☑ | Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
☐ | Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
Delaware | 94-6260018 | |
2850 Quarry Lake Drive | ||
Baltimore, Maryland 21209 | ||
(Address of principal executive offices, including zip code) |
(410) 413-2600 | ||
(Registrant's telephone number, including area code) |
Large accelerated filer ☐ | Accelerated filer ☐ | Non-accelerated filer ☑ | Smaller reporting company ☐ |
Emerging growth company ☐ |
Page | ||||
PART I — FINANCIAL INFORMATION | ||||
Item 1. | Financial Statements. | |||
1-4 | ||||
5 | ||||
6 | ||||
7 | ||||
8-9 | ||||
Item 2. | ||||
Item 3. | ||||
Item 4. | ||||
PART II — OTHER INFORMATION | ||||
Item 1. | ||||
Item 1A. | ||||
Item 2. | ||||
Item 3. | ||||
Item 4. | ||||
Item 5. | ||||
Item 6. | ||||
Maturity Face Value | Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | ||||||||||||||
Asset Backed Securities | ||||||||||||||||||||||
Asset Backed Securities | United States | |||||||||||||||||||||
United States | Auto Loans | $ | 14,703,723 | 3.87 | % | |||||||||||||||||
Auto Loans | $ | 13,343,784 | 2.44 | % | Credit Cards | 7,989,027 | 2.10 | % | ||||||||||||||
Credit Cards | 13,232,486 | 2.42 | % | Equipment Loans | 950,417 | 0.25 | % | |||||||||||||||
Equipment Loans | 2,271,130 | 0.41 | % | Total Asset Backed Securities (cost $23,721,555) | 23,643,167 | 6.22 | % | |||||||||||||||
Total Asset Backed Securities (cost $28,856,193) | 28,847,400 | 5.27 | % | |||||||||||||||||||
Bank Deposits | ||||||||||||||||||||||
Bank Deposits | United States | |||||||||||||||||||||
United States | Financials | 4,348,991 | 1.15 | % | ||||||||||||||||||
Financials | 19,016,247 | 3.48 | % | Total Bank Deposits (cost $4,350,341) | 4,348,991 | 1.15 | % | |||||||||||||||
Total Bank Deposits (cost $19,015,495) | 19,016,247 | 3.48 | % | |||||||||||||||||||
Commercial Paper | ||||||||||||||||||||||
Commercial Paper | United States | |||||||||||||||||||||
United States | Communications | 22,857,535 | 6.02 | % | ||||||||||||||||||
Communications | 8,644,031 | 1.58 | % | Consumer Discretionary | 18,975,081 | 5.00 | % | |||||||||||||||
Consumer Discretionary | 26,948,433 | 4.93 | % | Consumer Staples | 15,384,963 | 4.05 | % | |||||||||||||||
Consumer Staples | 15,634,970 | 2.86 | % | Energy | 7,512,334 | 1.98 | % | |||||||||||||||
Energy | 13,841,681 | 2.53 | % | Financials | 11,881,856 | 3.13 | % | |||||||||||||||
Financials | 8,781,715 | 1.60 | % | Industrials | 5,101,992 | 1.34 | % | |||||||||||||||
Industrials | 11,988,187 | 2.19 | % | Utilities | 19,447,178 | 5.12 | % | |||||||||||||||
Materials | 13,291,358 | 2.43 | % | Total Commercial Paper (cost $101,182,289) | 101,160,939 | 26.64 | % | |||||||||||||||
Utilities | 30,443,016 | 5.57 | % | |||||||||||||||||||
Total Commercial Paper (cost $129,581,342) | 129,573,391 | 23.69 | % | Corporate Bonds | ||||||||||||||||||
Canada | ||||||||||||||||||||||
Corporate Bonds | Financials (cost $13,016,398) | 12,998,346 | 3.42 | % | ||||||||||||||||||
Canada | Ireland | |||||||||||||||||||||
Financials (cost $2,498,661) | 2,493,254 | 0.45 | % | Financials (cost $2,975,485) | 2,973,099 | 0.78 | % | |||||||||||||||
United Kingdom | Japan | |||||||||||||||||||||
Energy | 4,905,065 | 0.90 | % | Financials (cost $2,696,326) | 2,681,439 | 0.71 | % | |||||||||||||||
Financials | 3,551,735 | 0.65 | % | United Kingdom | ||||||||||||||||||
Total United Kingdom(cost $8,457,401) | 8,456,800 | 1.55 | % | Financials (cost $9,750,461) | 9,755,759 | 2.57 | % | |||||||||||||||
United States | United States | |||||||||||||||||||||
Communications | 38,927,373 | 7.12 | % | Communications | 12,697,203 | 3.34 | % | |||||||||||||||
Consumer Discretionary | 17,018,650 | 3.11 | % | Consumer Discretionary | 9,599,687 | 2.53 | % | |||||||||||||||
Consumer Staples | 8,071,830 | 1.48 | % | Consumer Staples | 12,676,640 | 3.34 | % | |||||||||||||||
Energy | 7,716,040 | 1.41 | % | Energy | 2,772,025 | 0.73 | % | |||||||||||||||
Financials | 74,880,116 | 13.69 | % | Financials | 46,026,656 | 12.12 | % | |||||||||||||||
Health Care | 1,819,817 | 0.33 | % | Industrials | 7,347,841 | 1.94 | % | |||||||||||||||
Industrials | 10,985,171 | 2.01 | % | Technology | 6,283,350 | 1.65 | % | |||||||||||||||
Technology | 2,710,480 | 0.50 | % | Utilities | 942,339 | 0.25 | % | |||||||||||||||
Total United States(cost $161,891,291) | 162,129,477 | 29.65 | % | Total United States (cost $98,323,138) | 98,345,741 | 25.90 | % | |||||||||||||||
Total Corporate Bonds (cost $172,847,353) | 173,079,531 | 31.65 | % | Total Corporate Bonds (cost $126,761,808) | 126,754,384 | 33.38 | % | |||||||||||||||
Government And Agency Obligations | Government And Agency Obligations | |||||||||||||||||||||
United States | United States | |||||||||||||||||||||
U.S. Treasury Bills | U.S. Treasury Bills | |||||||||||||||||||||
$ | 79,890,000 | U.S. Treasury Bills Due 11/30/2017* | 79,761,795 | 14.58 | % | 12,685,000 | U.S. Treasury Bills Due 10/25/2018* | 12,667,474 | 3.34 | % | ||||||||||||
$ | 25,292,500 | U.S. Treasury Bills Due 02/22/2018* | 25,181,904 | 4.61 | % | 19,292,500 | U.S. Treasury Bills Due 11/23/2018* | 19,232,747 | 5.06 | % | ||||||||||||
$ | 37,867,500 | U.S. Treasury Bills Due 03/29/2018* | 37,648,436 | 6.88 | % | 28,162,500 | U.S. Treasury Bills Due 12/20/2018* | 28,029,667 | 7.38 | % | ||||||||||||
Total Government And Agency Obligations (cost $142,611,207) | 142,592,135 | 26.07 | % | Total Government And Agency Obligations (cost $59,932,937) | 59,929,888 | 15.78 | % | |||||||||||||||
Total Fixed Income Securities ** (cost $492,911,590) | $ | 493,108,704 | 90.16 | % | Total Fixed Income Securities ** (cost $315,948,930) | $ | 315,837,369 | 83.17 | % |
Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | |||||||
Money Market Funds | ||||||||||
United States | ||||||||||
Money Market Funds (cost $1,732,554) | $ | 1,732,554 | 0.32 | % | ||||||
Total Short Term Investments (cost $1,732,554) | $ | 1,732,554 | 0.32 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Money Market Funds | ||||||||
United States | ||||||||
Money Market Funds (cost $12,259) | $ | 12,259 | 0.00 | % | ||||
Total Short Term Investments (cost $12,259) | $ | 12,259 | 0.00 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Agriculture | $ | (157,471 | ) | (0.03 | )% | |||
Energy | 1,031,423 | 0.19 | % | |||||
Metals | (3,610,897 | ) | (0.66 | )% | ||||
Stock indices | 12,159,791 | 2.22 | % | |||||
Short-term interest rates | (1,034 | ) | 0.00 | % | ||||
Long-term interest rates | (4,326,607 | ) | (0.79 | )% | ||||
Net unrealized gain (loss) on long futures contracts | $ | 5,095,205 | 0.93 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Agriculture | $ | (54,478 | ) | (0.02 | )% | |||
Energy | 3,517,083 | 0.93 | % | |||||
Metals | 1,117,090 | 0.29 | % | |||||
Stock indices | 3,749,469 | 0.99 | % | |||||
Short-term interest rates | (40,585 | ) | (0.01 | )% | ||||
Long-term interest rates | (882,507 | ) | (0.23 | )% | ||||
Net unrealized gain (loss) on long futures contracts | $ | 7,406,072 | 1.95 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Agriculture | $ | 1,009,209 | 0.18 | % | ||||
Energy | 173,490 | 0.03 | % | |||||
Metals | 1,965,708 | 0.36 | % | |||||
Stock indices | 115,685 | 0.02 | % | |||||
Short-term interest rates | 301,276 | 0.06 | % | |||||
Long-term interest rates | 2,401,015 | 0.44 | % | |||||
Net unrealized gain (loss) on short futures contracts | 5,966,383 | 1.09 | % | |||||
Net unrealized gain (loss) on open futures contracts | $ | 11,061,588 | 2.02 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Agriculture | $ | 2,328,578 | 0.62 | % | ||||
Energy | (295,586 | ) | (0.08 | )% | ||||
Metals | (639,144 | ) | (0.17 | )% | ||||
Stock indices | (27,953 | ) | (0.01 | )% | ||||
Short-term interest rates | 1,727,657 | 0.46 | % | |||||
Long-term interest rates | 1,453,379 | 0.38 | % | |||||
Net unrealized gain (loss) on short futures contracts | $ | 4,546,931 | 1.20 | % | ||||
Net unrealized gain (loss) on open futures contracts | $ | 11,953,003 | 3.15 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Various long forward currency contracts | $ | (14,555,935 | ) | (2.66 | )% | |||
Various short forward currency contracts | 7,177,169 | 1.31 | % | |||||
Net unrealized gain (loss) on open forward currency contracts | $ | (7,378,766 | ) | (1.35 | )% |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Various long forward currency contracts | $ | 296,732 | 0.08 | % | ||||
Various short forward currency contracts | (4,953,335 | ) | (1.31 | )% | ||||
Net unrealized gain (loss) on open forward currency contracts | $ | (4,656,603 | ) | (1.23 | )% |
* | Pledged as collateral for the trading of futures |
** | Included in fixed income securities are U.S. Treasury Bills with a fair value of |
Maturity Face Value | Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | ||||||||||||||
Asset Backed Securities | ||||||||||||||||||||||
United States | ||||||||||||||||||||||
Auto Loans | $ | 23,525,701 | 4.31 | % | ||||||||||||||||||
Credit Cards | 13,664,555 | 2.50 | % | |||||||||||||||||||
