SEC Info℠ | Home | Search | My Interests | Help | Sign In | Please Sign In | ||||||||||||||||||||
As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 8/13/21 Campbell Fund Trust 10-Q 6/30/21 60:8.1M Edgarfilings Ltd. |
Document/Exhibit Description Pages Size 1: 10-Q Quarterly Report HTML 1.38M 2: EX-31.1 Exhibit 31.01 HTML 25K 3: EX-31.2 Exhibit 31.02 HTML 25K 4: EX-32.1 Exhibit 32.01 HTML 18K 5: EX-32.2 Exhibit 32.02 HTML 18K 12: R1 Document and Entity Information HTML 72K 13: R2 Condensed Schedule of Investments HTML 228K 14: R3 Condensed Schedule of Investments (Parenthetical) HTML 96K 15: R4 Statements of Financial Condition HTML 110K 16: R5 Statements of Financial Condition (Parenthetical) HTML 35K 17: R6 Statements of Operations HTML 101K 18: R7 Statements of Cash Flows HTML 64K 19: R8 Statements of Cash Flows (Parenthetical) HTML 35K 20: R9 Statements of Changes in Unitholders' Capital (Net HTML 73K Asset Value) 21: R10 Statements of Changes in Unitholders' Capital (Net HTML 26K Asset Value) (Parenthetical) 22: R11 Financial Highlights HTML 69K 23: R12 Organization and Summary of Significant Accounting HTML 86K Policies 24: R13 Managing Operator and Commodity Trading Advisor HTML 23K 25: R14 Sales Commission HTML 22K 26: R15 Trustee HTML 20K 27: R16 Administrator and Transfer Agent HTML 21K 28: R17 Cash Manager and Custodian HTML 20K 29: R18 Deposits With Futures Brokers HTML 20K 30: R19 Deposits With Interbank Market Maker HTML 20K 31: R20 Deposits With Swaps Broker HTML 20K 32: R21 Subscriptions, Distributions and Redemptions HTML 22K 33: R22 Credit Derivatives and Credit-Related Contingency HTML 28K Features 34: R23 Trading Activities and Related Risks HTML 232K 35: R24 Indemnifications HTML 21K 36: R25 Interim Financial Statements HTML 21K 37: R26 Subsequent Events HTML 20K 38: R27 Organization and Summary of Significant Accounting HTML 101K Policies (Policies) 39: R28 Organization and Summary of Significant Accounting HTML 65K Policies (Tables) 40: R29 Credit Derivatives and Credit-Related Contingency HTML 28K Features (Tables) 41: R30 Trading Activities and Related Risks (Tables) HTML 227K 42: R31 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING HTML 25K POLICIES, General Description of the Trust (Details) 43: R32 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING HTML 58K POLICIES, Fair Value (Details) 44: R33 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING HTML 34K POLICIES, Income Taxes (Details) 45: R34 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING HTML 30K POLICIES, Offering Costs (Details) 46: R35 Managing Operator and Commodity Trading Advisor HTML 37K (Details) 47: R36 Sales Commission (Details) HTML 38K 48: R37 Deposits With Interbank Market Maker (Details) HTML 20K 49: R38 Subscriptions, Distributions and Redemptions HTML 49K (Details) 50: R39 Credit Derivatives and Credit-Related Contingency HTML 31K Features (Details) 51: R40 TRADING ACTIVITIES AND RELATED RISKS, Derivatives HTML 64K by Instrument Type and Location of Instruments on the Statements of Financial Condition (Details) 52: R41 TRADING ACTIVITIES AND RELATED RISKS, Derivatives HTML 42K by Instrument Type (Details) 53: R42 TRADING ACTIVITIES AND RELATED RISKS, Location of HTML 68K Gains and Losses on the Statements of Operations (Details) 54: R43 TRADING ACTIVITIES AND RELATED RISKS, Credit Risk HTML 32K (Details) 55: R44 TRADING ACTIVITIES AND RELATED RISKS, Offsetting HTML 63K of Derivative Assets and Collateral Received by Counterparty (Details) 56: R45 TRADING ACTIVITIES AND RELATED RISKS, Offsetting HTML 63K of Derivative Liabilities and Collateral Pledged by Counterparty (Details) 58: XML IDEA XML File -- Filing Summary XML 104K 11: XML XBRL Instance -- brhc10027836_10q_htm XML 2.44M 57: EXCEL IDEA Workbook of Financial Reports XLSX 83K 7: EX-101.CAL XBRL Calculations -- cft-20210630_cal XML 153K 8: EX-101.DEF XBRL Definitions -- cft-20210630_def XML 763K 9: EX-101.LAB XBRL Labels -- cft-20210630_lab XML 1.50M 10: EX-101.PRE XBRL Presentations -- cft-20210630_pre XML 920K 6: EX-101.SCH XBRL Schema -- cft-20210630 XSD 194K 59: JSON XBRL Instance as JSON Data -- MetaLinks 272± 393K 60: ZIP XBRL Zipped Folder -- 0001140361-21-028277-xbrl Zip 265K
i ☑ |
Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
|
i ☐ |
Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
|
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)
|
Title of each class
|
Trading Symbol(s)
|
Name of each exchange on which registered
|
Not applicable.
|
Not applicable.
|
Not applicable.
|
Large accelerated filer ☐
|
Accelerated filer ☐
|
i Non-accelerated filer ☑
|
Smaller reporting company i ☐
|
Emerging growth company i ☐
|
Page
|
|||
PART I — FINANCIAL INFORMATION
|
|||
Item 1.
|
Financial Statements.
|
||
1-6
|
|||
7 |
|||
8 |
|||
9 |
|||
10-11
|
|||
12-15
|
|||
16-31
|
|||
Item 2.
|
32-40
|
||
Item 3.
|
40-46
|
||
Item 4.
|
46
|
||
PART II — OTHER INFORMATION
|
|||
Item 1.
|
47
|
||
Item 1A.
|
47
|
||
Item 2.
|
47
|
||
Item 3.
|
47
|
||
Item 4.
|
47
|
||
Item 5.
|
47
|
||
Item 6.
|
48-49
|
||
50
|
Maturity
Face Value
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||||
Asset Backed Securities
|
|||||||||||
United States
|
|||||||||||
Auto Loans
|
$
|
i 11,367,774
|
i 3.86
|
%
|
|||||||
Credit Cards
|
i 1,019,356
|
i 0.35
|
%
|
||||||||
Equipment Loans
|
i 1,338,434
|
i 0.45
|
%
|
||||||||
Total Asset Backed Securities (cost $ i 13,750,481)
|
i 13,725,564
|
i 4.66
|
%
|
||||||||
|
|||||||||||
Bank Deposits
|
|||||||||||
Singapore
|
|||||||||||
Financials (cost $ i 1,545,000)
|
i 1,545,113
|
i 0.52
|
%
|
||||||||
United States
|
|||||||||||
Financials (cost $ i 1,750,000)
|
i 1,748,952
|
i 0.59
|
%
|
||||||||
Total Bank Deposits (cost $ i 3,295,000)
|
i 3,294,065
|
i 1.11
|
%
|
||||||||
|
|||||||||||
Commercial Paper
|
|||||||||||
France
|
|||||||||||
Financials (cost $ i 1,538,589)
|
i 1,538,970
|
i 0.52
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $ i 6,668,880)
|
i 6,669,139
|
i 2.26
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
i 1,418,916
|
i 0.48
|
%
|
||||||||
Consumer Discretionary
|
i 13,787,435
|
i 4.68
|
%
|
||||||||
Consumer Staples
|
i 6,198,097
|
i 2.10
|
%
|
||||||||
Financials
|
i 17,628,796
|
i 5.98
|
%
|
||||||||
Industrials
|
i 4,034,296
|
i 1.37
|
%
|
||||||||
Real Estate
|
i 7,154,474
|
i 2.43
|
%
|
||||||||
Technology
|
i 5,269,373
|
i 1.79
|
%
|
||||||||
Utilities
|
i 16,492,859
|
i 5.59
|
%
|
||||||||
Total United States (cost $ i 71,986,665)
|
i 71,984,246
|
i 24.42
|
%
|
||||||||
Total Commercial Paper (cost $ i 80,194,134)
|
$
|
i 80,192,355
|
i 27.20
|
%
|
Maturity
|
Fair
|
% of Net
|
|||||||||
Face Value
|
Description
|
Value ($)
|
Asset Value
|
||||||||
Corporate Bonds
|
|||||||||||
Australia
|
|||||||||||
Financials (cost $ i 3,585,000)
|
$
|
i 3,605,945
|
i 1.22
|
%
|
|||||||
Canada
|
|||||||||||
Energy
|
i 471,202
|
i 0.16
|
%
|
||||||||
Financials
|
i 6,849,472
|
i 2.32
|
%
|
||||||||
Total Canada (cost $ i 7,301,877)
|
i 7,320,674
|
i 2.48
|
%
|
||||||||
Germany
|
|||||||||||
Consumer Discretionary (cost $ i 3,814,818)
|
i 3,830,560
|
i 1.30
|
%
|
||||||||
Japan
|
|||||||||||
Financials (cost $ i 2,837,223)
|
i 2,838,428
|
i 0.96
|
%
|
||||||||
Switzerland
|
|||||||||||
Financials (cost $ i 3,899,312)
|
i 3,923,604
|
i 1.33
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
i 1,432,538
|
i 0.49
|
%
|
||||||||
Consumer Discretionary
|
i 4,507,399
|
i 1.53
|
%
|
||||||||
Consumer Staples
|
i 4,342,359
|
i 1.47
|
%
|
||||||||
Energy
|
i 4,576,275
|
i 1.55
|
%
|
||||||||
Financials
|
i 12,805,840
|
i 4.34
|
%
|
||||||||
Health Care
|
i 2,331,591
|
i 0.79
|
%
|
||||||||
Industrials
|
i 4,761,414
|
i 1.62
|
%
|
||||||||
Real Estate
|
i 1,578,441
|
i 0.54
|
%
|
||||||||
Technology
|
i 1,880,999
|
i 0.64
|
%
|
||||||||
Utilities
|
i 2,638,723
|
i 0.90
|
%
|
||||||||
Total United States (cost $ i 40,740,344)
|
i 40,855,579
|
i 13.87
|
%
|
||||||||
Total Corporate Bonds (cost $ i 62,178,574)
|
i 62,374,790
|
i 21.16
|
%
|
||||||||
Government and Agency Obligations
|
|||||||||||
United States
|
|||||||||||
U.S. Treasury Bills
|
|||||||||||
$
|
i 5,660,000
|
U.S. Treasury Bills Due i 07/15/2021
(1)
|
i 5,659,904
|
i 1.92
|
%
|
||||||
$
|
i 21,500,000
|
U.S. Treasury Bills Due i 08/12/2021
(1)
|
i 21,498,688
|
i 7.29
|
%
|
||||||
$
|
i 10,000,000
|
U.S. Treasury Bills Due i 09/09/2021
(1)
|
i 9,999,100
|
i 3.39
|
%
|
||||||
$
|
i 10,000,000
|
U.S. Treasury Bills Due i 09/16/2021
(1)
|
i 999,909
|
i 0.34
|
%
|
||||||
Total Government And Agency Obligations (cost $ i 38,159,414)
|
i 38,157,601
|
i 12.94
|
%
|
||||||||
Total Fixed Income Securities (cost $ i 197,577,603) (2)
|
$
|
i 197,744,375
|
i 67.07
|
%
|
(1) |
Pledged as collateral for the trading of future positions.
