positions generated further losses as US and European credit spreads widened sharply alongside the unwind of risky assets. Interest rate positions caused additional losses in February. A late month flight-to-safety rally sparked by the intensifying Russia/Ukraine conflict reversed earlier weakness. Losses in German and Australian 10-year bonds overwhelmed gains made in UK Gilts and US Treasuries. Global stock indices also detracted from the Trust amid mixed positioning during the month. February began with most major indexes fluctuating as investors focused on hotter than expected inflation and assessed prospects for rate hikes and quantitative tightening. By mid-month sentiment turned negative as the focus shifted from monetary policy to geopolitical concerns and the unprecedented Russian sanctions. Commodity trading provided positive returns for the Trust during the month. Long positioning on the petroleum complex generated the best sector gains as energy markets advanced amid continued supply constraints and elevated risk premiums stemming from geopolitical tensions between Russia and Ukraine. Some long grain holdings also generated gains as grain markets rallied sharply across the board on supply concerns following Russia’s attack on Ukraine.

The Trust showed a strong gain in March with gains coming from commodity, foreign exchange, fixed income, stock index, and credit positions. Commodity trading provided the strongest returns for the Trust during the month. Long positioning across the energy complex resulted in the best sub-sector gains as global demand continued to recover from the pandemic while the war in Europe further squeezed an already tight market. Base metal holdings also contributed gains as long positioning profited from a sharp rally across the complex as Russia’s invasion of Ukraine coincided with a historic supply shortage. Nickel dominated industrial metal returns following outperformance on the back of a short-squeeze that saw prices leap 85% over two days, a move that ultimately resulted in an unprecedented 6-day trading halt on the LME. Foreign exchange trading produced additional profits for the Trust with both the developed market (DM) and emerging market (EM) currencies contributing. A short position on the Japanese yen drove the largest DM gains as the JPY weakened on the continued ultra-loose monetary policy in Japan relative to rising yields in the US. A long position on the Brazilian real was also profitable as the BRL benefited from price increases in Brazilian exports as well as general demand for higher yielding currencies. Interest rate positions also contributed gains with short positioning on Treasuries leading profits. The Federal Reserve’s policy normalization began in March and leaned more hawkish than expected which proved profitable for short 2-year and 10-year UST positions. Global stock indices further added to profits as momentum and short-term strategies were able to navigate the significant mid-month reversal in equities. Short positions to start the month were profitable as stocks traded lower on geopolitical concerns, an FOMC rate hike, and hawkish Fed commentary. However, risk sentiment turned positive on war de-escalation prospects during the latter half of the month and a shift in model positioning captured additional gains. In credit trading, short protection positions generated nominal gains as US and European credit spreads tightened alongside stock indices and other risky assets.

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.

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Standard of Materiality

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

Quantifying the Trust’s Trading Value at Risk

Quantitative Forward-Looking Statements

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

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

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

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

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

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

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

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

The following tables indicate the trading Value at Risk associated with the Trust’s open positions by market category as of March 31, 2023 and December 31, 2022 and the trading gains/losses by market category for the three months ended March 31, 2023 and the year ended December 31, 2022.

	March 31, 2023
Market Sector	Value at Risk*			Trading Gain/(Loss)**
Credit		0.24	%		(0.27	)%
Commodities		0.61	%		1.01	%
Foreign Exchange		0.67	%		2.80	%
Interest Rates		1.43	%		0.62	%
Equity Indices		0.66	%		0.17	%
Aggregate/Total		2.35	%		4.34	%

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

**	Represents the gross trading for the Trust for the three months ended March 31, 2023.

	December 31, 2022
Market Sector	Value at Risk*			Trading Gain/(Loss)**
Credit		0.09	%		1.25	%
Commodities		0.54	%		8.88	%
Foreign Exchange		1.15	%		16.83	%
Interest Rates		0.98	%		16.26	%
Stock Indices		0.53	%		1.11	%
Aggregate/Total		1.66	%		44.33	%

**	Represents the gross trading for the Trust for the year ended December 31, 2022.

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Of the 36.01% return for the year ended December 31, 2022 for Series A, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by approximately (9.78)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series A.

