Note 6.7. DEPOSITS WITH FUTURES BROKERS

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

Note 7.8. DEPOSITS WITH INTERBANK MARKET MAKER

The Trust’s counterparty with regard to its forward currency transactions is NatWest Markets plc (“NatWest”). The Trust has entered into an International Swaps and Derivatives Association Master Agreement (“ISDA Agreement”) with NatWest which governs these transactions. The credit ratings reported by the three major rating agencies for NatWest were considered investment grade as of ~~March 31,~~June 30, 2020. Margin requirements are satisfied by the deposit of cash with NatWest. The Trust typically earns interest income on its assets deposited with NatWest.

Note 8.9. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

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

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

Redemption fees, which are paid to Campbell & Company, apply to Series A units through the first twelve month-ends following purchase (the month-end as of which the unit is purchased is counted as the first month-end) as follows: 1.833% of Net Asset Value per unit redeemed through the second month-end, 1.666% of Net Asset Value per unit redeemed through the third month-end, 1.500% of Net Asset Value per unit redeemed through the fourth month-end, 1.333% of Net Asset Value per unit redeemed through the fifth month-end, 1.167% of Net Asset Value per unit redeemed through the sixth month-end, 1.000% of Net Asset Value per unit redeemed through the seventh month-end, 0.833% of Net Asset Value per unit redeemed through the eighth month-end, 0.667% of Net Asset Value per unit redeemed through the ninth month-end, 0.500% of Net Asset Value per unit redeemed through the tenth month-end, 0.333% of Net Asset Value per unit redeemed through the eleventh month-end and 0.167% of Net Asset Value per unit redeemed through the twelfth month end. For the ~~three~~six months ended ~~March 31,~~June 30, 2020 and 2019, Campbell & Company received redemption fees of $0$708 and $36, respectively.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2020

Note 9.10. TRADING ACTIVITIES AND RELATED RISKS

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

Market Risk

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

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

~~Table of Contents~~

~~THE CAMPBELL FUND TRUST~~
~~NOTES TO FINANCIAL STATEMENTS~~
~~MARCH 31, 2020~~

The following tables summarize quantitative information required by ASC 815. The fair value of the Trust’s derivatives by instrument type, as well as the location of those instruments on the Statements of Financial Condition, as of ~~March 31,~~June 30, 2020 and December 31, 2019 is as follows:

Type of Instrument *	Statements of Financial Condition Location	Asset Derivatives at March 31, 2020 Fair Value		Liability Derivatives at March 31, 2020 Fair Value			Net			Statements of Financial Condition Location	Asset Derivatives at June 30, 2020 Fair Value		Liability Derivatives at June 30, 2020 Fair Value			Net
Agriculture Contracts	Net unrealized gain (loss) on open futures contracts	$	500,486	$	(439,339	)	$	61,147		Net unrealized gain (loss) on open futures contracts	$	577,312	$	(1,491,907	)	$	(914,595	)
Energy Contracts	Net unrealized gain (loss) on open futures contracts		850,234		(7,019	)		843,215		Net unrealized gain (loss) on open futures contracts		1,454,317		(467,438	)		986,879
Metal Contracts	Net unrealized gain (loss) on open futures contracts		16,772,328		(10,579,842	)		6,192,486		Net unrealized gain (loss) on open futures contracts		7,435,416		(9,269,213	)		(1,833,797	)
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts		139,119		(1,892,075	)		(1,752,956	)	Net unrealized gain (loss) on open futures contracts		1,071,281		(917,869	)		153,412
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		268,261		(214,402	)		53,859		Net unrealized gain (loss) on open futures contracts		438,554		(159,867	)		278,687
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		1,007,114		(1,342,852	)		(335,738	)	Net unrealized gain (loss) on open futures contracts		3,133,056		(308,163	)		2,824,893
Forward Currency Contracts	Net unrealized gain (loss) on open Forward Currency Contracts		54,499,080		(37,167,595	)		17,331,485		Net unrealized gain (loss) on open Forward Currency Contracts		11,387,207		(15,093,597	)		(3,706,390	)
Totals		$	74,036,622	$	(51,643,124	)	$	22,393,498			$	25,497,143	$	(27,708,054	)	$	(2,210,911	)

* Derivatives not designated as hedging instruments under ASC 815

Type of Instrument *

Statements of Financial Condition Location

Asset
Derivatives at
December 31, 2019
Fair Value

Liability
Derivatives at
December 31, 2019
Fair Value

Net

Agriculture Contracts Net unrealized gain (loss) on open futures contracts
$
193,039

$
(2,931,321
)

$
(2,738,282
)
Energy Contracts Net unrealized gain (loss) on open futures contracts
1,761,936

(275,743
)

1,486,193

Metal Contracts Net unrealized gain (loss) on open futures contracts
5,593,742

(8,006,981
)

(2,413,239
)
Stock Indices Contracts Net unrealized gain (loss) on open futures contracts
1,340,862

(1,169,714
)

171,148

Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts
314,422

(1,080,128
)

(765,706
)
Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts
1,421,030

(5,301,081
)

(3,880,051
)
Forward Currency Contracts Net unrealized gain (loss) on open Forward Currency Contracts
23,303,459

(25,967,136
)

(2,663,677
)
Totals
$
33,928,490

$
(44,732,104
)

$
(10,803,614
)

Type of Instrument *	Statements of Financial Condition Location	Asset Derivatives at December 31, 2019 Fair Value		Liability Derivatives at December 31, 2019 Fair Value			Net
Agriculture Contracts	Net unrealized gain (loss) on open futures contracts	$	193,039	$	(2,931,321	)	$	(2,738,282	)
Energy Contracts	Net unrealized gain (loss) on open futures contracts		1,761,936		(275,743	)		1,486,193
Metal Contracts	Net unrealized gain (loss) on open futures contracts		5,593,742		(8,006,981	)		(2,413,239	)
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts		1,340,862		(1,169,714	)		171,148
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		314,422		(1,080,128	)		(765,706	)
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		1,421,030		(5,301,081	)		(3,880,051	)
Forward Currency Contracts	Net unrealized gain (loss) on open Forward Currency Contracts		23,303,459		(25,967,136	)		(2,663,677	)
Totals		$	33,928,490	$	(44,732,104	)	$	(10,803,614	)

* Derivatives not designated as hedging instruments under ASC 815

Table of Contents
THE CAMPBELL FUND TRUST NOTES TO FINANCIAL STATEMENTS ~~MARCH 31,~~JUNE 30, 2020

The trading gains and losses of the Trust’s derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the three months and six months ended ~~March 31,~~June 30, 2020 and 2019 is as follows:

Type of Instrument
Trading Gains/(Losses) for
the Three Months Ended
March 31, 2020

Trading Gains/(Losses) for
the Three Months Ended
March 31, 2019

Agriculture Contracts
$
3,712,427

$
852,719

Energy Contracts
9,953,259

(4,099,499
)
Metal Contracts
8,243,449

(1,676,556
)
Stock Indices Contracts
(44,993,303
)

7,931,870

Short-Term Interest Rate Contracts
15,241,726

4,294,530

Long-Term Interest Rate Contracts
4,039,036

11,638,178

Forward Currency Contracts
25,151,024

(3,525,678
)
Total
$
21,347,618

$
15,415,564

Line Item in the Statements of Operations
Trading Gains/(Losses) for
the Three Months Ended
March 31, 2020

Trading Gains/(Losses) for
the Three Months Ended
March 31, 2019

Futures trading gains (losses):
Realized**
$
(17,005,356
)

$
11,332,347

Change in unrealized
13,201,950

7,608,895

Forward currency trading gains (losses):
Realized**
5,155,862

7,832,537

Change in unrealized
19,995,162

(11,358,215
)
Total
$
21,347,618

$
15,415,564

Type of Instrument	Trading Gains/(Losses) for the Three Months Ended June 30, 2020			Trading Gains/(Losses) for the Three Months Ended June 30, 2019
Agriculture Contracts	$	(3,409,880	)	$	(5,120,053	)
Energy Contracts		(1,564,662	)		482,199
Metal Contracts		(1,345,427	)		(2,975,323	)
Stock Indices Contracts		663,803			9,782,033
Short-Term Interest Rate Contracts		847,405			11,509,688
Long-Term Interest Rate Contracts		662,191			10,153,394
Forward Currency Contracts		(13,422,345	)		(3,111,355	)
Total	$	(17,568,915	)	$	20,720,583

Type of Instrument	Trading Gains/(Losses) for the Six Months Ended June 30, 2020			Trading Gains/(Losses) for the Six Months Ended June 30, 2019
Agriculture Contracts	$	302,548		$	(4,267,334	)
Energy Contracts		8,388,598			(3,617,300	)
Metal Contracts		6,898,022			(4,651,879	)
Stock Indices Contracts		(44,329,502	)		17,713,903
Short-Term Interest Rate Contracts		16,089,131			15,804,218
Long-Term Interest Rate Contracts		4,701,227			21,791,572
Forward Currency Contracts		11,728,678			(6,637,033	)
Total	$	3,778,702		$	36,136,147

Line Item in the Statements of Operations	Trading Gains/(Losses) for the Three Months Ended June 30, 2020			Trading Gains/(Losses) for the Three Months Ended June 30, 2019
Futures trading gains (losses):
Realized**	$	(580,036	)	$	27,012,737
Change in unrealized		(3,566,534	)		(3,180,799	)
Forward currency trading gains (losses):
Realized**		7,615,530			(3,458,977	)
Change in unrealized		(21,037,875	)		347,622
Total	$	(17,568,915	)	$	20,720,583

Line Item in the Statements of Operations	Trading Gains/(Losses) for the Six Months Ended June 30, 2020			Trading Gains/(Losses) for the Six Months Ended June 30, 2019
Futures trading gains (losses):
Realized***	$	(17,585,392	)	$	38,345,084
Change in unrealized		9,635,416			4,428,096
Forward currency trading gains (losses):
Realized***		12,771,391			4,373,560
Change in unrealized		(1,042,713	)		(11,010,593	)
Total	$	3,778,702		$	36,136,147

For the three months ended ~~March 31,~~June 30, 2020 and 2019, the amounts above include ~~gains and losses~~gains/(losses) on foreign currency cash balances at the futures brokers of ~~$52,869~~$143,443 and $~~93,045,~~$168,272, respectively; and ~~gains and losses~~gains/(losses) on spot trades in connection with forward currency trading at the interbank market makers of ~~$1,697,113~~$185,628 and $0,$73,883, respectively.