|
(2) |
Included in fixed income securities are U.S. Treasury Bills with a fair value of $ i 38,157,601 deposited with the futures brokers.
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Money Market Funds
|
||||||||
United States
|
||||||||
Money Market Funds (cost $ i 7,049,737)
|
$
|
i 7,049,737
|
i 2.39
|
%
|
||||
Total Short Term Investments (cost $ i 7,049,737)
|
$
|
i 7,049,737
|
i 2.39
|
%
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Agriculture
|
$
|
i 545,641
|
i 0.19
|
%
|
||||
Energy
|
i 1,440,401
|
i 0.49
|
%
|
|||||
Metals
|
( i 3,204,896
|
)
|
( i 1.09
|
)%
|
||||
Stock indices
|
i 593,302
|
i 0.20
|
%
|
|||||
Short-term interest rates
|
( i 1,240,711
|
)
|
( i 0.42
|
)%
|
||||
Long-term interest rates
|
i 315,778
|
i 0.11
|
%
|
|||||
Net unrealized gain (loss) on long futures contracts
|
( i 1,550,485
|
)
|
( i 0.52
|
)%
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Agriculture
|
( i 60,223
|
)
|
( i 0.02
|
)%
|
||||
Energy
|
i 33,919
|
i 0.01
|
%
|
|||||
Metals
|
i 2,923,623
|
i 0.99
|
%
|
|||||
Stock indices
|
i 358,491
|
i 0.12
|
%
|
|||||
Short-term interest rates
|
i 443,862
|
i 0.15
|
%
|
|||||
Long-term interest rates
|
( i 1,313,818
|
)
|
( i 0.45
|
)%
|
||||
Net unrealized gain (loss) on short futures contracts
|
i 2,385,854
|
i 0.80
|
%
|
|||||
Net unrealized gain (loss) on open futures contracts
|
$
|
i 835,369
|
i 0.28
|
%
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Various long forward currency contracts
|
$
|
( i 34,343,729
|
)
|
( i 11.65
|
)%
|
|||
Various short forward currency contracts
|
i 31,419,205
|
i 10.66
|
%
|
|||||
Net unrealized gain (loss) on open forward currency contracts
|
$
|
( i 2,924,524
|
)
|
( i 0.99
|
)%
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Centrally cleared credit default index swaps - Sell protection (net cost $ i 3,024,913)
(3)
|
$
|
i 3,669,962
|
i 1.24
|
%
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Centrally cleared interest rate swaps - Receive fixed (net cost $ i 1,279,293) (4)
|
$
|
i 1,046,147
|
i 0.35
|
%
|
(3) |
Includes $ i 3,634,135
of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps broker in the statement of financial condition.
|
(4) |
Excludes $ i 954,885 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash
at swaps broker in the statement of financial condition.
|
Maturity
Face Value
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value |
||||||||
Asset Backed Securities
|
|||||||||||
United States
|
|||||||||||
Auto Loans
|
$
|
i 9,566,590
|
i 3.42
|
%
|
|||||||
Credit Cards
|
i 1,030,754
|
i 0.37
|
%
|
||||||||
Equipment Loans
|
i 2,477,072
|
i 0.89
|
%
|
||||||||
Total Asset Backed Securities (cost $ i 13,025,886)
|
i 13,074,416
|
i 4.68
|
%
|
||||||||
|
|||||||||||
Bank Deposits
|
|||||||||||
United States
|
|||||||||||
Financials (cost $ i 1,625,203)
|
i 1,624,998
|
i 0.58
|
%
|
||||||||
Total Bank Deposits (cost $ i 1,625,203)
|
i 1,624,998
|
i 0.58
|
%
|
||||||||
|
|||||||||||
Commercial Paper
|
|||||||||||
United Kingdom
|
|||||||||||
Financials (cost $ i 2,862,221)
|
i 2,861,876
|
i 1.02
|
%
|
||||||||
United States
|
|||||||||||
Consumer Discretionary
|
i 5,728,110
|
i 2.05
|
%
|
||||||||
Consumer Staples
|
i 2,914,818
|
i 1.04
|
%
|
||||||||
Energy
|
i 2,249,654
|
i 0.80
|
%
|
||||||||
Financials
|
i 20,087,107
|
i 7.19
|
%
|
||||||||
Industrials
|
i 7,101,081
|
i 2.54
|
%
|
||||||||
Utilities
|
i 22,208,787
|
i 7.94
|
%
|
||||||||
Total United States (cost $ i 60,285,304)
|
i 60,289,557
|
i 21.56
|
%
|
||||||||
Total Commercial Paper (cost $ i 63,147,525)
|
i 63,151,433
|
i 22.58
|
%
|
Maturity
|
Fair
|
% of Net
|
|||||||||
Face Value
|
Description
|
Value ($)
|
Asset Value
|
||||||||
Corporate Bonds
|
|||||||||||
Australia
|
|||||||||||
Financials (cost $ i 3,585,000)
|
i 3,600,764
|
i 1.29
|
%
|
||||||||
Canada
|
|||||||||||
Financials (cost $ i 7,600,479)
|
i 7,614,047
|
i 2.72
|
%
|
||||||||
Germany
|
|||||||||||
Consumer Discretionary (cost $ i 3,814,460)
|
i 3,839,645
|
i 1.37
|
%
|
||||||||
Switzerland
|
|||||||||||
Financials (cost $ i 2,449,548)
|
i 2,481,960
|
i 0.89
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $ i 3,860,000)
|
$
|
i 3,867,214
|
i 1.38
|
%
|
|||||||
United States
|
|||||||||||
Communications
|
$
|
i 966,203
|
i 0.35
|
%
|
|||||||
Consumer Discretionary
|
i 10,765,095
|
i 3.85
|
%
|
||||||||
Consumer Staples
|
i 1,595,495
|
i 0.57
|
%
|
||||||||
Energy
|
i 4,485,906
|
i 1.60
|
%
|
||||||||
Financials
|
i 18,489,405
|
i 6.61
|
%
|
||||||||
Industrials
|
i 4,363,075
|
i 1.56
|
%
|
||||||||
Technology
|
i 5,846,415
|
i 2.09
|
%
|
||||||||
Total United States (cost $ i 46,301,246)
|
i 46,511,594
|
i 16.63
|
%
|
||||||||
Total Corporate Bonds (cost $ i 67,610,733)
|
i 67,915,224
|
i 24.28
|
%
|
||||||||
Government and Agency Obligations
|
|||||||||||
United States
|
|||||||||||
U.S. Treasury Bills
|
|||||||||||
$
|
i 6,660,000
|
U.S. Treasury Bills Due i 01/14/2021
(1)
|
i 6,659,913
|
i 2.38
|
%
|
||||||
$
|
i 25,125,000
|
U.S. Treasury Bills Due i 02/11/2021
(1)
|
i 25,123,417
|
i 8.99
|
%
|
||||||
$
|
i 13,092,500
|
U.S. Treasury Bills Due i 03/11/2021
(1)
|
i 13,090,693
|
i 4.68
|
%
|
||||||
Total Government And Agency Obligations (cost $ i 44,873,315)
|
i 44,874,023
|
i 16.05
|
%
|
||||||||
Total Fixed Income Securities (cost $ i 190,282,662) (2)
|
$
|
i 190,640,094
|
i 68.17
|
%
|
(1)
|
Pledged as collateral for the trading of future positions.
|
(2)
|
Included in fixed income securities are U.S. Treasury Bills with a fair value of
$ i 44,874,023 deposited with the futures brokers.