Of the 35.82% return for year ended December 31, 2022 for Series B, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by approximately (9.97)% due to brokerage fees, management fees, performance fees, sales commissions and operating costs borne by Series B.

Of the 31.93% return for the year ended December 31, 2022 for Series D, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by approximately (13.86)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series D.

Of the 35.05% return for the year ended December 31, 2022 for Series W, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by approximately (10.74)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series W.

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

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

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

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

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

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

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

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

Non-Trading Risk

The Trust has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Trust also has non-trading market risk as a result of investing a portion of its available assets in U.S. Treasury Bills held at the 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 provides no guarantee that any profit or interest will accrue to the Trust as a result of such management.

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Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Trust’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Trust manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Trust’s primary market risk exposures as well as the strategies used and to be used by Campbell & Company for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Trust’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Trust. There can be no assurance that the Trust’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Trust.

The following represent the primary trading risk exposures of the Trust as of March 31, 2023 by market sector.

Foreign Exchange

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

Equity Indices

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

Credit

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

Energy

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

Metals

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

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Agricultural

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

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the primary non-trading risk exposures of the Trust as of March 31, 2023.

Foreign Currency Balances

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

Fixed Income Securities and Short Term Investments

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

U.S. Treasury Bill Positions Held for Margin Purposes

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

General

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

Item 4. Controls and Procedures.

Campbell & Company, the managing operator of the Trust, with the participation of the managing operator’s chief executive officer and chief operating officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in the Securities Exchange Act of 1934 Rules 13a-15(e) or 15d-15(e)) with respect to the Trust as of the end of the period covered by this quarterly report. Based on their evaluation, the chief executive officer and chief operating officer have concluded that these disclosure controls and procedures are effective. There were no changes in the managing operator’s internal control over financial reporting applicable to the Trust identified in connection with the evaluation required by paragraph (d) of Exchange Act Rules 13a-15 or 15d-15 that occurred during the last fiscal quarter that have materially affected, or is reasonably likely to materially affect, internal control over financial reporting applicable to the Trust.

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PART II-OTHER INFORMATION

Item 1. Legal Proceedings.

None

Item 1A. Risk Factors.

There are no material changes from the risk factors as previously disclosed in Form 10-K, filed March 24, 2023.

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

None

Item 3. Defaults Upon Senior Securities.

Not applicable.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

None

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Item 6. Exhibits.

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

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

10.01		Advisory Agreement between the Registrant and Campbell & Company LP ⁽¹⁾

10.02		Global Institutional Master Custody Agreement ⁽²⁾

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

31.01		Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.

31.02		Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.

32.01		Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment 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 John R. Radle, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.

101		Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments As of March 31, 2023 and December 31, 2022, (ii) Statements of Financial Condition As of March 31, 2023 and December 31, 2022, (iii) Statements of Operations For the Three Months Ended March 31, 2023 and 2022, (iv) Statements of Cash Flows For the Three Months Ended March 31, 2023 and 2022, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the Three Months Ended March 31, 2023 and 2022, (vi) Financial Highlights For the Three Months Ended March 31, 2023 and 2022, (vii) Notes to Financial Statements.

104		Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).

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

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

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

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EXHIBIT INDEX

31.01		Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.

31.02		Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.

32.01		Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment 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 John R. Radle, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.

101		Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments As of March 31, 2023 and December 31, 2022, (ii) Statements of Financial Condition As of March 31, 2023 and December 31, 2022, (iii) Statements of Operations For the Three Months Ended March 31, 2023 and 2022, (iv) Statements of Cash Flows For the Three Months Ended March 31, 2023 and 2022, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the Three Months Ended March 31, 2023 and 2022, (vi) Financial Highlights For the Three Months Ended March 31, 2023 and 2022, (vii) Notes to Financial Statements.

104		Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).