***

For the six months ended June 30, 2020 and 2019, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $196,312 and $261,317, respectively, and gains/(losses) on spot trades in connection with forward currency trading at the interbank market makers of $(1,511,485) and $73,883, respectively.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2020

For the three months ended ~~March 31,~~June 30, 2020 and 2019, the monthly average of futures contracts bought and sold was approximately ~~59,900~~38,000 and 46,100, respectively, and the monthly average of notional value of forward currency contracts was $1,915,100,000 and $3,620,300,000, respectively.

For the six months ended June 30, 2020 and 2019, the monthly average of futures contracts bought and sold was approximately 48,900 and 49,200, respectively, and the monthly average of notional value of forward currency contracts was ~~$2,326,700,000~~$2,120,900,000 and ~~$3,493,300,000, respectively~~.$3,556,800,000, respectively.

Open contracts generally mature within three months; as of ~~March 31,~~June 30, 2020, the latest maturity date for open futures contracts is ~~June~~September 2021 and the latest maturity date for open forward currency contracts is ~~June~~September 2020. However, the Trust intends to close all futures and forward currency contracts prior to maturity.

Credit Risk

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

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

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

~~Table of Contents~~

~~THE CAMPBELL FUND TRUST~~
~~NOTES TO FINANCIAL STATEMENTS~~
~~MARCH 31, 2020~~

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

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

The amount of required margin and good faith deposits with the futures broker and interbank market maker usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at ~~March 31,~~June 30, 2020 and December 31, 2019 was ~~$50,437,119~~$44,869,299 and $53,641,527, respectively, which equals approximately ~~16%~~15% and 17% of Net Asset Value, respectively. The cash deposited with the interbank market maker at ~~March 31,~~June 30, 2020 and December 31, 2019 was ~~$24,153,417~~$36,692,833 and ~~44,667,046,~~$44,667,046, respectively, which equals approximately 8%12% and 14% of Net Asset Value, respectively. These amounts are included in cash and cash ~~equivalents.~~equivalents and restricted cash at interbank market makers. Included in cash deposits with the futures brokers and interbank market maker at ~~March 31,~~June 30, 2020 and December 31, 2019 was restricted cash for margin requirements of ~~$1,700,164~~$34,608,942 and $34,464,229, respectively, which equals approximately 1%12% and 11% of Net Asset Value, respectively.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2020

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

Offsetting of Derivative Assets by Counterparty
As of March 31, 2020

Type of Instrument

Counterparty

Gross
Amounts of
Recognized Assets

Gross
Amounts
Offset in the
Statements of
Financial Condition

Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition

Futures contracts

UBS Securities LLC

$
9,810,206

$
(7,450,207
)

$
2,359,999

Futures contracts

Goldman Sachs & Co. LLC

9,727,336

(7,025,322
)

2,702,014

Forward currency contracts

NatWest Markets plc

54,499,080

(37,167,595
)

17,331,485

Total derivatives
$
74,036,622

$
(51,643,124
)

$
22,393,498

Offsetting of Derivative Assets by Counterparty

As of June 30, 2020

Type of Instrument	Counterparty	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	7,344,196	$	(6,542,937	)	$	801,259
Futures contracts	Goldman Sachs & Co. LLC		6,765,740		(6,071,520	)		694,220
Forward currency contracts	NatWest Markets plc		11,387,207		(11,387,207	)		0
Total derivatives		$	25,497,143	$	(24,001,664	)	$	1,495,479

Derivative Assets and Collateral Received by Counterparty	Derivative Assets and Collateral Received by Counterparty									Derivative Assets and Collateral Received by Counterparty
As of March 31, 2020
Counterparty		Net Amounts of Unrealized Gain in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty
											Net Amounts of Unrealized Gain		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			in the Statements of Financial Condition		Financial Instruments		Cash Collateral Received		Net Amount
Counterparty				$	0	$	0	$	2,359,999		$	801,259	$	0	$	0	$	801,259
Goldman Sachs & Co. LLC			2,702,014		0		0		2,702,014			694,220		0		0		694,220
NatWest Markets plc			17,331,485		0		0		17,331,485			0		0		0		0
Total		$	22,393,498	$	0	$	0	$	22,393,498		$	1,495,479	$	0	$	0	$	1,495,479

Offsetting of Derivative Liabilities by Counterparty
As of June 30, 2020
Type of Instrument	Counterparty	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statements of Financial Condition			Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	6,542,937	$	(6,542,937	)	$	0
Futures contracts	Goldman Sachs & Co. LLC		6,071,520		(6,071,520	)		0
Forward currency contracts	NatWest Markets plc		15,093,597		(11,387,207	)		3,706,390
Total derivatives		$	27,708,054	$	(24,001,664	)	$	3,706,390

Derivative Liabilities and Collateral Pledged by Counterparty
As of June 30, 2020
	Net Amounts of Unrealized loss		Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	in the Statements of Financial Condition		Financial Instruments		Cash Collateral Pledged			Net Amount
UBS Securities LLC	$	0	$	0	$	0		$	0
Goldman Sachs & Co. LLC		0		0		0			0
NatWest Markets plc		3,706,390		0		(3,706,390	)		0
Total	$	3,706,390	$	0	$	(3,706,390	)	$	0

2122

Table of Contents
THE CAMPBELL FUND TRUST NOTES TO FINANCIAL STATEMENTS ~~MARCH 31,~~JUNE 30, 2020

Offsetting of Derivative Liabilities by Counterparty
As of March 31, 2020
Offsetting of Derivative Assets by Counterparty									Offsetting of Derivative Assets by Counterparty
As of December 31, 2019
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 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	$	7,450,207	$	(7,450,207	)	$	0		UBS Securities LLC	$	5,396,065	$	(5,396,065	)	$	0
Futures contracts	Goldman Sachs & Co. LLC		7,025,322		(7,025,322	)		0		Goldman Sachs & Co. LLC		5,228,966		(5,228,966	)		0
Forward currency contracts	NatWest Markets plc		37,167,595		(37,167,595	)		0		NatWest Markets plc		23,303,459		(23,303,459	)		0
Total derivatives		$	51,643,124	$	(51,643,124	)	$	0			$	33,928,490	$	(33,928,490	)	$	0

Derivative Liabilities and Collateral Pledged by Counterparty
As of March 31, 2020
Counterparty	Net Amounts of Unrealized loss in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition				Net Amount
									Derivative Assets and Collateral Received by Counterparty
As of December 31, 2019
										Net Amounts of Unrealized Gain		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			in the Statements of Financial Condition		Financial Instruments		Cash Collateral Received		Net Amount
			$	0	$	0				$	0	$	0	$	0	$	0
Goldman Sachs & Co. LLC		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

Offsetting of Derivative Assets by Counterparty
Offsetting of Derivative Liabilities by Counterparty										Offsetting of Derivative Liabilities by Counterparty
As of December 31, 2019	As of December 31, 2019
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 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	$	5,396,065	$	(5,396,065	)	$	0		UBS Securities LLC	$	9,348,737	$	(5,396,065	)	$	3,952,672
Futures contracts		Goldman Sachs & Co. LLC		5,228,966		(5,228,966	)		0		Goldman Sachs & Co. LLC		9,416,231		(5,228,966	)		4,187,265
Forward currency contracts		NatWest Markets plc		23,303,459		(23,303,459	)		0		NatWest Markets plc		25,967,136		(23,303,459	)		2,663,677
Total derivatives			$	33,928,490	$	(33,928,490	)	$	0			$	44,732,104	$	(33,928,490	)	$	10,803,614

Derivative Liabilities and Collateral Pledged by Counterparty
As of December 31, 2019
	Net Amounts of Unrealized loss		Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	in the Statements of Financial Condition		Financial Instruments		Cash Collateral Pledged			Net Amount
UBS Securities LLC	$	3,952,672	$	0	$	(3,952,672	)	$	0
Goldman Sachs & Co. LLC		4,187,265		0		(4,187,265	)		0
NatWest Markets plc		2,663,677		0		(2,663,677	)		0
Total	$	10,803,614	$	0	$	(10,803,614	)	$	0

2223

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
~~MARCH 31,~~JUNE 30, 2020

Derivative Assets and Collateral Received by Counterparty
As of December 31, 2019

