☑ | 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 | ||
(410) 413-2600 | ||
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 | |||
10-13 | |||
14-24 | |||
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 | Description | Fair Value ($) | % of Net Asset Value | ||||||||
Asset Backed Securities | |||||||||||
United States | |||||||||||
Auto Loans | $ | 19,118,281 | 4.26 | % | |||||||
Credit Cards | 10,965,395 | 2.44 | % | ||||||||
Total Asset Backed Securities (cost $30,218,619) | 30,083,676 | 6.70 | % | ||||||||
Bank Deposits | |||||||||||
United States | |||||||||||
Financials | 7,548,447 | 1.68 | % | ||||||||
Total Bank Deposits (cost $7,548,618) | 7,548,447 | 1.68 | % | ||||||||
Commercial Paper | |||||||||||
Canada | |||||||||||
Financials (cost $9,595,508) | 9,590,478 | 2.14 | % | ||||||||
United States | |||||||||||
Communications | 29,118,788 | 6.48 | % | ||||||||
Consumer Discretionary | 2,392,091 | 0.53 | % | ||||||||
Energy | 12,640,662 | 2.82 | % | ||||||||
Financials | 3,600,085 | 0.80 | % | ||||||||
Industrials | 14,589,688 | 3.25 | % | ||||||||
Utilities | 62,792,508 | 13.98 | % | ||||||||
Total United States (cost $125,145,275) | 125,133,822 | 27.86 | % | ||||||||
Total Commercial Paper (cost $134,740,783) | 134,724,300 | 30.00 | % | ||||||||
Corporate Bonds | |||||||||||
Canada | |||||||||||
Financials (cost $13,013,852) | 12,966,241 | 2.89 | % | ||||||||
Ireland | |||||||||||
Financials (cost $2,976,072) | 2,963,341 | 0.66 | % | ||||||||
Japan | |||||||||||
Financials (cost $2,695,163) | 2,673,381 | 0.60 | % | ||||||||
United Kingdom | |||||||||||
Energy | 4,873,476 | 1.08 | % | ||||||||
Financials | 9,734,358 | 2.17 | % | ||||||||
Total United Kingdom (cost $14,634,834) | 14,607,834 | 3.25 | % | ||||||||
United States | |||||||||||
Communications | 12,704,364 | 2.83 | % | ||||||||
Consumer Discretionary | 13,850,914 | 3.08 | % | ||||||||
Consumer Staples | 12,661,847 | 2.82 | % | ||||||||
Energy | 2,772,131 | 0.62 | % | ||||||||
Financials | 62,959,188 | 14.02 | % | ||||||||
Industrials | 5,895,913 | 1.31 | % | ||||||||
Technology | 6,275,616 | 1.40 | % | ||||||||
Utilities | 1,492,776 | 0.33 | % | ||||||||
Total United States (cost $118,680,916) | 118,612,749 | 26.41 | % | ||||||||
Total Corporate Bonds (cost $152,000,837) | 151,823,546 | 33.81 | % | ||||||||
Government And Agency Obligations | |||||||||||
United States | |||||||||||
U.S. Treasury Bills | |||||||||||
$ | 10,985,000 | U.S. Treasury Bills Due 07/19/2018* | 10,976,084 | 2.44 | % | ||||||
$ | 19,292,500 | U.S. Treasury Bills Due 08/23/2018* | 19,241,782 | 4.29 | % | ||||||
$ | 29,162,500 | U.S. Treasury Bills Due 09/20/2018* | 29,041,152 | 6.47 | % | ||||||
Total Government And Agency Obligations (cost $59,253,228) | 59,259,018 | 13.20 | % | ||||||||
Total Fixed Income Securities ** (cost $383,762,085) | $ | 383,438,987 | 85.39 | % |
Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | ||||||||
Asset Backed Securities | |||||||||||
United States | |||||||||||
Auto Loans | $ | 14,703,723 | 3.87 | % | |||||||
Credit Cards | 7,989,027 | 2.10 | % | ||||||||
Equipment Loans | 950,417 | 0.25 | % | ||||||||
Total Asset Backed Securities (cost $23,721,555) | 23,643,167 | 6.22 | % | ||||||||
Bank Deposits | |||||||||||
United States | |||||||||||
Financials | 4,348,991 | 1.15 | % | ||||||||
Total Bank Deposits (cost $4,350,341) | 4,348,991 | 1.15 | % | ||||||||
Commercial Paper | |||||||||||
United States | |||||||||||
Communications | 22,857,535 | 6.02 | % | ||||||||
Consumer Discretionary | 18,975,081 | 5.00 | % | ||||||||
Consumer Staples | 15,384,963 | 4.05 | % | ||||||||
Energy | 7,512,334 | 1.98 | % | ||||||||
Financials | 11,881,856 | 3.13 | % | ||||||||
Industrials | 5,101,992 | 1.34 | % | ||||||||
Utilities | 19,447,178 | 5.12 | % | ||||||||
Total Commercial Paper (cost $101,182,289) | 101,160,939 | 26.64 | % | ||||||||
Corporate Bonds | |||||||||||
Canada | |||||||||||
Financials (cost $13,016,398) | 12,998,346 | 3.42 | % | ||||||||
Ireland | |||||||||||
Financials (cost $2,975,485) | 2,973,099 | 0.78 | % | ||||||||
Japan | |||||||||||
Financials (cost $2,696,326) | 2,681,439 | 0.71 | % | ||||||||
United Kingdom | |||||||||||
Financials (cost $9,750,461) | 9,755,759 | 2.57 | % | ||||||||
United States | |||||||||||
Communications | 12,697,203 | 3.34 | % | ||||||||
Consumer Discretionary | 9,599,687 | 2.53 | % | ||||||||
Consumer Staples | 12,676,640 | 3.34 | % | ||||||||
Energy | 2,772,025 | 0.73 | % | ||||||||
Financials | 46,026,656 | 12.12 | % | ||||||||
Industrials | 7,347,841 | 1.94 | % | ||||||||
Technology | 6,283,350 | 1.65 | % | ||||||||
Utilities | 942,339 | 0.25 | % | ||||||||
Total United States (cost $98,323,138) | 98,345,741 | 25.90 | % | ||||||||
Total Corporate Bonds (cost $126,761,808) | 126,754,384 | 33.38 | % | ||||||||
Government And Agency Obligations | |||||||||||
United States | |||||||||||
U.S. Treasury Bills | |||||||||||
$ | 12,685,000 | U.S. Treasury Bills Due 10/25/2018* | 12,667,474 | 3.34 | % | ||||||
$ | 19,292,500 | U.S. Treasury Bills Due 11/23/2018* | 19,232,747 | 5.06 | % | ||||||
$ | 28,162,500 | U.S. Treasury Bills Due 12/20/2018* | 28,029,667 | 7.38 | % | ||||||
Total Government And Agency Obligations (cost $59,932,937) | 59,929,888 | 15.78 | % | ||||||||
Total Fixed Income Securities ** (cost $315,948,930) | $ | 315,837,369 | 83.17 | % |
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 | ||||||
Money Market Funds | ||||||||
United States | ||||||||
Money Market Funds (cost $7,853) | $ | 7,853 | 0.00 | % | ||||
Total Short Term Investments (cost $7,853) | $ | 7,853 | 0.00 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Agriculture | $ | (814,187 | ) | (0.18 | )% | |||
Energy | 4,663,463 | 1.04 | % | |||||
Metals | (6,814,587 | ) | (1.52 | )% | ||||