Equipment Loans | 1,128,744 | 0.21 | % | |||||||||||||||||||
Total Asset Backed Securities (cost $38,400,582) | 38,319,000 | 7.02 | % | |||||||||||||||||||
Bank Deposits | ||||||||||||||||||||||
United States | ||||||||||||||||||||||
Asset Backed Securities | Financials | 3,693,397 | 0.68 | % | ||||||||||||||||||
United States | Total Bank Deposits (cost $3,692,357) | 3,693,397 | 0.68 | % | ||||||||||||||||||
Auto Loans | $ | 17,611,823 | 2.38 | % | ||||||||||||||||||
Credit Cards | 28,012,675 | 3.78 | % | Commercial Paper | ||||||||||||||||||
Equipment Loans | 7,014,713 | 0.95 | % | Japan | ||||||||||||||||||
Utility Rate Reduction Bonds | 534,250 | 0.07 | % | Financials (cost $6,721,959) | 6,720,957 | 1.23 | % | |||||||||||||||
Total Asset Backed Securities (cost $53,229,950) | 53,173,461 | 7.18 | % | Switzerland | ||||||||||||||||||
Financials (cost $2,999,246) | 2,997,430 | 0.55 | % | |||||||||||||||||||
Bank Deposits | United States | |||||||||||||||||||||
United States | Communications | 5,625,384 | 1.03 | % | ||||||||||||||||||
�� | Financials | 17,509,052 | 2.36 | % | Consumer Discretionary | 19,828,222 | 3.63 | % | ||||||||||||||
Total Bank Deposits (cost $17,498,497) | 17,509,052 | 2.36 | % | Consumer Staples | 22,089,851 | 4.05 | % | |||||||||||||||
Energy | 13,133,181 | 2.41 | % | |||||||||||||||||||
Commercial Paper | Financials | 41,070,220 | 7.52 | % | ||||||||||||||||||
United States | Industrials | 32,138,351 | 5.89 | % | ||||||||||||||||||
Communications | 23,326,969 | 3.15 | % | Utilities | 41,087,251 | 7.53 | % | |||||||||||||||
Consumer Discretionary | 34,768,666 | 4.70 | % | Total United States (cost $174,999,805) | 174,972,460 | 32.06 | % | |||||||||||||||
Consumer Staples | 22,677,586 | 3.06 | % | Total Commercial Paper (cost $184,721,010) | 184,690,847 | 33.84 | % | |||||||||||||||
Energy | 23,396,267 | 3.16 | % | |||||||||||||||||||
Financials | 40,869,561 | 5.52 | % | Corporate Bonds | ||||||||||||||||||
Health Care | 256,986 | 0.03 | % | Canada | ||||||||||||||||||
Industrials | 16,594,094 | 2.24 | % | Financials (cost $2,498,830) | 2,480,289 | 0.45 | % | |||||||||||||||
Technology | 22,716,251 | 3.07 | % | United Kingdom | ||||||||||||||||||
Utilities | 52,230,470 | 7.06 | % | Energy | 4,884,470 | 0.89 | % | |||||||||||||||
Total Commercial Paper (cost $236,812,610) | 236,836,850 | 31.99 | % | Financials | 3,542,594 | 0.65 | % | |||||||||||||||
Total United Kingdom (cost $8,448,898) | 8,427,064 | 1.54 | % | |||||||||||||||||||
Corporate Bonds | United States | |||||||||||||||||||||
United States | Communications | 37,630,534 | 6.89 | % | ||||||||||||||||||
Communications | 21,324,029 | 2.88 | % | Consumer Discretionary | 17,008,422 | 3.12 | % | |||||||||||||||
Consumer Discretionary | 39,099,282 | 5.28 | % | Consumer Staples | 11,818,118 | 2.17 | % | |||||||||||||||
Consumer Staples | 13,192,652 | 1.78 | % | Energy | 7,713,153 | 1.41 | % | |||||||||||||||
Energy | 6,546,165 | 0.88 | % | Financials | 69,000,751 | 12.65 | % | |||||||||||||||
Financials | 137,353,497 | 18.55 | % | Industrials | 10,972,758 | 2.01 | % | |||||||||||||||
Health Care | 3,674,939 | 0.50 | % | Technology | 2,692,739 | 0.49 | % | |||||||||||||||
Industrials | 13,305,487 | 1.80 | % | Utilities | 1,491,913 | 0.27 | % | |||||||||||||||
Technology | 25,685,314 | 3.47 | % | Total United States (cost $158,246,949) | 158,328,388 | 29.01 | % | |||||||||||||||
Total Corporate Bonds (cost $260,093,678) | 260,181,365 | 35.14 | % | Total Corporate Bonds (cost $169,194,677) | 169,235,741 | 31.00 | % | |||||||||||||||
Government And Agency Obligations | Government And Agency Obligations | |||||||||||||||||||||
United States | United States | |||||||||||||||||||||
U.S. Treasury Bills | U.S. Treasury Bills | |||||||||||||||||||||
$ | 9,775,000 | U.S. Treasury Bills Due 01/19/2017* | 9,773,231 | 1.32 | % | 25,292,500 | U.S. Treasury Bills Due 02/22/2018* | 25,247,353 | 4.63 | % | ||||||||||||
$ | 6,167,500 | U.S. Treasury Bills Due 01/26/2017* | 6,165,878 | 0.83 | % | 37,867,500 | U.S. Treasury Bills Due 03/29/2018* | 37,744,133 | 6.91 | % | ||||||||||||
$ | 21,450,000 | U.S. Treasury Bills Due 02/02/2017* | 21,442,557 | 2.90 | % | 35,680,000 | U.S. Treasury Bills Due 04/26/2018* | 35,526,056 | 6.51 | % | ||||||||||||
$ | 51,490,000 | U.S. Treasury Bills Due 02/23/2017* | 51,456,016 | 6.95 | % | |||||||||||||||||
$ | 25,875,000 | U.S. Treasury Bills Due 03/09/2017* | 25,852,980 | 3.49 | % | |||||||||||||||||
$ | 34,067,500 | U.S. Treasury Bills Due 03/23/2017* | 34,030,605 | 4.60 | % | |||||||||||||||||
Total Government And Agency Obligations (cost $148,720,149) | 148,721,267 | 20.09 | % | Total Government And Agency Obligations (cost $98,557,453) | 98,517,542 | 18.05 | % | |||||||||||||||
Total Fixed Income Securities ** (cost $716,354,884) | $ | 716,421,995 | 96.76 | % | Total Fixed Income Securities ** (cost $494,566,079) | $ | 494,456,527 | 90.59 | % |
Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | |||||||
Money Market Funds | ||||||||||
United States | ||||||||||
Money Market Funds (cost $2,602) | $ | 2,602 | 0.00 | % | ||||||
Total Short Term Investments (cost $2,602) | $ | 2,602 | 0.00 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Money Market Funds | ||||||||
United States | ||||||||
Money Market Funds (cost $12,271) | $ | 12,271 | 0.00 | % | ||||
Total Short Term Investments (cost $12,271) | $ | 12,271 | 0.00 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Agriculture | $ | 924,150 | 0.17 | % | ||||
Energy | 4,224,681 | 0.78 | % | |||||
Metals | 6,713,170 | 1.23 | % | |||||
Stock indices | 4,003,518 | 0.73 | % | |||||
Short-term interest rates | (239,756 | ) | (0.04 | )% | ||||
Long-term interest rates | (4,999,798 | ) | (0.92 | )% | ||||
Net unrealized gain (loss) on long futures contracts | $ | 10,625,965 | 1.95 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Agriculture | $ | (396,370 | ) | (0.05 | )% | |||
Energy | 2,356,156 | 0.32 | % | |||||
Metals | (7,168,284 | ) | (0.97 | )% | ||||
Stock indices | 4,453,267 | 0.60 | % | |||||
Short-term interest rates | 60,797 | 0.01 | % | |||||
Long-term interest rates | 3,215,555 | 0.43 | % | |||||
Net unrealized gain (loss) on long futures contracts | $ | 2,521,121 | 0.34 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Agriculture | $ | 2,408,552 | 0.44 | % | ||||
Energy | (1,761,620 | ) | (0.32 | )% | ||||
Metals | (2,785,648 | ) | (0.51 | )% | ||||
Stock indices | (113,440 | ) | (0.02 | )% | ||||
Short-term interest rates | 250,252 | 0.04 | % | |||||
Long-term interest rates | 370,399 | 0.07 | % | |||||
Net unrealized gain (loss) on short futures contracts | $ | (1,631,505 | ) | (0.30 | )% | |||
Net unrealized gain (loss) on open futures contracts | $ | 8,994,460 | 1.65 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Agriculture | $ | 2,272,977 | 0.30 | % | ||||
Metals | 1,001,440 | 0.14 | % | |||||
Stock indices | (506,008 | ) | (0.07 | )% | ||||
Short-term interest rates | (546,481 | ) | (0.07 | )% | ||||
Long-term interest rates | (1,070,963 | ) | (0.14 | )% | ||||
Net unrealized gain (loss) on short futures contracts | 1,150,965 | 0.16 | % | |||||
Net unrealized gain (loss) on open futures contracts | $ | 3,672,086 | 0.50 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Various long forward currency contracts | $ | 15,396,303 | 2.82 | % | ||||
Various short forward currency contracts | (12,294,439 | ) | (2.25 | )% | ||||
Net unrealized gain (loss) on open forward currency contracts | $ | 3,101,864 | 0.57 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Various long forward currency contracts | $ | (6,430,009 | ) | (0.87 | )% | |||
Various short forward currency contracts | 12,317,344 | 1.67 | % | |||||
Net unrealized gain (loss) on open forward currency contracts | $ | 5,887,335 | 0.80 | % |
* | Pledged as collateral for the trading of futures and forward positions. |
** | Included in fixed income securities are U.S. Treasury Bills with a fair value of |
September 30, 2017 | December 31, 2016 | |||||||
ASSETS | ||||||||
Equity in futures broker trading accounts | ||||||||
Cash | $ | 46,145,623 | $ | 43,175,245 | ||||
Fixed income securities (cost $82,284,281 and $101,421,620, respectively) | 82,268,179 | 101,425,730 | ||||||
Net unrealized gain (loss) on open futures contracts | 11,061,588 | 3,672,086 | ||||||
Total equity in futures broker trading accounts | 139,475,390 | 148,273,061 | ||||||
Cash | 20,043,718 | 4,436,352 | ||||||
Short term investments (cost $1,732,554 and $2,602, respectively) | 1,732,554 | 2,602 | ||||||
Fixed income securities (cost $410,627,309 and $614,933,264, respectively) | 410,840,525 | 614,996,265 | ||||||
Net unrealized gain (loss) on open forward currency contracts | (7,378,766 | ) | 5,887,335 | |||||
Interest receivable | 647,092 | 1,197,436 | ||||||
Subscription receivable | 50,000 | 0 | ||||||
Total assets | $ | 565,410,513 | $ | 774,793,051 | ||||
LIABILITIES | ||||||||
Accounts payable | $ | 417,174 | $ | 404,933 | ||||
Management fee payable | 1,742,761 | 2,453,064 | ||||||
