UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

FORM 10-Q

☑
Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the quarterly period ended March 31,September 30, 2022

☐
Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the transition period from                     to                     

or

Commission File number: 000-50264

THE CAMPBELL FUND TRUST

(Exact name of Registrant as specified in charter)

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) 

Securities registered pursuant to Section 12(b) of the Act:

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

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.  Yes ☑ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive data File required to be submitted pursuant to Rule 405 of regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).  Yes ☑ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act. (Check one):

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

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Securities Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).     Yes ☐ No ☑

The Registrant has no voting stock. As of March 31,September 30, 2022, there were 79,898.56886,297.936 Series A Units, 10,228.46610,156.916 Series B Units, 9,119.67213,444.989 Series D Units, and 10,272.71311,209.346 Series W Units of Beneficial Interest issued and outstanding.
 
TABLE OF CONTENTS

 Page
PART I — FINANCIAL INFORMATION 
    
 Item 1.Financial Statements. 
    
  
Condensed Schedules of Investments as of March 31,September 30, 2022 and December 31, 2021 (Unaudited)
1-6
    
  
Statements of Financial Condition as of March 31,September 30, 2022 and December 31, 2021 (Unaudited)
7
    
  
Statements of Operations for the Three Months and Nine Months Ended March 31,September 30, 2022 and 2021 (Unaudited)
8
    
  
Statements of Cash Flows for the ThreeNine Months Ended March 31,September 30, 2022 and 2021 (Unaudited)
9
    
  
Statements of Changes in Unitholders’ Capital (Net Asset Value) for the ThreeNine Months Ended March 31,September 30, 2022 and 2021 (Unaudited)
10-11
    
  
Financial Highlights for the Three and Nine Months Ended March 31,September 30, 2022 and 2021 (Unaudited)
12-15
    
  
Notes to Financial Statements (Unaudited)
16-3016-31
    
 Item 2.
Management’s Discussion and Analysis of Financial Condition and Results of Operations.
31-3732-41
    
 Item 3.
Quantitative and Qualitative Disclosure About Market Risk.
38-4341-46
    
 Item 4.
Controls and Procedures.
4346
    
PART II — OTHER INFORMATION
 
    
 Item 1.
Legal Proceedings.
4447
    
 Item 1A.
Risk Factors.
4447
    
 Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds.
4447
    
 Item 3.
Defaults Upon Senior Securities.
4447
    
 Item 4.
Mine Safety Disclosures.
4447
    
 Item 5.
Other Information.
4447
    
 Item 6.
Exhibits.
45-4648-49
    
SIGNATURES
 4750

Table of Contents
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31,SEPTEMBER 30, 2022 (Unaudited)

FIXED INCOME SECURITIES


Maturity
Face Value
 Description 
Fair
Value ($)
  
% of Net
Asset Value
 


 Asset Backed Securities
      
   United States      
   Auto Loans 
$
15,776,934
   
4.21
%
   Equipment Loans  
1,089,741
   
0.29
%
   
Total Asset Backed Securities (cost $16,975,180)
  
16,866,675
   
4.50
%
            
   Bank Deposits
        
   Singapore        
   
Financials (cost $1,815,000)
  
1,814,348
   
0.48
%
   United States        
   
Financials (cost $1,750,000)
  
1,747,916
   
0.47
%
   
Total Bank Deposits (cost $3,565,000)
  
3,562,264
   
0.95
%
            
   Commercial Paper
        
   Canada        
   
Financials (cost $1,349,332)
  
1,349,464
   
0.36
%
   Switzerland        
   
Financials (cost $2,035,181)
  
2,035,830
   
0.54
%
   United Kingdom        
   
Financials (cost $479,937)
  
479,899
   
0.13
%
   United States        
   Communications  
10,044,126
   
2.68
%
   Consumer Staples  
2,208,708
   
0.59
%
   Energy  
2,074,822
   
0.55
%
   Financials  
53,125,043
   
14.17
%
   Real Estate  
12,869,989
   
3.43
%
   Technology  
5,001,383
   
1.33
%
   Utilities  
28,639,760
   
7.64
%
   
Total United States (cost $113,981,955)
  
113,963,831
   
30.39
%
   
Total Commercial Paper (cost $117,846,405)
  
117,829,024
   
31.42
%
            
   
Corporate Bonds
        
   Australia        
   
Financials (cost $3,585,000)
  
3,589,712
   
0.96
%
   Canada        
   Energy  
1,356,689
   
0.36
%
   Financials  
12,486,025
   
3.33
%
   
Total Canada (cost $13,970,646)
  
13,842,714
   
3.69
%
   Germany        
   Consumer Discretionary  
3,666,603
   
0.98
%
   Industrials  
1,815,000
   
0.48
%
   
Total Germany (cost $5,480,000)
  
5,481,603
   
1.46
%
   Japan        
   
Financials (cost $774,879)
  
773,268
   
0.21
%
   Switzerland        
   
Financials (cost $2,069,754)
  
2,055,282
   
0.55
%
   United Kingdom        
   Financials  
1,430,956
   
0.38
%
   Health Care  
1,321,887
   
0.35
%
   
Total United Kingdom (cost $2,771,069)
 
$
2,752,843
   
0.73
%
Maturity
Face Value
 Description 
Fair
Value ($)
  
% of Net
Asset Value
 


 Asset Backed Securities      
   United States      
   Auto Loans 
$
25,617,427
   
5.22
%
   Equipment Loans  
2,946,283
   
0.60
%
   
Total Asset Backed Securities (cost $28,808,597)
  
28,563,710
   
5.82
%
            
   Bank Deposits        
   United States        
   Financials (cost $5,950,735)  
5,926,372
   
1.21
%
   
Total Bank Deposits (cost $5,950,735)
  
5,926,372
   
1.21
%
            
   Commercial Paper        
   France        
   Financials (cost $2,953,674)  
2,951,392
   
0.60
%
   Sweden        
   Financials (cost $2,792,470)
  
2,787,884
   
0.57
%
   United Kingdom        
   Financials (cost $8,956,851)  
8,954,782
   
1.82
%
   United States        
   Consumer Discretionary  
24,051,903
   
4.90
%
   Consumer Staples  
11,991,950
   
2.44
%
   Financials  
55,564,759
   
11.31
%
   Industrials  
8,576,745
   
1.75
%
   Real Estate  
20,601,227
   
4.19
%
   Technology  
24,720,933
   
5.03
%
   Utilities  
34,465,215
   
7.02
%
   
Total United States (cost $180,027,536)
  
179,972,732
   
36.64
%
   
Total Commercial Paper (cost $194,730,531)
  
194,666,790
   
39.63
%
            
   Corporate Bonds        
   Australia        
   Financials (cost $3,915,129)  
3,911,296
   
0.80
%
   Canada        
   Energy  
1,968,145
   
0.40
%
   Financials  
14,364,289
   
2.92
%
   
Total Canada (cost $16,600,166)
  
16,332,434
   
3.32
%
   Germany        
   Consumer Discretionary  
1,174,033
   
0.24
%
   Industrials  
1,959,852
   
0.40
%
   
Total Germany (cost $3,140,718)
  
3,133,885
   
0.64
%
   Spain        
   Financials (cost $2,599,998)  
2,533,337
   
0.52
%
   Switzerland        
   Financials (cost $3,579,862)  
3,510,123
   
0.71
%
   United Kingdom        
   Financials (cost $1,892,764) 
$
1,838,732
   
0.37
%

See Accompanying Notes to Financial Statements.
 
1
Table of Contents
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31,SEPTEMBER 30, 2022 (Unaudited)
 
FIXED INCOME SECURITIES


Maturity
Face Value
Maturity
Face Value
 Description 
Fair
Value ($)
  
% of Net
Asset Value
 
Maturity
Face Value
 Description 
Fair
Value ($)
  
% of Net
Asset Value
 


 Corporate Bonds (continued)      
 Corporate Bonds (continued)      
  United States        United States      
  Consumer Discretionary 
$
5,210,648
   
1.39
%
  Consumer Discretionary 
$
6,830,810
   
1.39
%
  Consumer Staples  
1,512,865
   
0.40
%
  Consumer Staples  
1,173,158
   
0.24
%
  Energy  
5,892,324
   
1.57
%
  Energy  
5,980,602
   
1.22
%
  Financials  
9,001,224
   
2.40
%
  Financials  
19,002,448
   
3.87
%
  Health Care  
3,991,864
   
1.06
%
  Health Care  
6,501,857
   
1.32
%
  Industrials  
5,104,630
   
1.36
%
  Industrials  
7,316,508
   
1.49
%
  Materials  
1,020,486
   
0.27
%
  Materials  
2,797,600
   
0.57
%
  Real Estate  
1,575,129
   
0.42
%
  Real Estate  
2,105,044
   
0.43
%
  Technology  
4,021,806
   
1.07
%
  Technology  
3,748,479
   
0.76
%
  Utilities  
4,379,563
   
1.17
%
  Utilities  
6,817,470
   
1.39
%
  
Total United States (cost $42,039,315)
  
41,710,539
   
11.11
%
  
Total United States (cost $63,219,173)
  
62,273,976
   
12.68
%
  
Total Corporate Bonds (cost $70,690,663)
  
70,205,961
   
18.71
%
  
Total Corporate Bonds (cost $94,947,810)
  
93,533,783
   
19.04
%
                      
  Government and Agency Obligations          Government and Agency Obligations        
  United States          United States        
  U.S. Treasury Bills          U.S. Treasury Bills        
$
5,660,000
 
U.S. Treasury Bills Due 04/14/2022 (1)
  
5,659,660
   
1.51
%
5,160,000
 
U.S. Treasury Bills Due 10/13/2022 (1)
  
5,156,326
   
1.05
%
$
24,500,000
 
U.S. Treasury Bills Due 05/12/2022 (1)
  
24,494,414
   
6.53
%
500,000
 
U.S. Treasury Bills Due 10/20/2022 (1)
  
499,408
   
0.10
%
$
3,100,000
 
U.S. Treasury Bills Due 06/16/2022 (1)
  
3,097,294
   
0.83
%
29,900,000
 
U.S. Treasury Bills Due 11/10/2022 (1)
  
29,814,337
   
6.07
%
$
14,600,000
 
U.S. Treasury Bills Due 12/15/2022 (1)
  
14,517,130
   
2.96
%
  
Total Government And Agency Obligations (cost $33,255,529)
  
33,251,368
   
8.87
%
  
Total Government And Agency Obligations (cost $49,977,121)
  
49,987,201
   
10.18
%
  
Total Fixed Income Securities (cost $242,332,777) (2)
 
$
241,715,292
   
64.45
%
  
Total Fixed Income Securities (cost $374,414,794) (2)
 
$
372,677,856
   
75.88
%
 
(1)Pledged as collateral for the trading of futures positions.
(2)Included in fixed income securities are U.S. Treasury Bills with a fair value of $33,251,368$49,987,201 deposited with the futures brokers.
 