Stock indices | (2,090,761 | ) | (0.47 | )% | ||||
Short-term interest rates | 373 | 0.00 | % | |||||
Long-term interest rates | 3,930,691 | 0.88 | % | |||||
Net unrealized gain (loss) on long futures contracts | $ | (1,125,008 | ) | (0.25 | )% |
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 | $ | 2,780,509 | 0.62 | % | ||||
Metals | 3,913,004 | 0.88 | % | |||||
Stock indices | 9,116 | 0.00 | % | |||||
Short-term interest rates | (613,504 | ) | (0.14 | )% | ||||
Long-term interest rates | (752,540 | ) | (0.17 | )% | ||||
Net unrealized gain (loss) on short futures contracts | $ | 5,336,585 | 1.19 | % | ||||
Net unrealized gain (loss) on open futures contracts | $ | 4,211,577 | 0.94 | % |
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 | $ | (5,786,620 | ) | (1.29 | )% | |||
Various short forward currency contracts | 17,226,714 | 3.84 | % | |||||
Net unrealized gain (loss) on open forward currency contracts | $ | 11,440,094 | 2.55 | % |
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 positions. |
** | Included in fixed income securities are U.S. Treasury Bills with a fair value of |
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 | |||||||||||
Financials | 3,693,397 | 0.68 | % | ||||||||
Total Bank Deposits (cost $3,692,357) | 3,693,397 | 0.68 | % | ||||||||
Commercial Paper | |||||||||||
Japan | |||||||||||
Financials (cost $6,721,959) | 6,720,957 | 1.23 | % | ||||||||
Switzerland | |||||||||||
Financials (cost $2,999,246) | 2,997,430 | 0.55 | % | ||||||||
United States | |||||||||||
Communications | 5,625,384 | 1.03 | % | ||||||||
Consumer Discretionary | 19,828,222 | 3.63 | % | ||||||||
Consumer Staples | 22,089,851 | 4.05 | % | ||||||||
Energy | 13,133,181 | 2.41 | % | ||||||||
Financials | 41,070,220 | 7.52 | % | ||||||||
Industrials | 32,138,351 | 5.89 | % | ||||||||
Utilities | 41,087,251 | 7.53 | % | ||||||||
Total United States (cost $174,999,805) | 174,972,460 | 32.06 | % | ||||||||
Total Commercial Paper (cost $184,721,010) | 184,690,847 | 33.84 | % | ||||||||
Corporate Bonds | |||||||||||
Canada | |||||||||||
Financials (cost $2,498,830) | 2,480,289 | 0.45 | % | ||||||||
United Kingdom | |||||||||||
Energy | 4,884,470 | 0.89 | % | ||||||||
Financials | 3,542,594 | 0.65 | % | ||||||||
Total United Kingdom (cost $8,448,898) | 8,427,064 | 1.54 | % | ||||||||
United States | |||||||||||
Communications | 37,630,534 | 6.89 | % | ||||||||
Consumer Discretionary | 17,008,422 | 3.12 | % | ||||||||
Consumer Staples | 11,818,118 | 2.17 | % | ||||||||
Energy | 7,713,153 | 1.41 | % | ||||||||
Financials | 69,000,751 | 12.65 | % | ||||||||
Industrials | 10,972,758 | 2.01 | % | ||||||||
Technology | 2,692,739 | 0.49 | % | ||||||||
Utilities | 1,491,913 | 0.27 | % | ||||||||
Total United States (cost $158,246,949) | 158,328,388 | 29.01 | % | ||||||||
Total Corporate Bonds (cost $169,194,677) | 169,235,741 | 31.00 | % | ||||||||
Government And Agency Obligations | |||||||||||
United States | |||||||||||
U.S. Treasury Bills | |||||||||||
$ | 25,292,500 | U.S. Treasury Bills Due 02/22/2018* | 25,247,353 | 4.63 | % | ||||||
$ | 37,867,500 | U.S. Treasury Bills Due 03/29/2018* | 37,744,133 | 6.91 | % | ||||||
$ | 35,680,000 | U.S. Treasury Bills Due 04/26/2018* | 35,526,056 | 6.51 | % | ||||||
Total Government And Agency Obligations (cost $98,557,453) | 98,517,542 | 18.05 | % | ||||||||
Total Fixed Income Securities ** (cost $494,566,079) | $ | 494,456,527 | 90.59 | % |
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 | ||||||
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 | $ | 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 | ||||||
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 | % |
* | 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 $67,430,443 deposited with the futures brokers and $31,087,099 deposited with the interbank market maker. |
June 30, 2018 | December 31, 2017 | |||||||
ASSETS | ||||||||
Equity in futures brokers trading accounts | ||||||||
Cash | $ | 36,936,692 | $ | 46,914,581 | ||||
Restricted cash | 0 | 936,583 | ||||||
Fixed income securities (cost $59,253,228 and $67,458,506, respectively) | 59,259,018 | 67,430,443 | ||||||
Net unrealized gain (loss) on open futures contracts | 4,211,577 | 8,994,460 | ||||||
Total equity in futures brokers trading accounts | 100,407,287 | 124,276,067 | ||||||
Cash and cash equivalents | 18,595,684 | 1,828,845 | ||||||
Restricted cash at interbank market maker | 17,863,894 | 0 | ||||||
Short term investments (cost $7,853 and $12,271, respectively) | 7,853 | 12,271 | ||||||
Fixed income securities (cost $324,508,857 and $427,107,573, respectively) | 324,179,969 | 427,026,084 | ||||||
Net unrealized gain (loss) on open forward currency contracts | 11,440,094 | 3,101,864 | ||||||
Interest receivable | 1,059,863 | 951,297 | ||||||
Subscription receivable | 101,836 | 50,000 | ||||||
Total assets | $ | 473,656,480 | $ | 557,246,428 | ||||
LIABILITIES | ||||||||
Accounts payable | $ | 371,563 | $ | 330,154 | ||||
Management fee payable | 1,470,128 | 1,740,589 | ||||||
Accrued commissions and other trading fees on open contracts | 79,539 | 79,893 | ||||||
Offering costs payable | 127,109 | 202,016 | ||||||
Performance fee payable | 0 | 3,207 | ||||||
Redemptions payable | 22,563,629 | 9,067,414 | ||||||
Total liabilities | 24,611,968 | 11,423,273 | ||||||
UNITHOLDERS’ CAPITAL (Net Asset Value) | ||||||||
Series A Units - Redeemable | ||||||||
Other Unitholders - 132,921.154 and 155,656.273 units outstanding at June 30, 2018 and December 31, 2017, respectively | 327,578,957 | 407,786,433 | ||||||
Series B Units – Redeemable | ||||||||
Other Unitholders - 22,077.786 and 24,609.317 units outstanding at June 30, 2018 and December 31, 2017, respectively | 59,117,983 | 69,925,360 | ||||||
Series D Units – Redeemable | ||||||||