Counterparty

Net Amounts of
Unrealized Gain
in the Statements
of Financial Condition

Gross Amounts Not Offset in the
Statements of Financial Condition

Financial
Instruments

Cash Collateral
Received

Net Amount

UBS Securities LLC

$
0

$
0

$
0

$
0

Goldman Sachs & Co. LLC

0

0

0

0

NatWest Markets plc

0

0

0

0

Total
$
0

$
0

$
0

$
0

Offsetting of Derivative Liabilities by Counterparty
As of December 31, 2019

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

$
9,348,737

$
(5,396,065
)

$
3,952,672

Futures contracts

Goldman Sachs & Co. LLC

9,416,231

(5,228,966
)

4,187,265

Forward currency contracts

NatWest Markets plc

25,967,136

(23,303,459
)

2,663,677

Total derivatives
$
44,732,104

$
(33,928,490
)

$
10,803,614

Derivative Liabilities and Collateral Pledged by Counterparty
As of December 31, 2019

Counterparty

Net Amounts of
Unrealized loss
in the Statements
of Financial Condition

Gross Amounts Not Offset in the
Statements of Financial Condition

Financial
Instruments

Cash Collateral
Pledged

Net Amount

UBS Securities LLC
$
3,952,672

$
0

$
(3,952,672
)

$
0

Goldman Sachs & Co. LLC
4,187,265

0

(4,187,265
)

0

NatWest Markets plc
2,663,677

0

(2,663,677
)

0

Total
$
10,803,614

$
0

$
(10,803,614
)

$
0

~~Table of Contents~~

~~THE CAMPBELL FUND TRUST~~
~~NOTES TO FINANCIAL STATEMENTS~~
~~MARCH 31, 2020~~

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

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

Note ~~10.~~11. INDEMNIFICATIONS

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

Note ~~11.~~12. INTERIM FINANCIAL STATEMENTS

The Statements of Financial Condition, including the Condensed Schedules of Investments, as of ~~March 31,~~June 30, 2020 and December 31, 2019, the Statements of Operations and Financial Highlights for the three months and six months ended ~~March 31,~~June 30, 2020 and 2019, and the Statements of Cash Flows and Changes in Unitholders’ Capital (Net Asset Value) for the ~~three~~six months ended ~~March 31,~~June 30, 2020 and 2019 are unaudited. In the opinion of management, such financial statements reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of financial position as of ~~March 31,~~June 30, 2020 and December 31, 2019, the results of operations and financial highlights for the three months and six months ended ~~March 31,~~June 30, 2020 and 2019, and cash flows and changes in unitholders’ capital (Net Asset Value) for the ~~three~~six months ended ~~March 31,~~June 30, 2020 and 2019.

Note ~~12.~~13. SUBSEQUENT EVENTS

The impact of the coronavirus (“COVID-19”) outbreak on the financial performance of the Trust’s investments will depend on future developments, including the duration and spread of the outbreak and related advisories and restrictions. These developments and the impact of COVID-19 on the financial markets and the overall economy are highly uncertain and cannot be predicted. If the financial markets and/or the overall economy are impacted for an extended period, the Trust’s ability to trade and investment results may be materially affected.

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

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

Introduction

The Campbell Fund Trust (the “Trust”) is a business trust organized on January 2, 1996 under the Delaware Business Trust Act, which was replaced by the Delaware Statutory Trust Act as of September 1, 2002. The Trust is a successor to the Campbell Fund Limited Partnership (formerly known as the Commodity Trend Fund) which began trading operations in January 1972. The Trust currently trades in the U.S. and international futures and forward markets under the sole direction of Campbell & Company, LP, the managing operator of the Trust. Specifically, the Trust trades in a diverse array of global assets, including global interest rates, stock indices, currencies and commodities. The Trust is an actively managed account with speculative trading profits as its objective.

Effective August 31, 2008, the Trust began offering Series A, Series B, and Series W Units. The units in the Trust prior to that date became Series B Units. Series B Units are only available for additional investment by existing holders of Series B Units. Effective August 1, 2017, the Trust began offering Series D units.

As of ~~March 31,~~June 30, 2020, the aggregate capitalization of the Trust was ~~$321,002,167~~$299,012,023 with Series A, Series B, Series D and Series W comprising ~~$251,707,605, $37,829,362, $4,311,179~~$232,671,326, $35,146,497, $4,815,056 and ~~$27,154,021,~~$26,379,144, respectively, of the total. The Net Asset Value per Unit was ~~$2,704.25~~$2,545.55 for Series A, ~~$2,963.33~~$2,792.92 for Series B, ~~$1,100.59~~$1,039.25 for Series D and ~~$3,213.35~~$3,039.98 for Series W.

Critical Accounting Policies

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

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

Capital Resources

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

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

Liquidity

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

~~Table of Contents~~

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

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

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

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

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

Off-Balance Sheet Risk

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

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

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

~~Table of Contents~~

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

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

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Results of Operations

The returns for the ~~three~~six months ended ~~March 31,~~June 30, 2020 and 2019 for Series A were ~~5.31%~~(0.87)% and ~~4.21%~~10.33%, Series B were ~~5.44%~~(0.63)% and ~~4.36%~~10.61%, Series D were ~~5.64%~~(0.25)% and ~~4.56%~~11.02% and Series W were ~~5.83%~~0.12% and ~~4.76%~~11.44%, respectively.

2020 (For the ~~Three~~Six Months Ended ~~March 31)~~June 30)

Of the ~~5.31% year to date~~(0.87)% return for the six months ended June 30, 2020 for Series A, approximately ~~6.84%~~1.04% was due to trading gains (before commissions) and approximately 0.86% due to investment income, offset by approximately ~~(0.11)% due to investment loss and approximately (1.42)~~(2.77)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series A.

Of the ~~5.44% year to date~~(0.63)% return for the six months ended June 30, 2020 for Series B, approximately ~~6.84%~~1.04% was due to trading gains (before commissions) and approximately 0.86% due to investment income, offset by approximately ~~(0.11)% due to investment loss and approximately (1.29)~~(2.53)% due to brokerage fees, management fees, sales commissions and operating costs incurred by Series B.

Of the ~~5.64% year to date~~(0.25)% return for the six months ended June 30, 2020 for Series D, approximately ~~6.84%~~1.04% was due to trading gains (before commissions) and approximately 0.86% due to investment income, offset by approximately ~~(0.11)% due to investment loss and approximately (1.09)~~(2.15)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series D.

Of the ~~5.83% year to date~~0.12% return for the six months ended June 30, 2020 for Series W, approximately ~~6.84%~~1.04% was due to trading gains (before commissions) and approximately 0.86% due to investment income, offset by approximately ~~(0.11)% due to investment loss and approximately (0.90)~~(1.78)% due to brokerage fees, management fees, offering costs and operating costs incurred by Series W.

During the ~~Three Months Ended March 31,~~six months ended June 30, 2020, the Trust accrued management fees in the amount of ~~$3,135,806~~$5,649,675 and paid management fees in the amount of ~~$3,096,257.~~$6,143,667. No performance fees were accrued or paid during ~~this period.~~these periods.

An analysis of the ~~6.84%~~1.04% gross trading gains for the Trust for the ~~Three Months Ended March 31,~~six months ended June 30, 2020 by sector is as follows:

Sector	% Gain (Loss)
Commodities		~~6.52~~4.49	%
Currencies		~~8.03~~3.79
Interest Rates		~~5.83~~6.28
Stock Indices		(~~13.54~~13.52	)
		~~6.84~~1.04	%

The Trust had a strong start to 2020 with gains coming from interest rate, commodity, and foreign exchange positions, while stock index holdings provided some partially offsetting losses. Long positioning in Australia, Europe, and the United States benefited as prices advanced on a flight to safety bid sparked by the worsening Wuhan coronavirus outbreak. A short position on the Canadian 10-year note created some partially offsetting losses, which were accelerated by downward pressure on yields prompted by a dovish shift by Bank of Canada policymakers. Commodity holdings produced additional profits for the Trust in January, with the energy sub-sector realizing the best results. Short positioning on natural gas proved profitable as milder weather across the US weighed on demand prospects. Additional gains were generated from short industrial metal holdings. The base metal complex traded weaker as the coronavirus epidemic raised investor concerns about its negative impact on the Chinese economy. Downward price pressure was further intensified by a strong dollar as well as technical selling. In the foreign exchange sector, positive returns were generated in the developed market currencies. Short positions on the Norwegian krone and Australian dollar (against long the US dollar) provided some of the best profits. The commodity-linked currencies came under pressure as commodity prices sold-off on concerns that the worsening coronavirus outbreak would pare Chinese demand for raw materials. A long Brazilian real holding produced some partially offsetting losses after risk fell out of favor and investors sold emerging market currencies. Global stock index trading produced losses for the Trust during January. Long positioning across most global stock indexes profited early in the month amid the ratification of the “phase one” US-China trade deal, renewed central bank balance sheet expansion, Brexit clarity, and some better than expected US earnings releases. However, profits were relinquished in the second-half of the month as stocks traded lower following risk-off trading as the coronavirus outbreak intensified.