See Accompanying Notes to Financial Statements.
 
2
Table of Contents
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31,SEPTEMBER 30, 2022 (Unaudited)

SHORT TERM INVESTMENTS

Description
Fair
Value ($)
 
% of Net
Asset Value
 
Fair
Value ($)
 
% of Net
Asset Value
 
Money Market Funds        
United States        
Money Market Funds (cost $30,136,605)
 
$
30,136,605
   
8.04
%
Total Short Term Investments (cost $30,136,605)
 
$
30,136,605
   
8.04
%
Money Market Funds (cost $103,542)
 
$
103,542
   
0.02
%
Total Short Term Investments (cost $103,542)
 
$
103,542
   
0.02
%

LONG FUTURES CONTRACTS

Description 
Fair
Value ($)
  
% of Net
Asset Value
  
Fair
Value ($)
  
% of Net
Asset Value
 
Agriculture 
$
1,441,043
   
0.38
%
 
$
(3,470,025
)
  
(0.71
)%
Energy  
(1,956,434
)
  
(0.52
)%
  
(181,572
)
  
(0.04
)%
Metals  
15,016,434
   
4.00
%
  
(9,940,757
)
  
(2.02
)%
Stock indices  
1,194,756
   
0.32
%
  
(271,130
)
  
(0.06
)%
Short-term interest rates  
5,886
   
0.00
%
  
71,211
   
0.01
%
Long-term interest rates  
(2,544,694
)
  
(0.68
)%
  
(416,846
)
  
(0.08
)%
Net unrealized gain (loss) on long futures contracts  
13,156,991
   
3.50
%
  
(14,209,119
)
  
(2.90
)%

SHORT FUTURES CONTRACTS

Description 
Fair
Value ($)
  
% of Net
Asset Value
  
Fair
Value ($)
  
% of Net
Asset Value
 
Agriculture  
(272,255
)
  
(0.07
)%
  
(1,481,602
)
  
(0.30
)%
Energy  
(29,160
)
  
(0.01
)%
  
685,247
   
0.14
%
Metals  
(10,715,389
)
  
(2.86
)%
  
9,942,614
   
2.02
%
Stock indices  
(360,796
)
  
(0.10
)%
  
5,097,536
   
1.04
%
Short-term interest rates  
2,241,167
   
0.60
%
  
3,837,569
   
0.78
%
Long-term interest rates  
3,135,519
   
0.84
%
  
1,450,461
   
0.30
%
Net unrealized gain (loss) on short futures contracts  
(6,000,914
)
  
(1.60
)%
  
19,531,825
   
3.98
%
Net unrealized gain (loss) on open futures contracts 
$
7,156,077
   
1.90
%
 
$
5,322,706
   
1.08
%

FORWARD CURRENCY CONTRACTS

Description 
Fair
Value ($)
  
% of Net
Asset Value
  
Fair
Value ($)
  
% of Net
Asset Value
 
Various long forward currency contracts 
$
12,598,173
   
3.36
%
 
$
(42,463,335
)
  
(8.65
)%
Various short forward currency contracts  
(4,256,898
)
  
(1.14
)%
  
59,555,906
   
12.12
%
Net unrealized gain (loss) on open forward currency contracts 
$
8,341,275
   
2.22
%
 
$
17,092,571
   
3.47
%

CREDIT DEFAULT INDEX SWAPS

Description
Fair
Value ($)


% of Net
Asset Value
  
Fair
Value ($)
  
% of Net
Asset Value
 
Centrally cleared credit default index swaps - Sell protection (net cost $1,185,843)
 
$
1,349,507
   
0.36
%
Centrally cleared credit default index swaps - Buy protection (net cost $119,563) (3)
 
$
(158,136
)
  
(0.03
)%

INTEREST RATE SWAPS

Description
Fair
Value ($)


% of Net
Asset Value
  
Fair
Value ($)
  
% of Net
Asset Value
 
Centrally cleared interest rate swaps - Receive fixed (net cost $1,176,856) (4)
 
$
2,170,352
   
0.58
%
Centrally cleared interest rate swaps - Pay fixed (net proceeds $1,321,198) (4)
 
$
(77,959
)
  
(0.02
)%

(3)Includes $1,370,643$163,774 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps broker in the statement of financial condition.
(4)Includes $2,413,759$50,535 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps broker in the statement of financial condition.

See Accompanying Notes to Financial Statements.

3
Table of Contents
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2021

FIXED INCOME SECURITIES
 
Maturity
Face Value
 Description 
Fair
Value ($)
  
% of Net
Asset Value
 


 Asset Backed Securities      
   United States      
   Auto Loans 
$
13,032,001
   
4.38
%
   Equipment Loans  
1,314,876
   
0.44
%
   
Total Asset Backed Securities (cost $14,377,009)
  
14,346,877
   
4.82
%
            
   Bank Deposits        
   United States        
   
Financials (cost $1,750,000)
  
1,749,055
   
0.59
%
            
   Commercial Paper        
   United Kingdom        
   
Financials (cost $1,664,351)
  
1,664,326
   
0.56
%
   United States        
   Communications  
3,904,457
   
1.31
%
   Consumer Discretionary  
7,014,034
   
2.36
%
   Financials  
22,969,552
   
7.72
%
   Industrials  
3,989,738
   
1.34
%
   Materials  
4,499,654
   
1.51
%
   Real Estate  
18,286,034
   
6.15
%
   Technology  
2,464,769
   
0.83
%
   Utilities  
17,623,039
   
5.93
%
   
Total United States (cost $80,761,680)
  
80,751,277
   
27.15
%
   
Total Commercial Paper (cost $82,426,031)
  
82,415,603
   
27.71
%
            
   Corporate Bonds        
   Australia        
   
Financials (cost $3,585,000)
  
3,598,062
   
1.21
%
   Canada        
   Energy  
1,408,341
   
0.47
%
   Financials  
10,355,575
   
3.48
%
   
Total Canada (cost $11,778,745)
  
11,763,916
   
3.95
%
   Germany        
   
Consumer Discretionary (cost $2,760,000)
  
2,763,989
   
0.93
%
   Japan        
   
Financials (cost $2,435,486)
  
2,435,503
   
0.82
%
   Switzerland        
   
Financials (cost $3,899,594)
  
3,902,371
   
1.31
%
   United Kingdom        
   Financials  
604,915
   
0.20
%
   Health Care  
1,330,920
   
0.45
%
   
Total United Kingdom (cost $1,937,907)
 
$
1,935,835
   
0.65
%
 
See Accompanying Notes to Financial Statements.

4
Table of Contents
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2021

FIXED INCOME SECURITIES

Maturity
Face Value
 Description 
Fair
Value ($)
  
% of Net
Asset Value
 


 Corporate Bonds (continued)      
   United States      
   Consumer Discretionary 
$
4,752,690
   
1.60
%
   Consumer Staples  
2,744,448
   
0.92
%
   Energy  
4,874,684
   
1.64
%
   Financials  
9,708,375
   
3.26
%
   Health Care  
3,960,029
   
1.33
%
   Industrials  
4,590,168
   
1.54
%
   Materials  
1,043,902
   
0.35
%
   Real Estate  
1,573,554
   
0.53
%
   Technology  
3,690,160
   
1.24
%
   Utilities  
2,547,665
   
0.86
%
   
Total United States (cost $39,522,537)
  
39,485,675
   
13.27
%
   
Total Corporate Bonds (cost $65,919,269)
  
65,885,351
   
22.14
%
            
   Government and Agency Obligations        
   United States        
   U.S. Treasury Bills        
$
5,660,000
 
U.S. Treasury Bills Due 01/20/2022 (1)
  
5,659,966
   
1.90
%
$
3,100,000
 
U.S. Treasury Bills Due 03/17/2022 (1)
  
3,099,653
   
1.04
%
$
24,500,000
 
U.S. Treasury Bills Due 05/12/2022 (1)
  
24,492,086
   
8.24
%
   
Total Government And Agency Obligations (cost $33,254,967)
  
33,251,705
   
11.18
%
   
Total Fixed Income Securities (cost $197,727,276) (2)
 
$
197,648,591
   
66.44
%

(1)Pledged as collateral for the trading of futures positions.
(2)Included in fixed income securities are U.S. Treasury Bills with a fair value of $33,251,705 deposited with the futures brokers.

See Accompanying Notes to Financial Statements.