Other Unitholders - 1,335.598 and 259.610 units outstanding at June 30, 2018 and December 31, 2017, respectively | 1,326,880 | 273,175 | ||||||
Series W Units – Redeemable | ||||||||
Other Unitholders - 21,575.737 and 22,774.964 units outstanding at June 30, 2018 and December 31, 2017, respectively | 61,020,692 | 67,838,187 | ||||||
Total unitholders’ capital (Net Asset Value) | 449,044,512 | 545,823,155 | ||||||
Total liabilities and unitholders’ capital (Net Asset Value) | $ | 473,656,480 | $ | 557,246,428 |
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 June 30, | Six Months Ended June 30, | Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||||||
2018 | 2017 | 2018 | 2017 | 2018 | 2017 | 2018 | 2017 | |||||||||||||||||||||||||
TRADING GAINS (LOSSES) | ||||||||||||||||||||||||||||||||
Futures trading gains (losses) | ||||||||||||||||||||||||||||||||
Realized | $ | 1,011,980 | $ | 28,497,527 | $ | (19,687,394 | ) | $ | 48,928,325 | $ | (11,042,290 | ) | $ | (35,734,432 | ) | $ | (30,729,684 | ) | $ | 13,193,894 | ||||||||||||
Change in unrealized | (4,735,980 | ) | (35,844,875 | ) | (4,782,883 | ) | (33,197,652 | ) | 7,741,426 | 40,587,154 | 2,958,543 | 7,389,502 | ||||||||||||||||||||
Brokerage commissions | (499,776 | ) | (902,457 | ) | (971,455 | ) | (1,710,074 | ) | (429,297 | ) | (589,443 | ) | (1,400,752 | ) | (2,299,517 | ) | ||||||||||||||||
Net gain (loss) from futures trading | (4,223,776 | ) | (8,249,805 | ) | (25,441,732 | ) | 14,020,599 | (3,730,161 | ) | 4,263,279 | (29,171,893 | ) | 18,283,879 | |||||||||||||||||||
Forward currency trading gains (losses) | ||||||||||||||||||||||||||||||||
Realized | (17,394,872 | ) | (21,901,706 | ) | (7,284,977 | ) | (27,404,594 | ) | 18,335,233 | 14,537,016 | 11,050,256 | (12,867,578 | ) | |||||||||||||||||||
Change in unrealized | 14,659,782 | 7,207,824 | 8,338,230 | (7,656,989 | ) | (16,096,697 | ) | (5,609,112 | ) | (7,758,467 | ) | (13,266,101 | ) | |||||||||||||||||||
Brokerage commissions | (43,877 | ) | (37,076 | ) | (79,217 | ) | (76,310 | ) | (40,089 | ) | (33,454 | ) | (119,306 | ) | (109,764 | ) | ||||||||||||||||
Net gain (loss) from forward currency trading | (2,778,967 | ) | (14,730,958 | ) | 974,036 | (35,137,893 | ) | 2,198,447 | 8,894,450 | 3,172,483 | (26,243,443 | ) | ||||||||||||||||||||
Total net trading gain (loss) | (7,002,743 | ) | (22,980,763 | ) | (24,467,696 | ) | (21,117,294 | ) | (1,531,714 | ) | 13,157,729 | (25,999,410 | ) | (7,959,564 | ) | |||||||||||||||||
NET INVESTMENT INCOME (LOSS) | ||||||||||||||||||||||||||||||||
Investment income | ||||||||||||||||||||||||||||||||
Interest income | 2,540,361 | 1,891,168 | 4,696,776 | 3,621,731 | 2,336,863 | 1,832,307 | 7,033,639 | 5,454,037 | ||||||||||||||||||||||||
Realized gain (loss) on fixed income securities | (48,217 | ) | (11,469 | ) | (47,585 | ) | 9,230 | (21,654 | ) | 25,562 | (69,239 | ) | 34,792 | |||||||||||||||||||
Change in unrealized gain (loss) on fixed income securities | 160,493 | 38,657 | (213,546 | ) | 133,946 | 211,537 | (3,943 | ) | (2,009 | ) | 130,003 | |||||||||||||||||||||
Total investment income | 2,652,637 | 1,918,356 | 4,435,645 | 3,764,907 | 2,526,746 | 1,853,926 | 6,962,391 | 5,618,832 | ||||||||||||||||||||||||
Expenses | ||||||||||||||||||||||||||||||||
Management fee | 4,517,057 | 6,318,438 | 9,548,623 | 13,201,962 | 3,944,102 | 5,537,951 | 13,492,725 | 18,739,913 | ||||||||||||||||||||||||
Service fee | 0 | 0 | 0 | 25,238 | 0 | 0 | 0 | 25,238 | ||||||||||||||||||||||||
Operating expenses | 276,672 | 352,824 | 571,888 | 716,156 | 282,906 | 296,548 | 854,794 | 1,012,704 | ||||||||||||||||||||||||
Total expenses | 4,793,729 | 6,671,262 | 10,120,511 | 13,943,356 | 4,227,008 | 5,834,499 | 14,347,519 | 19,777,855 | ||||||||||||||||||||||||
Net investment income (loss) | (2,141,092 | ) | (4,752,906 | ) | (5,684,866 | ) | (10,178,449 | ) | (1,700,262 | ) | (3,980,573 | ) | (7,385,128 | ) | (14,159,023 | ) | ||||||||||||||||
NET INCOME (LOSS) | $ | (9,143,835 | ) | $ | (27,733,669 | ) | $ | (30,152,562 | ) | $ | (31,295,743 | ) | $ | (3,231,976 | ) | $ | 9,177,156 | $ | (33,384,538 | ) | $ | (22,118,587 | ) | |||||||||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT (1) | ||||||||||||||||||||||||||||||||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (1) | ||||||||||||||||||||||||||||||||
(based on weighted average number of units outstanding during the period) | ||||||||||||||||||||||||||||||||
Series A | $ | (48.51 | ) | $ | (106.56 | ) | $ | (153.17 | ) | $ | (116.63 | ) | $ | (19.89 | ) | $ | 38.29 | $ | (178.48 | ) | $ | (88.30 | ) | |||||||||
Series B | $ | (51.01 | ) | $ | (111.75 | ) | $ | (165.64 | ) | $ | (120.67 | ) | $ | (27.76 | ) | $ | 38.71 | $ | (199.82 | ) | $ | (93.10 | ) | |||||||||
Series D | $ | (11.52 | ) | $ | - | $ | (43.00 | ) | $ | - | $ | (5.09 | ) | $ | - | $ | (40.88 | ) | $ | - | ||||||||||||
Series W | $ | (40.67 | ) | $ | (112.99 | ) | $ | (144.87 | ) | $ | (113.62 | ) | $ | (5.64 | ) | $ | 53.05 | $ | (158.95 | ) | $ | (62.77 | ) | |||||||||
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT (1) | ||||||||||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (1) | ||||||||||||||||||||||||||||||||
Series A | $ | (47.75 | ) | $ | (116.14 | ) | $ | (155.33 | ) | $ | (131.95 | ) | $ | (20.08 | ) | $ | 30.28 | $ | (175.41 | ) | $ | (101.67 | ) | |||||||||
Series B | $ | (50.45 | ) | $ | (122.20 | ) | $ | (163.71 | ) | $ | (135.83 | ) | $ | (19.08 | ) | $ | 36.08 | $ | (182.79 | ) | $ | (99.75 | ) | |||||||||
Series D | $ | (16.82 | ) | $ | - | $ | (58.78 | ) | $ | - | $ | (5.22 | ) | $ | - | $ | (64.00 | ) | $ | - | ||||||||||||
Series W | $ | (42.47 | ) | $ | (116.43 | ) | $ | (150.42 | ) | $ | (120.93 | ) | $ | (9.58 | ) | $ | 47.96 | $ | (160.00 | ) | $ | (72.97 | ) | |||||||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (1) | ||||||||||||||||||||||||||||||||