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Money Market Funds
|
||||||||
United States
|
||||||||
Money Market Funds (cost $ i 15,831,488)
|
$
|
i 15,831,488
|
i 5.66
|
%
|
||||
Total Short Term Investments (cost $ i 15,831,488)
|
$
|
i 15,831,488
|
i 5.66
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Agriculture
|
$
|
i 2,923,345
|
i 1.05
|
%
|
||||
Energy
|
i 478,661
|
i 0.17
|
%
|
|||||
Metals
|
i 4,159,062
|
i 1.49
|
%
|
|||||
Stock indices
|
i 1,949,033
|
i 0.69
|
%
|
|||||
Short-term interest rates
|
i 337,344
|
i 0.12
|
%
|
|||||
Long-term interest rates
|
i 1,985,635
|
i 0.71
|
%
|
|||||
Net unrealized gain (loss) on long futures contracts
|
i 11,833,080
|
i 4.23
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Agriculture
|
( i 266,908
|
)
|
( i 0.10
|
)%
|
||||
Energy
|
i 128,596
|
i 0.05
|
%
|
|||||
Metals
|
( i 1,857,847
|
)
|
( i 0.66
|
)%
|
||||
Stock indices
|
i 18,349
|
i 0.01
|
%
|
|||||
Short-term interest rates
|
i 68,223
|
i 0.02
|
%
|
|||||
Long-term interest rates
|
( i 222,174
|
)
|
( i 0.08
|
)%
|
||||
Net unrealized gain (loss) on short futures contracts
|
( i 2,131,761
|
)
|
( i 0.76
|
)%
|
||||
Net unrealized gain (loss) on open futures contracts
|
$
|
i 9,701,319
|
i 3.47
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Various long forward currency contracts
|
$
|
i 10,221,810
|
i 3.66
|
%
|
||||
Various short forward currency contracts
|
( i 7,895,091
|
)
|
( i 2.82
|
)%
|
||||
Net unrealized gain (loss) on open forward currency contracts
|
$
|
i 2,326,719
|
i 0.84
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Centrally cleared credit default index swaps - Sell protection (net cost $ i 1,697,355)
(3)
|
$
|
i 2,611,165
|
i 0.93
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Centrally cleared interest rate swaps - Receive fixed (net cost $ i 229,351) (4)
|
$
|
i 809,670
|
i 0.29
|
%
|
(3) |
Includes $ i 2,603,209 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash
at swaps broker in the statement of financial condition.
|
(4) |
Includes $ i 958,613 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at
swaps broker in the statement of financial condition.
|
ASSETS
|
||||||||
Equity in futures brokers trading accounts
|
||||||||
Cash
|
$
|
i 33,043,879
|
$
|
i 18,771,895
|
||||
Restricted cash
|
i 1,582,749 | i 0 | ||||||
Fixed income securities (cost $ i 38,159,414 and $ i 44,873,315,
respectively)
|
i 38,157,601
|
i 44,874,023
|
||||||
Net unrealized gain (loss) on open futures contracts
|
i 835,369
|
i 9,701,319
|
||||||
Total equity in futures brokers trading accounts
|
i 73,619,598
|
i 73,347,237
|
||||||
Cash and cash equivalents
|
i 1,257,827
|
i 2,026,150
|
||||||
Cash at interbank market maker
|
i 6,974,919
|
i 13,343,832
|
||||||
Restricted cash at interbank market maker
|
i 41,243,872
|
i 19,627,499
|
||||||
Short term investments (cost $ i 7,049,737 and $ i 15,831,488, respectively)
|
i 7,049,737
|
i 15,831,488
|
||||||
Cash at swaps broker
|
i 6,351,591
|
i 6,495,743
|
||||||
Restricted cash at swaps broker
|
i 3,670,164
|
i 8,338,403
|
||||||
Fixed income securities (cost $ i 159,418,189 and $ i 145,409,347, respectively)
|
i 159,586,774
|
i 145,766,071
|
||||||
Credit default index swaps
|
i 35,827
|
i 7,956
|
||||||
Interest rate swaps
|
i 91,262
|
i 0
|
||||||
Due from swaps broker
|
i 51,762
|
i 45,134
|
||||||
Net unrealized gain on open forward currency contracts
|
i 0
|
i 2,326,719
|
||||||
Interest receivable
|
i 203,560
|
i 197,660
|
||||||
Subscriptions receivable
|
i 0
|
i 500,000
|
||||||
Total assets
|
$
|
i 300,136,893
|
$
|
i 287,853,892
|
||||
LIABILITIES
|
||||||||
Accounts payable
|
$
|
i 142,922
|
$
|
i 178,723
|
||||
Management fee payable
|
i 493,728
|
i 477,700
|
||||||
Payable for securities purchased
|
i 0
|
i 0
|
||||||
Net unrealized loss on open forward currency contracts
|
i 2,924,524 | i 0 | ||||||
Interest rate swaps
|
i 0
|
i 148,943
|
||||||
Accrued commissions and other trading fees on open contracts
|
i 78,486
|
i 56,032
|
||||||
Offering costs payable
|
i 108,882
|
i 105,926
|
||||||
Sales commission payable
|
i 426,878
|
i 417,647
|
||||||
Performance fee payable
|
i 53,531 | i 0 | ||||||
Redemptions payable
|
i 1,101,281
|
i 6,903,229
|
||||||
Total liabilities
|
i 5,330,232
|
i 8,288,200
|
||||||
UNITHOLDERS’ CAPITAL (Net Asset Value)
|
||||||||
Series A Units - Redeemable
|
||||||||
Other Unitholders - i 77,152.095 and i 83,925.461
units outstanding at June 30, 2021 and December 31, 2020
|
i 225,792,400
|
i 216,523,843
|
||||||
Series B Units – Redeemable
|
||||||||
Other Unitholders - i 10,741.751 and i 11,380.986
units outstanding at June 30, 2021 and December 31, 2020
|
i 34,665,166
|
i 32,296,756
|
||||||
Series D Units – Redeemable
|
||||||||
Other Unitholders - i 4,731.866 and i 4,757.939
units outstanding at June 30, 2021 and December 31, 2020
|
i 5,669,139
|
i 5,043,054
|
||||||
Series W Units – Redeemable
|
||||||||
Other Unitholders - i 8,042.982 and i 8,258.693
units outstanding at June 30, 2021 and December 31, 2020
|
i 28,679,956
|
i 25,702,039
|
||||||
Total unitholders’ capital (Net Asset Value)
|
i 294,806,661
|
i 279,565,692
|
||||||
Total liabilities and unitholders’ capital (Net Asset Value)
|
$
|
i 300,136,893
|
$
|
i 287,853,892
|
Three Months Ended June 30,
|
Six Months Ended June 30, | |||||||||||||||
2020
|
2021 | 2020 | ||||||||||||||
TRADING GAINS (LOSSES)
|
||||||||||||||||
Futures trading gains (losses)
|
||||||||||||||||
Realized
|
$ | i 24,222,471 | $ | ( i 580,036 | ) | $ | i 42,391,149 | $ | ( i 17,585,392 | ) | ||||||
Change in unrealized
|
( i 1,210,301 | ) | ( i 3,566,534 | ) | ( i 8,865,950 | ) | i 9,635,416 | |||||||||
Brokerage commissions
|
( i 590,956 | ) | ( i 457,518 | ) | ( i 1,165,799 | ) | ( i 1,050,755 | ) | ||||||||
Net gain (loss) from futures trading
|
i 22,421,214 | ( i 4,604,088 | ) | i 32,359,400 | ( i 9,000,731 | ) | ||||||||||
Forward currency trading gains (losses)
|
||||||||||||||||
Realized
|
i 13,669,173 | i 7,615,530 | i 19,558,291 | i 12,771,391 | ||||||||||||
Change in unrealized
|
( i 14,254,947 | ) | ( i 21,037,875 | ) | ( i 5,251,243 | ) | ( i 1,042,713 | ) | ||||||||
Brokerage commissions
|