Payable for securities purchased | 6,233,933 | 0 | ||||||
Service fee payable | 0 | 14,678 | ||||||
Accrued commissions and other trading fees on open contracts | 75,264 | 80,709 | ||||||
Offering costs payable | 200,091 | 277,873 | ||||||
Redemptions payable | 9,844,974 | 31,128,054 | ||||||
Total liabilities | 18,514,197 | 34,359,311 | ||||||
UNITHOLDERS’ CAPITAL (Net Asset Value) | ||||||||
Series A Units - Redeemable | ||||||||
Other Unitholders - 167,276.273 and 224,143.366 units outstanding at September 30, 2017 and December 31, 2016 | 410,206,353 | 572,449,293 | ||||||
Series B Units – Redeemable | ||||||||
Other Unitholders - 26,987.151 and 36,691.856 units outstanding at September 30, 2017 and December 31, 2016 | 71,688,457 | 101,127,802 | ||||||
Series D Units – Redeemable | ||||||||
Other Unitholders - 117.000 and 0.000 units outstanding at September 30, 2017 and December 31, 2016 | 117,000 | 0 | ||||||
Series W Units – Redeemable | ||||||||
Other Unitholders - 23,388.395 and 23,481.665 units outstanding at September 30, 2017 and December 31, 2016 | 64,884,506 | 66,856,645 | ||||||
Total unitholders’ capital (Net Asset Value) | 546,896,316 | 740,433,740 | ||||||
Total liabilities and unitholders’ capital (Net Asset Value) | $ | 565,410,513 | $ | 774,793,051 |
September 30, 2018 | December 31, 2017 | |||||||
ASSETS | ||||||||
Equity in futures brokers trading accounts | ||||||||
Cash | $ | 25,219,459 | $ | 46,914,581 | ||||
Restricted cash | 0 | 936,583 | ||||||
Fixed income securities (cost $59,932,937 and $67,458,506, respectively) | 59,929,888 | 67,430,443 | ||||||
Net unrealized gain (loss) on open futures contracts | 11,953,003 | 8,994,460 | ||||||
Total equity in futures brokers trading accounts | 97,102,350 | 124,276,067 | ||||||
Cash and cash equivalents | 12,223,465 | 1,828,845 | ||||||
Restricted cash at interbank market maker | 33,937,069 | 0 | ||||||
Short term investments (cost $12,259 and $12,271, respectively) | 12,259 | 12,271 | ||||||
Fixed income securities (cost $256,015,993 and $427,107,573, respectively) | 255,907,481 | 427,026,084 | ||||||
Net unrealized gain (loss) on open forward currency contracts | (4,656,603 | ) | 3,101,864 | |||||
Interest receivable | 721,311 | 951,297 | ||||||
Subscription receivable | 0 | 50,000 | ||||||
Total assets | $ | 395,247,332 | $ | 557,246,428 | ||||
LIABILITIES | ||||||||
Accounts payable | $ | 331,441 | $ | 330,154 | ||||
Management fee payable | 1,254,606 | 1,740,589 | ||||||
Accrued commissions and other trading fees on open contracts | 64,882 | 79,893 | ||||||
Offering costs payable | 125,541 | 202,016 | ||||||
Performance fee payable | 0 | 3,207 | ||||||
Redemptions payable | 13,726,769 | 9,067,414 | ||||||
Total liabilities | 15,503,239 | 11,423,273 | ||||||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||||||||
Series A Units - Redeemable | ||||||||
Other Unitholders - 122,134.209 and 155,656.273 units outstanding at September 30, 2018 and December 31, 2017, respectively | 298,541,979 | 407,786,433 | ||||||
Series B Units – Redeemable | ||||||||
Other Unitholders - 17,094.219 and 24,609.317 units outstanding at September 30, 2018 and December 31, 2017, respectively | 45,447,164 | 69,925,360 | ||||||
Series D Units – Redeemable | ||||||||
Other Unitholders - 1,314.616 and 259.610 units outstanding at September 30, 2018 and December 31, 2017, respectively | 1,299,167 | 273,175 | ||||||
Series W Units – Redeemable | ||||||||
Other Unitholders - 12,224.311 and 22,774.964 units outstanding at September 30, 2018 and December 31, 2017, respectively | 34,455,783 | 67,838,187 | ||||||
Total unitholders' capital (Net Asset Value) | 379,744,093 | 545,823,155 | ||||||
Total liabilities and unitholders' capital (Net Asset Value) | $ | 395,247,332 | $ | 557,246,428 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
TRADING GAINS (LOSSES) | ||||||||||||||||
Futures trading gains (losses) | ||||||||||||||||
Realized | $ | (11,042,290 | ) | $ | (35,734,432 | ) | $ | (30,729,684 | ) | $ | 13,193,894 | |||||
Change in unrealized | 7,741,426 | 40,587,154 | 2,958,543 | 7,389,502 | ||||||||||||
Brokerage commissions | (429,297 | ) | (589,443 | ) | (1,400,752 | ) | (2,299,517 | ) | ||||||||
Net gain (loss) from futures trading | (3,730,161 | ) | 4,263,279 | (29,171,893 | ) | 18,283,879 | ||||||||||
Forward currency trading gains (losses) | ||||||||||||||||
Realized | 18,335,233 | 14,537,016 | 11,050,256 | (12,867,578 | ) | |||||||||||
Change in unrealized | (16,096,697 | ) | (5,609,112 | ) | (7,758,467 | ) | (13,266,101 | ) | ||||||||
Brokerage commissions | (40,089 | ) | (33,454 | ) | (119,306 | ) | (109,764 | ) | ||||||||
Net gain (loss) from forward currency trading | 2,198,447 | 8,894,450 | 3,172,483 | (26,243,443 | ) | |||||||||||
Total net trading gain (loss) | (1,531,714 | ) | 13,157,729 | (25,999,410 | ) | (7,959,564 | ) | |||||||||
NET INVESTMENT INCOME (LOSS) | ||||||||||||||||
Investment income | ||||||||||||||||
Interest income | 2,336,863 | 1,832,307 | 7,033,639 | 5,454,037 | ||||||||||||
Realized gain (loss) on fixed income securities | (21,654 | ) | 25,562 | (69,239 | ) | 34,792 | ||||||||||
Change in unrealized gain (loss) on fixed income securities | 211,537 | (3,943 | ) | (2,009 | ) | 130,003 | ||||||||||
Total investment income | 2,526,746 | 1,853,926 | 6,962,391 | 5,618,832 | ||||||||||||
Expenses | ||||||||||||||||
Management fee | 3,944,102 | 5,537,951 | 13,492,725 | 18,739,913 | ||||||||||||
Service fee | 0 | 0 | 0 | 25,238 | ||||||||||||
Operating expenses | 282,906 | 296,548 | 854,794 | 1,012,704 | ||||||||||||
Total expenses | 4,227,008 | 5,834,499 | 14,347,519 | 19,777,855 | ||||||||||||
Net investment income (loss) | (1,700,262 | ) | (3,980,573 | ) | (7,385,128 | ) | (14,159,023 | ) | ||||||||
NET INCOME (LOSS) | $ | (3,231,976 | ) | $ | 9,177,156 | $ | (33,384,538 | ) | $ | (22,118,587 | ) | |||||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (1) | ||||||||||||||||
(based on weighted average number of units outstanding during the period) | ||||||||||||||||
Series A | $ | (19.89 | ) | $ | 38.29 | $ | (178.48 | ) | $ | (88.30 | ) | |||||
Series B | $ | (27.76 | ) | $ | 38.71 | $ | (199.82 | ) | $ | (93.10 | ) | |||||
Series D | $ | (5.09 | ) | $ | - | $ | (40.88 | ) | $ | - | ||||||
Series W | $ | (5.64 | ) | $ | 53.05 | $ | (158.95 | ) | $ | (62.77 | ) | |||||
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (1) | ||||||||||||||||
Series A | $ | (20.08 | ) | $ | 30.28 | $ | (175.41 | ) | $ | (101.67 | ) | |||||
Series B | $ | (19.08 | ) | $ | 36.08 | $ | (182.79 | ) | $ | (99.75 | ) | |||||
Series D | $ | (5.22 | ) | $ | - | $ | (64.00 | ) | $ | - | ||||||
Series W | $ | (9.58 | ) | $ | 47.96 | $ | (160.00 | ) | $ | (72.97 | ) | |||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (1) | ||||||||||||||||
Series A | 129,372.124 | 179,814.990 | 143,023.321 | 200,481.475 | ||||||||||||
Series B | 19,710.876 | 28,337.449 | 22,313.918 | 31,926.881 | ||||||||||||
Series D | 1,311.521 | - | 911.099 | - | ||||||||||||
Series W | 18,480.544 | 22,533.621 | 21,151.715 | 22,995.816 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
TRADING GAINS (LOSSES) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Futures trading gains (losses) | ||||||||||||||||
Realized | $ | (35,734,432 | ) | $ | (2,563,284 | ) | $ | 13,193,894 | $ | (56,311,652 | ) | |||||
Change in unrealized | 40,587,154 | (11,677,308 | ) | 7,389,502 | 28,421,871 | |||||||||||
Brokerage commissions | (589,443 | ) | (1,033,567 | ) | (2,299,517 | ) | (3,527,551 | ) | ||||||||
Net gain (loss) from futures trading | 4,263,279 | (15,274,159 | ) | 18,283,879 | (31,417,332 | ) | ||||||||||
Forward currency trading gains (losses) | ||||||||||||||||
Realized | 14,537,016 | (6,752,196 | ) | (12,867,578 | ) | (16,779,911 | ) | |||||||||
Change in unrealized | (5,609,112 | ) | (8,288,792 | ) | (13,266,101 | ) | (5,133,632 | ) | ||||||||
Brokerage commissions | (33,454 | ) | (90,258 | ) | (109,764 | ) | (261,250 | ) | ||||||||
Net gain (loss) from forward currency trading | 8,894,450 | (15,131,246 | ) | (26,243,443 | ) | (22,174,793 | ) | |||||||||
Total net trading gain (loss) | 13,157,729 | (30,405,405 | ) | (7,959,564 | ) | (53,592,125 | ) | |||||||||
NET INVESTMENT INCOME (LOSS) | ||||||||||||||||
Investment income | ||||||||||||||||
Interest income | 1,832,307 | 1,702,389 | 5,454,037 | 4,699,257 | ||||||||||||
Realized gain (loss) on fixed income securities | 25,562 | 14,554 | 34,792 | 38,828 | ||||||||||||
Change in unrealized gain (loss) on fixed income securities | (3,943 | ) | (174,956 | ) | 130,003 | 949,847 | ||||||||||
Total investment income | 1,853,926 | 1,541,987 | 5,618,832 | 5,687,932 | ||||||||||||
Expenses | ||||||||||||||||
Management fee | 5,537,951 | 8,456,874 | 18,739,913 | 26,035,552 | ||||||||||||
Service fee | 0 | 44,227 | 25,238 | 137,623 | ||||||||||||
Operating expenses | 296,548 | 416,243 | 1,012,704 | 1,304,566 | ||||||||||||
Total expenses | 5,834,499 | 8,917,344 | 19,777,855 | 27,477,741 | ||||||||||||