5
Table of Contents
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2021

SHORT TERM INVESTMENTS
 
Description 
Fair
Value ($)
  
% of Net
Asset Value
 
Money Market Funds      
United States      
Money Market Funds (cost $16,805,816)
 
$
16,805,816
   
5.65
%
Total Short Term Investments (cost $16,805,816)
 
$
16,805,816
   
5.65
%
 
LONG FUTURES CONTRACTS

Description 
Fair
Value ($)
  
% of Net
Asset Value
 
Agriculture 
$
(119,097
)
  
(0.04
)%
Energy  
564,654
   
0.19
%
Metals  
5,925,856
   
1.99
%
Stock indices  
1,630,380
   
0.55
%
Short-term interest rates  
(396,557
)
  
(0.13
)%
Long-term interest rates  
(2,270,766
)
  
(0.76
)%
Net unrealized gain (loss) on long futures contracts  
5,334,470
   
1.80
%

SHORT FUTURES CONTRACTS

Description 
Fair
Value ($)
  
% of Net
Asset Value
 
Agriculture  
847,345
   
0.28
%
Energy  
(502,467
)
  
(0.17
)%
Metals  
(6,686,832
)
  
(2.25
)%
Stock indices  
(58,118
)
  
(0.02
)%
Short-term interest rates  
363,140
   
0.12
%
Long-term interest rates  
1,295,615
   
0.44
%
Net unrealized gain (loss) on short futures contracts  
(4,741,317
)
  
(1.60
)%
Net unrealized gain (loss) on open futures contracts 
$
593,153
   
0.20
%

FORWARD CURRENCY CONTRACTS

Description 
Fair
Value ($)
  
% of Net
Asset Value
 
Various long forward currency contracts 
$
8,600,251
   
2.89
%
Various short forward currency contracts  
(10,378,226
)
  
(3.49
)%
Net unrealized gain (loss) on open forward currency contracts 
$
(1,777,975
)
  
(0.60
)%

CREDIT DEFAULT INDEX SWAPS

Description  
Fair
Value ($)
    
% of Net
Asset Value
  
Centrally cleared credit default index swaps - Sell protection (net cost $3,180,504) (3)
 
$
3,214,681
   
1.08%
%

(3)Includes $3,195,050 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps broker in the statement of financial condition.

See Accompanying Notes to Financial Statements.

6
Table of Contents
THE CAMPBELL FUND TRUST
STATEMENTS OF FINANCIAL CONDITION
MARCH 31,SEPTEMBER 30, 2022 AND DECEMBER 31, 2021 (Unaudited)

 March 31, 2022  December 31, 2021  September 30, 2022  December 31, 2021 
ASSETS            
Equity in futures brokers trading accounts            
Cash 
$
40,755,754
  
$
33,259,944
  
$
49,540,785
  
$
33,259,944
 
Restricted cash
  1,997,417   2,296,459   0   2,296,459 
Fixed income securities (cost $33,255,529 and $33,254,967, respectively)
  
33,251,368
   
33,251,705
 
Fixed income securities (cost $49,977,121 and $33,254,967, respectively)
  
49,987,201
   
33,251,705
 
Net unrealized gain (loss) on open futures contracts  
7,156,077
  
593,153
   
5,322,706
   
593,153
 
Total equity in futures brokers trading accounts  
83,160,616
   
69,401,261
   
104,850,692
   
69,401,261
 
                
Cash and cash equivalents  
8,754,505
   
2,650,894
   
10,817,054
   
2,650,894
 
Cash at interbank market maker  
4,432,287
   
11,026,620
   
20,561,939
   
11,026,620
 
Restricted cash at interbank market maker  
24,284,646
   
26,299,559
   
7,982,239
   
26,299,559
 
Short term investments (cost $30,136,605 and $16,805,816, respectively)
  
30,136,605
   
16,805,816
 
Short term investments (cost $103,542 and $16,805,816, respectively)
  
103,542
   
16,805,816
 
Cash at swaps broker  
9,162,730
   
9,578,262
   
10,893,344
   
9,578,262
 
Restricted cash at swaps broker  
2,164,295
   
988,951
   
5,571,827
   
988,951
 
Fixed income securities (cost $209,077,248 and $164,472,309, respectively)
  
208,463,924
   
164,396,886
 
Fixed income securities (cost $324,437,673 and $164,472,309, respectively)
  
322,690,655
   
164,396,886
 
Credit default index swaps  
0
   
19,631
   
5,638
   
19,631
 
Due from swaps broker  
35,999
   
60,858
   
4,245
   
60,858
 
Net unrealized gain on open forward currency contracts  
8,341,275
   
0
   
17,092,571
   
0
 
Interest receivable  
182,534
   
160,341
   
736,162
   
160,341
 
Subscriptions receivable  332,820   0 
Total assets 
$
379,119,416
  
$
301,389,079
  
$
501,642,728
  
$
301,389,079
 
                
LIABILITIES                
Accounts payable 
$
245,236
  
$
164,328
  
$
187,829
  
$
164,328
 
Management fee payable  
614,921
   
495,742
   
818,692
   
495,742
 
Net unrealized loss on open forward currency contracts  0   1,777,975   0   1,777,975 
Credit default index swaps  21,136
   0
 
Interest rate swaps  
243,407
   
0
   
128,494
   
0
 
Accrued commissions and other trading fees on open contracts  
45,975
   
38,562
   
38,573
   
38,562
 
Offering costs payable  
137,181
   
110,066
   
184,598
   
110,066
 
Sales commission payable  
490,864
   
420,687
   
662,650
   
420,687
 
Performance fee payable  1,530,801   0   8,239,946   0 
Redemptions payable  
812,276
   
999,500
   
196,230
   
999,500
 
Total liabilities  
4,141,797
   
4,006,860
   
10,457,012
   
4,006,860
 
                
UNITHOLDERS’ CAPITAL (Net Asset Value)                
                
Series A Units - Redeemable                
Other Unitholders - 79,898.568 and 76,728.203 units outstanding at March 31, 2022 and December 31, 2021
  
279,430,276
   
222,737,822
 
Other Unitholders - 86,297.936 and 76,728.203 units outstanding at September 30, 2022 and December 31, 2021
  
363,914,809
   
222,737,822
 
Series B Units – Redeemable                
Other Unitholders - 10,228.466 and 10,247.759 units outstanding at March 31, 2022 and December 31, 2021
  
39,426,133
   
32,886,235
 
Other Unitholders - 10,156.916 and 10,247.759 units outstanding at September 30, 2022 and December 31, 2021
  
47,216,643
   
32,886,235
 
Series D Units – Redeemable                
Other Unitholders - 9,119.672 and 6,875.564 units outstanding at March 31, 2022 and December 31, 2021
  
12,686,644
   
8,222,341
 
Other Unitholders - 13,444.989 and 6,875.564 units outstanding at September 30, 2022 and December 31, 2021
  
22,584,283
   
8,222,341
 
Series W Units – Redeemable                
Other Unitholders - 10,272.713 and 9,386.736 units outstanding at March 31, 2022 and December 31, 2021
  
43,434,566
   
33,535,821
 
Other Unitholders - 11,209.346 and 9,386.736 units outstanding at September 30, 2022 and December 31, 2021
  
57,469,981
   
33,535,821
 
Total unitholders’ capital (Net Asset Value)  
374,977,619
   
297,382,219
   
491,185,716
   
297,382,219
 
Total liabilities and unitholders’ capital (Net Asset Value) 
$
379,119,416
  
$
301,389,079
  
$
501,642,728
  
$
301,389,079
 

See Accompanying Notes to Financial Statements.

7
Table of Contents
THE CAMPBELL FUND TRUST
STATEMENTS OF OPERATIONS
FOR THE THREE MONTHS AND NINE MONTHS ENDED MARCH 31,SEPTEMBER 30, 2022 AND 2021 (Unaudited)

 Three Months Ended March 31,  
Three Months Ended September 30,
  Nine Months Ended September 30, 
 2022  2021  
2022
  
2021
  2022  2021 
TRADING GAINS (LOSSES)                
Futures trading gains (losses)                
Realized $42,007,020  $18,168,677  $12,935,168  $4,554,366  $89,739,889  $46,945,515 
Change in unrealized  6,562,924   (7,655,650)  5,106,899  (4,492,391)  4,729,553  (13,358,341)
Brokerage commissions  (345,972)
  (574,846)  (389,967)  (607,561)  (1,093,431)  (1,773,360)
Net gain (loss) from futures trading  48,223,972
   9,938,181   17,652,100   (545,586)   93,376,011   31,813,814 
                        
Forward currency trading gains (losses)                        
Realized  7,497,056
   5,889,117
   21,056,227   (8,095,369)   56,273,970   11,462,922 
Change in unrealized  10,119,250
   9,003,704
   5,254,912   7,076,126  18,870,546   1,824,883
Brokerage commissions  (64,191)  (72,500)  (74,604)  (106,196)  (193,788)  (263,928)
Net gain (loss) from forward currency trading  17,552,115
   14,820,321
   26,236,535   (1,125,439)  74,950,728   13,023,877 
                        
Swap trading gains (losses)                        
Realized  (613,017)  (3,663,394)  1,799,372   660,156   3,405,812   (2,886,435)
Change in unrealized  1,122,983   (1,385,903)  678,463  400,312   1,170,489   (681,914)
Net gain (loss) from swap trading  509,966   (5,049,297)  2,477,835   1,060,468   4,576,301   (3,568,349)
Total net trading gain (loss)  66,286,053
   19,709,205
   46,366,470   (610,557)   172,903,040   41,269,342 
                        
NET INVESTMENT INCOME (LOSS)                        
Investment income                        
Interest income  214,695
   241,716
   2,329,907   201,884   3,587,446   733,434 
Realized gain (loss) on fixed income securities  (17,398)  (12,356)  75,027  (82,709)  (41,438)  (210,930)
Change in unrealized gain (loss) on fixed income securities  (538,800)  (141,866)  (339,189)  (26,791)  (1,658,253)  (217,451)
Total investment income (loss)  (341,503)  87,494   2,065,745   92,384   1,887,755  305,053 
                        