( i 85,232 | ) | ( i 48,097 | ) | ( i 157,732 | ) | ( i 88,303 | ) | ||||||||
Net gain (loss) from forward currency trading
|
( i 671,006 | ) | ( i 13,470,442 | ) | i 14,149,316 | i 11,640,375 | ||||||||||
Swap trading gains (losses)
|
||||||||||||||||
Realized
|
i 116,804 | i 0 | ( i 3,546,591 | ) | i 0 | |||||||||||
Change in unrealized
|
i 303,676 | i 0 | ( i 1,082,226 | ) | i 0 | |||||||||||
Net gain (loss) from swap trading
|
i 420,480 | i 0 | ( i 4,628,817 | ) | i 0 | |||||||||||
Total net trading gain (loss)
|
i 22,170,688 | ( i 18,074,530 | ) | i 41,879,899 | i 2,639,644 | |||||||||||
NET INVESTMENT INCOME (LOSS)
|
||||||||||||||||
Investment income
|
||||||||||||||||
Interest income
|
i 289,829 | i 879,605 | i 531,550 | i 2,331,522 | ||||||||||||
Realized gain (loss) on fixed income securities
|
( i 115,864 | ) | i 15,086 | ( i 128,221 | ) | i 28,411 | ||||||||||
Change in unrealized gain (loss) on fixed income securities
|
( i 48,792 | ) | i 2,188,739 | ( i 190,660 | ) | i 362,191 | ||||||||||
Total investment income (loss)
|
i 125,173 | i 3,083,430 | i 212,669 | i 2,722,124 | ||||||||||||
Expenses
|
||||||||||||||||
Management fee
|
i 1,477,382 | i 2,513,869 | i 2,855,439 | i 5,649,675 | ||||||||||||
Performance fee |
i 54,801 | i 0 | i 54,801 | i 0 | ||||||||||||
Operating expenses
|
i 204,330 | i 236,957 | i 406,467 | i 466,566 | ||||||||||||
Sales commission
|
i 1,317,349 | i 453,499 | i 2,550,571 | i 453,499 | ||||||||||||
Total expenses
|
i 3,053,862 | i 3,204,325 | i 5,867,278 | i 6,569,740 | ||||||||||||
Net investment income (loss)
|
( i 2,928,689 | ) | ( i 120,895 | ) | ( i 5,654,609 | ) | ( i 3,847,616 | ) | ||||||||
NET INCOME (LOSS)
|
$ | i 19,241,999 | $ | ( i 18,195,425 | ) | $ |
i 36,225,290 | $ |
( i 1,207,972 | ) | ||||||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
|
||||||||||||||||
(based on weighted average number of units outstanding during the period)
|
||||||||||||||||
Series A
|
$ | i 188.70 | $ | ( i 154.98 | ) | $ |
i 346.11 | $ |
( i 11.36 | ) | ||||||
Series B
|
$ | i 208.15 | $ | ( i 169.82 | ) | $ |
i 386.75 | $ |
( i 12.49 | ) | ||||||
Series D
|
$ | i 69.72 | $ | ( i 61.17 | ) | $ |
i 139.55 | $ |
( i 12.67 | ) | ||||||
Series W
|
$ | i 246.27 | $ | ( i 170.18 | ) | $ |
i 460.21 | $ |
i 7.50 | |||||||
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
|
||||||||||||||||
Series A
|
$ | i 184.40 | $ | ( i 158.70 | ) | $ |
i 346.64 | $ |
( i 22.46 | ) | ||||||
Series B
|
$ | i 207.13 |
$
|
( i 170.40
|
)
|
$ | i 389.36 | $ |
( i 17.59 | ) | ||||||
Series D
|
$ | i 67.97 |
$
|
( i 61.34
|
)
|
$ |
i 138.16 | $ |
( i 2.62 | ) | ||||||
Series W
|
$ | i 241.39 | $ | ( i 173.37 | ) | $ |
i 453.72 | $ |
i 3.78 | |||||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
|
||||||||||||||||
Series A
|
i 77,740.548 |
i 92,564.922
|
i 79,624.921 | i 93,543.482 | ||||||||||||
Series B
|
i 10,871.183 |
i 12,673.730
|
i 11,051.591 | i 12,823.252 | ||||||||||||
Series D
|
i 4,680.463 |
i 4,055.524
|
i 4,693.825 | i 3,842.695 | ||||||||||||
Series W
|
i 8,053.241 |
i 8,515.137
|
i 8,120.501 | i 8,455.337 |
Six Months Ended June 30,
|
||||||||
2020
|
||||||||
Cash flows from (for) operating activities
|
||||||||
Net income (loss)
|
$
|
i 36,225,290
|
$
|
( i 1,207,972
|
)
|
|||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
|
||||||||
Net change in unrealized on futures, forwards, swaps and investments
|
i 15,390,079
|
( i 8,954,894
|
)
|
|||||
(Increase) decrease in interest receivable
|
( i 5,900
|
)
|
i 228,309
|
|||||
(Increase) decrease in due from swaps broker
|
( i 6,628
|
)
|
i 0
|
|||||
Increase (decrease) in accounts payable and accrued expenses
|
i 65,443
|
( i 248,536
|
)
|
|||||
Net purchases from swap broker
|
( i 1,350,301
|
)
|
i 0
|
|||||
Purchases of investments
|
( i 1,391,001,655
|
)
|
( i 1,377,312,602
|
)
|
||||
Sales/maturities of investments
|
i 1,392,488,464
|
i 1,392,027,000
|
||||||
Net cash from (for) operating activities
|
i 51,804,792
|
i 4,531,305
|
||||||
Cash flows from (for) financing activities
|
||||||||
Addition of units
|
i 4,239,510
|
i 7,134,579
|
||||||
Redemption of units
|
( i 29,895,834
|
)
|
( i 16,467,314
|
)
|
||||
Offering costs paid
|
( i 626,989
|
)
|
( i 709,698
|
)
|
||||
Net cash from (for) financing activities
|
( i 26,283,313
|
)
|
( i 10,042,433
|
)
|
||||
Net increase (decrease) in cash, cash equivalents and restricted cash
|
i 25,521,479
|
( i 5,511,128
|
)
|
|||||
Cash, cash equivalents and restricted cash at beginning of period
|
i 68,603,522
|
i 66,186,710
|
||||||
Cash, cash equivalents and restricted cash at end of period
|
$
|
i 94,125,001
|
$
|
i 60,675,582
|
Cash, cash equivalents and restricted cash at end of period consists of:
|
||||||||
Equity in futures brokers trading accounts:
|
||||||||
Cash
|
$
|
i 33,043,879
|
$
|
i 18,771,895
|
||||
Restricted cash
|
i 1,582,749 | i 0 | ||||||
Cash and cash equivalents
|
i 1,257,827
|
i 2,026,150
|
||||||
Cash at interbank market maker
|
i 6,974,919
|
i 13,343,832
|
||||||
Restricted cash at interbank market maker
|
i 41,243,872
|
i 19,627,499
|
||||||
Cash at swaps broker
|
i 6,351,591
|
i 6,495,743
|
||||||
Restricted cash at swaps broker
|
i 3,670,164
|
i 8,338,403
|
||||||
Total cash, cash equivalents and restricted cash at end of period
|
$
|
i 94,125,001
|
$
|
i 68,603,522
|
Series A - Other Unitholders
|
Series B - Other Unitholders
|
|||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
|||||||||||||
Six Months Ended June 30, 2021
|
||||||||||||||||
Balances at December 31, 2020
|
i 83,925.461
|
$
|
i 216,523,843
|
i 11,380.986
|
$
|
i 32,296,756
|
||||||||||
Net income (loss) for the three months ended March 31, 2021
|
i 12,889,369
|
i 2,011,419
|
||||||||||||||
Additions
|
i 279.528
|
i 735,305
|
i 6.646
|
i 19,012
|
||||||||||||
Redemptions
|
( i 6,130.245
|
)
|
( i 15,787,255
|
)
|
( i 361.739
|
)
|
( i 1,028,841
|
)
|
||||||||
Offering costs
|
( i 265,637
|
)
|
i 0
|
|||||||||||||
Balances at March 31, 2021
|
i 78,074.744
|
i 214,095,625
|
i 11,025.893
|
i 33,298,346
|
||||||||||||
Net income (loss) for the three months ended June 30, 2021
|
i 14,669,516
|
i 2,262,828
|
||||||||||||||
Additions
|
i 574.754
|
i 1,654,820
|
i 6.670
|
i 21,349
|
||||||||||||
Redemptions
|
( i 1,497.403