Net investment income (loss) | (3,980,573 | ) | (7,375,357 | ) | (14,159,023 | ) | (21,789,809 | ) | ||||||||
NET INCOME (LOSS) | $ | 9,177,156 | $ | (37,780,762 | ) | $ | (22,118,587 | ) | $ | (75,381,934 | ) | |||||
NET INCOME (LOSS) PER OTHER UNITHOLDERS’ UNIT (1) (based on weighted average number of units outstanding during the period) | ||||||||||||||||
Series A | $ | 38.29 | $ | (120.46 | ) | $ | (88.30 | ) | $ | (240.35 | ) | |||||
Series B | $ | 38.71 | $ | (128.06 | ) | $ | (93.10 | ) | $ | (253.00 | ) | |||||
Series W | $ | 53.05 | $ | (120.19 | ) | $ | (62.77 | ) | $ | (221.29 | ) | |||||
INCREASE (DECREASE) IN NET ASSET VALUE PER OTHER UNITHOLDERS’ UNIT (1) | ||||||||||||||||
Series A | $ | 30.28 | $ | (124.00 | ) | $ | (101.67 | ) | $ | (248.35 | ) | |||||
Series B | $ | 36.08 | $ | (129.87 | ) | $ | (99.75 | ) | $ | (255.86 | ) | |||||
Series W | $ | 47.96 | $ | (123.88 | ) | $ | (72.97 | ) | $ | (232.81 | ) | |||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (1) | ||||||||||||||||
Series A | 179,814.990 | 245,937.673 | 200,481.475 | 246,571.644 | ||||||||||||
Series B | 28,337.449 | 40,350.892 | 31,926.881 | 41,613.378 | ||||||||||||
Series W | 22,533.621 | 24,859.370 | 22,995.816 | 25,266.275 |
(1) | Series D Units commenced trading on October 1, |
Nine Months Ended September 30, | ||||||||
2018 | 2017 | |||||||
Cash flows from (for) operating activities | ||||||||
Net income (loss) | $ | (33,384,538 | ) | $ | (22,118,587 | ) | ||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities | ||||||||
Net change in unrealized on futures, forwards and investments | 4,801,933 | 5,746,596 | ||||||
(Increase) decrease in interest receivable | 229,986 | 550,344 | ||||||
Increase (decrease) in payable for securities purchased | 0 | 6,233,933 | ||||||
Increase (decrease) in accounts payable and accrued expenses | (502,914 | ) | (718,185 | ) | ||||
Purchases of investments | (4,001,427,649 | ) | (5,512,191,987 | ) | ||||
Sales/maturities of investments | 4,180,044,810 | 5,733,905,329 | ||||||
Net cash from (for) operating activities | 149,761,628 | 211,407,443 | ||||||
Cash flows from (for) financing activities | ||||||||
Addition of units | 17,458,250 | 22,768,588 | ||||||
Redemption of units | (144,205,933 | ) | (213,382,397 | ) | ||||
Offering costs paid | (1,313,961 | ) | (2,215,890 | ) | ||||
Net cash from (for) financing activities | (128,061,644 | ) | (192,829,699 | ) | ||||
Net increase (decrease) in cash, cash equivalents and restricted cash | 21,699,984 | 18,577,744 | ||||||
Cash, cash equivalents and restricted cash at beginning of period | 49,680,009 | 47,611,597 | ||||||
Cash, cash equivalents and restricted cash at end of period | $ | 71,379,993 | $ | 66,189,341 |
September 30, 2018 | December 31, 2017 | |||||||
Cash, cash equivalents and restricted cash at end of period consists of: | ||||||||
Cash in futures brokers trading accounts | $ | 25,219,459 | $ | 46,914,581 | ||||
Restricted cash in futures brokers trading accounts | 0 | 936,583 | ||||||
Cash and cash equivalents | 12,223,465 | 1,828,845 | ||||||
Restricted cash at interbank market maker | 33,937,069 | 0 | ||||||
Total cash, cash equivalents and restricted cash at end of period | $ | 71,379,993 | $ | 49,680,009 |
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Cash flows from (for) operating activities | ||||||||
Net income (loss) | $ | (22,118,587 | ) | $ | (75,381,934 | ) | ||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities | ||||||||
Net change in unrealized on futures, forwards and investments | 5,746,596 | (24,238,086 | ) | |||||
(Increase) decrease in restricted cash | 0 | 8,747,696 | ||||||
(Increase) decrease in interest receivable | 550,344 | 381,074 | ||||||
Increase (decrease) in payable for securities purchased | 6,233,933 | 0 | ||||||
Increase (decrease) in accounts payable and accrued expenses | (718,185 | ) | (338,205 | ) | ||||
Purchases of investments | (5,512,191,987 | ) | (7,768,924,889 | ) | ||||
Sales/maturities of investments | 5,733,905,329 | 7,811,230,823 | ||||||
Net cash from (for) operating activities | 211,407,443 | (48,523,521 | ) | |||||
Cash flows from (for) financing activities | ||||||||
Addition of units | 22,768,588 | 66,208,774 | ||||||
Redemption of units | (213,382,397 | ) | (75,057,072 | ) | ||||
Offering costs paid | (2,215,890 | ) | (2,952,547 | ) | ||||
Net cash from (for) financing activities | (192,829,699 | ) | (11,800,845 | ) | ||||
Net increase (decrease) in cash | 18,577,744 | (60,324,366 | ) | |||||
Unrestricted cash | ||||||||
Beginning of period | 47,611,597 | 104,537,092 | ||||||
End of period | $ | 66,189,341 | $ | 44,212,726 | ||||
End of period cash consists of: | ||||||||
Cash in futures broker trading accounts | $ | 46,145,623 | $ | 39,144,247 | ||||
Cash | 20,043,718 | 5,068,479 | ||||||
Total end of period cash | $ | 66,189,341 | $ | 44,212,726 |
Unitholders’ Capital - Series B | ||||||||||||||||||||||||
Managing Operator | Other Unitholders | Total | ||||||||||||||||||||||
Units | Amount | Units | Amount | Units | Amount | |||||||||||||||||||
Nine Months Ended September 30, 2017 | ||||||||||||||||||||||||
Balances at December 31, 2016 | 0.000 | $ | 0 | 36,691.856 | $ | 101,127,802 | 36,691.856 | $ | 101,127,802 | |||||||||||||||
Net income (loss) for the nine months ended September 30, 2017 | 0 | (2,972,272 | ) | (2,972,272 | ) | |||||||||||||||||||
Additions | 0.000 | 0 | 14.356 | 40,002 | 14.356 | 40,002 | ||||||||||||||||||
Redemptions | 0.000 | 0 | (9,719.061 | ) | (26,507,075 | ) | (9,719.061 | ) | (26,507,075 | ) | ||||||||||||||
Balances at September 30, 2017 | 0.000 | $ | 0 | 26,987.151 | $ | 71,688,457 | 26,987.151 | $ | 71,688,457 | |||||||||||||||
Nine Months Ended September 30, 2016 | ||||||||||||||||||||||||
Balances at December 31, 2015 | 0.000 | $ | 0 | 43,230.672 | $ | 135,564,706 | 43,230.672 | $ | 135,564,706 | |||||||||||||||
Net income (loss) for the nine months ended September 30, 2016 | (915 | ) | (10,527,146 | ) | (10,528,061 | ) | ||||||||||||||||||
Additions | 0.000 | 0 | 104.514 | 314,572 | 104.514 | 314,572 | ||||||||||||||||||
Redemptions | (19.003 | ) | (55,085 | ) | (3,527.601 | ) | (10,705,285 | ) | (3,546.604 | ) | (10,760,370 | ) | ||||||||||||
Transfers | 19.003 | 56,000 | (19.003 | ) | (56,000 | ) | 0.000 | 0 | ||||||||||||||||
Balances at September 30, 2016 | 0.000 | $ | 0 | 39,788.582 | $ | 114,590,847 | 39,788.582 | $ | 114,590,847 |
Net Asset Value per Managing Operator and Other Unitholders’ Unit - Series B | ||||||||||||||
September 30, 2017 | December 31, 2016 | September 30, 2016 | December 31, 2015 | |||||||||||
$ | 2,656.39 | $ | 2,756.14 | $ | 2,879.99 | $ | 3,135.85 |
Unitholders’ Capital | ||||||||||||||||||||||||||||
Series A - Other Unitholders | Series D - Other Unitholders | Series W - Other Unitholders | Trust | |||||||||||||||||||||||||
Units | Amount | Units | Amount | Units | Amount | Total Amount | ||||||||||||||||||||||
Nine Months Ended September 30, 2017 | ||||||||||||||||||||||||||||
Balances at December 31, 2016 | 224,143.366 | $ | 572,449,293 | 0.000 | $ | 0 | 23,481.665 | $ | 66,856,645 | $ | 740,433,740 | |||||||||||||||||
Net income (loss) for the nine months ended September 30, 2017 (1) | (17,702,837 | ) | 0 | (1,443,478 | ) | (22,118,587 | ) | |||||||||||||||||||||
Additions | 5,216.144 | 13,093,925 | 117.000 | 117,000 | 3,403.568 | 9,567,661 | 22,818,588 | |||||||||||||||||||||
Redemptions | (62,083.237 | ) | (155,739,483 | ) | 0.000 | 0 | (3,496.838 | ) | (9,852,759 | ) | (192,099,317 | ) | ||||||||||||||||
Offering costs | (1,894,545 | ) | 0 | (243,563 | ) | (2,138,108 | ) | |||||||||||||||||||||
Balances at September 30, 2017 | 167,276.273 | $ | 410,206,353 | 117.000 | $ | 117,000 | 23,388.395 | $ | 64,884,506 | $ | 546,896,316 | |||||||||||||||||
Nine Months Ended September 30, 2016 | ||||||||||||||||||||||||||||
Balances at December 31, 2015 | 243,788.567 | $ | 711,962,948 | 0.000 | $ | 0 | 25,184.916 | $ | 80,553,752 | $ | 928,081,406 | |||||||||||||||||
Net income (loss) for the nine months ended September 30, 2016 | (59,262,613 | ) | 0 | (5,591,260 | ) | (75,381,934 | ) | |||||||||||||||||||||
Additions | 20,063.270 | 57,673,457 | 0.000 | 0 | 2,617.248 | 8,220,745 | 66,208,774 | |||||||||||||||||||||
Redemptions | (20,058.345 | ) | (56,314,105 | ) | 0.000 | 0 | (2,683.770 | ) | (8,393,359 | ) | (75,467,834 | ) | ||||||||||||||||
Offering costs | (2,628,480 | ) | 0 | (296,753 | ) | (2,925,233 | ) | |||||||||||||||||||||
Balances at September 30, 2016 | 243,793.492 | $ | 651,431,207 | 0.000 | $ | 0 | 25,118.394 | $ | 74,493,125 | $ | 840,515,179 |
Net Asset Value per Other Unitholders’ Unit - Series A | ||||||||||||||
September 30, 2017 | December 31, 2016 | September 30, 2016 | December 31, 2015 | |||||||||||
$ | 2,452.27 | $ | 2,553.94 | $ | 2,672.06 | $ | 2,920.41 |
Net Asset Value per Other Unitholders’ Unit - Series D (1) | ||||||||||||||
September 30, 2017 | December 31, 2016 | September 30, 2016 | December 31, 2015 | |||||||||||
$ | 1,000.00 | $ | - | $ | - | $ | - |