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Gains from interest rate, foreign exchange, and commodity positions led to a profitable February for the Trust, while stock index holdings produced some partially offsetting losses. Long positioning in Australia and the United States continued to benefit as prices advanced on flight to safety buying sparked by the worsening COVID-19 coronavirus epidemic. Investors aggressively sought the safety of fixed income instruments, sending global yields tumbling and expectations for further central bank stimulus soaring. In the foreign exchange sector, positive returns were generated in the developed and emerging market currencies. Short positions on the Australian dollar and Norwegian krone (against long the US dollar) provided some of the best profits for the sector. These commodity-linked currencies came under renewed selling pressure during February. The widening spread of COVID-19 to countries outside of China, such as Japan, South Korea, and Italy, sparked new concerns that global economic growth would slow materially, thus blunting the demand for raw materials. Short positioning on the industrial metal, energy, and meat complexes profited from a decline in prices. The expanding COVID-19 outbreak is widely expected to negatively impact demand for base metal, petroleum, and beef products. Downward price pressure was further intensified by a strong US dollar as well as technical selling. Global stock index trading produced losses for the Trust during February with the greatest declines seen in Australia, Japan, and the United States. Long positioning across most global stock indexes generally profited during the first two-thirds of the month. However, late in February global stock indexes experienced steep sell-offs sparked by the coronavirus’s quick spread to countries outside of China where it initially began. World economic growth fears and supply chain disruption concerns spread rapidly, sending most global stock indexes sharply lower.

The Trust had an unprofitable March, with losses coming from stock index and interest rate holdings, while foreign exchange and commodity positions contributed some partially offsetting gains during the month. Global stock index trading produced the largest losses for the Trust, with the greatest declines seen in the United States, Australia, and Canada. Long positioning across most global stock indexes suffered severely as equity indexes experienced very sharp sell-offs during the month. The COVID-19 virus spread quickly throughout Europe and North America prompting ~~draconian~~ containment measures in the form of “stay at home” directives, closures, and shutdowns that sharply curtailed economic activity. Global central banks and governments took unprecedented steps in an effort to soften the financial impact from the virus, but fear over the length and depth of the growth slowdown sent risky assets sharply lower. Interest rate positions from long-dated instruments contributed small additional losses during the month. Short positioning on US 10-year notes and US long bonds suffered amid the flight-to-safety scramble that ensued due to the severe economic upheaval wrought by the COVID-19 virus. Long positioning across global short-dated instruments helped to partially offset losses within the sector. Profits were dominated by short positions on the commodity currencies (versus long the USD), specifically in the Norwegian krone. The US dollar was sharply higher during the month amid the extreme flight-to-quality moves. Adding further downward pressure on oil-linked currencies, the petroleum markets sold off severely when tensions escalated between OPEC and Russia, and Saudi Arabia made the decision to ramp up production. Commodity holdings produced additional profits for the Trust during the month. Short positioning on the industrial metal, energy, and meat complexes profited from a decline in prices. The expanding COVID-19 pandemic is widely expected to negatively impact demand for base metal, petroleum, and beef products. Downward price pressure was further intensified by a strong US dollar as well as technical selling.

The Trust’s losses in April came from foreign exchange and interest rate holdings, while stock index and commodity positions contributed some partially offsetting gains during the month. Short positioning on several of the developed market currencies, namely the Australian dollar and New Zealand dollar, produced losses when those currencies rallied on a partial lifting of COVID-19 containment measures in those countries. Interest rate positions from long-dated instruments contributed additional losses to the portfolio. Long positions on Australian 10-year bonds suffered after the RBA tapered bond-buying operations and the country became one of the first to meaningfully ease lockdown restrictions. Short German Bund positions added to losses as Germany’s debt rallied versus periphery European bonds with Germany weathering the effects of COVID-19 better than their Eurozone counterparts. Stock indexes rebounded considerably from the oversold conditions seen during March as the United States and other countries laid out plans to reopen their economies from the COVID-19 lockdown that has proven to be very damaging to local, regional, and global economic growth. The Trust held a mixture of long and short positioning across global stock indexes during the month. Ultimately the gains on long positions more than offset losses experienced on any short holdings, leading to positive net P&L within the sector. Commodity holdings produced additional partially offsetting profits for the Trust during the month. Short positioning on the petroleum complex produced a bulk of the sector’s profits. Crude oil sold off sharply on the lethal combination of COVID-19 “stay at home” induced demand destruction linked with a shortage of available storage capacity. The May WTI futures contract went below zero for the first time in history as long holders scrambled to sell before contract expiration in order to avoid taking physical delivery given the scarcity of demand and lack of available storage space.

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Losses in May once again came from foreign exchange, as well as commodity and stock index holdings, while interest rate positions contributed some gains. May’s short positioning on several of the so-called commodity currencies, namely the Norwegian krone and Australian dollar, produced losses when those currencies rallied strongly. Fueling the run-up was a sharp rebound in many beaten down commodity markets, specifically the energy complex, as optimism grew that the worst of the COVID-19 crisis was over. A long position on the Canadian dollar (versus short the US dollar) contributed some partially offsetting gains for the sector on the same commodity currency drivers cited above. Commodity holdings produced additional losses for the Trust during the month. Short positioning on the energy, grain, and industrial metal complexes showed losses as those markets rallied driven by the improving COVID-19 crisis. A long holding on precious metals, specifically silver, produced some partially offsetting gains for the sector as expected industrial demand overwhelmed limited supplies of the metal. Short positioning on stock indexes in Europe and Japan suffered as most global stock indices continued to bounce higher from the March COVID-19 crisis lows. Regional economic re-openings linked with no new major spikes in coronavirus cases fueled the equity optimism. A long position on the Hong Kong Hang Seng index added to sector losses as that market was one of the few global indexes to sell-off during May. China’s legislature approved a proposal to impose a highly contentious national security law in the semi-autonomous territory which sparked the regional equity sell-off. Interest rate positions from both long and short-dated instruments contributed partially offsetting gains to the Trust in May. A short position on the German 10-year note was one of the most profitable markets in the sector. The German Bund sold-off during the month (prices lower and yields higher) as signs of improvement in the coronavirus crisis caused traders to shun safe haven assets in favor of riskier ones.

Foreign exchange trading in both the emerging and developed markets produced losses for the Trust during June. The greatest declines were seen in the Norwegian krone, Australian dollar, and certain Latin American currencies. These commodity-linked currencies strengthened to start the month, causing some strategies to cover their previously held long positions, only to reverse those moves later in June. The investor exuberance over additional government stimulus and the economic re-openings quickly wore off on reports of increasing COVID-19 infection outbreaks. Short soft commodity and industrial metal holdings suffered as the dollar weakened early in the month and as optimism over a rapid recovery in economic growth bolstered prices. Short grain positions produced losses on the last trading day of the month as the grain complex rallied sharply after the USDA reported acreage that trailed estimates. Within the energy sub-sector, a short natural gas holding provided some offsetting gains amid plummeting US gas exports as well as shifting weather and market supply dynamics. Meanwhile, stock index trading generated some offsetting gains. The Trust held a mix of long and short positions across the traded universe of indexes and showed a gain in Asia and North America, but partially offsetting losses were realized in Europe. Most global indexes experienced a choppy month amid mixed coronavirus news coupled with hopes for more stimulus from central banks. Interest rate positions from long-dated instruments also contributed small offsetting gains during the month. The Bank of Japan signaled plans to buy more shorter-maturity bonds which caused the yield curve to steepen and benefited our short positioning on longer-dated Japanese government bonds.

2019 (For the ~~Three~~Six Months Ended ~~March 31)~~June 30)

Of the ~~4.21% year to date~~10.33% return for the six months ended June 30, 2019 for Series A, approximately ~~4.87%~~11.70% was due to trading gains (before commissions) and approximately ~~(1.43)~~1.47% due to investment income, offset by approximately (2.84)% due to brokerage fees, management fees, offering costs and operating costs ~~offset by approximately 0.77% due to investment income earned~~incurred by Series A.

Of the ~~4.36% year to date~~10.61% return for the six months ended June 30, 2019 for Series B, approximately ~~4.87%~~11.70% was due to trading gains (before commissions) and approximately ~~(1.28)~~1.47% due to investment income, offset by approximately (2.56)% due to brokerage fees, management fees and operating costs ~~offset by approximately 0.77% due to investment income earned~~incurred by Series B.

Of the ~~4.56% year to date~~11.02% return for the six months ended June 30, 2019 for Series D, approximately ~~4.87%~~11.70% was due to trading gains (before commissions) and approximately ~~(1.08)~~1.47% due to investment income, offset by approximately (2.15)% due to brokerage fees, management fees, offering costs and operating costs ~~offset by approximately 0.77% due to investment income earned~~incurred by Series D.

Of the ~~4.76% year to date~~11.44% return for the six months ended June 30, 2019 for Series W, approximately ~~4.87%~~11.70% was due to trading gains (before commissions) and approximately ~~(0.88)~~1.47% due to investment income, offset by approximately (1.73)% due to brokerage fees, management fees, offering costs and operating costs ~~offset by approximately 0.77% due to investment income earned~~incurred by Series W.

During the ~~three~~six months ended ~~March 31,~~June 30, 2019, the Trust accrued management fees in the amount of ~~$3,169,297~~$6,336,135 and paid management fees in the amount of ~~$3,210,589.~~$6,375,416. There were no performance fees accrued or paid during this period.