Series A | 145,474.670 | 202,463.071 | 149,848.919 | 210,814.718 | 129,372.124 | 179,814.990 | 143,023.321 | 200,481.475 | ||||||||||||||||||||||||
Series B | 22,878.199 | 31,776.749 | 23,615.439 | 33,721.597 | 19,710.876 | 28,337.449 | 22,313.918 | 31,926.881 | ||||||||||||||||||||||||
Series D | 1,084.928 | - | 710.889 | - | 1,311.521 | - | 911.099 | - | ||||||||||||||||||||||||
Series W | 22,297.407 | 23,085.060 | 22,487.301 | 23,226.914 | 18,480.544 | 22,533.621 | 21,151.715 | 22,995.816 |
(1) | Series D Units commenced trading on October 1, 2017. |
Six Months Ended June 30, | Nine Months Ended September 30, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
Cash flows from (for) operating activities | ||||||||||||||||
Net income (loss) | $ | (30,152,562 | ) | $ | (31,295,743 | ) | $ | (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 | (3,341,801 | ) | 40,720,695 | 4,801,933 | 5,746,596 | |||||||||||
(Increase) decrease in interest receivable | (108,566 | ) | 156,800 | 229,986 | 550,344 | |||||||||||
Increase (decrease) in payable for securities purchased | 0 | 6,233,933 | ||||||||||||||
Increase (decrease) in accounts payable and accrued expenses | (232,613 | ) | (578,480 | ) | (502,914 | ) | (718,185 | ) | ||||||||
Purchases of investments | (2,883,153,213 | ) | (3,778,268,643 | ) | (4,001,427,649 | ) | (5,512,191,987 | ) | ||||||||
Sales/maturities of investments | 2,993,961,625 | 3,906,796,240 | 4,180,044,810 | 5,733,905,329 | ||||||||||||
Net cash from (for) operating activities | 76,972,870 | 137,530,869 | 149,761,628 | 211,407,443 | ||||||||||||
Cash flows from (for) financing activities | ||||||||||||||||
Addition of units | 6,777,747 | 15,691,207 | 17,458,250 | 22,768,588 | ||||||||||||
Redemption of units | (59,111,754 | ) | (138,741,498 | ) | (144,205,933 | ) | (213,382,397 | ) | ||||||||
Offering costs paid | (922,602 | ) | (1,555,914 | ) | (1,313,961 | ) | (2,215,890 | ) | ||||||||
Net cash from (for) financing activities | (53,256,609 | ) | (124,606,205 | ) | (128,061,644 | ) | (192,829,699 | ) | ||||||||
Net increase (decrease) in cash, cash equivalents and restricted cash | 23,716,261 | 12,924,664 | 21,699,984 | 18,577,744 | ||||||||||||
Cash, cash equivalents and restricted cash at beginning of period | 49,680,009 | 47,611,597 | 49,680,009 | 47,611,597 | ||||||||||||
Cash, cash equivalents and restricted cash at end of period | $ | 73,396,270 | $ | 60,536,261 | $ | 71,379,993 | $ | 66,189,341 |
June 30, 2018 | December 31, 2017 | September 30, 2018 | December 31, 2017 | |||||||||||||
Cash, cash equivalents and restricted cash at end of period consists of: | ||||||||||||||||
Cash in futures brokers trading accounts | $ | 36,936,692 | $ | 46,914,581 | $ | 25,219,459 | $ | 46,914,581 | ||||||||
Restricted cash in futures brokers trading accounts | 0 | 936,583 | 0 | 936,583 | ||||||||||||
Cash and cash equivalents | 18,595,684 | 1,828,845 | 12,223,465 | 1,828,845 | ||||||||||||
Restricted cash at interbank market maker | 17,863,894 | 0 | 33,937,069 | 0 | ||||||||||||
Total cash, cash equivalents and restricted cash at end of period | $ | 73,396,270 | $ | 49,680,009 | $ | 71,379,993 | $ | 49,680,009 |
Series A - Other Unitholders | Series B - Other Unitholders | Series D - Other Unitholders (1) | Series A - Other Unitholders | Series B - Other Unitholders | Series D - Other Unitholders (1) | |||||||||||||||||||||||||||||||||||||||||||
Units | Amount | Units | Amount | Units | Amount | Units | Amount | Units | Amount | Units | Amount | |||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2018 | ||||||||||||||||||||||||||||||||||||||||||||||||
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 | 155,656.273 | $ | 407,786,433 | 24,609.317 | $ | 69,925,360 | 259.610 | $ | 273,175 | ||||||||||||||||||||||||||||||
Net income (loss) for the six months ended June 30, 2018 | (22,952,697 | ) | (3,911,570 | ) | (30,570 | ) | ||||||||||||||||||||||||||||||||||||||||||
Net income (loss) for the nine months ended September 30, 2018 | (25,526,482 | ) | (4,458,789 | ) | (37,243 | ) | ||||||||||||||||||||||||||||||||||||||||||
Additions | 1,665.740 | 4,160,018 | 0.000 | 0 | 1,075.988 | 1,086,054 | 3,905.626 | 9,652,453 | 0.000 | 0 | 1,106.256 | 1,116,063 | ||||||||||||||||||||||||||||||||||||
Redemptions | (24,400.859 | ) | (60,731,287 | ) | (2,531.531 | ) | (6,895,807 | ) | 0.000 | 0 | (37,427.690 | ) | (92,363,412 | ) | (7,515.098 | ) | (20,019,407 | ) | (51.250 | ) | (49,436 | ) | ||||||||||||||||||||||||||
Offering costs | (683,510 | ) | 0 | (1,779 | ) | (1,007,013 | ) | 0 | (3,392 | ) | ||||||||||||||||||||||||||||||||||||||
Balances at June 30, 2018 | 132,921.154 | $ | 327,578,957 | 22,077.786 | $ | 59,117,983 | 1,335.598 | $ | 1,326,880 | |||||||||||||||||||||||||||||||||||||||
Balances at September 30, 2018 | 122,134.209 | $ | 298,541,979 | 17,094.219 | $ | 45,447,164 | 1,314.616 | $ | 1,299,167 | |||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2017 | �� | |||||||||||||||||||||||||||||||||||||||||||||||
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 | 224,143.366 | $ | 572,449,293 | 36,691.856 | $ | 101,127,802 | 0.000 | $ | 0 | ||||||||||||||||||||||||||||||
Net income (loss) for the six months ended June 30, 2017 | (24,587,687 | ) | (4,069,125 | ) | 0 | |||||||||||||||||||||||||||||||||||||||||||
Net income (loss) for the nine months ended September 30, 2017 | (17,702,837 | ) | (2,972,272 | ) | 0 | |||||||||||||||||||||||||||||||||||||||||||
Additions | 4,342.487 | 10,936,571 | 14.356 | 40,002 | 0.000 | 0 | 5,216.144 | 13,093,925 | 14.356 | 40,002 | 117.000 | 117,000 | ||||||||||||||||||||||||||||||||||||