|
)
|
( i 4,344,473
|
)
|
( i 290.812
|
)
|
( i 917,357
|
)
|
||||||||
Offering costs
|
( i 283,088
|
)
|
i 0
|
|||||||||||||
Balances at June 30, 2021
|
i 77,152.095
|
$
|
i 225,792,400
|
i 10,741.751
|
$
|
i 34,665,166
|
||||||||||
Six Months Ended June 30, 2020
|
||||||||||||||||
Balances at December 31, 2019
|
i 95,005.038
|
$
|
i 243,974,281
|
i 13,005.349
|
$
|
i 36,551,654
|
||||||||||
Net income (loss) for the three months ended March 31, 2020
|
i 13,283,425
|
i 1,992,123
|
||||||||||||||
Additions
|
i 380.679
|
i 1,036,884
|
i 0
|
i 0
|
||||||||||||
Redemptions
|
( i 2,307.266
|
)
|
( i 6,263,995
|
)
|
( i 239.509
|
)
|
( i 714,415
|
)
|
||||||||
Offering costs
|
( i 322,990
|
)
|
i 0
|
|||||||||||||
Balances at March 31, 2020
|
i 93,078.451
|
i 251,707,605
|
i 12,765.840
|
i 37,829,362
|
||||||||||||
Net income (loss) for the three months ended June 30, 2020
|
( i 14,345,960
|
)
|
( i 2,152,270
|
)
|
||||||||||||
Additions
|
i 783.671
|
i 2,071,421
|
i 2.349
|
i 6,564
|
||||||||||||
Redemptions
|
( i 2,458.934
|
)
|
( i 6,456,850
|
)
|
( i 184.065
|
)
|
( i 537,159
|
)
|
||||||||
Offering costs
|
( i 304,760
|
)
|
i 0
|
|||||||||||||
Balances at June 30, 2020
|
i 91,403.188
|
$
|
i 232,671,456
|
i 12,584.124
|
$
|
i 35,146,497
|
$
|
i 2,926.59
|
$
|
i 2,742.19
|
$
|
i 2,579.95
|
$
|
i 2,545.55
|
$
|
i 2,704.25
|
$
|
i 2,568.01
|
$
|
i 3,227.14
|
$
|
i 3,020.01
|
$
|
i 2,837.78
|
$
|
i 2,792.92
|
$
|
i 2,963.33
|
$
|
i 2,810.51
|
Series D - Other Unitholders
|
Series W - Other Unitholders
|
Trust
|
||||||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
Total Amount
|
||||||||||||||||
Six Months Ended June 30, 2021
|
||||||||||||||||||||
Balances at December 31, 2020
|
i 4,757.939
|
$
|
i 5,043,054
|
i 8,258.693
|
$
|
i 25,702,039
|
$
|
i 279,565,692
|
||||||||||||
Net income (loss) for the three months ended March 31, 2021
|
i 328,699
|
i 1,753,804
|
i 16,983,291
|
|||||||||||||||||
Additions
|
i 176.974
|
i 200,000
|
i 158.300
|
i 500,003
|
i 1,454,320
|
|||||||||||||||
Redemptions
|
( i 240.143
|
)
|
( i 259,827
|
)
|
( i 366.182
|
)
|
( i 1,159,095
|
)
|
( i 18,235,018
|
)
|
||||||||||
Offering costs
|
( i 6,311
|
)
|
( i 32,265
|
)
|
( i 304,213
|
)
|
||||||||||||||
Balances at March 31, 2021
|
i 4,694.770
|
i 5,305,615
|
i 8,050.811
|
i 26,764,486
|
i 279,464,072
|
|||||||||||||||
Net income (loss) for the three months ended June 30, 2021
|
i 326,345
|
i 1,983,310
|
i 19,241,999
|
|||||||||||||||||
Additions
|
i 167.076
|
i 199,020
|
i 116.614
|
i 410,001
|
i 2,285,190
|
|||||||||||||||
Redemptions
|
( i 129.980
|
)
|
( i 154,811
|
)
|
( i 124.443
|
)
|
( i 442,227
|
)
|
( i 5,858,868
|
)
|
||||||||||
Offering costs
|
( i 7,030
|
)
|
( i 35,614
|
)
|
( i 325,732
|
)
|
||||||||||||||
Balances at June 30, 2021
|
i 4,731.866
|
$
|
i 5,669,139
|
i 8,042.982
|
$
|
i 28,679,956
|
$
|
i 294,806,661
|
||||||||||||
Six Months Ended June 30, 2020
|
||||||||||||||||||||
Balances at December 31, 2019
|
i 3,366.350
|
$
|
i 3,507,300
|
i 8,389.889
|
$
|
i 25,473,386
|
$
|
i 309,506,621
|
||||||||||||
Net income (loss) for the three months ended March 31, 2020
|
i 199,390
|
i 1,512,515
|
i 16,987,453
|
|||||||||||||||||
Additions
|
i 645.496
|
i 713,740
|
i 454.565
|
i 1,469,957
|
i 3,220,581
|
|||||||||||||||
Redemptions
|
( i 94.688
|
)
|
( i 104,213
|
)
|
( i 394.076
|
)
|
( i 1,267,863
|
)
|
( i 8,350,486
|
)
|
||||||||||
Offering costs
|
( i 5,038
|
)
|
( i 33,974
|
)
|
( i 362,002
|
)
|
||||||||||||||
Balances at March 31, 2020
|
i 3,917.158
|
i 4,311,179
|
i 8,450.378
|
i 27,154,021
|
i 321,002,167
|
|||||||||||||||
Net income (loss) for the three months ended June 30, 2020
|
( i 248,077
|
)
|
( i 1,449,118
|
)
|
( i 18,195,425
|
)
|
||||||||||||||
Additions
|
i 815.382
|
i 866,454
|
i 308.715
|
i 969,559
|
i 3,913,998
|
|||||||||||||||
Redemptions
|
( i 99.350
|
)
|
( i 109,065
|
)
|
( i 81.679
|
)
|
( i 261,959
|
)
|
( i 7,365,033
|
)
|
||||||||||
Offering costs
|
( i 5,435
|
)
|
( i 33,359
|
)
|
( i 343,554
|
)
|
||||||||||||||
Balances at June 30, 2020
|
i 4,633.190
|
$
|
i 4,815,056
|
i 8,677.414
|
$
|
i 26,379,144
|
$
|
i 299,012,153
|
$
|
i 1,198.08
|
$
|
i 1,130.11
|
$
|
i 1,059.92
|
$
|
i 1,039.25
|
$
|
i 1,100.59
|
$
|
i 1,041.87
|
$
|
i 3,565.84
|
$
|
i 3,324.45
|
$
|
i 3,112.12
|
$
|
i 3,039.98
|
$
|
i 3,213.35
|
$
|
i 3,036.20
|
Series A |
|||||||||||||||||||||||||
Three Months Ended June 30,
|
Six Months Ended June 30, | ||||||||||||||||||||||||
2021
|
2020
|
2021
|
2020
|
||||||||||||||||||||||
Per Unit Performance
|
|||||||||||||||||||||||||
(for a unit outstanding throughout the entire period)
|
|||||||||||||||||||||||||
Net asset value per unit at beginning of period
|
$
|
i 2,742.19
|
$
|
i 2,704.25
|
$ | i 2,579.95 | $ | i 2,568.01 | |||||||||||||||||
Income (loss) from operations:
|
|||||||||||||||||||||||||
Total net trading gains (losses) (1)
|
i 217.95
|
( i 153.16
|
)
|
i 410.53 | i 19.03 | ||||||||||||||||||||
Net investment income (loss) (1)
|
( i 29.91
|
)
|
( i 2.25
|
)
|
( i 57.00 | ) | ( i 34.78 | ) | |||||||||||||||||
Total net income (loss) from operations
|
i 188.04
|
( i 155.41
|
)
|
i 353.53 | ( i 15.75 | ) | |||||||||||||||||||
Offering costs (1)
|
( i 3.64
|
)
|
( i 3.29
|
)
|
( i 6.89 | ) |
( i 6.71
|
)
|
|||||||||||||||||
Net asset value per unit at end of period
|
$
|
i 2,926.59
|
$
|
i 2,545.55
|
$ | i 2,926.59 | $ | i 2,545.55 | |||||||||||||||||
Total Return (4)
|
i 6.72
|
%
|
i 5.87
|
%
|
i 13.44 | % | ( i 0.87 | )% | |||||||||||||||||
Supplemental Data
|
|||||||||||||||||||||||||
Ratios to average net asset value:
|
|||||||||||||||||||||||||
Expenses prior to performance fee (3)
|
i 4.36
|
%
|
i 4.28
|
%
|
i 4.36 | % | i 4.34 | % | |||||||||||||||||
Performance fee (4)
|
i 0.00
|
%
|
i 0.00
|
%
|
i 0.00 | % | i 0.00 | % | |||||||||||||||||
Total expenses
|
i 4.36
|
%
|
i 4.28
|
%
|
i 4.36 | % | i 4.34 | % | |||||||||||||||||
Net investment income (loss) (2),(3)
|
( i 4.20
|
)%
|
( i 0.36
|
)%
|
( i 4.20 | )% | ( i 2.62 | )% |
(1) |
Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net
investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other
per unit information.
|
(2) |
Excludes performance fee.
|
(3) |
Annualized.
|
(4) |
Not annualized.