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SIGNATURES

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

	THE CAMPBELL FUND TRUST (Registrant)

	By:	Campbell & Company, LP
		Managing Operator

Date: May 15, 2023	By:	/s/ *Kevin D. Cole*
		Kevin D. Cole
		Chief Executive Officer & Chief Investment Officer

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

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

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

Large accelerated filer ☐	Accelerated filer ☐	i Non-accelerated filer ☑	Smaller reporting company i ☐
Emerging growth company i ☐

Maturity		Fair		% of Net
Face Value	Description	Value ($)		Asset Value
	Asset Backed Securities
	United States
	Auto Loans	$	i 22,460,085		i 4.43	%
	Equipment Loans		i 3,199,446		i 0.63	%
	Total Asset Backed Securities (cost $ i 25,863,531)		i 25,659,531		i 5.06	%

	Bank Deposits
	United States
	Financials (cost $ i 6,585,402)		i 6,568,615		i 1.30	%
	Total Bank Deposits (cost $ i 6,585,402)		i 6,568,615		i 1.30	%

	Commercial Paper
	Canada
	Materials (cost $ i 2,344,122)		i 2,342,684		i 0.46	%
	France
	Financials (cost $ i 1,538,926)		i 1,538,394		i 0.30	%
	United Kingdom
	Financials (cost $ i 1,306,839)		i 1,307,275		i 0.26	%
	United States
	Communications		i 2,619,984		i 0.52	%
	Consumer Discretionary		i 17,936,717		i 3.54	%
	Consumer Staples		i 1,017,661		i 0.20	%
	Financials		i 70,176,690		i 13.83	%
	Health Care		i 748,141		i 0.15	%
	Industrials		i 1,226,223		i 0.24	%
	Real Estate		i 7,904,917		i 1.56	%
	Technology		i 9,046,998		i 1.78	%
	Utilities		i 39,848,311		i 7.86	%
	Total United States (cost $ i 150,552,870)		i 150,525,642		i 29.68	%
	Total Commercial Paper (cost $ i 155,742,757)		i 155,713,995		i 30.70	%

	Corporate Bonds
	Australia
	Financials (cost $ i 1,244,445)		i 1,253,778		i 0.25	%
	Canada
	Energy		i 3,275,644		i 0.65	%
	Financials		i 11,581,922		i 2.27	%
	Total Canada (cost $ i 15,012,779)		i 14,857,566		i 2.92	%
	Germany
	Consumer Discretionary		i 1,167,736		i 0.23	%
	Industrials		i 1,957,413		i 0.39	%
	Total Germany (cost $ i 3,140,553)		i 3,125,149		i 0.62	%
	Japan
	Financials (cost $ i 1,240,000)		i 1,221,381		i 0.24	%
	Spain
	Financials (cost $ i 2,599,995)		i 2,542,857		i 0.50	%
	Switzerland
	Financials (cost $ i 3,579,969)		i 3,465,665		i 0.68	%
	United Kingdom
	Financials (cost $ i 1,893,286)	$	i 1,853,690		i 0.37	%

Maturity			Fair		% of Net
Face Value		Description	Value ($)		Asset Value
		Corporate Bonds (continued)
		United States
		Communications	$	i 247,101		i 0.05	%
		Consumer Discretionary		i 9,346,240		i 1.84	%
		Energy		i 4,800,952		i 0.95	%
		Financials		i 20,868,206		i 4.11	%
		Health Care		i 3,890,763		i 0.77	%
		Industrials		i 7,965,993		i 1.57	%
		Materials		i 5,202,788		i 1.03	%
		Real Estate		i 2,105,405		i 0.42	%
		Technology		i 2,880,112		i 0.57	%
		Utilities		i 5,966,937		i 1.18	%
		Total United States (cost $ i 63,767,915)		i 63,274,497		i 12.49	%
		Total Corporate Bonds (cost $ i 92,478,942)		i 91,594,583		i 18.07	%