Redemptions | (38,349.975 | ) | (96,953,218 | ) | (7,613.470 | ) | (20,866,700 | ) | 0.000 | 0 | (62,083.237 | ) | (155,739,483 | ) | (9,719.061 | ) | (26,507,075 | ) | 0.000 | 0 | ||||||||||||||||||||||||||||
Offering costs | (1,336,820 | ) | 0 | 0 | (1,894,545 | ) | 0 | 0 | ||||||||||||||||||||||||||||||||||||||||
Balances at June 30, 2017 | 190,135.878 | $ | 460,508,139 | 29,092.742 | $ | 76,231,979 | 0.000 | $ | 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 | ||||||||||||||
June 30, 2018 | December 31, 2017 | June 30, 2017 | December 31, 2016 | |||||||||||
$ | 2,464.46 | $ | 2,619.79 | $ | 2,421.99 | $ | 2,553.94 |
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 B | ||||||||||||||
June 30, 2018 | December 31, 2017 | June 30, 2017 | December 31, 2016 | |||||||||||
$ | 2,677.71 | $ | 2,841.42 | $ | 2,620.31 | $ | 2,756.14 |
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) | ||||||||||||||
June 30, 2018 | December 31, 2017 | June 30, 2017 | December 31, 2016 | |||||||||||
$ | 993.47 | $ | 1,052.25 | $ | 0.00 | $ | 0.00 |
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 | Series W - Other Unitholders | Trust | |||||||||||||||||||||
Units | Amount | Total Amount | Units | Amount | Total Amount | |||||||||||||||||||
Six Months Ended June 30, 2018 | ||||||||||||||||||||||||
Nine Months Ended September 30, 2018 | ||||||||||||||||||||||||
Balances at December 31, 2017 | 22,774.964 | $ | 67,838,187 | $ | 545,823,155 | 22,774.964 | $ | 67,838,187 | $ | 545,823,155 | ||||||||||||||
Net income (loss) for the six months ended June 30, 2018 | (3,257,725 | ) | (30,152,562 | ) | ||||||||||||||||||||
Net income (loss) for the nine months ended September 30, 2018 | (3,362,024 | ) | (33,384,538 | ) | ||||||||||||||||||||
Additions | 556.428 | 1,583,511 | 6,829,583 | 2,347.338 | 6,639,734 | 17,408,250 | ||||||||||||||||||
Redemptions | (1,755.655 | ) | (4,980,875 | ) | (72,607,969 | ) | (12,897.991 | ) | (36,433,033 | ) | (148,865,288 | ) | ||||||||||||
Offering costs | (162,406 | ) | (847,695 | ) | (227,081 | ) | (1,237,486 | ) | ||||||||||||||||
Balances at June 30, 2018 | 21,575.737 | $ | 61,020,692 | $ | 449,044,512 | |||||||||||||||||||
Balances at September 30, 2018 | 12,224.311 | $ | 34,455,783 | $ | 379,744,093 | |||||||||||||||||||
Six Months Ended June 30, 2017 | ||||||||||||||||||||||||
Nine Months Ended September 30, 2017 | ||||||||||||||||||||||||
Balances at December 31, 2016 | 23,481.665 | $ | 66,856,645 | $ | 740,433,740 | 23,481.665 | $ | 66,856,645 | $ | 740,433,740 | ||||||||||||||
Net income (loss) for the six months ended June 30, 2017 | (2,638,931 | ) | (31,295,743 | ) | ||||||||||||||||||||
Net income (loss) for the nine months ended September 30, 2017 | (1,443,478 | ) | (22,118,587 | ) | ||||||||||||||||||||
Additions | 1,683.098 | 4,789,430 | 15,766,003 | 3,403.568 | 9,567,661 | 22,818,588 | ||||||||||||||||||
Redemptions | (2,284.069 | ) | (6,463,562 | ) | (124,283,480 | ) | (3,496.838 | ) | (9,852,759 | ) | (192,099,317 | ) | ||||||||||||
Offering costs | (164,769 | ) | (1,501,589 | ) | (243,563 | ) | (2,138,108 | ) | ||||||||||||||||
Balances at June 30, 2017 | 22,880.694 | $ | 62,378,813 | $ | 599,118,931 | |||||||||||||||||||
Balances at September 30, 2017 | 23,388.395 | $ | 64,884,506 | $ | 546,896,316 |
Net Asset Value per Other Unitholders’ Unit - Series W | ||||||||||||||
June 30, 2018 | December 31, 2017 | June 30, 2017 | December 31, 2016 | |||||||||||
$ | 2,828.21 | $ | 2,978.63 | $ | 2,726.26 | $ | 2,847.19 |
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 June 30, | Six Months Ended June 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 | $ | 2,512.21 | $ | 2,538.13 | $ | 2,619.79 | $ | 2,553.94 | ||||||||
Income (loss) from operations: | ||||||||||||||||
Total net trading gains (losses) (1) | (33.97 | ) | (93.64 | ) | (119.28 | ) | (86.04 | ) | ||||||||
Net investment income (loss) (1) | (12.52 | ) | (19.34 | ) | (31.49 | ) | (39.57 | ) | ||||||||
Total net income (loss) from operations | (46.49 | ) | (112.98 | ) | (150.77 | ) | (125.61 | ) | ||||||||
Offering costs (1) | (1.26 | ) | (3.16 | ) | (4.56 | ) | (6.34 | ) | ||||||||
Net asset value per unit at end of period | $ | 2,464.46 | $ | 2,421.99 | $ | 2,464.46 | $ | 2,421.99 | ||||||||
Total Return (4) | (1.90 | )% | (4.58 | )% | (5.93 | )% | (5.17 | )% | ||||||||
Supplemental Data | ||||||||||||||||
Ratios to average net asset value: | ||||||||||||||||
Expenses prior to performance fee (3) | 4.25 | % | 4.26 | % | 4.25 | % | 4.26 | % | ||||||||
Performance fee (4) | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Total expenses | 4.25 | % | 4.26 | % | 4.25 | % | 4.26 | % | ||||||||
Net investment income (loss) (2),(3) | (2.04 | )% | (3.09 | )% | (2.50 | )% | (3.16 | )% |
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 | )% |
(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, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
Per Unit Performance | ||||||||||||||||
(for a unit outstanding throughout the entire period) | ||||||||||||||||
Net asset value per unit at beginning of period | $ | 2,728.16 | $ | 2,742.51 | $ | 2,841.42 | $ | 2,756.14 | ||||||||
Income (loss) from operations: | ||||||||||||||||
Total net trading gains (losses) (1) | (36.84 | ) | (101.29 | ) | (129.50 | ) | (93.06 | ) | ||||||||
Net investment income (loss) (1) | (13.61 | ) | (20.91 | ) | (34.21 | ) | (42.77 | ) | ||||||||
Total net income (loss) from operations | (50.45 | ) | (122.20 | ) | (163.71 | ) | (135.83 | ) | ||||||||
Net asset value per unit at end of period | $ | 2,677.71 | $ | 2,620.31 | $ | 2,677.71 | $ | 2,620.31 | ||||||||
Total Return (4) | (1.85 | )% | (4.46 | )% | (5.76 | )% | (4.93 | )% | ||||||||
Supplemental Data | ||||||||||||||||
Ratios to average net asset value: | ||||||||||||||||
Expenses prior to performance fee (3) | 4.24 | % | 4.28 | % | 4.24 | % | 4.28 | % | ||||||||