|
Series B
|
||||||||||||||||
Three Months Ended June 30,
|
Six Months Ended June 30, | |||||||||||||||
2021
|
2020
|
2021
|
2020
|
|||||||||||||
Per Unit Performance
|
||||||||||||||||
(for a unit outstanding throughout the entire period)
|
||||||||||||||||
Net asset value per unit at beginning of period
|
$
|
i 3,020.01
|
$
|
i 2,963.33
|
$ | i 2,837.78 | $ | i 2,810.51 | ||||||||
Income (loss) from operations:
|
||||||||||||||||
Total net trading gains (losses) (1)
|
i 240.08
|
( i 167.96
|
)
|
i 452.17 | i 20.51 | |||||||||||
Net investment income (loss) (1)
|
( i 32.95
|
)
|
( i 2.45
|
)
|
( i 62.81 | ) | ( i 38.10 | ) | ||||||||
Total net income (loss) from operations
|
i 207.13
|
( i 170.41
|
)
|
i 389.36 | ( i 17.59 | ) | ||||||||||
Net asset value per unit at end of period
|
$
|
i 3,227.14
|
$
|
i 2,792.92
|
$ | i 3,227.14 | $ | i 2,792.92 | ||||||||
Total Return (4)
|
i 6.86
|
%
|
( i 5.75
|
)%
|
i 13.72 | % | ( i 0.63 | )% | ||||||||
Supplemental Data
|
||||||||||||||||
Ratios to average net asset value:
|
||||||||||||||||
Expenses prior to performance fee (3)
|
i 4.36
|
%
|
i 4.28
|
%
|
i 4.35 | % | i 4.34 | % | ||||||||
Performance fee (4)
|
i 0.00
|
%
|
i 0.00
|
%
|
i 0.00 | % | i 0.00 | % | ||||||||
Total expenses
|
i 4.36
|
%
|
i 4.28
|
%
|
i 4.35 | % | i 4.34 | % | ||||||||
Net investment income (loss) (2),(3)
|
( i 4.19
|
)%
|
( i 0.32
|
)%
|
( i 4.20 | )% | ( i 2.62 | )% |
(1) |
Net investment income (loss) per unit is calculated by dividing the net investment income (loss) by
the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
|
(2) |
Excludes performance fee.
|
(3) |
Annualized.
|
(4) |
Not annualized.
|
Series D | ||||||||||||||||
Three Months Ended June 30,
|
Six Months Ended June 30, | |||||||||||||||
2021
|
2020
|
2021
|
2020
|
|||||||||||||
Per Unit Performance
|
||||||||||||||||
(for a unit outstanding throughout the entire period)
|
||||||||||||||||
Net asset value per unit at beginning of period
|
$
|
i 1,130.11
|
$
|
i 1,100.59
|
$ | i 1,059.92 | $ | i 1,041.87 | ||||||||
Income (loss) from operations:
|
||||||||||||||||
Total net trading gains (losses) (1)
|
i 89.76 |
( i 62.24
|
)
|
i 169.08 | i 7.24 | |||||||||||
Net investment income (loss) (1)
|
( i 20.29)
|
)
|
i 2.24
|
( i 28.08 | ) | ( i 7.13 | ) | |||||||||
Total net income (loss) from operations
|
i 69.47 | ( i 60.00 | ) | i 141.00 | i 0.11 | |||||||||||
Offering costs (1)
|
( i 1.50
|
)
|
( i 1.34
|
)
|
( i 2.84 | ) | ( i 2.73 | ) | ||||||||
Net asset value per unit at end of period
|
$
|
i 1,198.08
|
$
|
i 1,039.25
|
$ | i 1,198.08 | $ | i 1,039.25 | ||||||||
Total Return (4)
|
i 6.01
|
%
|
( i 5.57
|
)%
|
i 13.03 | % | ( i 0.25 | )% | ||||||||
Supplemental Data
|
||||||||||||||||
Ratios to average net asset value:
|
||||||||||||||||
Expenses prior to performance fee (3)
|
i 3.10
|
%
|
i 3.00
|
%
|
i 3.09 | % | i 3.02 | % | ||||||||
Performance fee (4)
|
i 1.00
|
%
|
i 0.00
|
%
|
i 1.04 | % | i 0.00 | % | ||||||||
Total expenses
|
i 4.10
|
%
|
i 3.00
|
%
|
i 4.13 | % | i 3.02 | % | ||||||||
Net investment income (loss) (2),(3)
|
( i 2.93
|
)%
|
i 0.84
|
%
|
( i 2.93 | )% | ( i 1.30 | )% |
(1) |
Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net
investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other
per unit information.
|
(2) |
Excludes performance fee.
|
(3) |
Annualized.
|
(4) |
Not annualized.
|
Series W |
||||||||||||||||
Three Months Ended June 30,
|
Six Months Ended June 30, | |||||||||||||||
2021
|
2020
|
2021
|
2020
|
|||||||||||||
Per Unit Performance
|
||||||||||||||||
(for a unit outstanding throughout the entire period)
|
||||||||||||||||
Net asset value per unit at beginning of period
|
$
|
i 3,324.45
|
$
|
i 3,213.35
|
$ | i 3,112.12 | $ | i 3,036.20 | ||||||||
Income (loss) from operations:
|
||||||||||||||||
Total net trading gains (losses) (1)
|
i 264.45
|
( i 182.25
|
)
|
i 497.79 | i 20.98 | |||||||||||
Net investment income (loss) (1)
|
( i 18.64
|
)
|
i 12.80
|
( i 35.71 | ) | ( i 9.24 | ) | |||||||||
Total net income (loss) from operations
|
i 245.81
|
( i 169.45
|
)
|
i 462.08 | i 11.74 | |||||||||||
Offering costs (1)
|
( i 4.42
|
)
|
( i 3.92
|
)
|
( i 8.36 | ) | ( i 7.96 | ) | ||||||||
Net asset value per unit at end of period
|
$
|
i 3,565.84
|
$
|
i 3,039.98
|
$ | i 3,565.84 | $ | i 3,039.98 | ||||||||
Total Return (4)
|
i 7.26
|
%
|
( i 5.40
|
)%
|
i 14.58 | % | i 0.12 | % | ||||||||
Supplemental Data
|
||||||||||||||||
Ratios to average net asset value:
|
||||||||||||||||
Expenses prior to performance fee (3)
|
i 2.32
|
%
|
i 2.28
|
%
|
i 2.32 | % | i 2.30 | % | ||||||||
Performance fee (4)
|
i 0.00
|
%
|
i 0.00
|
%
|
i 0.00 | % | i 0.00 | % | ||||||||
Total expenses
|
i 2.32
|
%
|
i 2.28
|
%
|
i 2.32 | % | i 2.30 | % | ||||||||
Net investment income (loss) (2),(3)
|
( i 2.16
|
)%
|
i 1.64
|
%
|
( i 2.16 | )% | ( i 0.58 | )% |
(1) |
Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net
investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other
per unit information.
|
(2) |
Excludes performance fee.
|
(3) |
Annualized.
|
(4) |
Not annualized.