Series A - Other Unitholders | Series B - Other Unitholders | Series D - Other Unitholders (1) | ||||||||||||||||||||||
Units | Amount | Units | Amount | Units | Amount | |||||||||||||||||||
Nine Months Ended September 30, 2018 | ||||||||||||||||||||||||
Balances at December 31, 2017 | 155,656.273 | $ | 407,786,433 | 24,609.317 | $ | 69,925,360 | 259.610 | $ | 273,175 | |||||||||||||||
Net income (loss) for the nine months ended September 30, 2018 | (25,526,482 | ) | (4,458,789 | ) | (37,243 | ) | ||||||||||||||||||
Additions | 3,905.626 | 9,652,453 | 0.000 | 0 | 1,106.256 | 1,116,063 | ||||||||||||||||||
Redemptions | (37,427.690 | ) | (92,363,412 | ) | (7,515.098 | ) | (20,019,407 | ) | (51.250 | ) | (49,436 | ) | ||||||||||||
Offering costs | (1,007,013 | ) | 0 | (3,392 | ) | |||||||||||||||||||
Balances at September 30, 2018 | 122,134.209 | $ | 298,541,979 | 17,094.219 | $ | 45,447,164 | 1,314.616 | $ | 1,299,167 | |||||||||||||||
Nine Months Ended September 30, 2017 | ||||||||||||||||||||||||
Balances at December 31, 2016 | 224,143.366 | $ | 572,449,293 | 36,691.856 | $ | 101,127,802 | 0.000 | $ | 0 | |||||||||||||||
Net income (loss) for the nine months ended September 30, 2017 | (17,702,837 | ) | (2,972,272 | ) | 0 | |||||||||||||||||||
Additions | 5,216.144 | 13,093,925 | 14.356 | 40,002 | 117.000 | 117,000 | ||||||||||||||||||
Redemptions | (62,083.237 | ) | (155,739,483 | ) | (9,719.061 | ) | (26,507,075 | ) | 0.000 | 0 | ||||||||||||||
Offering costs | (1,894,545 | ) | 0 | 0 | ||||||||||||||||||||
Balances at September 30, 2017 | 167,276.273 | $ | 410,206,353 | 26,987.151 | $ | 71,688,457 | 117.000 | $ | 117,000 |
Net Asset Value per Other Unitholders' Unit - Series A | ||||||||||||||
September 30, 2018 | December 31, 2017 | September 30, 2017 | December 31, 2016 | |||||||||||
$ | 2,444.38 | $ | 2,619.79 | $ | 2,452.27 | $ | 2,553.94 |
Net Asset Value per Other Unitholders’ Unit - Series W | ||||||||||||||
September 30, 2017 | December 31, 2016 | September 30, 2016 | December 31, 2015 | |||||||||||
$ | 2,774.22 | $ | 2,847.19 | $ | 2,965.68 | $ | 3,198.49 |
Net Asset Value per Other Unitholders' Unit - Series B | ||||||||||||||
September 30, 2018 | December 31, 2017 | September 30, 2017 | December 31, 2016 | |||||||||||
$ | 2,658.63 | $ | 2,841.42 | $ | 2,656.39 | $ | 2,756.14 |
Net Asset Value per Other Unitholders' Unit - Series D (1) | ||||||||||||||
September 30, 2018 | December 31, 2017 | September 30, 2017 | December 31, 2016 | |||||||||||
$ | 988.25 | $ | 1,052.25 | $ | 1,000.00 | $ | 0.00 |
(1) | Series D Units commenced trading on October 1, 2017. |
Series W - Other Unitholders | Trust | |||||||||||
Units | Amount | Total Amount | ||||||||||
Nine Months Ended September 30, 2018 | ||||||||||||
Balances at December 31, 2017 | 22,774.964 | $ | 67,838,187 | $ | 545,823,155 | |||||||
Net income (loss) for the nine months ended September 30, 2018 | (3,362,024 | ) | (33,384,538 | ) | ||||||||
Additions | 2,347.338 | 6,639,734 | 17,408,250 | |||||||||
Redemptions | (12,897.991 | ) | (36,433,033 | ) | (148,865,288 | ) | ||||||
Offering costs | (227,081 | ) | (1,237,486 | ) | ||||||||
Balances at September 30, 2018 | 12,224.311 | $ | 34,455,783 | $ | 379,744,093 | |||||||
Nine Months Ended September 30, 2017 | ||||||||||||
Balances at December 31, 2016 | 23,481.665 | $ | 66,856,645 | $ | 740,433,740 | |||||||
Net income (loss) for the nine months ended September 30, 2017 | (1,443,478 | ) | (22,118,587 | ) | ||||||||
Additions | 3,403.568 | 9,567,661 | 22,818,588 | |||||||||
Redemptions | (3,496.838 | ) | (9,852,759 | ) | (192,099,317 | ) | ||||||
Offering costs | (243,563 | ) | (2,138,108 | ) | ||||||||
Balances at September 30, 2017 | 23,388.395 | $ | 64,884,506 | $ | 546,896,316 |
Net Asset Value per Other Unitholders' Unit - Series W | ||||||||||||||
September 30, 2018 | December 31, 2017 | September 30, 2017 | December 31, 2016 | |||||||||||
$ | 2,818.63 | $ | 2,978.63 | $ | 2,774.22 | $ | 2,847.19 |
Series A | ||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
Per Unit Performance | ||||||||||||||||
(for a unit outstanding throughout the entire period) | ||||||||||||||||
Net asset value per unit at beginning of period | $ | 2,464.46 | $ | 2,421.99 | $ | 2,619.79 | $ | 2,553.94 | ||||||||
Income (loss) from operations: | ||||||||||||||||
Total net trading gains (losses) (1) | (6.15 | ) | 51.59 | (125.04 | ) | (34.28 | ) | |||||||||
Net investment income (loss) (1) | (11.43 | ) | (18.21 | ) | (43.33 | ) | (57.94 | ) | ||||||||
Total net income (loss) from operations | (17.58 | ) | 33.38 | (168.37 | ) | (92.22 | ) | |||||||||
Offering costs (1) | (2.50 | ) | (3.10 | ) | (7.04 | ) | (9.45 | ) | ||||||||
Net asset value per unit at end of period | $ | 2,444.38 | $ | 2,452.27 | $ | 2,444.38 | $ | 2,452.27 | ||||||||
Total Return (4) | (0.81 | )% | 1.25 | % | (6.70 | )% | (3.98 | )% | ||||||||
Supplemental Data | ||||||||||||||||
Ratios to average net asset value: | ||||||||||||||||
Expenses prior to performance fee (3) | 4.29 | % | 4.30 | % | 4.28 | % | 4.28 | % | ||||||||
Performance fee (4) | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Total expenses | 4.29 | % | 4.30 | % | 4.28 | % | 4.28 | % | ||||||||
Net investment income (loss) (2),(3) | (1.88 | )% | (3.00 | )% | (2.33 | )% | (3.12 | )% |
Series A | ||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Per Unit Performance (for a unit outstanding throughout the entire period) | ||||||||||||||||
Net asset value per unit at beginning of period | $ | 2,421.99 | $ | 2,796.06 | $ | 2,553.94 | $ | 2,920.41 | ||||||||
Income (loss) from operations: | ||||||||||||||||
Total net trading gains (losses) (1) | 51.59 | (96.17 | ) | (34.28 | ) | (166.14 | ) | |||||||||
Net investment income (loss) (1) | (18.21 | ) | (24.34 | ) | (57.94 | ) | (71.55 | ) | ||||||||
Total net income (loss) from operations | 33.38 | (120.51 | ) | (92.22 | ) | (237.69 | ) | |||||||||
Offering costs (1) | (3.10 | ) | (3.49 | ) | (9.45 | ) | (10.66 | ) | ||||||||
Net asset value per unit at end of period | $ | 2,452.27 | $ | 2,672.06 | $ | 2,452.27 | $ | 2,672.06 | ||||||||
Total Return (4) | 1.25 | % | (4.43 | )% | (3.98 | )% | (8.50 | )% | ||||||||
Supplemental Data | ||||||||||||||||
Ratios to average net asset value: | ||||||||||||||||
Expenses prior to performance fee (3) | 4.30 | % | 4.20 | % | 4.28 | % | 4.20 | % | ||||||||
Performance fee (4) | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Total expenses | 4.30 | % | 4.20 | % | 4.28 | % | 4.20 | % | ||||||||
Net investment income (loss) (2),(3) | (3.00 | )% | (3.50 | )% | (3.12 | )% | (3.36 | )% |
(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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
Per Unit Performance | ||||||||||||||||
(for a unit outstanding throughout the entire period) | ||||||||||||||||
Net asset value per unit at beginning of period | $ | 2,677.71 | $ | 2,620.31 | $ | 2,841.42 | $ | 2,756.14 | ||||||||
Income (loss) from operations: | ||||||||||||||||
Total net trading gains (losses) (1) | (6.79 | ) | 55.80 | (135.74 | ) | (37.08 | ) | |||||||||
Net investment income (loss) (1) | (12.29 | ) | (19.72 | ) | (47.05 | ) | (62.67 | ) | ||||||||
Total net income (loss) from operations | (19.08 | ) | 36.08 | (182.79 | ) | (99.75 | ) | |||||||||
Net asset value per unit at end of period | $ | 2,658.63 | $ | 2,656.39 | $ | 2,658.63 | $ | 2,656.39 | ||||||||
Total Return (4) | (0.71 | )% | 1.38 | % | (6.43 | )% | (3.62 | )% | ||||||||
Supplemental Data | ||||||||||||||||
Ratios to average net asset value: | ||||||||||||||||
Expenses prior to performance fee (3) | 4.39 | % | 4.27 | % | 4.32 | % | 4.27 | % | ||||||||
Performance fee (4) | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Total expenses | 4.39 | % | 4.27 | % | 4.32 | % | 4.27 | % | ||||||||
Net investment income (loss) (2),(3) | (1.91 | )% | (2.98 | )% | (2.35 | )% | (3.12 | )% |
Series B | ||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Per Unit Performance (for a unit outstanding throughout the entire period) | ||||||||||||||||
Net asset value per unit at beginning of period | $ | 2,620.31 | $ | 3,009.86 | $ | 2,756.14 | $ | 3,135.85 | ||||||||
Income (loss) from operations: | ||||||||||||||||
Total net trading gains (losses) (1) | 55.80 | (103.65 | ) | (37.08 | ) | (178.84 | ) | |||||||||
Net investment income (loss) (1) | (19.72 | ) | (26.22 | ) | (62.67 | ) | (77.02 | ) | ||||||||
Total net income (loss) from operations | 36.08 | (129.87 | ) | (99.75 | ) | (255.86 | ) | |||||||||
Net asset value per unit at end of period | $ | 2,656.39 | $ | 2,879.99 | $ | 2,656.39 | $ | 2,879.99 | ||||||||
Total Return (4) | 1.38 | % | (4.31 | )% | (3.62 | )% | (8.16 | )% | ||||||||
Supplemental Data | ||||||||||||||||
Ratios to average net asset value: | ||||||||||||||||
Expenses prior to performance fee (3) | 4.27 | % | 4.21 | % | 4.27 | % | 4.21 | % | ||||||||
Performance fee (4) | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Total expenses | 4.27 | % | 4.21 | % | 4.27 | % | 4.21 | % | ||||||||