Performance fee (4) | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Total expenses | 4.24 | % | 4.28 | % | 4.24 | % | 4.28 | % | ||||||||
Net investment income (loss) (2),(3) | (2.04 | )% | (3.11 | )% | (2.50 | )% | (3.18 | )% |
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 | )% |
(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 (1) | Series D (1) | |||||||||||||||
Three Months Ended June 30, 2018 | Six Months Ended June 30, 2018 | 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 | $ | 1,010.29 | $ | 1,052.25 | $ | 993.47 | $ | 1,052.25 | ||||||||
Income (loss) from operations: | ||||||||||||||||
Total net trading gains (losses) (2) | (13.60 | ) | (51.25 | ) | (2.44 | ) | (54.12 | ) | ||||||||
Net investment income (loss) (2) | (1.98 | ) | (5.03 | ) | (1.55 | ) | (6.16 | ) | ||||||||
Total net income (loss) from operations | (15.58 | ) | (56.28 | ) | (3.99 | ) | (60.28 | ) | ||||||||
Offering costs (2) | (1.24 | ) | (2.50 | ) | (1.23 | ) | (3.72 | ) | ||||||||
Net asset value per unit at end of period | $ | 993.47 | $ | 993.47 | $ | 988.25 | $ | 988.25 | ||||||||
Total Return (5) | (1.66 | )% | (5.59 | )% | (0.53 | )% | (6.08 | )% | ||||||||
Supplemental Data | ||||||||||||||||
Ratios to average net asset value: | ||||||||||||||||
Expenses prior to performance fee (4) | 2.89 | % | 2.70 | % | 3.02 | % | 2.87 | % | ||||||||
Performance fee (5) | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Total expenses | 2.89 | % | 2.70 | % | 3.02 | % | 2.87 | % | ||||||||
Net investment income (loss) (3),(4) | (0.77 | )% | (0.91 | )% | (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 June 30, | Six Months Ended June 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 | $ | 2,870.68 | $ | 2,842.69 | $ | 2,978.63 | $ | 2,847.19 | ||||||||
Income (loss) from operations: | ||||||||||||||||
Total net trading gains (losses) (1) | (38.70 | ) | (105.39 | ) | (136.31 | ) | (96.87 | ) | ||||||||
Net investment income (loss) (1) | (0.25 | ) | (7.50 | ) | (6.89 | ) | (16.97 | ) | ||||||||
Total net income (loss) from operations | (38.95 | ) | (112.89 | ) | (143.20 | ) | (113.84 | ) | ||||||||
Offering costs (1) | (3.52 | ) | (3.54 | ) | (7.22 | ) | (7.09 | ) | ||||||||
Net asset value per unit at end of period | $ | 2,828.21 | $ | 2,726.26 | $ | 2,828.21 | $ | 2,726.26 | ||||||||
Total Return (4) | (1.48 | )% | (4.10 | )% | (5.05 | )% | (4.25 | )% | ||||||||
Supplemental Data | ||||||||||||||||
Ratios to average net asset value: | ||||||||||||||||
Expenses prior to performance fee (3) | 2.23 | % | 2.22 | % | 2.23 | % | 2.29 | % | ||||||||
Performance fee (4) | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Total expenses | 2.23 | % | 2.22 | % | 2.23 | % | 2.29 | % | ||||||||
Net investment income (loss) (2),(3) | (0.04 | )% | (1.06 | )% | (0.48 | )% | (1.20 | )% |
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 June 30, 2018 | Fair Value at September 30, 2018 | |||||||||||||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Investments | ||||||||||||||||||||||||||||||||
Short term investments | $ | 7,853 | $ | 0 | $ | 0 | $ | 7,853 | $ | 12,259 | $ | 0 | $ | 0 | $ | 12,259 | ||||||||||||||||
Fixed income securities | 0 | 383,438,987 | 0 | 383,438,987 | 0 | 315,837,369 | 0 | 315,837,369 | ||||||||||||||||||||||||
Other Financial Instruments | ||||||||||||||||||||||||||||||||
Exchange-traded futures contracts | 4,211,577 | 0 | 0 | 4,211,577 | 11,953,003 | 0 | 0 | 11,953,003 | ||||||||||||||||||||||||
Forward currency contracts | 0 | 11,440,094 | 0 | 11,440,094 | 0 | (4,656,603 | ) | 0 | (4,656,603 | ) | ||||||||||||||||||||||
Total | $ | 4,219,430 | $ | 394,879,081 | $ | 0 | $ | 399,098,511 | $ | 11,965,262 | $ | 311,180,766 | $ | 0 | $ | 323,146,028 |
Fair Value at December 31, 2017 | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Short term investments | $ | 12,271 | $ | 0 | $ | 0 | $ | 12,271 | ||||||||
Fixed income securities | 0 | 494,456,527 | 0 | 494,456,527 | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Exchange-traded futures contracts | 8,994,460 | 0 | 0 | 8,994,460 | ||||||||||||
Forward currency contracts | 0 | 3,101,864 | 0 | 3,101,864 | ||||||||||||
Total | $ | 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 June 30, 2018 Fair Value | Liability Derivatives at June 30, 2018 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 | $ | 3,727,341 | $ | (1,761,019 | ) | $ | 1,966,322 | 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 | 4,904,223 | (240,760 | ) | 4,663,463 | 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 | 4,845,409 | (7,746,992 | ) | (2,901,583 | ) | 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 | 1,286,744 | (3,368,389 | ) | (2,081,645 | ) | 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 | 111,495 | (724,626 | ) | (613,131 | ) | 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 | 4,092,654 | (914,503 | ) | 3,178,151 | 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 | 19,923,547 | (8,483,453 | ) | 11,440,094 | Net unrealized gain (loss) on open forward currency contracts | 7,181,092 | (11,837,695 | ) | (4,656,603 | ) | |||||||||||||||
Totals | $ | 38,891,413 | $ | (23,239,742 | ) | $ | 15,651,671 | $ | 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 | Trading Gains/Losses) for the Three Months Ended June 30, 2018 | Trading Gains/(Losses) for the Three Months Ended June 30, 2017 | Trading Gains/(Losses) for the Three Months Ended September 30, 2018 | Trading Gains/(Losses) for the Three Months Ended September 30, 2017 | ||||||||||||
Agriculture Contracts | $ | (4,093,993 | ) | $ | 15,331 | $ | 209,385 | $ | (13,357,258 | ) | ||||||
Energy Contracts | 10,859,812 | (9,310,552 | ) | (1,590,094 | ) | (52,059 | ) | |||||||||