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An analysis of the ~~4.87%~~11.70% gross trading gains for the Trust for the ~~three~~six months ended ~~March 31,~~June 30, 2019 by sector is as follows:

Sector	% Gain (Loss)
Commodities		(~~1.45~~3.71	)%
Currencies		(~~1.16~~2.06	)
Interest Rates		~~5.02~~11.85
Stock Indices		~~2.46~~5.62
		~~4.87~~11.70	%

The Trust, which consists of trend following, systematic macro, and short-term strategies, was lower in January. Losses came from commodity and foreign exchange positions, while fixed income and stock holdings produced partially offsetting gains for the Trust. Commodity trading generated losses for the Trust in January. Short energy positions suffered as the complex rebounded from multi-year lows on back of bullish fundamental developments and a general increase in risk sentiment. Short grain positioning also detracted as the sector traded higher amid adverse weather conditions in key growing regions, and some optimism surrounding the latest round of trade talks between the US and China. Foreign exchange positioning produced additional losses, with gains in long emerging market currencies (versus the USD) being overshadowed by losses in the developed markets, where we were net short against the greenback. The USD was broadly weaker on the month with the notable themes being the US government shutdown and a less hawkish FOMC. Short positioning on several of the commodity currencies produced the largest losses as those currencies rallied on back of the increase in prices across the petroleum complex during the month. Interest rate positions from long-dated instruments provided offsetting profits during the month. Long positioning on bonds issued by Australia, Canada, and France generated the largest gains. The shift in central bank rhetoric to a more dovish tone caused global fixed income markets to rise to start the year. Stock index positions also produced some offsetting gains during the month. Despite a myriad of global headwinds, stock markets recovered from their December sell-off, encouraged by a resumption of trade talks, dovish Fed takeaways, and the start of US Q4 earnings that mostly met expectations. Shorter term strategies moved from short to long, flipping net Trust positioning in time to capitalize on rallying equity markets, especially in the Hang Seng index.

The Trust showed a profit in February with gains coming from commodity and stock index positions, while interest rate holdings produced some partially offsetting losses. Foreign Exchange (FX) had little P&L impact on the Trust during the month. Commodity trading generated profits for the Trust in February. Short positioning across the grain subsector produced some of the best sector gains. Wheat extended a sell-off to a ten-month low following a year-over-year improvement in winter crop conditions. A long position on palladium led gains in the precious metals subsector. Palladium rose to a record high amid tight supplies and steadily rising demand for the rare metal. Some partially offsetting losses came from the industrial metal subsector. Short positioning on copper and nickel suffered as prices rose, driven by signs of progress on US / Chinese trade talks and amid tight supplies. Stock index positions produced additional gains. Long positioning on European, US, and Asia-Pacific indices produced the best profits within the sector. European stock Indices benefitted from signs of progress for a successful Brexit (the UK divorce from the European Union) with the Euro Stoxx 50 and the French CAC 40 producing some of the greatest sector returns. Asia-Pacific stocks rallied amid signs that a US / Chinese trade deal was also making positive progress. President Trump delayed a March 1st tariff increase on China as he cited “significant progress” on the trade talks. Some of the biggest gains within the region came from Australia and Hong Kong. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting losses during the month. Long positioning on the United Kingdom gilt (10-year note) contributed the largest losses to the sector. Signs of positive progress on Brexit and hawkish comments from the UK central bank head Mark Carney conspired to send gilt prices down sharply from near-term highs. In the foreign exchange sector, gains in developed market currencies were almost equally offset by losses in the emerging market currencies, leading to negligible P&L for currencies overall. Long US dollar positioning was profitable against developed market currencies but losses in the emerging markets, especially from the Brazilian real and the South African rand, mostly negated any FX sector gains.

The Trust showed a profit in March with gains coming from interest rate and stock index holdings. Foreign exchange (FX) positions produced some partially offsetting losses while commodities had little impact on the Trust. Interest rate positions in long and short-dated instruments spearheaded Trust gains in March. More dovish than expected commentary from central bankers, growing global growth concerns, and persistently weak economic data ignited a sharp rally in bonds worldwide. Long positioning on the UK gilt provided the biggest gain as investors sought safe havens amidst Brexit gridlock. Net long positioning in US bonds generated additional gains after the FOMC scaled back projected interest-rate increases this year to zero and said they would end the drawdown of the central bank bond holdings in September. One of the most discussed bond headlines this month was the inversion of the US yield curve (3-month bills and 10-year note) for the first time since the global financial crisis. Long positioning on a variety of global stock indices also added to the positive monthly result. Stock index returns ebbed and flowed on the various themes of stalling global economy growth, dovish central bank rhetoric, US-China trade talks, and Brexit. Some of the best monthly stock index gains were found in Europe and the United States. Foreign exchange positioning on developed FX markets drove the sector’s losses during the month. The Trust started the month long the Canadian dollar (versus the USD) which ultimately weakened after a worse than expected Canadian GDP release. Small gains in the emerging market currencies helped offset some of the losses. Commodity holdings produced mixed results in March. Long energy positions detracted as upside momentum in the complex stalled alongside a pause in global risk sentiment. Precious metals also registered a negative contribution to the Trust, primarily from a long palladium position. After hitting new all-time highs, palladium prices plummeted in the waning days of the month as slowing global economic growth sparked demand worries. Short grains holdings provided offsetting gains as the complex sold-off into month-end following a bearish USDA grain report.

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The Trust showed a profit in April with gains coming from stock index and commodity positions, while interest rate and foreign exchange holdings produced some partially offsetting losses during the month. Stock index positions produced the best Trust gains. Long positioning on European and Asia-Pacific indexes generated the largest profits within the sector. Global stock indexes generally produced strong gains during April. Those gains were driven by dovish statements from several major central banks, signs of improving economic growth from China, some better-than-expected economic releases from the United States, and amid mostly robust Q1 corporate earnings reports. Commodity trading also generated profits for the Trust in April. Short positioning across the grain subsector produced some of the best sector gains driven by a stronger US dollar and ample global supply expectations. Soybeans traded to a 6-month low while wheat fell to a 6-week low during the month. Long positioning on the energy subsector also added to gains. The subsector benefited from a combination of broad demand for global risk assets and increasing concerns over an undersupplied market. Some partially offsetting losses came from the industrial metals subsector. Long positioning in zinc and copper led losses as the complex suffered its biggest monthly decline on a year-to-date basis. Base metals faced headwinds from a stronger US dollar and climbing inventory stockpiles. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting losses during the month. Long positioning on the United Kingdom gilt (10-year note) and short sterling (90-day bill) contributed the largest losses to the sector. A 6-month Brexit extension sent UK fixed income prices lower as traders liquidated safe-haven positions as the threat of a “hard” UK separation from the European Union diminished. In the foreign exchange sector, losses were generated in the emerging market (EM) currencies. The trading strategy failed to successfully navigate some choppy price action in the South African rand (against the US dollar) which contributed more than half of the monthly losses within the EM FX sector.

The Trust showed a loss in May, with losses coming from stock index and commodity positions, while interest rate and foreign exchange holdings produced some partially offsetting gains during the month. Stock index positions produced the largest Trust losses. Global stock indexes generally saw steep sell-offs during the month and long positioning on global indexes generated losses within the sector, particularly across Europe and in the United States. Those losses were driven by a sharp escalation of trade tension between the US and both China and Mexico, signs that global growth is decelerating, and as the inverted US Treasury yield curve signaled a higher-than-normal recession risk. Commodity trading also generated losses for the Trust in May. Short positioning across the grain subsector produced the worst sector losses as heavy rains across the Midwest prevented a considerable amount of crop planting in the US. Weekly USDA crop progress reports painted a bullish outlook for prices, especially for corn, which rose sharply to a near three-year high. Long holdings on the energy subsector also added to losses. The energy complex suffered amid weakening demand and as US inventory levels rose to a 22-month high. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting gains during the month. Long positioning on 10-year notes from Australia and the United Kingdom were two of the best performing holdings. Australia’s central bank indicated that interest rate cuts were likely in the coming months sending their notes sharply higher (interest rates fell). In the UK, the Brexit impasse became more uncertain as Prime Minister May stepped down and the future leadership of Britain became less clear. Flight to safety flows benefitted the UK gilt. In the foreign exchange sector, gains were generated in the developed market and emerging market currencies. A short position on the Australian dollar drove gains in the developed FX subsector as that currency sold-off amid some weaker than expected economic data releases and dovish comments from the Governor of the Reserve Bank of Australia. A short position on the Chilean peso proved profitable in the EM subsector as that currency weakened on trade angst and weaker copper prices.

The Trust showed a profit in June with gains coming from stock index and interest rate positions, while foreign exchange and commodity holdings produced some partially offsetting losses during the month. Stock index positions produced the largest Trust profits. Global stock indices bounced back sharply from May’s steep sell-off. Long positioning across most global indexes benefited from signs that major central banks stand ready to provide new stimulus to slowing global economies. Fed Chairman Powell at the June FOMC meeting strongly hinted that rate cuts are coming and ECB President Draghi stated that “in the absence of improvement” in inflation data, “additional stimulus will be required.” Interest rate positions from both long-dated and short-dated instruments provided additional gains during the month. Long positioning in Australia, the United States, Japan, and Europe all benefited from the possibility of renewed central bank easing. Early in the month, the Reserve Bank of Australia became one of the first G10 central banks to actually cut interest rates amid sluggish economic growth and a decline in real estate prices in the country, and then strongly hinted that additional cuts might be warranted. In the foreign exchange sector, losses were generated in the developed market currencies. A short position on the Norwegian krone (versus the US dollar) led sector losses. The Norges Bank bucked the dovish central bank trend and actually hiked interest rates during the month. The hike marked the third increase over the past nine months amid a surge in oil investments, low unemployment, and inflation running above the central bank’s target. Commodity trading provided some small losses for the Trust in June. Industrial metals were the worst performing sub-sector. A short holding on nickel suffered on the back of US dollar weakness and mounting optimism over a Trump-Xi trade meeting on the sidelines of the G-20 summit near month-end. Some partially offsetting gains were seen in long energy holdings. A long position on gasoline profited after a massive fire shut-down one of the East Coast’s largest refineries, crimping supply and sending gas prices sharply higher.