		Government and Agency Obligations
		United States
		U.S. Treasury Bills
$	i 1,500,000	U.S. Treasury Bills Due i 04/20/2023⁽¹⁾		i 1,496,687		i 0.30	%
$	i 6,200,000	U.S. Treasury Bills Due i 04/13/2023⁽¹⁾		i 6,192,269		i 1.22	%
$	i 19,175,000	U.S. Treasury Bills Due i 05/04/2023⁽¹⁾		i 19,098,721		i 3.77	%
$	i 20,000,000	U.S. Treasury Bills Due i 05/11/2023⁽¹⁾		i 19,902,880		i 3.91	%
$	i 3,300,000	U.S. Treasury Bills Due i 06/20/2023⁽¹⁾		i 3,266,868		i 0.64	%
$	i 9,000,000	U.S. Treasury Bills Due i 06/08/2023⁽¹⁾		i 8,924,778		i 1.76	%
		Total Government And Agency Obligations (cost $ i 58,862,775)		i 58,882,203		i 11.60	%
		Total Fixed Income Securities (cost $ i 339,533,407)⁽²⁾	$	i 338,418,927		i 66.73	%

Campbell Fund Trust – ‘10-Q’ for 3/31/23

On: Monday, 5/15/23, at 2:50pm ET · For: 3/31/23 · Accession #: 1140361-23-24635 · File #: 0-50264

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‘10-Q’ — Quarterly Report

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

			Page
PART I — FINANCIAL INFORMATION

	Item 1.	Financial Statements.

		Condensed Schedules of Investments as of March 31, 2023 and December 31, 2022 (Unaudited)	1-6

		Statements of Financial Condition as of March 31, 2023 and December 31, 2022 (Unaudited)	7

		Statements of Operations for the Three Months Ended March 31, 2023 and 2022 (Unaudited)	8

		Statements of Cash Flows for the Three Months Ended March 31, 2023 and 2022 (Unaudited)	9

		Statements of Changes in Unitholders’ Capital (Net Asset Value) for the Three Months Ended March 31, 2023 and 2022 (Unaudited)	10-11

		Financial Highlights for the Three Months Ended March 31, 2023 and 2022 (Unaudited)	12-15

		Notes to Financial Statements (Unaudited)	16-30

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations.	31-36

	Item 3.	Quantitative and Qualitative Disclosure About Market Risk.	36-41

	Item 4.	Controls and Procedures.	41

PART II — OTHER INFORMATION

	Item 1.	Legal Proceedings.	42

	Item 1A.	Risk Factors.	42

	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds.	42

	Item 3.	Defaults Upon Senior Securities.	42

	Item 4.	Mine Safety Disclosures.	42

	Item 5.	Other Information.	42

	Item 6.	Exhibits.	43-44

SIGNATURES			45

LONG FUTURES CONTRACTS
	Fair		% of Net
Description	Value ($)		Asset Value
Agriculture	$	i 4,452,517		i 0.88	%
Energy		i 927,691		i 0.18	%
Metals		i 3,400,653		i 0.67	%
Stock indices		i 6,014,182		i 1.19	%
Short-term interest rates		i 89,406		i 0.02	%
Long-term interest rates		i 454,077		i 0.09	%
Net unrealized gain (loss) on long futures contracts		i 15,338,526		i 3.03	%

SHORT FUTURES CONTRACTS
	Fair			% of Net
Description	Value ($)			Asset Value
Agriculture		( i 2,917,271	)		( i 0.58	)%
Energy		i 557,540			i 0.11	%
Metals		( i 93,319	)		( i 0.02	)%
Stock indices		( i 2,046,589	)		( i 0.40	)%
Short-term interest rates		i 674,939			i 0.13	%
Long-term interest rates		( i 567,384	)		( i 0.11	)%
Net unrealized gain (loss) on short futures contracts		( i 4,392,084	)		( i 0.87	)%
Net unrealized gain (loss) on open futures contracts	$	i 10,946,442			i 2.16	%

	Three Months Ended March 31,
	2023			2022
TRADING GAINS (LOSSES)
Futures trading gains (losses)
Realized	$	( i 692,746	)	$	i 42,007,020
Change in unrealized		i 8,320,038			i 6,562,924
Brokerage commissions		( i 621,320	)		( i 345,972	)
Net gain (loss) from futures trading		i 7,005,972			i 48,223,972