Metal Contracts | (9,866,141 | ) | (6,380,724 | ) | (953,901 | ) | (4,473,131 | ) | ||||||||
Stock Indices Contracts | (426,669 | ) | 23,693,161 | 3,582,132 | 22,514,141 | |||||||||||
Short-Term Interest Rate Contracts | 1,799,680 | (1,784,906 | ) | 2,557,125 | (1,128,656 | ) | ||||||||||
Long-Term Interest Rate Contracts | (1,932,596 | ) | (13,680,719 | ) | (7,102,904 | ) | 1,510,743 | |||||||||
Forward Currency Contracts | (2,735,090 | ) | (14,693,882 | ) | 2,238,536 | 8,927,904 | ||||||||||
Total | $ | (6,394,997 | ) | $ | (22,142,291 | ) | $ | (1,059,721 | ) | $ | 13,941,684 |
Type of Instrument | Trading Gains/(Losses) for the Six Months Ended June 30, 2018 | Trading Gains/(Losses) for the Six Months Ended June 30, 2017 | Trading Gains/(Losses) for the Nine Months Ended September 30, 2018 | Trading Gains/(Losses) for the Nine Months Ended September 30, 2017 | ||||||||||||
Agriculture Contracts | $ | (8,423,327 | ) | $ | (11,040,317 | ) | $ | (8,213,942 | ) | $ | (24,397,575 | ) | ||||
Energy Contracts | 13,163,132 | (24,880,167 | ) | 11,573,037 | (24,932,225 | ) | ||||||||||
Metal Contracts | (10,338,405 | ) | 2,580,087 | (11,292,306 | ) | (1,893,044 | ) | |||||||||
Stock Indices Contracts | (27,942,949 | ) | 77,436,130 | (24,360,817 | ) | 99,950,270 | ||||||||||
Short-Term Interest Rate Contracts | 5,916,146 | (3,947,007 | ) | 8,473,271 | (5,075,663 | ) | ||||||||||
Long-Term Interest Rate Contracts | 3,193,528 | (24,610,756 | ) | (3,909,376 | ) | (23,100,013 | ) | |||||||||
Forward Currency Contracts | 1,053,253 | (35,061,583 | ) | 3,291,789 | (26,133,679 | ) | ||||||||||
Total | $ | (23,378,622 | ) | $ | (19,523,613 | ) | $ | (24,438,344 | ) | $ | (5,581,929 | ) |
Line Item in the Statements of Operations | Trading Gains/(Losses) for the Three Months Ended June 30, 2018 | Trading Gains/(Losses) for the Three Months Ended June 30, 2017 | 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** | $ | 1,076,073 | $ | 28,396,466 | $ | (11,039,683 | ) | $ | (35,573,374 | ) | ||||||
Change in unrealized | (4,735,980 | ) | (35,844,875 | ) | 7,741,426 | 40,587,154 | ||||||||||
Forward currency trading gains (losses): | ||||||||||||||||
Realized | (17,394,872 | ) | (21,901,706 | ) | 18,335,233 | 14,537,016 | ||||||||||
Change in unrealized | 14,659,782 | 7,207,824 | (16,096,697 | ) | (5,609,112 | ) | ||||||||||
Total | $ | (6,394,997 | ) | $ | (22,142,291 | ) | $ | (1,059,721 | ) | $ | 13,941,684 |
Line Item in the Statements of Operations | Trading Gains/(Losses) for the Six Months Ended June 30, 2018 | Trading Gains/(Losses) for the Six Months Ended June 30, 2017 | 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** | $ | (19,648,992 | ) | $ | 48,735,622 | $ | (30,688,676 | ) | $ | 13,162,248 | ||||||
Change in unrealized | (4,782,883 | ) | (33,197,652 | ) | 2,958,543 | 7,389,502 | ||||||||||
Forward currency trading gains (losses): | ||||||||||||||||
Realized | (7,284,977 | ) | (27,404,594 | ) | 11,050,256 | (12,867,578 | ) | |||||||||
Change in unrealized | 8,338,230 | (7,656,989 | ) | (7,758,467 | ) | (13,266,101 | ) | |||||||||
Total | $ | (23,378,622 | ) | $ | (19,523,613 | ) | $ | (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. |
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) |
Offsetting of Derivative Assets | Offsetting of Derivative Assets | Offsetting of Derivative Assets | ||||||||||||||||||||||||
As of June 30, 2018 | ||||||||||||||||||||||||||
As of September 30, 2018 | 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 | 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 | $ | 9,690,986 | $ | (7,531,837 | ) | $ | 2,159,149 | UBS Securities LLC | $ | 10,248,802 | $ | (4,442,104 | ) | $ | 5,806,698 | ||||||||||
Futures contracts | Goldman Sachs | 9,276,880 | (7,224,452 | ) | 2,052,428 | Goldman Sachs | 10,122,921 | (3,976,616 | ) | 6,146,305 | ||||||||||||||||
Forward currency contracts | NatWest Markets plc | 19,923,547 | (8,483,453 | ) | 11,440,094 | NatWest Markets plc | 7,181,092 | (7,181,092 | ) | 0 | ||||||||||||||||
Total derivatives | $ | 38,891,413 | $ | (23,239,742 | ) | $ | 15,651,671 | $ | 27,552,815 | $ | (15,599,812 | ) | $ | 11,953,003 |
Derivative Assets and Collateral Received by Counterparty | Derivative Assets and Collateral Received by Counterparty | Derivative Assets and Collateral Received by Counterparty | ||||||||||||||||||||||||||||||
As of June 30, 2018 | ||||||||||||||||||||||||||||||||
As of September 30, 2018 | 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 | Net Amount | 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 | Financial Instruments | Cash Collateral Received | Net Amount | |||||||||||||||||||||||||||
UBS Securities LLC | $ | 2,159,149 | $ | 0 | $ | 0 | $ | 2,159,149 | $ | 5,806,698 | $ | 0 | $ | 0 | $ | 5,806,698 | ||||||||||||||||
Goldman Sachs | 2,052,428 | 0 | 0 | 2,052,428 | 6,146,305 | 0 | 0 | 6,146,305 | ||||||||||||||||||||||||
NatWest Markets plc | 11,440,094 | 0 | 0 | 11,440,094 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
Total | $ | 15,651,671 | $ | 0 | $ | 0 | $ | 15,651,671 | $ | 11,953,003 | $ | 0 | $ | 0 | $ | 11,953,003 |
Offsetting of Derivative Liabilities | Offsetting of Derivative Liabilities | Offsetting of Derivative Liabilities | ||||||||||||||||||||||||
As of June 30, 2018 | ||||||||||||||||||||||||||
As of September 30, 2018 | 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 | 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 | $ | 7,531,837 | $ | (7,531,837 | ) | $ | 0 | UBS Securities LLC | $ | 4,442,104 | $ | (4,442,104 | ) | $ | 0 | ||||||||||
Futures contracts | Goldman Sachs | 7,224,452 | (7,224,452 | ) | 0 | Goldman Sachs | 3,976,616 | (3,976,616 | ) | 0 | ||||||||||||||||
Forward currency contracts | NatWest Markets plc | 8,483,453 | (8,483,453 | ) | 0 | NatWest Markets plc | 11,837,695 | (7,181,092 | ) | 4,656,603 | ||||||||||||||||