Expenses                        
Management fee  1,683,378
   1,378,057
   2,308,117   1,472,367   6,104,905   4,327,806 
Performance fee  1,530,801   0   8,266,281   0   20,426,740   54,801 
Operating expenses  215,236
   202,130
   287,173   218,177   765,515   624,644 
Sales commission  1,460,348
   1,233,221
   1,968,933   1,308,308   5,249,614   3,858,879 
Total expenses  4,889,763
   2,813,408
   12,830,504   2,998,852   32,546,774   8,866,130 
Net investment income (loss)  (5,231,266)  (2,725,914)  (10,764,759)  (2,906,468)  (30,659,019)  (8,561,077)
NET INCOME (LOSS) $61,054,787  $16,983,291  $35,601,711  $(3,517,025)  $142,244,021  $32,708,265 
                        
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
                        
(based on weighted average number of units outstanding during the period)                        
Series A $600.02  $158.13  $311.59  $(36.55)  $1,318.95  $314.15 
Series B $645.50  $179.08  $339.06  $(40.22)  $1,440.32  $351.88 
Series D $201.55  $69.83  $132.49  $(11.43)  $482.51  $126.41 
Series W $665.58  $214.20  $398.72  $(26.42)  $1,561.21  $432.40 
                        
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
                        
Series A $594.36  $162.24  $303.67  $(40.22)  $1,314.01  $306.42 
Series B $645.43  
$
182.23
  $339.38  
$
(40.35)
  $1,439.60  $349.01 
Series D $195.25  
$
70.19
  $124.82  
$
(12.76)
  $483.87  $125.40 
Series W $655.47  $212.33  $388.36  $(31.33)  $1,554.29  $422.39 
                        
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
                        
Series A  77,571.617
   
81,509.294
   83,608.776   
77,038.130
   80,750.329   78,762.657 
Series B  10,232.838
   
11,231.999
   10,183.328   
10,675.883
   10,210.510   10,926.355 
Series D  7,732.918
   
4,707.188
   12,293.975   
4,844.070
   9,944.019   4,743.907 
Series W  9,535.187
   
8,187.761
   11,207.605   
8,186.591
   10,398.207   8,142.531 

See Accompanying Notes to Financial Statements.

8
Table of Contents
THE CAMPBELL FUND TRUST
STATEMENTS OF CASH FLOWS
FOR THE THREENINE MONTHS ENDED MARCH 31,SEPTEMBER 30, 2022 AND 2021 (Unaudited)

 Three Months Ended March 31,  Nine Months Ended September 30, 
 2022  2021  2022  2021 
Cash flows from (for) operating activities            
Net income (loss) 
$
61,054,787
  
$
16,983,291
  
$
142,244,021
  
$
32,708,265
 
Adjustments to reconcile net income (loss) to net cash from (for) operating activities                
Net change in unrealized on futures, forwards, swaps and investments  
(17,266,357
)
  
179,715
   
(23,112,335
)
  
12,432,823
 
(Increase) decrease in interest receivable  
(22,193
)
  
(16,206
)
  
(575,821
)
  
(22,102
)
Increase (decrease) in payable for securities purchased  0   249,672 
(Increase) decrease in due from swaps broker  
24,859
   
6,944
   
56,613
   
(10,219
)
Increase (decrease) in accounts payable and accrued expenses  
1,808,478
   
49,765
   
8,828,371
   
503,896
 
Net purchases from swap broker  
1,407,159
   
(1,787,611
)
  
1,312,975
   
(893,409
)
Purchases of investments  
(771,103,238
)
  
(687,734,970
)
  
(3,145,661,537
)
  
(2,074,582,275
)
Sales/maturities of investments  
713,166,946
   
695,070,483
   
2,985,676,294
   
2,071,012,999
 
Net cash from (for) operating activities  
(10,929,559
)
  
23,001,083
   
(31,231,419
)
  
41,149,978
 
                
Cash flows from (for) financing activities                
Addition of units  
20,372,622
   
1,954,320
   
63,499,979
   
9,439,868
 
Redemption of units  
(3,644,235
)
  
(20,036,489
)
  
(11,707,974
)
  
(34,053,806
)
Offering costs paid  
(347,883
)
  
(305,518
)
  
(1,294,087
)
  
(953,137
)
Net cash from (for) financing activities  
16,380,504
   
(18,387,687
)
  
50,497,918
   
(25,567,075
)
                
Net increase in cash, cash equivalents and restricted cash  
5,450,945
   
4,613,396
 
Net increase (decrease) in cash, cash equivalents and restricted cash  
19,266,499
   
15,582,903
 
                
Cash, cash equivalents and restricted cash at beginning of period  
86,100,689
   
68,603,522
   
86,100,689
   
68,603,522
 
Cash, cash equivalents and restricted cash at end of period 
$
91,551,634
  
$
73,216,918
  
$
105,367,188
  
$
84,186,425
 
 
The following table provides a reconciliation of cash, cash equivalents and restricted cash reported within the Statements of Financial Condition that sum to the total of the same such amounts shown in the Statements of Cash Flows.
 
 March 31, 2022  December 31, 2021  September 30, 2022  December 31, 2021 
Cash, cash equivalents and restricted cash at end of period consists of:            
Equity in futures brokers trading accounts:            
Cash 
$
40,755,754
  
$
33,259,944
  
$
49,540,785
  
$
33,259,944
 
Restricted cash
  1,997,417   2,296,459   0   2,296,459 
Cash and cash equivalents  
8,754,505
   
2,650,894
   
10,817,054
   
2,650,894
 
Cash at interbank market maker  
4,432,287
   
11,026,620
   
20,561,939
   
11,026,620
 
Restricted cash at interbank market maker  
24,284,646
   
26,299,559
   
7,982,239
   
26,299,559
 
Cash at swaps broker  
9,162,730
   
9,578,262
   
10,893,344
   
9,578,262
 
Restricted cash at swaps broker  
2,164,295
   
988,951
   
5,571,827
   
988,951
 
Total cash, cash equivalents and restricted cash at end of period 
$
91,551,634
  
$
86,100,689
  
$
105,367,188
  
$
86,100,689
 

See Accompanying Notes to Financial Statements.

9
Table of Contents
THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)

FOR THE THREENINE MONTHS ENDED MARCH 31,SEPTEMBER 30, 2022 AND 2021 (Unaudited)

 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, 2022
            
Nine Months Ended September 30, 2022
            
                        
Balances at December 31, 2021
  76,728.203  
$
222,737,822
   10,247.759  
$
32,886,235
   76,728.203  
$
222,737,822
   10,247.759  
$
32,886,235
 
Net income (loss) for the three months ended March 31, 2022
      
46,544,538
       
6,605,252
       
46,544,538
       
6,605,252
 
Additions  
4,143.585
   
13,531,965
   
6.169
   
21,994
   
4,143.585
   
13,531,965
   
6.169
   
21,994
 
Redemptions  
(973.220
)
  
(3,069,663
)
  
(25.462
)
  
(87,348
)
  
(973.220
)
  
(3,069,663
)
  
(25.462
)
  
(87,348
)
Offering costs      (314,386)      0       (314,386)      0 
Balances at March 31, 2022
  79,898.568  
$
279,430,276
   10,228.466  
$
39,426,133
   79,898.568  $
279,430,276   10,228.466  $
39,426,133 
                                
Three Months Ended March 31, 2021
                
Net income (loss) for the three months ended June 30, 2022
      33,909,878       
4,648,364
 
Additions  3,498.957   13,327,329   6.611   
27,663
 
Redemptions  (628.745)  (2,375,787)  (38.577)  
(162,002
)
Offering costs      (393,326)      0 
Balances at June 30, 2022
  82,768.780  
$
323,898,370
   10,196.500  
$
43,940,158
 
                
Net income (loss) for the three months ended September 30, 2022
      26,051,432      3,452,770
Additions
  4,059.549   16,511,129   6.765   29,996 
Redemptions  (530.393)  (2,120,347)  (46.349)  (206,281)
Offering costs
      (425,775)      0 
Balances at September 30, 2022  86,297.936  $
363,914,809   10,156.916  $
47,216,643 
                
Nine Months Ended September 30, 2021
                
                                
Balances at December 31, 2020
  83,925.461  
$
216,523,843
   11,380.986  
$
32,296,756
   83,925.461  
$
216,523,843
   11,380.986  
$
32,296,756
 
Net income (loss) for the three months ended March 31, 2021
      
12,889,369
       
2,011,419
       
12,889,369
       
2,011,419
 
Additions  279.528   
735,305
   6.646   
19,012
   279.528   
735,305
   6.6460   
19,012
 
Redemptions  (6,130.245)  
(15,787,255
)
  (361.739)  
(1,028,841
)
  (6,130.245)  
(15,787,255
)
  (361.739)  
(1,028,841
)
Offering costs      
(265,637
)
      0       (265,637)      0 
Balances at March 31, 2021
  78,074.744  
$
214,095,625
   11,025.893  
$
33,298,346
   78,074.744  $
214,095,625   11,025.893  $
33,298,346 
                
Net income (loss) for the three months ended June 30, 2021
      
14,669,516
      
2,262,828
Additions  574.754   
1,654,820
   6.670   
21,349
 
Redemptions  (1,497.403)  
(4,344,473
)
  (290.812)  
(917,357
)
Offering costs      
(283,088
)
      0 
Balances at June 30, 2021
  77,152.095  
$
225,792,400
   10,741.751  
$
34,665,166
 
                
Net income (loss) for the three months ended September 30, 2021
      (2,815,919)       (429,430) 
Additions  902.679   2,622,514   6.548   21,028 
Redemptions  (1,132.859)  (3,292,625)  (164.642)  (528,895)
Offering costs      (281,348)      0 
Balances at September 30, 2021
  76,921.915  $
222,025,022   10,583.657  $
33,727,869 

Net Asset Value per Other Unitholders’ Unit - Series A 
March 31, 2022  December 31, 2021  March 31, 2021  December 31, 2020 
$
3,497.31
  
$
2,902.95
  
$
2,742.19
  
$
2,579.95
 
Net Asset Value per Other Unitholders’ Unit - Series A
Net Asset Value per Other Unitholders’ Unit - Series B 
March 31, 2022  December 31, 2021  March 31, 2021  December 31, 2020 
$
3,854.55
  
$
3,209.12
  
$
3,020.01
  
$
2,837.78
 

September 30, 2022  June 30, 2022  March 31, 2022  December 31, 2021 
$
4,216.96
  
$
3,913.29
  
$
3,497.31
  
$
2,902.95
 

September 30, 2021  June 30, 2021  March 31, 2021  December 31, 2020 
$
2,886.37
  
$
2,926.59
  
$
2,742.19
  
$
2,579.95
 

Net Asset Value per Other Unitholders’ Unit - Series B

September 30, 2022  June 30, 2022  March 31, 2022  December 31, 2021 
$
4,648.72
  
$
4,309.34
  
$
3,854.55
  
$
3,209.12
 

September 30, 2021  June 30, 2021  March 31, 2021  December 31, 2020 
$
3,186.79
  
$
3,227.14
  
$
3,020.01
  
$
2,837.78
 

See Accompanying Notes to Financial Statements.