|
Fair Value at June 30, 2021
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Short term investments
|
$
|
i 7,049,737
|
$
|
i 0
|
$
|
i 0
|
$
|
i 7,049,737
|
||||||||
Fixed income securities
|
i 0
|
i 197,744,375
|
i 0
|
i 197,744,375
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
i 835,369
|
i 0
|
i 0
|
i 835,369
|
||||||||||||
Forward currency contracts
|
i 0
|
( i 2,924,524
|
)
|
i 0
|
( i 2,924,524
|
)
|
||||||||||
Credit default index swap contracts
|
i 0
|
i 3,669,962
|
i 0
|
i 3,669,962
|
||||||||||||
Interest rate swap contracts
|
i 0
|
i 1,046,147
|
i 0
|
i 1,046,147
|
||||||||||||
Total
|
$
|
i 7,885,106
|
$
|
i 199,535,960
|
$
|
i 0
|
$
|
i 207,421,066
|
Fair Value at December 31, 2020
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Short term investments
|
$
|
i 15,831,488
|
$
|
i 0
|
$
|
i 0
|
$
|
i 15,831,488
|
||||||||
Fixed income securities
|
i 0
|
i 190,640,094
|
i 0
|
i 190,640,094
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
i 9,701,319
|
i 0
|
i 0
|
i 9,701,319
|
||||||||||||
Forward currency contracts
|
i 0
|
i 2,326,719
|
i 0
|
i 2,326,719
|
||||||||||||
Credit default index swap contracts
|
i 0
|
i 2,611,165
|
i 0
|
i 2,611,165
|
||||||||||||
Interest rate swap contracts
|
i 0
|
i 809,670
|
i 0
|
i 809,670
|
||||||||||||
Total
|
$
|
i 25,532,807
|
$
|
i 196,387,648
|
$
|
i 0
|
$
|
i 221,920,455
|
Credit Default Index Swaps
|
Maturity Date:
June 2026 |
Maturity Date:
December 2025 |
||||||
Investment grade
|
$
|
i 43,495,915
|
$
|
i 39,578,996
|
||||
Non-investment grade
|
$
|
i 41,819,853
|
$
|
i 33,585,353
|
||||
Total
|
$
|
i 85,315,768
|
$
|
i 73,164,349
|
Type of Instrument *
|
Statements of Financial Condition Location
|
Asset
Derivatives at
Fair Value
|
Liability
Derivatives at
Fair Value
|
Net
|
|||||||||
|
|
||||||||||||
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
$
|
i 1,394,202
|
$
|
( i 908,784
|
)
|
$
|
i 485,418
|
|||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
i 1,577,871
|
( i 103,551
|
)
|
i 1,474,320
|
||||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
i 6,873,300
|
( i 7,154,573
|
)
|
( i 281,273
|
)
|
|||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
i 2,061,659
|
( i 1,109,866
|
)
|
i 951,793
|
||||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
i 674,708
|
( i 1,471,557
|
)
|
( i 796,849
|
)
|
|||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
i 418,808
|
( i 1,416,848
|
)
|
( i 998,040
|
)
|
|||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open Forward Currency Contracts
|
i 34,496,097
|
( i 37,420,621
|
)
|
( i 2,924,524
|
)
|
|||||||
Credit Default Index Swap Contracts**
|
Credit default index swaps
|
i 4,070,293
|
( i 400,331
|
)
|
i 3,669,962
|
||||||||
Interest Rate Swap Contracts**
|
Interest rate swaps
|
i 1,225,093
|
( i 178,946
|
)
|
i 1,046,147
|
||||||||
Totals
|
|
$
|
i 52,792,031
|
$
|
( i 50,165,077
|
)
|
$
|
i 2,626,954
|
*
|
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
Fair Value
|
Liability
Derivatives at
Fair Value
|
Net
|
|||||||||
|
|
||||||||||||
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
$
|
i 2,986,269
|
$
|
( i 329,832
|
)
|
$
|
i 2,656,437
|
|||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
i 990,714
|
( i 383,457
|
)
|
i 607,257
|
||||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
i 5,414,162
|
( i 3,112,947
|
)
|
i 2,301,215
|
||||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
i 2,656,249
|
( i 688,867
|
)
|
i 1,967,382
|
||||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
i 405,598
|
( i 31
|
)
|
i 405,567
|
||||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
i 2,144,323
|
( i 380,862
|
)
|
i 1,763,461
|
||||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open Forward Currency Contracts
|
i 12,145,055
|
( i 9,818,336
|
)
|
i 2,326,719
|
||||||||
Credit Default Index Swap Contracts**
|
Credit default index swaps
|
i 2,946,685
|
( i 335,520
|
)
|
i 2,611,165
|
||||||||
Interest Rate Swap Contracts**
|
Interest rate swaps
|
i 1,140,930
|
( i 331,260
|
)
|
i 809,670
|
||||||||
Totals
|
|
$
|
i 30,829,985
|
$
|
( i 15,381,112
|
)
|
$
|
i 15,448,873
|
*
|
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
|
Trading Gains/(Losses) for
the Three Months Ended
|
Trading Gains/(Losses) for
the Three Months Ended
|
||||||
Agriculture Contracts
|
$
|
i 8,778,390
|
$
|
( i 3,409,880
|
)
|
|||
Energy Contracts
|
i 8,889,515
|
( i 1,564,662
|
)
|
|||||
Metal Contracts
|
i 2,832,665
|
( i 1,345,427
|
)
|
|||||
Stock Indices Contracts
|
( i 818,923
|
)
|
i 663,803
|
|||||
Short-Term Interest Rate Contracts
|
( i 4,681,877
|
)
|
i 847,405
|
|||||
Long-Term Interest Rate Contracts
|
i 8,012,400
|
i 662,191
|
||||||
Forward Currency Contracts
|
( i 585,774
|
)
|
( i 13,422,345
|
)
|
||||
Credit default index swap contracts
|
i 962,491
|
i 0
|
||||||
Interest rate swap contracts
|
( i 542,011
|
)
|
i 0
|
|||||
Total
|
$
|
i 22,846,876
|
$
|
( i 17,568,915
|
)
|
Type of Instrument
|
Trading Gains/(Losses) for
the Six Months Ended
|
Trading Gains/(Losses) for
the Six Months Ended
|
||||||
Agriculture Contracts
|
$
|
i 14,028,516
|
$
|
i 302,548
|
||||
Energy Contracts
|
i 13,994,054
|
i 8,388,598
|
||||||
Metal Contracts
|
i 2,109,850
|
i 6,898,022
|
||||||
Stock Indices Contracts
|
i 18,725,982
|
( i 44,329,502
|
)
|
|||||
Short-Term Interest Rate Contracts
|
( i 3,554,627
|
)
|
i 16,089,131
|
|||||
Long-Term Interest Rate Contracts
|
( i 11,778,575
|
)
|
i 4,701,227
|
|||||
Forward Currency Contracts
|
i 14,307,047
|
i 11,728,678
|
||||||
Credit default index swap contracts
|
i 964,544
|
i 0
|
||||||
Interest rate swap contracts
|
( i 5,593,361
|
)
|
i 0
|
|||||
Total
|
$
|
i 43,203,430
|
$
|
i 3,778,702
|
Line Item in the Statements of Operations
|
Trading Gains/(Losses) for
the Three Months Ended
|
Trading Gains/(Losses) for
the Three Months Ended
|
||||||
Futures trading gains (losses):
|
||||||||
Realized**
|
$
|
i 24,222,471
|
$
|
( i 580,036
|
)
|
|||
Change in unrealized
|
( i 1,210,301
|
)
|
( i 3,566,534
|
)
|
||||
Forward currency trading gains (losses):
|
||||||||
Realized**
|
i 13,669,173
|
i 7,615,530
|
||||||
Change in unrealized
|
( i 14,254,947
|
)
|
( i 21,037,875
|
)
|
||||
Swap trading gains (losses):
|
||||||||
Realized
|
i 116,804
|
i 0
|
||||||
Change in unrealized
|
i 303,676
|
i 0
|
||||||
Total
|
$
|
i 22,846,876
|
$
|
( i 17,568,915
|
)
|
Line Item in the Statements of Operations
|
Trading Gains/(Losses) for
the Six Months Ended
|
Trading Gains/(Losses) for
the Six Months Ended
|
||||||
Futures trading gains (losses):
|
||||||||
Realized***
|
$
|
i 42,391,149
|
$
|
( i 17,585,392
|
)
|
|||
Change in unrealized
|
( i 8,865,950
|
)
|
i 9,635,416
|
|||||
Forward currency trading gains (losses):
|
||||||||
Realized***
|
i 19,558,291
|
i 12,771,391
|
||||||
Change in unrealized
|
( i 5,251,243
|
)
|
( i 1,042,713
|
)
|
||||
Swap trading gains (losses):
|
||||||||
Realized
|
( i 3,546,591
|
)
|
i 0
|
|||||
Change in unrealized
|
( i 1,082,226
|
)
|
i 0
|
|||||
Total
|
$
|
i 43,203,430
|
$
|
i 3,778,702
|
**
|
For the three months ended June 30, 2021 and 2020, the
amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $( i 49,872) and $ i 143,443,
respectively; and gains and losses on spot trades in connection with forward currency trading at the interbank market
makers of $ i 412,465 and $ i 185,628,
respectively.
|
***
|
For
the six months ended June 30, 2021 and 2020, the amounts above include gains and losses on foreign currency cash balances at the futures brokers of $ i 38,298 and $ i 196,312,
respectively, and
gains and losses on spot trades in connection with forward currency trading at the interbank market makers of $( i 269,487)
and $( i 1,511,485), respectively.
|
Offsetting of Derivative Assets by Counterparty
|
|||||||||||||
As of June 30, 2021
|
|
||||||||||||
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 6,864,411
|
$
|
( i 6,195,717
|
)
|
$
|
i 668,694
|
|||||
Futures contracts
|
Goldman, Sachs & Co.
|
i 6,136,137
|
( i 5,969,462
|
)
|
i 166,675
|
||||||||
Forward currency contracts
|
NatWest Markets Plc
|
i 34,496,097
|
( i 34,496,097
|
)
|
i 0
|
||||||||
Centrally cleared swap contracts*
|
Centrally Cleared
|
i 5,295,386
|
( i 579,277
|
)
|
i 4,716,109
|
||||||||
Total derivatives
|
|
$
|
i 52,792,031
|
$
|
( i 47,240,553
|
)
|
$
|
i 5,551,478
|
*
|
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 June 30, 2021
|
||||||||||||||||
|
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 668,694
|
$
|
i 0
|
$
|
i 0
|
$
|
i 668,694
|
||||||||
Goldman, Sachs & Co.
|
i 166,675
|
i 0
|
i 0
|
i 166,675
|
||||||||||||
NatWest Markets Plc
|
i 0
|
i 0
|
i 0
|
i 0
|
||||||||||||
Centrally Cleared
|
i 4,716,109
|
i 0
|
i 0
|
i 4,716,109
|
||||||||||||
Total
|
$
|
i 5,551,478
|
$
|
i 0
|
$
|
i 0
|
$
|
i 5,551,478
|
Offsetting of Derivative Liabilities by Counterparty | |||||||||||||
As of June 30, 2021
|
|
||||||||||||
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 6,195,717
|
$
|
( i 6,195,717
|
)
|
$
|
i 0
|
|||||
Futures contracts
|
Goldman, Sachs & Co.