Total derivatives | $ | 23,239,742 | $ | (23,239,742 | ) | $ | 0 | $ | 20,256,415 | $ | (15,599,812 | ) | $ | 4,656,603 |
Derivative Liabilities and Collateral Pledged by Counterparty | Derivative Liabilities and Collateral Pledged by Counterparty | Derivative Liabilities and Collateral Pledged by Counterparty | ||||||||||||||||||||||||||||||
As of June 30, 2018 | ||||||||||||||||||||||||||||||||
As of September 30, 2018 | 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 | Net Amount | 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 | 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 | ||||||||||||||||||||||||
NatWest Markets plc | 0 | 0 | 0 | 0 | 4,656,603 | 0 | (4,656,603 | ) | 0 | |||||||||||||||||||||||
Total | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 4,656,603 | $ | 0 | $ | (4,656,603 | ) | $ | 0 |
Table of Contents |
THE CAMPBELL FUND TRUST NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2018 (Unaudited) |
Offsetting of Derivative Assets | Offsetting of Derivative Assets | Offsetting of Derivative Assets | ||||||||||||||||||||||||
As of December 31, 2017 | As of December 31, 2017 | 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 | 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 | 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 | 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 | NatWest Markets plc | 17,067,988 | (13,966,124 | ) | 3,101,864 | ||||||||||||||||
Total derivatives | $ | 39,463,763 | $ | (27,367,439 | ) | $ | 12,096,324 | $ | 39,463,763 | $ | (27,367,439 | ) | $ | 12,096,324 |
Derivative Assets and Collateral Received by Counterparty | Derivative Assets and Collateral Received by Counterparty | Derivative Assets and Collateral Received by Counterparty | ||||||||||||||||||||||||||||||
As of December 31, 2017 | As of December 31, 2017 | 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 | Net Amount | 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 | Financial Instruments | Cash Collateral Received | Net Amount | |||||||||||||||||||||||||||
UBS Securities LLC | $ | 4,440,938 | $ | 0 | $ | 0 | $ | 4,440,938 | $ | 4,440,938 | $ | 0 | $ | 0 | $ | 4,440,938 | ||||||||||||||||
Goldman Sachs | 4,553,522 | 0 | 0 | 4,553,522 | 4,553,522 | 0 | 0 | 4,553,522 | ||||||||||||||||||||||||
NatWest Markets plc | 3,101,864 | 0 | 0 | 3,101,864 | 3,101,864 | 0 | 0 | 3,101,864 | ||||||||||||||||||||||||
Total | $ | 12,096,324 | $ | 0 | $ | 0 | $ | 12,096,324 | $ | 12,096,324 | $ | 0 | $ | 0 | $ | 12,096,324 |
Offsetting of Derivative Liabilities | Offsetting of Derivative Liabilities | Offsetting of Derivative Liabilities | ||||||||||||||||||||||||
As of December 31, 2017 | As of December 31, 2017 | 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 | 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 | UBS Securities LLC | $ | 6,805,740 | $ | (6,805,740 | ) | $ | 0 | ||||||||||
Futures contracts | Goldman Sachs | 6,595,575 | (6,595,575 | ) | 0 | Goldman Sachs | 6,595,575 | (6,595,575 | ) | 0 | ||||||||||||||||
Forward currency contracts | NatWest Markets plc | 13,966,124 | (13,966,124 | ) | 0 | NatWest Markets plc | 13,966,124 | (13,966,124 | ) | 0 | ||||||||||||||||
Total derivatives | $ | 27,367,439 | $ | (27,367,439 | ) | $ | 0 | $ | 27,367,439 | $ | (27,367,439 | ) | $ | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty | Derivative Liabilities and Collateral Pledged by Counterparty | Derivative Liabilities and Collateral Pledged by Counterparty | ||||||||||||||||||||||||||||||
As of December 31, 2017 | As of December 31, 2017 | As of December 31, 2017 | ||||||||||||||||||||||||||||||
Net Amounts of Unrealized Loss in the Statements of Financial Condition | Gross Amounts Not Offset in the Statements of Financial Condition | Net Amount | 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 | 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 | ||||||||||||||||||||||||
NatWest Markets plc | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
Total | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
Table of Contents |
THE CAMPBELL FUND TRUST NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2018 (Unaudited) |
Sector | % Gain (Loss) | |||
Commodities | ( | )% | ||
Currencies | ||||
Interest Rates | ||||
Stock Indices | ( | ) | ||
( | )% |
Sector | % Gain (Loss) | |||
Commodities | ( | )% | ||
Currencies | ( | ) | ||
Interest Rates | ( | ) | ||
Stock Indices | ||||
( | )% |
June 30, 2018 | September 30, 2018 | |||||||||||||||
Market Sector | Value at Risk* | Trading Gain/(Loss)** | Value at Risk* | Trading Gain/(Loss)** | ||||||||||||
Commodities | 0.63 | % | (0.86 | )% | 0.70 | % | (1.21 | )% | ||||||||
Currencies | 0.60 | % | 0.32 | % | 0.85 | % | 0.81 | % | ||||||||
Interest Rates | 0.65 | % | 1.53 | % | 0.33 | % | 0.58 | % | ||||||||
Stock Indices | 0.49 | % | (5.29 | )% | 0.72 | % | (4.53 | )% | ||||||||
Aggregate/Total | 1.24 | % | (4.30 | )% | 1.31 | % | (4.35 | )% |
* | 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 |
** | Represents the gross trading for the Trust for the |
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 | % |
* | 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 |
** | Represents the gross trading for the Trust for the year ended December 31, 2017. |
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 |
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 Gabriel A. Morris, Managing Director, Operations and Finance, 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, 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 |
THE CAMPBELL FUND TRUST (Registrant) | |||
By: | Campbell & Company, LP | ||
Managing Operator | |||
Date: | By: | /s/ G. William Andrews | |
G. William Andrews | |||
Chief Executive Officer |