10
Table of Contents
THE CAMPBELL FUND TRUST
STATEMENT
STATEMENTS OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)

FOR THE THREENINE MONTHS ENDED MARCH 31,SEPTEMBER 30, 2022 AND 2021 AND 2020 (Unaudited)

 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, 2022
               
Nine Months Ended September 30, 2022
               
                              
Balances at December 31, 2021
  6,875.564  
$
8,222,341.000
   9,386.736  
$
33,535,821
  
$
297,382,219
   6,875.564  
$
8,222,341
   9,386.736  
$
33,535,821
  
$
297,382,219
 
Net income (loss) for the three months ended March 31, 2022
      
1,558,591.000
       
6,346,406
   
61,054,787
       
1,558,591
       
6,346,406
   
61,054,787
 
Additions  2,244.108   
2,918,655.000
   956.930   
3,900,008
   
20,372,622
   
2,244.108
   
2,918,655
   
956.930
   
3,900,008
   
20,372,622
 
Redemptions  0.000   
0
   (70.953)  
(300,000
)
  
(3,457,011
)
  
0.000
  
0
  
(70.953
)
  
(300,000
)
  
(3,457,011
)
Offering costs      (12,943.000)      (47,669)  (374,998)      (12,943)      (47,669)  (374,998)
Balances at March 31, 2022
  9,119.672  
$
12,686,644
   10,272.713  
$
43,434,566
  
$
374,977,619
   9,119.672  $
12,686,644   10,272.713  $
43,434,566  $
374,977,619 
                                        
Three Months Ended March 31, 2021
                    
Net income (loss) for the three months ended June 30, 2022
      
1,610,591
       
5,418,690
   
45,587,523
 
Additions  2,567.837   
3,894,936
   950.411   
4,376,182
   
21,626,110
 
Redemptions  0.000  
0
  (127.820)  
(591,658
)
  
(3,129,447
)
Offering costs      (18,945)      (61,427)  
(473,698
)
Balances at June 30, 2022
  11,687.509  
$
18,173,226
   11,095.304  
$
52,576,353
  
$
438,588,107
 
                    
Net income (loss) for the three months ended September 30, 2022
      1,628,864      4,468,645  35,601,711
Additions  1,757.480   2,807,129   520.174   2,485,813   21,834,067 
Redemptions
  0.000   0   (406.132)  (1,991,618)  (4,318,246)
Offering costs      (24,936)      (69,212)  (519,923)
Balances at September 30, 2022  13,444.989  $22,584,283   11,209.346  $
57,469,981  $
491,185,716 
                    
Nine Months Ended September 30, 2021
                    
                                        
Balances at December 31, 2020
  4,757.939  
$
5,043,054
   8,258.693  
$
25,702,039
  
$
279,565,692
   4,757.939  
$
5,043,054
   8,258.693  
$
25,702,039
  
$
279,565,692
 
Net income (loss) for the three months ended March 31, 2021
      328,699       
1,753,804
   
16,983,291
       328,699       
1,753,804
   
16,983,291
 
Additions  176.974   200,000   158.300   
500,003
   
1,454,320
   176.974   200,000   158.300   
500,003
   
1,454,320
 
Redemptions  
(240.143
)
  
(259,827
)
  (366.182)  (1,159,095)  
(18,235,018
)
  
(240.143
)
  
(259,827
)
  (366.182)  (1,159,095)  
(18,235,018
)
Offering costs      
(6,311
)
      (32,265)  
(304,213
)
      (6,311)      (32,265)  (304,213)
Balances at March 31, 2021
  4,694.770  
$
5,305,615
   8,050.811  
$
26,764,486
  
$
279,464,072
   4,694.770  $
5,305,615   8,050.811  $
26,764,486  $
279,464,072 
                    
Net income (loss) for the three months ended June 30, 2021
      
326,345
      
1,983,310
  
19,241,999
Additions  167.076   
199,020
   116.614   
410,001
   
2,285,190
 
Redemptions  (129.980)  
(154,811
)
  (124.443)  
(442,227
)
  
(5,858,868
)
Offering costs      
(7,030
)
      (35,614)  
(325,732
)
Balances at June 30, 2021
  4,731.866  
$
5,669,139
   8,042.982  
$
28,679,956
  
$
294,806,661
 
                    
Net income (loss) for the three months ended September 30, 2021      (55,376)       (216,300)   (3,517,025) 
Additions  1,052.721   1,250,053   537.582   1,904,001   5,797,596 
Redemptions  (17.209)   (20,399)   (119.507)  (425,470)  (4,267,389)
Offering costs      (7,249)      (36,484)  (325,081)
Balances at September 30, 2021
  5,767.378  $
6,836,168   8,461.057  $
29,905,703  $
292,494,762 

Net Asset Value per Other Unitholders’ Unit - Series D 
March 31, 2022  December 31, 2021  March 31, 2021  December 31, 2020 
$
1,391.13
  
$
1,195.88
  
$
1,130.11
  
$
1,059.92
 
Net Asset Value per Other Unitholders’ Unit - Series D
Net Asset Value per Other Unitholders’ Unit - Series W 
March 31, 2022  December 31, 2021  March 31, 2021  December 31, 2020 
$
4,228.15
  
$
3,572.68
  
$
3,324.45
  
$
3,112.12
 

September 30, 2022  June 30, 2022  March 31, 2022  December 31, 2021 
$
1,679.75
  
$
1,554.93
  
$
1,391.13
  
$
1,195.88
 

September 30, 2021  June 30, 2021  March 31, 2021  December 31, 2020 
$
1,185.32
  
$
1,198.08
  
$
1,130.11
  
$
1,059.92
 

Net Asset Value per Other Unitholders’ Unit - Series W

September 30, 2022  June 30, 2022  March 31, 2022  December 31, 2021 
$
5,126.97
  
$
4,738.61
  
$
4,228.15
  
$
3,572.68
 

September 30, 2021  June 30, 2021  March 31, 2021  December 31, 2020 
$
3,534.51
  
$
3,565.84
  
$
3,324.45
  
$
3,112.12
 

See Accompanying Notes to Financial Statements.

11
Table of Contents
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS AND NINE MONTHS ENDED MARCH 31,SEPTEMBER 30, 2022 AND 2021 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series A units for the three months and nine months ended March 31,September 30, 2022 and 2021. This information has been derived from information presented in the financial statements.

 Series A  Series A 
 Three Months Ended March 31,  Three Months Ended September 30,  
Nine Months Ended
September 30,
 
 2022  2021  2022  2021  2022  2021 
Per Unit Performance                  
(for a unit outstanding throughout the entire period)                  
Net asset value per unit at beginning of period 
$
2,902.95
  
$
2,579.95
  
$
3,913.29
  
$
2,926.59
  $2,902.95  $2,579.95 
                        
Income (loss) from operations:                        
Total net trading gains (losses) (1)
  
636.19
   192.65   
406.06
   (6.10)  1,599.86   404.38 
Net investment income (loss) (1)
  
(37.78
)
  
(27.15
)
  
(97.30
)
  
(30.47
)
  (271.81)  (87.42)
Total net income (loss) from operations  
598.41
   
165.50
   
308.76
   
(36.57
)
  1,328.05   316.96 
Offering costs (1)
  
(4.05
)
  
(3.26
)
  
(5.09
)
  
(3.65
)
  (14.04)  
(10.54
)
Net asset value per unit at end of period 
$
3,497.31
  
$
2,742.19
  
$
4,216.96
  
$
2,886.37
  $4,216.96  $2,886.37 
Total Return (4)
  
20.47
%
  
6.29
%
  
7.76
%
  
1.37
%
  45.26%  11.88%
                        
Supplemental Data                        
Ratios to average net asset value:                        
Expenses prior to performance fee (3)
  
4.36
%
  
4.34
%
  
4.32
%
  
4.28
%
  4.37%  4.35%
Performance fee (4)
  
0.00
%
  
0.00
%
  
1.80
%
  
0.00
%
  4.67%  0.00%
Total expenses  
4.36
%
  
4.34
%
  
6.12
%
  
4.28
%
  9.04%  4.35%
Net investment income (loss) (2),(3)
  
(4.80
)%
  
(4.21
)%
  
(2.52
)%
  
(4.16
)%
  (3.75)%  (4.20)%
 
Total returns are calculated based on the change in value of a unit during the period. An individual unitholder’s total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.

(1)Net investment income (loss) per unit is calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2)
Excludes performance fee.
(3)
Annualized.
(4)
Not annualized.

See Accompanying Notes to Financial Statements.

12
Table of Contents
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS AND NINE MONTHS ENDED MARCH 31,SEPTEMBER 30, 2022 AND 2021 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series B units for the three months and nine months ended March 31,September 30, 2022 and 2021. This information has been derived from information presented in the financial statements.