|
i 5,969,462
|
( i 5,969,462
|
)
|
i 0
|
||||||||
Forward currency contracts
|
NatWest Markets Plc
|
i 37,420,621
|
( i 34,496,097
|
)
|
i 2,924,524
|
||||||||
Centrally cleared swap contracts
|
Centrally Cleared
|
i 579,277
|
( i 579,277
|
)
|
i 0
|
||||||||
Total derivatives
|
|
$
|
i 50,165,077
|
$
|
( i 47,240,553
|
)
|
$
|
i 2,924,524
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
||||||||||||||||
As of June 30, 2021
|
||||||||||||||||
|
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
|
$
|
i 0
|
$
|
i 0
|
$
|
i 0
|
||||||||
Goldman, Sachs & Co.
|
i 0
|
i 0
|
i 0
|
i 0
|
||||||||||||
NatWest Markets Plc
|
i 2,924,524
|
i 0
|
( i 2,924,524
|
)
|
i 0
|
|||||||||||
Centrally Cleared
|
i 0
|
i 0
|
i 0
|
i 0
|
||||||||||||
Total
|
$
|
i 2,924,524
|
$
|
i 0
|
$
|
( i 2,924,524
|
)
|
$
|
i 0
|
Offsetting of Derivative Assets by Counterparty
|
|||||||||||||
As of December 31, 2020
|
|||||||||||||
Type of Instrument
|
Counterparty
|
Gross
Amounts
of Recognized
Assets
|
Gross
Amounts
Offset in the
Statements of
Financial Condition
|
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
|
|||||||||
Futures contracts
|
UBS Securities LLC
|
$
|
i 7,300,844
|
$
|
( i 2,648,871
|
)
|
$
|
i 4,651,973
|
|||||
Futures contracts
|
Goldman, Sachs & Co.
|
i 7,296,471
|
( i 2,247,125
|
)
|
i 5,049,346
|
||||||||
Forward currency contracts
|
NatWest Markets Plc
|
i 12,145,055
|
( i 9,818,336
|
)
|
i 2,326,719
|
||||||||
Centrally cleared swap contracts*
|
Centrally Cleared
|
i 4,087,615
|
( i 666,780
|
)
|
i 3,420,835
|
||||||||
Total derivatives
|
|
$
|
i 30,829,985
|
$
|
( i 15,381,112
|
)
|
$
|
i 15,448,873
|
* |
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, 2020
|
||||||||||||||||
|
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 4,651,973
|
$
|
i 0
|
$
|
i 0
|
$
|
i 4,651,973
|
||||||||
Goldman, Sachs & Co.
|
i 5,049,346
|
i 0
|
i 0
|
i 5,049,346
|
||||||||||||
NatWest Markets Plc
|
i 2,326,719
|
i 0
|
i 0
|
i 2,326,719
|
||||||||||||
Centrally Cleared
|
i 3,420,835
|
i 0
|
i 0
|
i 3,420,835
|
||||||||||||
Total
|
$
|
i 15,448,873
|
$
|
i 0
|
$
|
i 0
|
$
|
i 15,448,873
|
Offsetting of Derivative Liabilities by Counterparty
|
|||||||||||||
As of December 31, 2020
|
|||||||||||||
Type of Instrument
|
Counterparty
|
Gross
Amounts
of Recognized
Liabilities
|
Gross
Amounts
Offset in the
Statements of
Financial Condition
|
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
|
|||||||||
Futures contracts
|
UBS Securities LLC
|
$
|
i 2,648,871
|
$
|
( i 2,648,871
|
)
|
$
|
i 0
|
|||||
Futures contracts
|
Goldman, Sachs & Co.
|
i 2,247,125
|
( i 2,247,125
|
)
|
i 0
|
||||||||
Forward currency contracts
|
NatWest Markets Plc
|
i 9,818,336
|
( i 9,818,336
|
)
|
i 0
|
||||||||
Centrally cleared swap contracts
|
Centrally Cleared
|
i 666,780
|
( i 666,780
|
)
|
i 0
|
||||||||
Total derivatives
|
|
$
|
i 15,381,112
|
$
|
( i 15,381,112
|
)
|
$
|
i 0
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
||||||||||||||||
As of December 31, 2020
|
||||||||||||||||
|
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
|
$
|
i 0
|
$
|
i 0
|
$
|
i 0
|
||||||||
Goldman, Sachs & Co.
|
i 0
|
i 0
|
i 0
|
i 0
|
||||||||||||
NatWest Markets Plc
|
i 0
|
i 0
|
i 0
|
i 0
|
||||||||||||
Centrally Cleared
|
i 0
|
i 0
|
i 0
|
i 0
|
||||||||||||
Total
|
$
|
i 0
|
$
|
i 0
|
$
|
i 0
|
$
|
i 0
|
Sector
|
% Gain (Loss)
|
|||
Credit
|
(1.99
|
)%
|
||
Commodities
|
11.00
|
%
|
||
Foreign Exchange
|
5.48
|
%
|
||
Interest Rates
|
(5.20
|
)%
|
||
Equity Indices
|
7.00
|
%
|
||
16.29
|
%
|
Sector
|
% Gain (Loss)
|
|||
Foreign Exchange
|
4.49
|
%
|
||
Currencies
|
3.79
|
|||
Interest Rates
|
6.28
|
|||
Equity Indices
|
(13.52
|
)
|
||
1.04
|
%
|
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Credit
|
0.05
|
%
|
(1.99)
|
%
|
||||
Commodities
|
0.81
|
%
|
11.00
|
%
|
||||
Foreign Exchange
|
0.52
|
%
|
5.48
|
%
|
||||
Interest Rates
|
0.28
|
%
|
(5.20)
|
%
|
||||
Equity Indices
|
0.82
|
%
|
7.00
|
%
|
||||
Aggregate/Total
|
1.69
|
%
|
16.29
|
%
|
* |
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 six months ended June 30, 2021.
|
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Credit
|
0.11
|
%
|
0.08
|
%
|
||||
Commodities
|
0.71
|
%
|
10.33
|
%
|
||||
Foreign Exchange
|
0.51
|
%
|
4.31
|
%
|
||||
Interest Rates
|
0.87
|
%
|
2.63
|
%
|
||||
Equity Indices
|
0.63
|
%
|
(12.32)
|
%
|
||||
Aggregate/Total
|
1.43
|
%
|
5.03
|
%
|
* |
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 year ended December 31, 2020.
|
1) |
Past changes in market risk factors will not always result in accurate predictions of the distributions andcorrelations 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.
|
Exhibit Number
|
Description of Document
|
|
3.01
|
||
3.02
|
||
10.01
|
||
10.02
|
||
10.03
|
||
Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of
1934.
|
||
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of
1934.
|
||
Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.
|
||
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.
|
||
101
|
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of June 30, 2021 and December
31, 2020, (ii) Statements of Financial Condition as of June 30, 2021 and December 31, 2020, (iii) Statements of Operations For the Three Months and Six Months Ended June 30, 2021 and 2020, (iv) Statements of Cash Flows For the Six
Months Ended June 30, 2021 and 2020, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the Six Months Ended June 30, 2021 and 2020, (vi) Financial Highlights For the Three Months and Six Months Ended June 30, 2021
and 2020, (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.
|
Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of
1934.
|
||
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of
1934.
|
||
Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.
|
||
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.
|
||
101
|
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of June 30, 2021 and December
31, 2020, (ii) Statements of Financial Condition as of June 30, 2021 and December 31, 2020, (iii) Statements of Operations For the Three Months and Six Months Ended June 30, 2021 and 2020, (iv) Statements of Cash Flows For the Six
Months Ended June 30, 2021 and 2020, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the Six Months Ended June 30, 2021 and 2020, (vi) Financial Highlights For the Three Months and Six Months Ended June 30, 2021
and 2020, (vii) Notes to Financial Statements.
|
|
104
|
Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).
|
THE CAMPBELL FUND TRUST
(Registrant)
|
|||
By:
|
Campbell & Company, LP
|
||
Managing Operator
|
|||
Date: August 13, 2021
|
By:
|
||
Chief Executive Officer
|
This ‘10-Q’ Filing | Date | Other Filings | ||
---|---|---|---|---|
Filed on: | 8/13/21 | |||
For Period end: | 6/30/21 | 8-K | ||
3/31/21 | 10-Q, 8-K | |||
3/26/21 | 10-K | |||
12/31/20 | 10-K, 8-K | |||
6/30/20 | 10-Q, 8-K | |||
6/1/20 | ||||
3/31/20 | 10-Q, 8-K | |||
1/1/20 | ||||
12/31/19 | 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 |
As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 5/15/14 Campbell Fund Trust 10-Q 3/31/14 55:6.2M Campbell Strategic A… LP 8/15/11 Campbell Fund Trust 10-Q 6/30/11 39:5.3M 4/30/03 Campbell Fund Trust 10-12G 9:965K Bowne - DC/FA |