Forward currency trading gains (losses)
Realized		i 14,176,403			i 7,497,056
Change in unrealized		( i 617,460	)		i 10,119,250
Brokerage commissions		( i 152,898	)		( i 64,191	)
Net gain (loss) from forward currency trading		i 13,406,045			i 17,552,115

Swap trading gains (losses)
Realized		i 3,427,298			( i 613,017	)
Change in unrealized		( i 4,020,731	)		i 1,122,983
Net gain (loss) from swap trading		( i 593,433	)		i 509,966
Total net trading gain (loss)		i 19,818,584			i 66,286,053

NET INVESTMENT INCOME (LOSS)
Investment income
Interest income		i 6,894,773			i 214,695
Realized gain (loss) on fixed income securities		( i 1,972,055	)		( i 17,398	)
Change in unrealized gain (loss) on fixed income securities		i 594,877			( i 538,800	)
Total investment income (loss)		i 5,517,595			( i 341,503	)

Expenses
Management fee		i 2,510,527			i 1,683,378
Performance fee		i 122			i 1,530,801
Operating expenses		i 321,600			i 215,236
Sales commission		i 2,139,953			i 1,460,348
Total expenses		i 4,972,202			i 4,889,763
Net investment income (loss)		i 545,393			( i 5,231,266	)
NET INCOME (LOSS)	$	i 20,363,977		$	i 61,054,787

NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
(based on weighted average number of units outstanding during the period)
Series A	$	i 164.29		$	i 600.02
Series B	$	i 183.95		$	i 645.50
Series D	$	i 71.20		$	i 201.55
Series W	$	i 227.91		$	i 665.58

INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
Series A	$	i 162.53		$	i 594.36
Series B	$	i 184.00		$	i 645.43
Series D	$	i 69.71		$	i 195.25
Series W	$	i 222.68		$	i 655.47

WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
Series A		i 90,183.020			i 77,571.617
Series B		i 10,001.246			i 10,232.838
Series D		i 15,019.156			i 7,732.918
Series W		i 11,576.046			i 9,535.187

	March 31, 2023		December 31, 2022
Cash, cash equivalents and restricted cash at end of period consists of:
Equity in futures brokers trading accounts:
Cash	$	i 45,914,684	$	i 33,417,908
Restricted cash		i 89,930		i 5,709,117
Cash and cash equivalents		i 5,501,684		i 8,763,179
Cash at interbank market maker		i 10,141,352		i 4,445,935
Restricted cash at interbank market maker		i 55,635,441		i 50,629,684
Cash at swaps broker		i 0		i 6,713,855
Restricted cash at swaps broker		i 22,802,173		i 7,712,162
Total cash, cash equivalents and restricted cash at end of period	$	i 140,085,264	$	i 117,391,840

This ‘10-Q’ Filing	Date	Other Filings

Filed on:	5/15/23
For Period end:	3/31/23	8-K
	3/24/23	10-K
	12/31/22	10-K, 8-K
	3/31/22	10-Q, 8-K
	12/31/21	10-K, 8-K
	10/1/17
	8/1/17
	7/1/17
	5/15/14	10-Q
	8/15/11	10-Q
	3/1/09	8-K
	10/1/08	8-K
	8/31/08
	4/30/03	10-12G
	9/1/02
	1/2/96
		List all Filings

Campbell Fund Trust – ‘10-Q’ for 3/31/23

On: Monday, 5/15/23, at 2:50pm ET · For: 3/31/23 · Accession #: 1140361-23-24635 · File #: 0-50264

Quarterly Report — Form 10-QFiling Table of Contents

‘10-Q’ — Quarterly ReportDocument Table of Contents

This is an HTML Document rendered as filed. [ Alternative Formats ]

Dates Referenced Herein and Documents Incorporated by Reference

3 Previous Filings that this Filing References

Quarterly Report — Form 10-Q

Filing Table of Contents

‘10-Q’ — Quarterly Report

Document Table of Contents