Net investment income (loss) (2),(3) | (2.98 | )% | (3.51 | )% | (3.12 | )% | (3.37 | )% |
(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 W | ||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Per Unit Performance (for a unit outstanding throughout the entire period) | ||||||||||||||||
Net asset value per unit at beginning of period | $ | 2,726.26 | $ | 3,089.56 | $ | 2,847.19 | $ | 3,198.49 | ||||||||
Income (loss) from operations: | ||||||||||||||||
Total net trading gains (losses) (1) | 58.01 | (106.74 | ) | (38.82 | ) | (183.77 | ) | |||||||||
Net investment income (loss) (1) | (6.55 | ) | (13.28 | ) | (23.56 | ) | (37.29 | ) | ||||||||
Total net income (loss) from operations | 51.46 | (120.02 | ) | (62.38 | ) | (221.06 | ) | |||||||||
Offering costs (1) | (3.50 | ) | (3.86 | ) | (10.59 | ) | (11.75 | ) | ||||||||
Net asset value per unit at end of period | $ | 2,774.22 | $ | 2,965.68 | $ | 2,774.22 | $ | 2,965.68 | ||||||||
Total Return (4) | 1.76 | % | (4.01 | )% | (2.56 | )% | (7.28 | )% | ||||||||
Supplemental Data | ||||||||||||||||
Ratios to average net asset value: | ||||||||||||||||
Expenses prior to performance fee (3) | 2.23 | % | 2.42 | % | 2.27 | % | 2.43 | % | ||||||||
Performance fee (4) | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Total expenses | 2.23 | % | 2.42 | % | 2.27 | % | 2.43 | % | ||||||||
Net investment income (loss) (2),(3) | (0.95 | )% | (1.72 | )% | (1.12 | )% | (1.59 | )% |
Series D (1) | ||||||||
Three Months Ended September 30, 2018 | Nine Months Ended September 30, 2018 | |||||||
Per Unit Performance | ||||||||
(for a unit outstanding throughout the entire period) | ||||||||
Net asset value per unit at beginning of period | $ | 993.47 | $ | 1,052.25 | ||||
Income (loss) from operations: | ||||||||
Total net trading gains (losses) (2) | (2.44 | ) | (54.12 | ) | ||||
Net investment income (loss) (2) | (1.55 | ) | (6.16 | ) | ||||
Total net income (loss) from operations | (3.99 | ) | (60.28 | ) | ||||
Offering costs (2) | (1.23 | ) | (3.72 | ) | ||||
Net asset value per unit at end of period | $ | 988.25 | $ | 988.25 | ||||
Total Return (5) | (0.53 | )% | (6.08 | )% | ||||
Supplemental Data | ||||||||
Ratios to average net asset value: | ||||||||
Expenses prior to performance fee (4) | 3.02 | % | 2.87 | % | ||||
Performance fee (5) | 0.00 | % | 0.00 | % | ||||
Total expenses | 3.02 | % | 2.87 | % | ||||
Net investment income (loss) (3),(4) | (0.63 | )% | (0.79 | )% |
(1) | Series D Units commenced trading on October 1, 2017. |
(2) | 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. |
(3) | Excludes performance fee. |
(4) | Annualized. |
(5) | Not annualized. |
Series W | ||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
Per Unit Performance | ||||||||||||||||
(for a unit outstanding throughout the entire period) | ||||||||||||||||
Net asset value per unit at beginning of period | $ | 2,828.21 | $ | 2,726.26 | $ | 2,978.63 | $ | 2,847.19 | ||||||||
Income (loss) from operations: | ||||||||||||||||
Total net trading gains (losses) (1) | (7.31 | ) | 58.01 | (143.01 | ) | (38.82 | ) | |||||||||
Net investment income (loss) (1) | 1.23 | (6.55 | ) | (6.25 | ) | (23.56 | ) | |||||||||
Total net income (loss) from operations | (6.08 | ) | 51.46 | (149.26 | ) | (62.38 | ) | |||||||||
Offering costs (1) | (3.50 | ) | (3.50 | ) | (10.74 | ) | (10.59 | ) | ||||||||
Net asset value per unit at end of period | $ | 2,818.63 | $ | 2,774.22 | $ | 2,818.63 | $ | 2,774.22 | ||||||||
Total Return (4) | (0.34 | )% | 1.76 | % | (5.37 | )% | (2.56 | )% | ||||||||
Supplemental Data | ||||||||||||||||
Ratios to average net asset value: | ||||||||||||||||
Expenses prior to performance fee (3) | 2.46 | % | 2.23 | % | 2.32 | % | 2.27 | % | ||||||||
Performance fee (4) | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Total expenses | 2.46 | % | 2.23 | % | 2.32 | % | 2.27 | % | ||||||||
Net investment income (loss) (2),(3) | 0.19 | % | (0.95 | )% | (0.30 | )% | (1.12 | )% |
(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. |
Table of Contents |
THE CAMPBELL FUND TRUST NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2018 (Unaudited) |
Table of Contents |
THE CAMPBELL FUND TRUST NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2018 (Unaudited) |
Fair Value at September 30, 2018 | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Short term investments | $ | 12,259 | $ | 0 | $ | 0 | $ | 12,259 | ||||||||
Fixed income securities | 0 | 315,837,369 | 0 | 315,837,369 | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Exchange-traded futures contracts | 11,953,003 | 0 | 0 | 11,953,003 | ||||||||||||
Forward currency contracts | 0 | (4,656,603 | ) | 0 | (4,656,603 | ) | ||||||||||
Total | $ | 11,965,262 | $ | 311,180,766 | $ | 0 | $ | 323,146,028 |
Fair Value at September 30, 2017 | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Short term investments | $ | 1,732,554 | $ | 0 | $ | 0 | $ | 1,732,554 | ||||||||
Fixed income securities | 0 | 493,108,704 | 0 | 493,108,704 | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Exchange-traded futures contracts | 11,061,588 | 0 | 0 | 11,061,588 | ||||||||||||
Forward currency contracts | 0 | (7,378,766 | ) | 0 | (7,378,766 | ) | ||||||||||
Total | $ | 12,794,142 | $ | 485,729,938 | $ | 0 | $ | 498,524,080 |
Fair Value at December 31, 2016 | Fair Value at December 31, 2017 | |||||||||||||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Investments | ||||||||||||||||||||||||||||||||
Short term investments | $ | 2,602 | $ | 0 | $ | 0 | $ | 2,602 | $ | 12,271 | $ | 0 | $ | 0 | $ | 12,271 | ||||||||||||||||
Fixed income securities | 0 | 716,421,995 | 0 | 716,421,995 | 0 | 494,456,527 | 0 | 494,456,527 | ||||||||||||||||||||||||
Other Financial Instruments | ||||||||||||||||||||||||||||||||
Exchange-traded futures contracts | 3,672,086 | 0 | 0 | 3,672,086 | 8,994,460 | 0 | 0 | 8,994,460 | ||||||||||||||||||||||||
Forward currency contracts | 0 | 5,887,335 | 0 | 5,887,335 | 0 | 3,101,864 | 0 | 3,101,864 | ||||||||||||||||||||||||
Total | $ | 3,674,688 | $ | 722,309,330 | $ | 0 | $ | 725,984,018 | $ | 9,006,731 | $ | 497,558,391 | $ | 0 | $ | 506,565,122 |
Table of Contents |
THE CAMPBELL FUND TRUST NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2018 (Unaudited) |
Table of Contents |
THE CAMPBELL FUND TRUST NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2018 (Unaudited) |
Table of Contents |
THE CAMPBELL FUND TRUST NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2018 (Unaudited) |
Table of Contents |
THE CAMPBELL FUND TRUST NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2018 (Unaudited) |
Type of Instrument * | Statements of Financial Condition Location | Asset Derivatives at September 30, 2017 Fair Value | Liability Derivatives at September 30, 2017 Fair Value | Net | Statements of Financial Condition Location | Asset Derivatives at September 30, 2018 Fair Value | Liability Derivatives at September 30, 2018 Fair Value | Net | ||||||||||||||||||
Agriculture Contracts | Net unrealized gain (loss) on open futures contracts | $ | 1,816,290 | $ | (964,552 | ) | $ | 851,738 | Net unrealized gain (loss) on open futures contracts | $ | 3,250,765 | $ | (976,665 | ) | $ | 2,274,100 | ||||||||||
Energy Contracts | Net unrealized gain (loss) on open futures contracts | 1,308,516 | (103,603 | ) | 1,204,913 | Net unrealized gain (loss) on open futures contracts | 3,528,912 | (307,415 | ) | 3,221,497 | ||||||||||||||||
Metal Contracts | Net unrealized gain (loss) on open futures contracts | 2,871,772 | (4,516,961 | ) | (1,645,189 | ) | Net unrealized gain (loss) on open futures contracts | 4,911,278 | (4,433,332 | ) | 477,946 | |||||||||||||||
Stock Indices Contracts | Net unrealized gain (loss) on open futures contracts | 12,979,715 | (704,239 | ) | 12,275,476 | Net unrealized gain (loss) on open futures contracts | 4,901,654 | (1,180,138 | ) | 3,721,516 | ||||||||||||||||
Short-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 548,250 | (248,008 | ) | 300,242 | Net unrealized gain (loss) on open futures contracts | 1,808,560 | (121,488 | ) | 1,687,072 | ||||||||||||||||
Long-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 2,544,841 | (4,470,433 | ) | (1,925,592 | ) | Net unrealized gain (loss) on open futures contracts | 1,970,554 | (1,399,682 | ) | 570,872 | |||||||||||||||
Forward Currency Contracts | Net unrealized gain (loss) on open forward currency contracts | 10,757,037 | (18,135,803 | ) | (7,378,766 | ) | Net unrealized gain (loss) on open forward currency contracts | 7,181,092 | (11,837,695 | ) | (4,656,603 | ) | ||||||||||||||
Totals | $ | 32,826,421 | $ | (29,143,599 | ) | $ | 3,682,822 | $ | 27,552,815 | $ | (20,256,415 | ) | $ | 7,296,400 |
* | Derivatives not designated as hedging instruments under ASC 815 |
Type of Instrument * | Statements of Financial Condition Location | Asset Derivatives at December 31, 2017 Fair Value | Liability Derivatives at December 31, 2017 Fair Value | Net | |||||||||
Agriculture Contracts | Net unrealized gain (loss) on open futures contracts | $ | 3,638,592 | $ | (305,890 | ) | $ | 3,332,702 | |||||