 Series B  Series B 
 Three Months Ended March 31,  Three Months Ended September 30,  
Nine Months Ended
September 30,
 
 2022  2021  2022  2021  2022  
2021
 
Per Unit Performance                
(for a unit outstanding throughout the entire period)                
Net asset value per unit at beginning of period 
$
3,209.12
  
$
2,837.78
  
$
4,309.34
  
$
3,227.14
  $3,209.12  $2,837.78 
                        
Income (loss) from operations:                        
Total net trading gains (losses) (1)
  703.65   212.14   446.84   (6.74)   1,762.51   445.38 
Net investment income (loss) (1)
  
(58.22
)
  
(29.91
)
  
(107.46
)
  
(33.61
)
  (322.91)  (96.37)
Total net income (loss) from operations  
645.43
   
182.23
   
339.38
   
(40.35)
   1,439.60   349.01 
Net asset value per unit at end of period
 
$
3,854.55
  
$
3,020.01
  
$
4,648.72
  
$
3,186.79
  $4,648.72  $3,186.79 
Total Return (4)
  
20.11
%
  
6.42
%
  
7.88
%
  
(1.25
)%
  44.86%  12.30%
                        
Supplemental Data                        
Ratios to average net asset value:                        
Expenses prior to performance fee (3)
  
4.40
%
  
4.32
%
  
4.32
%
  
4.28
%
  4.40%  4.34%
Performance fee (4)
  
0.47
%
  
0.00
%
  
1.82
%
  
0.00
%
  5.28%  0.00%
Total expenses  
4.87
%
  
4.32
%
  
6.14
%
  
4.28
%
  9.68%  4.34%
Net investment income (loss) (2),(3)
  
(4.80
)%
  
(4.20
)%
  
(2.52
)%
  
(4.16
)%
  (3.80)%  (4.20)%
 
Total returns are calculated based on the change in value of a unit during the period. An individual unitholder’s total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.

(1)Net investment income (loss) per unit is calculated by dividing the net investment income (loss) by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2)
Excludes performance fee.
(3)
Annualized.
(4)
Not annualized.

See Accompanying Notes to Financial Statements.

13
Table of Contents
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS AND NINE MONTHS ENDED MARCH 31,SEPTEMBER 30, 2022 AND 2021 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series D units for the three months and nine months ended March 31,September 30, 2022 and 2021. This information has been derived from information presented in the financial statements.

 Series D  Series D 
 Three Months Ended March 31,  Three Months Ended September 30,  
Nine Months Ended
September 30,
 
 2022  2021  2022  2021  2022  2021 
Per Unit Performance                
(for a unit outstanding throughout the entire period)                
Net asset value per unit at beginning of period 
$
1,195.88
  
$
1,059.92
  
$
1,554.93
  
$
1,198.08
  $1,195.88  $1,059.92 
                        
Income (loss) from operations:                        
Total net trading gains (losses) (1)
  261.52   79.35   162.27   (2.52)   637.86   166.44 
Net investment income (loss) (1)
  
(64.60
)
  
(7.82
)
  
(35.42
)
  
(8.74
)
  (148.28)  (36.70)
Total net income (loss) from operations  
196.92
   
71.53
   126.85   (11.26)   489.58   129.74 
Offering costs (1)
  
(1.67
)
  
(1.34
)
  
(2.03
)
  
(1.50
)
  (5.71)  (4.34)
Net asset value per unit at end of period 
$
1,391.13
  
$
1,130.11
  
$
1,679.75
  
$
1,185.32
  $1,679.75  $1,185.32 
Total Return (4)
  
16.33
%
  
6.62
%
  
8.03
%
  
(1.07
)%
  40.46%  11.83%
                        
Supplemental Data                        
Ratios to average net asset value:                        
Expenses prior to performance fee (3)
  
3.08
%
  
3.08
%
  
3.04
%
  
3.08
%
  3.01%  3.08%
Performance fee (4)
  
4.06
%
  
0.00
%
  
1.90
%
  
0.00
%
  8.08%  1.01%
Total expenses  
7.14
%
  
3.08
%
  
4.94
%
  
3.08
%
  11.09%  4.09%
Net investment income (loss) (2),(3)
  
(3.48
)%
  
(2.95
)%
  
(1.24
)%
  
(2.96
)%
  (2.28)%  (2.93)%
 
Total returns are calculated based on the change in value of a unit during the period. An individual unitholder’s total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.

(1)Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2)
Excludes performance fee.
(3)
Annualized.
(4)
Not annualized.

See Accompanying Notes to Financial Statements.

14
Table of Contents
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS AND NINE MONTHS ENDED MARCH 31,SEPTEMBER 30, 2022 AND 2021 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series W units for the three months and nine months ended March 31,September 30, 2022 and 2021. This information has been derived from information presented in the financial statements.

 Series W  Series W
 
 Three Months Ended March 31,  Three Months Ended September 30,  
Nine Months Ended
September 30,
 
 2022  2021  2022  2021  2022  2021 
Per Unit Performance                  
(for a unit outstanding throughout the entire period)                
Net asset value per unit at beginning of period 
$
3,572.68
  
$
3,112.12
  
$
4,738.61
  
$
3,565.84
  $3,572.68  $3,112.12 
                        
Income (loss) from operations:                        
Total net trading gains (losses) (1)
  786.86   233.36   492.68   (7.53)   1,950.25   490.27 
Net investment income (loss) (1)
  
(126.39
)
  
(17.09
)
  
(98.14
)
  
(19.34
)
  (378.81)  (55.06)
Total net income (loss) from operations  
660.47
   
216.27
   
394.54
   
(26.87)
   1,571.44   435.21 
Offering costs (1)
  
(5.00
)
  
(3.94
)
  
(6.18
)
  
(4.46
)
  (17.15)  (12.82)
Net asset value per unit at end of period 
$
4,228.15
  
$
3,324.45
  
$
5,126.97
  
$
3,534.51
  $5,126.97  $3,534.51 
Total Return (4)
  
18.35
%
  
6.82
%
  
8.20
%
  
(0.88
)%
  43.50%  13.57%
                        
Supplemental Data                        
Ratios to average net asset value:                        
Expenses prior to performance fee (3)
  
2.32
%
  
2.31
%
  
2.28
%
  
2.32
%
  2.31%  2.32%
Performance fee (4)
  
2.57
%
  
0.00
%
  
1.91
%
  
0.00
%
  7.27%  0.00%
Total expenses  
4.89
%
  
2.31
%
  
4.19
%
  
2.32
%
  9.58%  2.32%
Net investment income (loss) (2),(3)
  
(2.76
)%
  
(2.18
)%
  
(0.48
)%
  
(2.16
)%
  (1.65)%  (2.17)%
 
Total returns are calculated based on the change in value of a unit during the period. An individual unitholder’s total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.

(1)Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2)
Excludes performance fee.
(3)
Annualized.
(4)
Not annualized.

See Accompanying Notes to Financial Statements.

15
Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
  MARCH 31,SEPTEMBER 30, 2022 (Unaudited)


Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

A. General Description of the Trust

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

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

B. Regulation

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

C. Method of Reporting

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

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

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

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

16
Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31,SEPTEMBER 30, 2022 (Unaudited)

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

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

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

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

D. Fair Value

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

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

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

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

Level 3 inputs are unobservable inputs for an asset or liability (including the Trust’s own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of March 31,September 30, 2022 and December 31, 2021, and for the periods ended March 31,September 30, 2022 and 2021 the Trust did not have any Level 3 assets or liabilities.

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31,SEPTEMBER 30, 2022 (Unaudited)

The following tables set forth by level within the fair value hierarchy the Trust’s investments accounted for at fair value on a recurring basis as of March 31,September 30, 2022 and December 31, 2021.

 Fair Value at March 31, 2022  Fair Value at September 30, 2022 
Description Level 1  Level 2  Level 3  Total  Level 1  Level 2  Level 3  Total 
Investments                        
Short term investments $30,136,605  $0  $0  $30,136,605  $103,542  $0  $0  $103,542 
Fixed income securities  0   241,715,292   0   241,715,292   0   372,677,856   0   372,677,856 
                                
Other Financial Instruments                                
Exchange-traded futures contracts  7,156,077  0   0   7,156,077  5,322,706   0   0   5,322,706 
Forward currency contracts  0   8,341,275   0   8,341,275   0   17,092,571   0   17,092,571 
Credit default index swap contracts  0   1,349,507   0   1,349,507   0   (158,136)   0   (158,136) 
Interest rate swap contracts  0   2,170,352   0   2,170,352   0   (77,959)  0   (77,959)
Total $37,292,682 $253,576,426  $0  $290,869,108  $5,426,248  $389,534,332  $0  $394,960,580 

  Fair Value at December 31, 2021 
Description Level 1  Level 2  Level 3  Total 
Investments            
Short term investments $16,805,816  $0  $0  $16,805,816 
Fixed income securities  0   197,648,591   0   197,648,591 
                 
Other Financial Instruments                
Exchange-traded futures contracts  593,153   0   0   593,153 
Forward currency contracts  0   (1,777,975)  0   (1,777,975)
Credit default index swap contracts  0   3,214,681   0   3,214,681 
Total $17,398,969  $199,085,297  $0  $216,484,266 

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

E. Cash and Cash Equivalents

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

F. Income Taxes

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

Management has continued to evaluate the application of ASC 740, Income Taxes, to the Trust, and has determined that 0no reserves for uncertain tax positions were required. There are 0no tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly increase or decrease within twelve months. The Trust files federal and state tax returns. The 20182019 through 20212022 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31,SEPTEMBER 30, 2022 (Unaudited)

G. Offering Costs

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

If the Trust terminates prior to completion of payment to Campbell & Company for the unreimbursed offering costs incurred through the date of such termination, Campbell & Company will not be entitled to any additional payments, and Series A units, Series D units and Series W units will have no further obligation to Campbell & Company. At March 31,September 30, 2022 and December 31, 2021, the amount of unreimbursed offering costs incurred by Campbell & Company is $343,860$226,134 and $270,988 for Series A units, $119,476$141,032 and $106,480 for Series D units and $300,983$306,731 and $285,076 for Series W units, respectively.