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Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Introduction

Past Results Not Necessarily Indicative of Future Performance

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

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

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

Standard of Materiality

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

Quantifying the Trust’s Trading Value at Risk

Quantitative Forward-Looking Statements

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

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

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

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

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

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

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

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

The following tables indicate the trading Value at Risk associated with the Trust’s open positions by market category as of ~~March 31,~~June 30, 2020 and December 31, 2019 and the trading gains/losses by market category for the ~~three~~six months ended ~~March 31,~~June 30, 2020 and the year ended December 31, 2019.

	March 31, 2020						June 30, 2020
Market Sector	Value at Risk*			Trading Gain/(Loss)**			Value at Risk*			Trading Gain/(Loss)**
Commodities		0.78	%		6.52	%		0.70	%		4.49	%
Currencies		0.83	%		8.03	%		0.54	%		3.79	%
Interest Rates		1.00	%		5.83	%		0.58	%		6.28	%
Stock Indices		1.54	%		(13.54	)%		0.28	%		(13.52	)%
Aggregate/Total		1.34	%		6.84	%		1.35	%		1.04	%

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

**	Represents the gross trading for the Trust for the ~~three~~six months ended ~~March 31,~~June 30, 2020.

Of the ~~5.31% year to date~~(0.87)% return for the six months ended June 30, 2020 for Series A, approximately ~~6.84%~~1.04% was due to trading gains (before commissions) and approximately ~~(0.11)%~~0.86% due to investment ~~loss,~~income, offset by approximately ~~(1.42)~~(2.77)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series A.

Of the ~~5.44% year to date~~(0.63)% return for the six months ended June 30, 2020 for Series B, approximately ~~6.84%~~1.04% was due to trading gains (before commissions) and approximately ~~(0.11)%~~0.86% due to investment ~~loss,~~income, offset by approximately ~~(1.29)~~(2.53)% due to brokerage fees, management fees, sales commissions and operating costs incurred by Series B.

Of the ~~5.64% year to date~~(0.25)% return for the six months ended June 30, 2020 for Series D, approximately ~~6.84%~~1.04% was due to trading gains (before commissions) and approximately ~~(0.11)%~~0.86% due to investment ~~loss,~~income, offset by approximately ~~(1.09)~~(2.15)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series D.

Of the ~~5.83% year to date~~0.12% return for the six months ended June 30, 2020 for Series W, approximately ~~6.84%~~1.04% was due to trading gains (before commissions) and approximately ~~(0.11)%~~0.86% due to investment ~~loss,~~income, offset by approximately ~~(0.90)~~(1.78)% due to brokerage fees, management fees, offering costs and operating costs incurred by Series W.

	December 31, 2019
Market Sector	Value at Risk*			Trading Gain/(Loss)**
Commodities		0.51	%		(8.12	)%
Currencies		0.60	%		(3.76	)%
Interest Rates		0.61	%		12.88	%
Stock Indices		0.71	%		9.78	%
Aggregate/Total		1.19	%		10.78	%

**	Represents the gross trading for the Trust for the year ended December 31, 2019.

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Of the 7.75% return for the year ended December 31, 2019 for Series A, approximately 10.78% was due to trading gains (before commissions) and approximately 2.59% due to investment income, offset by approximately (5.62)% due to brokerage fees, management fees, offering costs and operating costs borne by Series A.

Of the 8.29% return for year ended December 31, 2019 for Series B, approximately 10.78% was due to trading gains (before commissions) and approximately 2.59% due to investment income, offset by approximately (5.08)% due to brokerage fees, management fees and operating costs borne by Series B.

Of the 7.79% return for the year ended December 31, 2019 for Series D, approximately 10.78% was due to trading gains (before commissions) and approximately 2.59% due to investment income, offset by approximately (5.58)% due to brokerage fees, management fees, performance fees, offering costs and operating costs borne by Series D.

Of the 9.93% return for the year ended December 31, 2019 for Series W, approximately 10.78% was due to trading gains (before commissions) and approximately 2.59% due to investment income, offset by approximately (3.44)% due to brokerage fees, management fees, offering costs and operating costs borne by Series W.

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

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

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

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

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

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

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

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

Non-Trading Risk

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

Qualitative Disclosures Regarding Primary Trading Risk Exposures

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

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The following represent the primary trading risk exposures of the Trust as of ~~March 31,~~June 30, 2020 by market sector.

Currencies

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

Interest Rates

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

Stock Indices

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

Energy

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

Metals

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

Agricultural

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

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the primary non-trading risk exposures of the Trust as of ~~March 31,~~June 30, 2020.

Foreign Currency Balances

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

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Fixed Income Securities

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

U.S. Treasury Bill Positions Held for Margin Purposes

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

General

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

During the six months ended June 30, 2020, the Trust operated as normal during the coronavirus (“COVID-19”) outbreak. The Trust had access to and the ability to trade in approved markets. There were no disruptions in the Trust’s accounting processes, transfer agent processes or cash processes including the ability to pay redemptions and meet margin requirements.

The future impact of the COVID-19 outbreak on the financial performance of the Trust’s investments will depend on future developments, including the duration and spread of the virus and related advisories and restrictions. These developments and the impact of COVID-19 on the financial markets and the overall economy are highly uncertain and cannot be predicted. If the financial markets and/or the overall economy are impacted for an extended period, the Trust’s ability to trade and investment results may be materially affected.

Item 4. Controls and Procedures.

Campbell & Company, the managing operator of the Trust, with the participation of the managing operator’s chief executive officer and chief operating officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in the Securities Exchange Act of 1934 Rules 13a-15(e) or 15d-15(e)) with respect to the Trust as of the end of the period covered by this quarterly report. Based on their evaluation, the chief executive officer and chief operating officer have concluded that these disclosure controls and procedures are effective. ~~Effective January 1, 2020, NAV Consulting, Inc. (“NAVC”) replaced Northern Trust Hedge Fund Services LLC as the Administrator of the Trust.~~ There were no ~~material changes to the internal control over financial reporting due to this change. There were no other~~ changes in the managing operator’s internal control over financial reporting applicable to the Trust identified in connection with the evaluation required by paragraph (d) of Exchange Act Rules 13a-15 or 15d-15 that occurred during the last fiscal quarter that have materially affected, or is reasonably likely to materially affect, internal control over financial reporting applicable to the Trust.

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PART II-OTHER INFORMATION

Item 1. Legal Proceedings.

None

Item 1A. Risk Factors.

None

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

None

Item 3. Defaults Upon Senior Securities.

Not applicable.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

None

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Item 6. Exhibits.

Exhibit Number		Description of Document

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

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

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

10.02		Global Institutional Master Custody Agreement ⁽²⁾

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

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

31.02		Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.

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

32.02		Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.

101.01		Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments ~~March 31,~~as of June 30, 2020 and December 31, 2019, (ii) Statements of Financial Condition ~~March 31,~~as of June 30, 2020 and December 31, 2019, (iii) Statements of Operations For the Three Months and Six Months Ended ~~March 31,~~June 30, 2020 and 2019, (iv) Statements of Cash Flows For the ~~Three~~Six Months Ended ~~March 31,~~June 30, 2020 and 2019, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the ~~Three~~Six Months Ended ~~March 31,~~June 30, 2020 and 2019, (vi) Financial Highlights For the Three Months and Six Months Ended ~~March 31,~~June 30, 2020 and 2019, (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 August 15, 2011.

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

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EXHIBIT INDEX

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

31.02		Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.

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

32.02		Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.

101.01		Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments ~~March 31,~~as of June 30, 2020 and December 31, 2019, (ii) Statements of Financial Condition ~~March 31,~~as of June 30, 2020 and December 31, 2019, (iii) Statements of Operations For the Three Months and Six Months Ended ~~March 31,~~June 30, 2020 and 2019, (iv) Statements of Cash Flows For the ~~Three~~Six Months Ended ~~March 31,~~June 30, 2020 and 2019, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the ~~Three~~Six Months Ended ~~March 31,~~June 30, 2020 and 2019, (vi) Financial Highlights For the Three Months and Six Months Ended ~~March 31,~~June 30, 2020 and 2019, (vii) Notes to Financial Statements.