Energy Contracts | Net unrealized gain (loss) on open futures contracts | 4,230,158 | (1,767,097 | ) | 2,463,061 | ||||||||
Metal Contracts | Net unrealized gain (loss) on open futures contracts | 6,733,650 | (2,806,128 | ) | 3,927,522 | ||||||||
Stock Indices Contracts | Net unrealized gain (loss) on open futures contracts | 6,430,613 | (2,540,535 | ) | 3,890,078 | ||||||||
Short-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 509,198 | (498,702 | ) | 10,496 | ||||||||
Long-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 853,564 | (5,482,963 | ) | (4,629,399 | ) | |||||||
Forward Currency Contracts | Net unrealized gain (loss) on open forward currency contracts | 17,067,988 | (13,966,124 | ) | 3,101,864 | ||||||||
Totals | $ | 39,463,763 | $ | (27,367,439 | ) | $ | 12,096,324 |
* | Derivatives not designated as hedging instruments under ASC 815 |
Table of Contents |
THE CAMPBELL FUND TRUST NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2018 (Unaudited) |
Type of Instrument * | Statements of Financial Condition Location | Asset Derivatives at December 31, 2016 Fair Value | Liability Derivatives at December 31, 2016 Fair Value | Net | ||||||||
Agriculture Contracts | Net unrealized gain (loss) on open futures contracts | $ | 5,066,010 | $ | (3,189,403 | ) | $ | 1,876,607 | ||||
Energy Contracts | Net unrealized gain (loss) on open futures contracts | 2,494,222 | (138,066 | ) | 2,356,156 | |||||||
Metal Contracts | Net unrealized gain (loss) on open futures contracts | 1,118,907 | (7,285,751 | ) | (6,166,844 | ) | ||||||
Stock Indices Contracts | Net unrealized gain (loss) on open futures contracts | 7,600,744 | (3,653,485 | ) | 3,947,259 | |||||||
Short-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 223,914 | (709,598 | ) | (485,684 | ) | ||||||
Long-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 3,543,933 | (1,399,341 | ) | 2,144,592 | |||||||
Forward Currency Contracts | Net unrealized gain (loss) on open forward currency contracts | 16,315,362 | (10,428,027 | ) | 5,887,335 | |||||||
Totals | $ | 36,363,092 | $ | (26,803,671 | ) | $ | 9,559,421 |
Type of Instrument | Trading Gains/(Losses) for the Three Months Ended September 30, 2018 | Trading Gains/(Losses) for the Three Months Ended September 30, 2017 | ||||||
Agriculture Contracts | $ | 209,385 | $ | (13,357,258 | ) | |||
Energy Contracts | (1,590,094 | ) | (52,059 | ) | ||||
Metal Contracts | (953,901 | ) | (4,473,131 | ) | ||||
Stock Indices Contracts | 3,582,132 | 22,514,141 | ||||||
Short-Term Interest Rate Contracts | 2,557,125 | (1,128,656 | ) | |||||
Long-Term Interest Rate Contracts | (7,102,904 | ) | 1,510,743 | |||||
Forward Currency Contracts | 2,238,536 | 8,927,904 | ||||||
Total | $ | (1,059,721 | ) | $ | 13,941,684 |
Type of Instrument | Trading Gains/(Losses) for the Three Months Ended September 30, 2017 | Trading Gains/(Losses) for the Three Months Ended September 30, 2016 | Trading Gains/(Losses) for the Nine Months Ended September 30, 2018 | Trading Gains/(Losses) for the Nine Months Ended September 30, 2017 | ||||||||||||
Agriculture Contracts | $ | (13,357,258 | ) | $ | 7,727,273 | $ | (8,213,942 | ) | $ | (24,397,575 | ) | |||||
Energy Contracts | (52,059 | ) | (12,371,532 | ) | 11,573,037 | (24,932,225 | ) | |||||||||
Metal Contracts | (4,473,131 | ) | (5,845,334 | ) | (11,292,306 | ) | (1,893,044 | ) | ||||||||
Stock Indices Contracts | 22,514,141 | 11,672,523 | (24,360,817 | ) | 99,950,270 | |||||||||||
Short-Term Interest Rate Contracts | (1,128,656 | ) | (1,788,940 | ) | 8,473,271 | (5,075,663 | ) | |||||||||
Long-Term Interest Rate Contracts | 1,510,743 | (13,503,510 | ) | (3,909,376 | ) | (23,100,013 | ) | |||||||||
Forward Currency Contracts | 8,927,904 | (15,040,988 | ) | 3,291,789 | (26,133,679 | ) | ||||||||||
Total | $ | 13,941,684 | $ | (29,150,508 | ) | $ | (24,438,344 | ) | $ | (5,581,929 | ) |
Line Item in the Statements of Operations | Trading Gains/(Losses) for the Three Months Ended September 30, 2018 | Trading Gains/(Losses) for the Three Months Ended September 30, 2017 | ||||||
Futures trading gains (losses): | ||||||||
Realized** | $ | (11,039,683 | ) | $ | (35,573,374 | ) | ||
Change in unrealized | 7,741,426 | 40,587,154 | ||||||
Forward currency trading gains (losses): | ||||||||
Realized | 18,335,233 | 14,537,016 | ||||||
Change in unrealized | (16,096,697 | ) | (5,609,112 | ) | ||||
Total | $ | (1,059,721 | ) | $ | 13,941,684 |
Line Item in the Statements of Operations | Trading Gains/(Losses) for the Nine Months Ended September 30, 2018 | Trading Gains/(Losses) for the Nine Months Ended September 30, 2017 | ||||||
Futures trading gains (losses): | ||||||||
Realized** | $ | (30,688,676 | ) | $ | 13,162,248 | |||
Change in unrealized | 2,958,543 | 7,389,502 | ||||||
Forward currency trading gains (losses): | ||||||||
Realized | 11,050,256 | (12,867,578 | ) | |||||
Change in unrealized | (7,758,467 | ) | (13,266,101 | ) | ||||
Total | $ | (24,438,344 | ) | $ | (5,581,929 | ) |
** | Amounts differ from the amounts on the Statements of Operations as the amounts above do not include gains and losses on foreign currency cash balances at the futures brokers. |
Type of Instrument | Trading Gains/(Losses) for the Nine Months Ended September 30, 2017 | Trading Gains/(Losses) for the Nine Months Ended September 30, 2016 | ||||||
Agriculture Contracts | $ | (24,397,575 | ) | $ | (4,898,501 | ) | ||
Energy Contracts | (24,932,225 | ) | (35,449,754 | ) | ||||
Metal Contracts | (1,893,044 | ) | (15,268,152 | ) | ||||
Stock Indices Contracts | 99,950,270 | (12,565,063 | ) | |||||
Short-Term Interest Rate Contracts | (5,075,663 | ) | (5,604,922 | ) | ||||
Long-Term Interest Rate Contracts | (23,100,013 | ) | 46,001,412 | |||||
Forward Currency Contracts | (26,133,679 | ) | (21,913,543 | ) | ||||
Total | $ | (5,581,929 | ) | $ | (49,698,523 | ) |
Line Item in the Statements of Operations | Trading Gains/(Losses) for the Three Months Ended September 30, 2017 | Trading Gains/(Losses) for the Three Months Ended September 30, 2016 | ||||||
Futures trading gains (losses): | ||||||||
Realized** | $ | (35,573,374 | ) | $ | (2,432,212 | ) | ||
Change in unrealized | 40,587,154 | (11,677,308 | ) | |||||
Forward currency trading gains (losses): | ||||||||
Realized | 14,537,016 | (6,752,196 | ) | |||||
Change in unrealized | (5,609,112 | ) | (8,288,792 | ) | ||||
Total | $ | 13,941,684 | $ | (29,150,508 | ) |
Line Item in the Statements of Operations | Trading Gains/(Losses) for the Nine Months Ended September 30, 2017 | Trading Gains/(Losses) for the Nine Months Ended September 30, 2016 | ||||||
Futures trading gains (losses): | ||||||||
Realized** | $ | 13,162,248 | $ | (56,206,851 | ) | |||
Change in unrealized | 7,389,502 | 28,421,871 | ||||||
Forward currency trading gains (losses): | ||||||||
Realized | (12,867,578 | ) | (16,779,911 | ) | ||||
Change in unrealized | (13,266,101 | ) | (5,133,632 | ) | ||||
Total | $ | (5,581,929 | ) | $ | (49,698,523 | ) |
Table of Contents |
THE CAMPBELL FUND TRUST NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2018 (Unaudited) |
THE CAMPBELL FUND TRUST NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, |
Offsetting of Derivative Assets | |||||||||||||
As of September 30, 2018 | |||||||||||||
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 | $ | 10,248,802 | $ | (4,442,104 | ) | $ | 5,806,698 | |||||
Futures contracts | Goldman Sachs | 10,122,921 | (3,976,616 | ) | 6,146,305 | ||||||||
Forward currency contracts | NatWest Markets plc | 7,181,092 | (7,181,092 | ) | 0 | ||||||||
Total derivatives | $ | 27,552,815 | $ | (15,599,812 | ) | $ | 11,953,003 |
Derivative Assets and Collateral Received by Counterparty | ||||||||||||||||
As of September 30, 2018 | ||||||||||||||||
Net Amounts of Unrealized Gain in the Statements of Financial Condition | Gross Amounts Not Offset in the Statements of Financial Condition | |||||||||||||||
Counterparty | Financial Instruments | Cash Collateral Received | Net Amount | |||||||||||||
UBS Securities LLC | $ | 5,806,698 | $ | 0 | $ | 0 | $ | 5,806,698 | ||||||||
Goldman Sachs | 6,146,305 | 0 | 0 | 6,146,305 | ||||||||||||
NatWest Markets plc | 0 | 0 | 0 | 0 | ||||||||||||
Total | $ | 11,953,003 | $ | 0 | $ | 0 | $ | 11,953,003 |
Offsetting of Derivative Liabilities | |||||||||||||
As of September 30, 2018 | |||||||||||||
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 | $ | 4,442,104 | $ | (4,442,104 | ) | $ | 0 | |||||
Futures contracts | Goldman Sachs | 3,976,616 | (3,976,616 | ) | 0 | ||||||||
Forward currency contracts | NatWest Markets plc | 11,837,695 | (7,181,092 | ) | 4,656,603 | ||||||||
Total derivatives | $ | 20,256,415 | $ | (15,599,812 | ) | $ | 4,656,603 |
Derivative Liabilities and Collateral Pledged by Counterparty | ||||||||||||||||
As of September 30, 2018 | ||||||||||||||||
Net Amounts of Unrealized Loss in the Statements of Financial Condition | Gross Amounts Not Offset in the Statements of Financial Condition | |||||||||||||||