H. Foreign Currency Transactions

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

I. Allocations

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

J. Recently Issued Accounting Pronouncements

In April 2020, the FASB issued ASU-2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting to provide optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. In July 2017, the head of the United Kingdom Financial Conduct Authority announced the desire to phase out the use of the London Interbank Offered Rate (“LIBOR”) and other Interbank offered rates (IBORs). In November 2020, United States and United Kingdom regulators made announcements planning to cease publication of overnight, one-month, three-month, six-monthnine-month and one-year LIBOR and IBOR tenors after June 2023. If LIBOR and IBORs prematurely cease to exist,As such, management has completed the Trust may need to renegotiate outstanding swaps to replacetransition of the affected rates withand evaluated any future impact to be immaterial to the identified replacement rates. There is currently no definitive information regarding the future discontinuance of LIBORs or IBORs prior to 2023. As such, the potential effect of any such event on our cost of capital and net investment income cannot yet be determined.Trust.

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31,SEPTEMBER 30, 2022 (Unaudited)

Note 2. MANAGING OPERATOR AND COMMODITY TRADING ADVISOR

The managing operator of the Trust is Campbell & Company which conducts and manages the business of the Trust. Campbell & Company is also the commodity trading advisor of the Trust.

Series A units, Series B units, Series D units and Series W units pay the managing operator a monthly management fee equal to 1/12 of 2% (2% annually) of the Net Assets (as defined) of Series A units, Series B units, Series D units and Series W units as of the end of each month.

Each Series of units will pay the managing operator a quarterly performance fee equal to 20% of the aggregate cumulative appreciation in Net Asset Value per Unit (as defined) exclusive of appreciation attributable to interest income on a Series-by-Series basis. The performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark). In determining the management fee and performance fee (the “fees”), adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The performance fee is not subject to any clawback provisions. The fees are typically paid in the month following the month in which they are earned. The fees are paid from the available cash at the Trust’s bank, broker or cash management custody accounts.

Note 3. SALES COMMISSION

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

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

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

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

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31,SEPTEMBER 30, 2022 (Unaudited)

Note 4. TRUSTEE

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

Note 5. ADMINISTRATOR AND TRANSFER AGENT

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

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

Note 6. CASH MANAGER AND CUSTODIAN

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

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

Note 7. DEPOSITS WITH FUTURES BROKERS

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

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31,SEPTEMBER 30, 2022 (Unaudited)

Note 8. DEPOSITS WITH INTERBANK MARKET MAKER

The Trust’s counterparty with regard to its forward currency transactions is NatWest Markets Plc (“NatWest”). The Trust has entered into an International Swap and Derivatives Association, Inc. agreement (“ISDA Agreement”) with NatWest which governs these transactions. The credit ratings reported by the 3three major rating agencies for NatWest were considered investment grade as of March 31,September 30, 2022. Margin requirements are satisfied by the deposit of cash with NatWest. The Trust typically earns interest income on its assets deposited with NatWest.

Note 9. DEPOSITS WITH SWAPS BROKER

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

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

Note 10. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

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

The Trust is not required to make distributions, but may do so at the sole discretion of Campbell & Company. A unitholder may request and receive redemption of units owned, subject to restrictions in the Declaration of Trust and Trust Agreement. Units are transferable, but no market exists for their sale and none is expected to develop. Monthly redemptions are permitted upon ten (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 threenine months ended March 31,September 30, 2022 and 2021, Campbell & Company received redemption fees of $0 and $787, respectively.

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31,SEPTEMBER 30, 2022 (Unaudited)

Note 11. CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES

Credit derivatives generally require the seller to make a payment to the buyer in the event the underlying referenced security or index to the contract defaults or another triggering event, as defined in the applicable derivative contract, occurs. The Trust sellsbuys credit derivative contracts for speculative investment purposes. The following table summarizes the notional amounts of credit derivative contracts soldpurchased by the Trust by their maturity for contracts which are outstanding at March 31,September 30, 2022 and December 31, 2021. Notional amounts are disclosed as they represent the maximum potential payout, however, management believes that the carrying value of these contracts is a more relevant measure of these obligations. At March 31,September 30, 2022, andthe carrying value of such credit derivative contracts purchased was $158,136. At December 31, 2021, the carrying value of such credit derivative contracts sold was $1,349,507 and $3,214,681, respectively.$3,214,681.

 March 31, 2022  December 31, 2021  September 30, 2022 December 31, 2021 
Credit Default Index Swaps 
Maturity Date:
June 2027
  
Maturity Date:
December 2026
  
Maturity Date:
December 2027
 
Maturity Date:
December 2026
 
Investment grade $53,112,400  $42,813,968   $4,427,460 $42,813,968 
Non-investment grade $14,436,248  $37,631,729   
2,285,180 
37,631,729 
Total $67,548,648  $80,445,697   $6,712,640 $80,445,697 

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

Note 12. TRADING ACTIVITIES AND RELATED RISKS

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

Market Risk

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

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31,SEPTEMBER 30, 2022 (Unaudited)

The following tables summarize quantitative information required by ASC 815, Derivatives and Hedging, ("(“ASC 815"815”). ASC 815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entity’s financial position, financial performance and cash flows. The fair value of the Trust’s derivatives by instrument type, as well as the location of those instruments on the Statements of Financial Condition, as of March 31,September 30, 2022 and December 31, 2021 is as follows:

Type of Instrument *
 Statements of Financial Condition Location
 
Asset
Derivatives at
March 31, 2022
Fair Value
  
Liability
Derivatives at
March 31, 2022
Fair Value
  
Net
 
 Statements of Financial Condition Location
 
Asset
Derivatives at
September 30, 2022
Fair Value
  
Liability
Derivatives at
September 30, 2022
Fair Value
 
Net
 
 
         
Agriculture Contracts
 Net unrealized gain (loss) on open futures contracts
 
$
3,121,210
  
$
(1,952,422
)
 
$
1,168,788
 
 Net unrealized gain (loss) on open futures contracts
 
$
786,688
  
$
(5,738,315
)
 
$
(4,951,627)
 
Energy Contracts
 Net unrealized gain (loss) on open futures contracts
  
246,902
   
(2,232,496
)
  
(1,985,594)
 
 Net unrealized gain (loss) on open futures contracts
  
897,622
   
(393,947
)
  
503,675
Metal Contracts
 Net unrealized gain (loss) on open futures contracts
  
16,123,427
   
(11,822,382
)
  
4,301,045
 Net unrealized gain (loss) on open futures contracts
  
10,809,812
   
(10,807,955
)
  
1,857
 
Stock Indices Contracts
 Net unrealized gain (loss) on open futures contracts
  
2,021,016
   
(1,187,056
)
  
833,960
 Net unrealized gain (loss) on open futures contracts
  
5,176,680
   
(350,274
)
  
4,826,406
 
Short-Term Interest Rate Contracts
 Net unrealized gain (loss) on open futures contracts
  
2,304,260
   
(57,207
)
  
2,247,053
 Net unrealized gain (loss) on open futures contracts
  
4,002,666
   
(93,886
)
  
3,908,780
Long-Term Interest Rate Contracts
 Net unrealized gain (loss) on open futures contracts
  
3,790,409
   
(3,199,584
)
  
590,825
 
 Net unrealized gain (loss) on open futures contracts
  
1,669,934
   
(636,319
)
  
1,033,615
Forward Currency Contracts
 Net unrealized gain (loss) on open Forward Currency Contracts
  
33,799,523
   
(25,458,248
)
  
8,341,275
 
 Net unrealized gain (loss) on open forward currency contracts
  
65,881,724
   
(48,789,153
)
  
17,092,571
 
Credit Default Index Swap Contracts**
 Credit default index swaps
  
1,459,432
   
(109,925
)
  
1,349,507
 
 Credit default index swaps
  
0
   
(158,136
)
  
(158,136)
 
Interest Rate Swap Contracts**
 Interest rate swaps
  
2,246,540
   
(76,188
)
  
2,170,352
 
 Interest rate swaps
  
2,549,061
   
(2,627,020
)
  
(77,959
)
Totals
  
$
65,112,719
  
$
(46,095,508
)
 
$
19,017,211
   
$
91,774,187
  
$
(69,595,005
)
 
$
22,179,182
 

*Derivatives not designated as hedging instruments under ASC 815
**Amount of centrally cleared swap contracts differs fromis not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.