3739

Table of Contents

SIGNATURES

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

	THE CAMPBELL FUND TRUST (Registrant)

	By:	Campbell & Company, LP
		Managing Operator

Date: ~~May 15,~~August 14, 2020	By:	/s/ G. William Andrews
		G. William Andrews
		Chief Executive Officer

3840

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

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

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

Large accelerated filer ☐	Accelerated filer ☐	Non-accelerated filer ☑	Smaller reporting company ☐

Emerging growth company ☐

Maturity		Fair		% of Net
Face Value	Description	Value ($)		Asset Value
	Asset Backed Securities
	United States
	Auto Loans	$	17,353,200		5.80	%
	Credit Cards		1,041,048		0.35	%
	Equipment Loans		691,828		0.23	%
	Utilities		17,349		0.01	%
	Total Asset Backed Securities (cost $18,924,710)		19,103,425		6.39	%

	Bank Deposits
	United States
	Financials (cost $3,545,433)		3,556,356		1.19	%
	Total Bank Deposits (cost $3,545,433)		3,556,356		1.19	%

	Commercial Paper
	Australia
	Financials (cost $398,190)		399,704		0.13	%
	Netherlands
	Energy (cost $1,936,576)		1,939,237		0.65	%
	Spain
	Financials (cost $3,097,885)		3,099,101		1.04	%
	Switzerland
	Financials (cost $3,524,999)		3,524,954		1.18	%
	United Kingdom
	Financials (cost $3,679,961)		3,679,977		1.23	%
	United States
	Communications		6,964,952		2.33	%
	Consumer Staples		6,489,944		2.17	%
	Energy		10,882,345		3.64	%
	Financials		23,215,081		7.76	%
	Industrials		2,473,464		0.83	%
	Utilities		29,326,289		9.81	%
	Total United States (cost $79,276,687)		79,352,075		26.54	%
	Total Commercial Paper (cost $91,914,298)		91,995,048		30.77	%

	Corporate Bonds
	Australia
	Financials (cost $3,585,000)		3,584,425		1.20	%
	Canada
	Financials (cost $7,599,396)		7,603,109		2.54	%
	Germany
	Consumer Discretionary (cost $3,814,097)		3,804,427		1.27	%
	Switzerland
	Financials (cost $2,449,374)		2,477,795		0.83	%
	United Kingdom
	Financials (cost $5,924,219)		5,973,007		2.00	%
	United States
	Communications		963,778		0.32	%
	Consumer Discretionary		14,492,898		4.85	%
	Consumer Staples		1,600,180		0.54	%
	Energy		4,488,278		1.50	%
	Financials		20,268,157		6.78	%
	Industrials		6,073,420		2.03	%
	Materials		882,006		0.29	%
	Technology		5,873,116		1.96	%
	Utilities		1,482,052		0.50	%
	Total United States (cost $55,844,183)		56,123,885		18.77	%
	Total Corporate Bonds (cost $79,216,269)	$	79,566,648		26.61	%

Maturity Face Value	Description	Fair Value ($)		% of Net Asset Value
	Asset Backed Securities
	United States
	Auto Loans	$	17,753,372		5.52	%
	Equipment Loans		306,533		0.10	%
	Utilities		544,119		0.17	%
	Total Asset Backed Securities (cost $18,553,654)		18,604,024		5.79	%

	Bank Deposits
	United States
	Financials		3,558,164		1.11	%
	Total Bank Deposits (cost $3,546,737)		3,558,164		1.11	%

	Commercial Paper
	Australia
	Financials (cost $2,498,054)		2,498,283		0.78	%
	Netherlands
	Energy (cost $2,183,527)		2,191,369		0.68	%
	Spain
	Financials (cost $499,264)		499,324		0.16	%
	Switzerland
	Financials (cost $3,505,422)		3,509,331		1.09	%
	United Kingdom
	Financials (cost $2,025,564)		2,026,327		0.63	%
	United States
	Communications		1,882,860		0.59	%
	Consumer Discretionary		16,357,301		5.10	%
	Consumer Staples		5,758,881		1.79	%
	Energy		1,495,730		0.47	%
	Financials		25,866,304		8.05	%
	Industrials		10,485,787		3.27	%
	Materials		14,924,029		4.65	%
	Utilities		23,572,289		7.34	%
	Total United States (cost $100,369,200)		100,343,181		31.26	%
	Total Commercial Paper (cost $111,081,031)		111,067,815		34.60	%

	Corporate Bonds
	Australia
	Financials (cost $3,585,000)		3,390,146		1.06	%
	Canada
	Financials (cost $6,615,000)		6,507,997		2.03	%
	Germany
	Consumer Discretionary (cost $3,813,917)		3,684,989		1.15	%
	Switzerland
	Financials (cost $1,315,000)		1,231,793		0.38	%
	United Kingdom
	Financials (cost $5,928,194)		5,660,639		1.76	%
	United States
	Communications		2,506,252		0.78	%
	Consumer Discretionary		12,312,708		3.84	%
	Consumer Staples		3,279,278		1.02	%
	Energy		2,457,659		0.77	%
	Financials		18,127,305		5.64	%
	Industrials		5,897,217		1.84	%
	Materials		874,864		0.27	%
	Technology		5,013,434		1.56	%
	Utilities		2,287,879		0.71	%
	Total United States (cost $53,652,821)		52,756,596		16.43	%
	Total Corporate Bonds (cost $74,909,932)	$	73,232,160		22.81	%

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

			Page
PART I — FINANCIAL INFORMATION

	Item 1.	Financial Statements.

		Condensed Schedules of Investments as of ~~March 31,~~June 30, 2020 and December 31, 2019 (Unaudited)	1-4

		Statements of Financial Condition as of ~~March 31,~~June 30, 2020 and December 31, 2019 (Unaudited)	5

		Statements of Operations for the Three Months and Six Months Ended ~~March 31,~~June 30, 2020 and 2019 (Unaudited)	6

		Statements of Cash Flows for the ~~Three~~Six Months Ended ~~March 31,~~June 30, 2020 and 2019 (Unaudited)	7

		Statements of Changes in Unitholders’ Capital (Net Asset Value) for the ~~Three~~Six Months Ended ~~March 31,~~June 30, 2020 and 2019 (Unaudited)	8-9

		Financial Highlights for the Three Months and Six Months Ended ~~March 31,~~June 30, 2020 and 2019 (Unaudited)	10-13

		Notes to Financial Statements (Unaudited)	14-24

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations.	~~25-29~~25-31

	Item 3.	Quantitative and Qualitative ~~Disclosures~~Disclosure About Market Risk.	~~30-34~~32-36

	Item 4.	Controls and Procedures.	3436

PART II — OTHER INFORMATION

	Item 1.	Legal Proceedings.	3537

	Item 1A.	Risk Factors.	3537

	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds.	3537

	Item 3.	Defaults Upon Senior Securities.	3537

	Item 4.	Mine Safety Disclosures.	3537

	Item 5.	Other Information.	3537

	Item 6.	Exhibits.	~~36-37~~38-39

SIGNATURES			3840

United States
Communications		3,078,403	0.99	%
Consumer Discretionary		14,140,035	4.57	%
Consumer Staples		3,547,193	1.14	%
Energy		6,047,117	1.95	%
Financials		23,371,727	7.55	%
Industrials		5,427,486	1.75	%
Materials		884,220	0.29	%
Technology		5,066,126	1.64	%
Utilities		2,348,096	0.76	%
Total United States (cost $63,778,285)		63,910,403	20.64	%
Total Corporate Bonds (cost $84,419,463)	$	84,597,249	27.33	%

	Three Months Ended March 31,						Three Months Ended June 30,						Six Months Ended June 30,
	2020			2019			2020			2019			2020			2019
TRADING GAINS (LOSSES)
Futures trading gains (losses)
Realized	$	(17,005,356	)	$	11,332,347		$	(580,036	)	$	27,012,737		$	(17,585,392	)	$	38,345,084
Change in unrealized		13,201,950			7,608,895			(3,566,534	)		(3,180,799	)		9,635,416			4,428,096
Brokerage commissions		(593,239	)		(510,955	)		(457,518	)		(510,187	)		(1,050,755	)		(1,021,142	)
Net gain (loss) from futures trading		(4,396,645	)		18,430,287			(4,604,088	)		23,321,751			(9,000,731	)		41,752,038

Forward currency trading gains (losses)
Realized		5,155,862			7,832,537			7,615,530			(3,458,977	)		12,771,391			4,373,560
Change in unrealized		19,995,162			(11,358,215	)		(21,037,875	)		347,622			(1,042,713	)		(11,010,593	)
Brokerage commissions		(40,206	)		(67,001	)		(48,097	)		(85,012	)		(88,303	)		(152,013	)
Net gain (loss) from forward currency trading		25,110,818			(3,592,679	)		(13,470,442	)		(3,196,367	)		11,640,375			(6,789,046	)
Total net trading gain (loss)		20,714,173			14,837,608			(18,074,530	)		20,125,384			2,639,644			34,962,992

NET INVESTMENT INCOME (LOSS)
Investment income (loss)
Investment income
Interest income		1,451,917			2,035,444			879,605			2,064,700			2,331,522			4,100,144
Realized gain (loss) on fixed income securities		13,325			518			15,086			3,532			28,411			4,050
Change in unrealized gain (loss) on fixed income securities		(1,826,548	)		457,530			2,188,739			213,051			362,191			670,581
Total investment income (loss)		(361,306	)		2,493,492			3,083,430			2,281,283			2,722,124			4,774,775

Expenses
Management fee		3,135,806			3,169,297			2,513,869			3,166,838			5,649,675			6,336,135
Operating expenses		229,608			263,524			236,957			264,280			466,566			527,804
Sales commission								453,499			0			453,499			0
Total expenses		3,365,414			3,432,821			3,204,325			3,431,118			6,569,740			6,863,939
Net investment income (loss)		(3,726,720	)		(939,329	)		(120,895	)		(1,149,835	)		(3,847,616	)		(2,089,164	)
NET INCOME (LOSS)	$	16,987,453		$	13,898,279		$	(18,195,425	)	$	18,975,549		$	(1,207,972	)	$	32,873,828