Counterparty | Financial Instruments | Cash Collateral Pledged | Net Amount | |||||||||||||
UBS Securities LLC | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
Goldman Sachs | 0 | 0 | 0 | 0 | ||||||||||||
NatWest Markets plc | 4,656,603 | 0 | (4,656,603 | ) | 0 | |||||||||||
Total | $ | 4,656,603 | $ | 0 | $ | (4,656,603 | ) | $ | 0 |
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 | $ | 11,046,135 | $ | (5,518,211 | ) | $ | 5,527,924 | |||||
Futures contracts | Goldman Sachs | 11,023,249 | (5,489,585 | ) | 5,533,664 | ||||||||
Forward currency contracts | Royal Bank of Scotland | 10,757,037 | (10,757,037 | ) | 0 | ||||||||
Total derivatives | $ | 32,826,421 | $ | (21,764,833 | ) | $ | 11,061,588 |
Gross Amounts Not Offset in the Statements of Financial Condition | ||||||||||||||||
Counterparty | Net Amounts of Unrealized Gain in the Statements of Financial Condition | Financial Instruments | Cash Collateral Received | Net Amount | ||||||||||||
UBS Securities LLC | $ | 5,527,924 | $ | 0 | $ | 0 | $ | 5,527,924 | ||||||||
Goldman Sachs | 5,533,664 | 0 | 0 | 5,533,664 | ||||||||||||
Royal Bank of Scotland | 0 | 0 | 0 | 0 | ||||||||||||
Total | $ | 11,061,588 | $ | 0 | $ | 0 | $ | 11,061,588 |
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 | $ | 5,518,211 | $ | (5,518,211 | ) | $ | 0 | |||||
Futures contracts | Goldman Sachs | 5,489,585 | (5,489,585 | ) | 0 | ||||||||
Forward currency contracts | Royal Bank of Scotland | 18,135,803 | (10,757,037 | ) | 7,378,766 | ||||||||
Total derivatives | $ | 29,143,599 | $ | (21,764,833 | ) | $ | 7,378,766 |
NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, |
Offsetting of Derivative Assets | |||||||||||||
As of December 31, 2017 | |||||||||||||
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 | $ | 11,246,678 | $ | (6,805,740 | ) | $ | 4,440,938 | |||||
Futures contracts | Goldman Sachs | 11,149,097 | (6,595,575 | ) | 4,553,522 | ||||||||
Forward currency contracts | NatWest Markets plc | 17,067,988 | (13,966,124 | ) | 3,101,864 | ||||||||
Total derivatives | $ | 39,463,763 | $ | (27,367,439 | ) | $ | 12,096,324 |
Derivative Assets and Collateral Received by Counterparty | ||||||||||||||||
As of December 31, 2017 | ||||||||||||||||
Net Amounts of Unrealized Gain in the Statements of Financial Condition | Gross Amounts Not Offset in the Statements of Financial Condition | |||||||||||||||
Counterparty | Financial Instruments | Cash Collateral Received | Net Amount | |||||||||||||
UBS Securities LLC | $ | 4,440,938 | $ | 0 | $ | 0 | $ | 4,440,938 | ||||||||
Goldman Sachs | 4,553,522 | 0 | 0 | 4,553,522 | ||||||||||||
NatWest Markets plc | 3,101,864 | 0 | 0 | 3,101,864 | ||||||||||||
Total | $ | 12,096,324 | $ | 0 | $ | 0 | $ | 12,096,324 |
Offsetting of Derivative Liabilities | |||||||||||||
As of December 31, 2017 | |||||||||||||
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 | $ | 6,805,740 | $ | (6,805,740 | ) | $ | 0 | |||||
Futures contracts | Goldman Sachs | 6,595,575 | (6,595,575 | ) | 0 | ||||||||
Forward currency contracts | NatWest Markets plc | 13,966,124 | (13,966,124 | ) | 0 | ||||||||
Total derivatives | $ | 27,367,439 | $ | (27,367,439 | ) | $ | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty | Derivative Liabilities and Collateral Pledged by Counterparty | |||||||||||||||||||||||||||||||
As of December 31, 2017 | As of December 31, 2017 | |||||||||||||||||||||||||||||||
Gross Amounts Not Offset in the Statements of Financial Condition | Net Amounts of Unrealized Loss in the Statements of Financial Condition | Gross Amounts Not Offset in the Statements of Financial Condition | ||||||||||||||||||||||||||||||
Counterparty | Net Amounts of Unrealized Loss in the Statements of Financial Condition | Financial Instruments | Cash Collateral Pledged | Net Amount | Financial Instruments | Cash Collateral Pledged | Net Amount | |||||||||||||||||||||||||
UBS Securities LLC | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||
Goldman Sachs | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
Royal Bank of Scotland | 7,378,766 | (7,378,766 | )* | 0 | 0 | |||||||||||||||||||||||||||
NatWest Markets plc | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Total | $ | 7,378,766 | $ | (7,378,766 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
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 | 10,038,562 | $ | (8,236,421 | ) | $ | 1,802,141 | ||||||
Futures contracts | Goldman Sachs | 10,009,168 | (8,139,223 | ) | 1,869,945 | ||||||||
Forward currency contracts | Royal Bank of Scotland | 16,315,362 | (10,428,027 | ) | 5,887,335 | ||||||||
Total derivatives | $ | 36,363,092 | $ | (26,803,671 | ) | $ | 9,559,421 |
THE CAMPBELL FUND TRUST NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2018 (Unaudited) |
Gross Amounts Not Offset in the Statements of Financial Condition | ||||||||||||||||
Counterparty | Net Amounts of Unrealized Gain in the Statements of Financial Condition | Financial Instruments | Cash Collateral Received | Net Amount | ||||||||||||
UBS Securities LLC | $ | 1,802,141 | $ | 0 | $ | 0 | $ | 1,802,141 | ||||||||
Goldman Sachs | 1,869,945 | 0 | 0 | 1,869,945 | ||||||||||||
Royal Bank of Scotland | 5,887,335 | 0 | 0 | 5,887,335 | ||||||||||||
Total | $ | 9,559,421 | $ | 0 | $ | 0 | $ | 9,559,421 |
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 | $ | 8,236,421 | $ | (8,236,421 | ) | $ | 0 | |||||
Futures contracts | Goldman Sachs | 8,139,223 | (8,139,223 | ) | 0 | ||||||||
Forward currency contracts | Royal Bank of Scotland | 10,428,027 | (10,428,027 | ) | 0 | ||||||||
Total derivatives | $ | 26,803,671 | �� | $ | (26,803,671 | ) | $ | 0 |
Gross Amounts Not Offset in the Statements of Financial Condition | ||||||||||||||||
Counterparty | Net Amounts of Unrealized Loss in the Statements of Financial Condition | Financial Instruments | Cash Collateral Pledged | Net Amount | ||||||||||||
UBS Securities LLC | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
Goldman Sachs | 0 | 0 | 0 | 0 | ||||||||||||
Royal Bank of Scotland | 0 | 0 | 0 | 0 | ||||||||||||
Total | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
Sector | % Gain (Loss) | |||
Commodities | (1.21 | )% | ||
Currencies | 0.81 | |||
Interest Rates | 0.58 | |||
Stock Indices | (4.53 | ) | ||
(4.35 | )% |
Sector | % Gain (Loss) | |||
Commodities | (7.85 | )% | ||
Currencies | (3.57 | ) | ||
Interest Rates | (4.22 | ) | ||
Stock Indices | 14.73 | |||
(0.91 | )% |
September 30, 2018 | ||||||||
Market Sector | Value at Risk* | Trading Gain/(Loss)** | ||||||
Commodities | 0.70 | % | (1.21 | )% | ||||
Currencies | 0.85 | % | 0.81 | % | ||||
Interest Rates | 0.33 | % | 0.58 | % | ||||
Stock Indices | 0.72 | % | (4.53 | )% | ||||
Aggregate/Total | 1.31 | % | (4.35 | )% |
September 30, 2017 | ||||||||
Market Sector | Value at Risk* | Trading Gain/(Loss)** | ||||||
Commodities | 0.52 | % | (7.85 | )% | ||||
Currencies | 0.82 | % | (3.57 | )% | ||||
Interest Rates | 0.46 | % | (4.22 | )% | ||||
Stock Indices | 1.01 | % | 14.73 | % | ||||
Aggregate/Total | 1.38 | % | (0.91 | )% |
* |
** |
December 31, 2017 | ||||||||
Market Sector | Value at Risk* | Trading Gain/(Loss)** | ||||||
Commodities | 0.53 | % | (5.04 | )% | ||||
Currencies | 0.42 | % | (5.05 | )% | ||||
Interest Rates | 0.52 | % | (4.29 | )% | ||||
Stock Indices | 0.74 | % | 21.08 | % | ||||
Aggregate/Total | 1.24 | % | 6.70 | % |
December 31, 2016 | ||||||||
Market Sector | Value at Risk* | Trading Gain/(Loss)** | ||||||
Commodities | 0.60 | % | (11.69 | )% | ||||
Currencies | 0.58 | % | (0.74 | )% | ||||
Interest Rates | 0.22 | % | 3.30 | % | ||||
Stock Indices | 0.81 | % | 0.94 | % | ||||
Aggregate/Total | 1.43 | % | (8.19 | )% |
* |
** |
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. |
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, Managing Director, Operations and Finance, 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, Managing Director, Operations and Finance, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. | ||
101.01 | Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments September 30, 2018 and December 31, 2017, (ii) Statements of Financial Condition September 30, 2018 and December 31, 2017, (iii) Statements of Operations For the Three Months and Nine Months Ended September 30, 2018 and 2017, (iv) Statements of Cash Flows For the Nine Months Ended September 30, 2018 and 2017, (v) Statements of Changes in Unitholders' Capital (Net Asset Value) For the Nine Months Ended September 30, 2018 and 2017, (vi) Financial Highlights For the Three Months and Nine months Ended September 30, 2018 and 2017, (vii) Notes to Financial Statements. |
(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 on 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 | ||
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 | ||
101.01 | Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments |
THE CAMPBELL FUND TRUST (Registrant) | ||||
By: | Campbell & Company, LP | |||
Managing Operator | ||||
Date: November 14, 2018 | By: | /s/ G. William Andrews | ||
G. William Andrews | ||||
Chief Executive Officer |