NET INCOME (LOSS) PER OTHER UNITHOLDERS’ UNIT
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
(based on weighted average number of units outstanding during the period)
Series A	$	140.53		$	100.68		$	(154.98	)	$	146.37		$	(11.36	)	$	245.68
Series B	$	153.56		$	106.90		$	(169.82	)	$	161.66		$	(12.49	)	$	266.13
Series D	$	54.93		$	45.29		$	(61.17	)	$	64.01		$	(12.67	)	$	109.09
Series W	$	180.16		$	133.18		$	(170.18	)	$	185.61		$	7.50		$	317.10

INCREASE (DECREASE) IN NET ASSET VALUE PER OTHER UNITHOLDERS’ UNIT
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
Series A	$	136.24		$	100.41		$	(158.70	)	$	145.76		$	(22.46	)	$	246.17
Series B	$	152.82		$	113.23		$	(170.41	)	$	162.02		$	(17.59	)	$	275.25
Series D	$	58.72		$	44.07		$	(61.34	)	$	62.47		$	(2.62	)	$	106.54
Series W	$	177.15		$	131.35		$	(173.37	)	$	184.62		$	3.78		$	315.97

WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
Series A		94,522.042			108,849.717			92,564.922			102,508.562			93,543.482			105,679.139
Series B		12,972.774			15,312.285			12,673.730			14,007.921			12,823.252			14,660.103
Series D		3,629.866			1,569.589			4,055.524			1,535.419			3,842.695			1,552.504
Series W		8,395.537			9,241.854			8,515.137			8,665.237			8,455.337			8,953.546

	Series A - Other Unitholders						Series B - Other Unitholders						Series A - Other Unitholders						Series B - Other Unitholders
	Units			Amount			Units			Amount			Units			Amount			Units			Amount
Three Months Ended March 31, 2020
Six Months Ended June 30, 2020

Balances at December 31, 2019		95,005.038		$	243,974,281			13,005.349		$	36,551,654			95,005.038		$	243,974,281			13,005.349		$	36,551,654
Net income (loss) for the three months ended March 31, 2020					13,283,425						1,992,123						13,283,425						1,992,123
Additions		380.679			1,036,884			0.000			0			380.679			1,036,884			0.000			0
Redemptions		(2,307.266	)		(6,263,995	)		(239.509	)		(714,415	)		(2,307.266	)		(6,263,995	)		(239.509	)		(714,415	)
Offering costs					(322,990	)					0						(322,990	)					0
Balances at March 31, 2020		93,078.451		$	251,707,605			12,765.840		$	37,829,362			93,078.451		$	251,707,605			12,765.840		$	37,829,362

Three Months Ended March 31, 2019
Net income (loss) for the three months ended June 30, 2020																	(14,345,960	)					(2,152,270	)
Additions														783.671			2,071,421			2.349			6,564
Redemptions														(2,458.985	)		(6,456,980	)		(184.065	)		(537,159	)
Offering costs																	(304,760	)					0
Balances at June 30, 2020														91,403.137		$	232,671,326			12,584.124		$	35,146,497

Six Months Ended June 30, 2019

Balances at December 31, 2018		111,488.756		$	265,715,642			15,779.825		$	40,954,227			111,488.756		$	265,715,642			15,779.825		$	40,954,227
Net income (loss) for the three months ended March 31, 2019					10,959,406						1,636,947						10,959,406						1,636,947
Additions		402.786			966,271			29.109			78,844			402.786			966,271			29.109			78,844
Redemptions		(8,230.105	)		(19,795,854	)		(1,684.043	)		(4,411,610	)		(8,230.105	)		(19,795,854	)		(1,684.043	)		(4,411,610	)
Offering costs					(376,105	)					0						(376,105	)					0
Balances at March 31, 2019		103,661.437		$	257,469,360			14,124.891		$	38,258,408			103,661.437		$	257,469,360			14,124.891		$	38,258,408

Net income (loss) for the three months ended June 30, 2019																	15,004,346						2,264,553
Additions														2,299.229			5,873,079			0.000			0
Redemptions														(6,398.768	)		(16,266,862	)		(643.330	)		(1,822,852	)
Offering costs																	(281,414	)					0
Balances at June 30, 2019														99,561.898		$	261,798,509			13,481.561		$	38,700,109

Net Asset Value per Other Unitholders’ Unit - Series A	Net Asset Value per Other Unitholders’ Unit - Series A							Net Asset Value per Other Unitholders’ Unit - Series A

March 31, 2020		December 31, 2019		March 31, 2019		December 31, 2018
June 30, 2020								June 30, 2020	March 31, 2020		December 31, 2019		June 30, 2019		March 31, 2019		December 31, 2018
$	2,704.25	$	2,568.01	$	2,483.75	$	2,383.34	2,545.55	$	2,704.25	$	2,568.01	$	2,629.51	$	2,483.75	$	2,383.34

	Series D - Other Unitholders						Series W - Other Unitholders						Trust			Series D - Other Unitholders						Series W - Other Unitholders						Trust
	Units			Amount			Units			Amount			Total Amount			Units			Amount			Units			Amount			Total Amount
Three Months Ended March 31, 2020
Six Months Ended June 30, 2020

Balances at December 31, 2019		3,366.350		$	3,507,300			8,389.889		$	25,473,386		$	309,506,621			3,366.350		$	3,507,300			8,389.889		$	25,473,386		$	309,506,621
Net income (loss) for the three months ended March 31, 2020					199,390						1,512,515			16,987,453						199,390						1,512,515			16,987,453
Additions		645.496			713,740			454.565			1,469,957			3,220,581			645.496			713,740			454.565			1,469,957			3,220,581
Redemptions		(94.688	)		(104,213	)		(394.076	)		(1,267,863	)		(8,350,486	)		(94.688	)		(104,213	)		(394.076	)		(1,267,863	)		(8,350,486	)
Offering costs					(5,038	)					(33,974	)		(362,002	)					(5,038	)					(33,974	)		(362,002	)
Balances at March 31, 2020		3,917.158		$	4,311,179			8,450.378		$	27,154,021		$	321,002,167			3,917.158		$	4,311,179			8,450.378		$	27,154,021		$	321,002,167

Three Months Ended March 31, 2019
Net income (loss) for the three months ended June 30, 2020																				(248,077	)					(1,449,118	)		(18,195,425	)
Additions																	815.382			866,454			308.715			969,559			3,913,998
Redemptions																	(99.350	)		(109,065	)		(81.679	)		(261,959	)		(7,365,163	)
Offering costs																				(5,435	)					(33,359	)		(343,554	)
Balances at June 30, 2020																	4,633.190		$	4,815,056			8,677.414		$	26,379,144		$	299,012,023

Six Months Ended June 30, 2019

Balances at December 31, 2018		1,569.589		$	1,517,078			9,306.953		$	25,704,987		$	333,891,934			1,569.589		$	1,517,078			9,306.953		$	25,704,987		$	333,891,934
Net income (loss) for the three months ended March 31, 2019					71,088						1,230,838			13,898,279						71,088						1,230,838			13,898,279
Additions		0.000			0			16.012			43,708			1,088,823			0.000			0			16.012			43,708			1,088,823
Redemptions		0.000			0			(521.852	)		(1,483,217	)		(25,690,681	)		0.000			0			(521.852	)		(1,483,217	)		(25,690,681	)
Offering costs					(1,923	)					(32,369	)		(410,397	)					(1,923	)					(32,369	)		(410,397	)
Balances at March 31, 2019		1,569.589		$	1,586,243			8,801.113		$	25,463,947		$	322,777,958			1,569.589		$	1,586,243			8,801.113		$	25,463,947		$	322,777,958

Net income (loss) for the three months ended June 30, 2019																				98,275						1,608,375			18,975,549
Additions																	45.684			49,023			63.879			190,008			6,112,110
Redemptions																	(51.255	)		(53,220	)		(431.580	)		(1,272,851	)		(19,415,785	)
Offering costs																				(2,009	)					(32,463	)		(315,886	)
Balances at June 30, 2019																	1,564.018			1,678,312			8,433.412			25,957,016			328,133,946

	Fair Value at March 31, 2020								Fair Value at June 30, 2020
Description	Level 1		Level 2		Level 3		Total		Level 1		Level 2			Level 3		Total
Investments
Short term investments	$	8,998	$	0	$	0	$	8,998	$	4,109,849	$	0		$	0	$	4,109,849
Fixed income securities		0		256,899,282		0		256,899,282		0		239,090,776			0		239,090,776

Other Financial Instruments
Exchange-traded futures contracts		5,062,013		0		0		5,062,013		1,495,479		0			0		1,495,479
Forward currency contracts		0		17,331,485		0		17,331,485		0		(3,706,390	)		0		(3,706,390	)
Total	$	5,071,011	$	274,230,767	$	0	$	279,301,778	$	5,605,328	$	235,384,386		$	0	$	240,989,714

	Fair Value at December 31, 2019
Description	Level 1			Level 2			Level 3		Total
Investments
Short term investments	$	4,780		$	0		$	0	$	4,780
Fixed income securities		0			257,548,052			0		257,548,052

Other Financial Instruments
Exchange-traded futures contracts		(8,139,937	)		0			0		(8,139,937	)
Forward currency contracts		0			(2,663,677	)		0		(2,663,677	)
Total	$	(8,135,157	)	$	254,884,375		$	0	$	246,749,218