Type of Instrument *
 Statements of Financial Condition Location
 
Asset
Derivatives at
December 31, 2021
Fair Value
  
Liability
Derivatives at
December 31, 2021
Fair Value
  
Net
 
 Statements of Financial Condition Location
 
Asset
Derivatives at
December 31, 2021
Fair Value
  
Liability
Derivatives at
December 31, 2021
Fair Value
  
Net
 
 
         
Agriculture Contracts
 Net unrealized gain (loss) on open futures contracts
 
$
1,487,590
  
$
(759,342
)
 
$
728,248
 
 Net unrealized gain (loss) on open futures contracts
 
$
1,487,590
  
$
(759,342
)
 
$
728,248
 
Energy Contracts
 Net unrealized gain (loss) on open futures contracts
  
838,852
   
(776,665
)
  
62,187
 
 Net unrealized gain (loss) on open futures contracts
  
838,852
   
(776,665
)
  
62,187
 
Metal Contracts
 Net unrealized gain (loss) on open futures contracts
  
6,130,256
   
(6,891,232
)
  
(760,976)
 
 Net unrealized gain (loss) on open futures contracts
  
6,130,256
   
(6,891,232
)
  
(760,976
)
Stock Indices Contracts
 Net unrealized gain (loss) on open futures contracts
  
1,956,889
   
(384,627
)
  
1,572,262
 
 Net unrealized gain (loss) on open futures contracts
  
1,956,889
   
(384,627
)
  
1,572,262
 
Short-Term Interest Rate Contracts
 Net unrealized gain (loss) on open futures contracts
  
391,795
   
(425,212
)
  
(33,417)
 
 Net unrealized gain (loss) on open futures contracts
  
391,795
   
(425,212
)
  
(33,417
)
Long-Term Interest Rate Contracts
 Net unrealized gain (loss) on open futures contracts
  
1,998,845
   
(2,973,996
)
  
(975,151)
 
 Net unrealized gain (loss) on open futures contracts
  
1,998,845
   
(2,973,996
)
  
(975,151
)
Forward Currency Contracts
 Net unrealized gain (loss) on open Forward Currency Contracts
  
15,205,088
   
(16,983,063
)
  
(1,777,975)
 
 Net unrealized gain (loss) on open forward currency contracts
  
15,205,088
   
(16,983,063
)
  
(1,777,975
)
Credit Default Index Swap Contracts**
 Credit default index swaps
  
3,700,832
   
(486,151
)
  
3,214,681
 
 Credit default index swaps
  
3,700,832
   
(486,151
)
  
3,214,681
 
Totals
  
$
31,710,147
  
$
(29,680,288
)
 
$
2,029,859
   
$
31,710,147
  
$
(29,680,288
)
 
$
2,029,859
 

*Derivatives not designated as hedging instruments under ASC 815
**Amount of centrally cleared swap contracts differs fromis not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31,SEPTEMBER 30, 2022 (Unaudited)

The trading gains and losses of the Trust’s derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the three months and nine months ended March 31,September 30, 2022 and 2021 is as follows:

Type of Instrument
 
Trading Gains (Losses) for
the Three Months Ended
March 31, 2022
  
Trading Gains (Losses) for
the Three Months Ended
March 31, 2021
  
Trading Gains (Losses) for
the Three Months Ended
September 30, 2022
  
Trading Gains (Losses) for
the Three Months Ended
September 30, 2021
 
Agriculture Contracts
 
$
5,200,704
  
$
5,250,127
  
$
(2,073,812)
  
$
(2,117,388)
 
Energy Contracts
  
19,565,308
   
5,104,539
   
(6,630,220)
   
3,244,110
 
Metal Contracts
  
6,975,988
   
(722,815
)
  
2,998,702
  
407,512
 
Stock Indices Contracts
  
1,168,001
   
10,713,578
   
5,386,513
   
570,182
Short-Term Interest Rate Contracts
  
4,905,169
   
(2,735,704
)
  
12,893,245
  
(10,424
)
Long-Term Interest Rate Contracts
  
10,754,775
   
(7,096,698
)
  
5,467,639
   
(2,032,017)
 
Forward Currency Contracts
  
17,616,305
   
14,892,821
   
26,311,139
   
(1,019,242
)
Credit default index swap contracts
  
(1,394,715
)
  
2,053
 
Interest rate swap contracts
  
1,904,681
   
(5,051,350
)
Credit Default Index Swap Contracts
  
(524,041
)
  
3,030
 
Interest Rate Swap Contracts
  
3,001,876
   
1,057,437
Total
 
$
66,696,216
  
$
20,356,551
  
$
46,831,041
  
$
103,200
 

Line Item in the Statements of Operations
 
Trading Gains (Losses) for
the Three Months Ended
March 31, 2022
  
Trading Gains (Losses) for
the Three Months Ended
March 31, 2021
 
Futures trading gains (losses):      
Realized***
 
$
42,007,020
  
$
18,168,677
 
Change in unrealized
  
6,562,924
   
(7,655,650
)
Forward currency trading gains (losses):        
Realized***
  
7,497,056
   
5,889,117
 
Change in unrealized
  
10,119,250
   
9,003,704
 
Swap trading gains (losses):        
Realized
  
(613,017
)
  
(3,663,394
)
Change in unrealized
  
1,122,983
   
(1,385,903
)
Total
 
$
66,696,216
  
$
20,356,551
 
Type of Instrument
 
Trading Gains (Losses) for
the Nine Months Ended
September 30, 2022
  
Trading Gains (Losses) for
the Nine Months Ended
September 30, 2021
 
Agriculture Contracts
 
$
6,363,678
  
$
11,911,128
 
Energy Contracts
  
16,737,144
   
17,238,164
 
Metal Contracts
  
8,828,009
   
2,517,362
 
Stock Indices Contracts
  
9,745,805
   
19,296,167
 
Short-Term Interest Rate Contracts
  
17,293,993
   
(3,565,052
)
Long-Term Interest Rate Contracts
  
35,500,813
   
(13,810,593
)
Forward Currency Contracts
  
75,144,516
   
13,287,804
 
Credit Default Index Swap Contracts
  
(4,748,190
)
  
967,575
 
Interest Rate Swap Contracts
  
9,324,491
   
(4,535,925
)
Total
 
$
174,190,259
  
$
43,306,630
 

25
Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
  SEPTEMBER 30, 2022 (Unaudited)

Line Item in the Statements of Operations
 
Trading Gains (Losses) for
the Three Months Ended
September 30, 2022
  
Trading Gains (Losses) for
the Three Months Ended
September 30, 2021
 
Futures trading gains (losses):      
Realized**
 
$
12,935,168
  
$
4,554,366
 
Change in unrealized
  
5,106,899
  
(4,492,391
)
Forward currency trading gains (losses):        
Realized**
  
21,056,227
   
(8,095,369)
 
Change in unrealized
  
5,254,912
   
7,076,126
Swap trading gains (losses):        
Realized
  
1,799,372
   
660,156
 
Change in unrealized
  
678,463
  
400,312
 
Total
 
$
46,831,041
  
$
103,200
 

Line Item in the Statements of Operations
 
Trading Gains (Losses) for
the Nine Months Ended
September 30, 2022
  
Trading Gains (Losses) for
the Nine Months Ended
September 30, 2021
 
Futures trading gains (losses):      
Realized***
 
$
89,739,889
  
$
46,945,515
 
Change in unrealized
  
4,729,553
  
(13,358,341
)
Forward currency trading gains (losses):        
Realized***
  
56,273,970
   
11,462,922
 
Change in unrealized
  
18,870,546
   
1,824,883
Swap trading gains (losses):        
Realized***
  
3,405,812
   
(2,886,435
)
Change in unrealized
  
1,170,489
   
(681,914
)
Total
 
$
174,190,259
  
$
43,306,630
 

***
For the three months ended March 31,September 30, 2022 and 2021, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $19,768$(198,324) and $88,171, respectively;$122,452, respectively, and gains and lossesgains/(losses) on spot trades in connection with forward currency trading at the interbank market makers of $1,095,494$(3,752,735) and $(681,951),$643,572, respectively.
***
For the nine months ended September 30, 2022 and 2021, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $(17,703) and $160,751, respectively, and gains/(losses) on spot trades in connection with forward currency trading at the interbank market makers of $(1,112,618) and $374,085, respectively.

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
  SEPTEMBER 30, 2022 (Unaudited)

For the three months ended March 31,September 30, 2022 and 2021, the monthly average of futures contracts bought and sold was approximately 30,30035,900 and 57,300,58,900, respectively; the monthly average of notional value of centrally cleared swap contracts was approximately $1,348,700,000$3,152,300,000 and $3,362,800,000,$7,818,600,000, respectively; and the monthly average of notional value of forward currency contracts was $3,250,200,000$3,461,000,000 and $2,297,900,000,$3,941,100,000, respectively.

For the nine months ended September 30, 2022 and 2021, the monthly average of futures contracts bought and sold was approximately 33,100 and 57,100, respectively; the monthly average of notional value of centrally cleared swap contracts was approximately $1,987,000,000 and $6,067,200,000, respectively; and the monthly average of notional value of forward currency contracts was $3,229,100,000 and $3,185,800,000, respectively.

Open contracts generally mature within three months; as of March 31,September 30, 2022, the latest maturity date for open futures contracts is JuneDecember 2023 and the latest maturity date for open forward currency contracts is JuneDecember 2022. However, the Trust intends to close all futures and offset all forward currency contracts prior to maturity. The latest termination date for centrally cleared swap contracts is JuneDecember 2027.

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Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2022 (Unaudited)

Credit Risk

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

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

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

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

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

The amount of required margin and good faith deposits with the futures brokers, swaps broker, and interbank market maker usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at March 31,September 30, 2022 and December 31, 2021 was $33,251,368$49,987,201 and $33,251,705, respectively, which equals approximately 9%10% and 11% of Net Asset Value, respectively. Included in cash deposits with the futures brokers, swaps broker and interbank market maker at March 31,September 30, 2022 and December 31, 2021 was restricted cash for margin requirements of $28,446,358$13,554,066 and $29,584,969, respectively, which equals approximately 8%3% and 10% of Net Asset Value, respectively.

26
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Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31,SEPTEMBER 30, 2022 (Unaudited)

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

Offsetting of Derivative Assets by Counterparty
Offsetting of Derivative Assets by Counterparty
 
Offsetting of Derivative Assets by Counterparty
 
As of March 31, 2022
          
As of September 30, 2022
          
Type of Instrument
 Counterparty
 
Gross
Amounts of
Recognized
Assets
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
 
 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
 
$
14,358,083
  
$
(10,420,261
)
 
$
3,937,822
 
 UBS Securities LLC
 
$
11,708,732
  
$
(9,225,539
)
 
$
2,483,193
 
Futures contracts
 Goldman, Sachs & Co.
  
13,249,141
   
(10,030,886
)
  
3,218,255
 
 Goldman, Sachs & Co.
  
11,634,670
   
(8,795,157
)
  
2,839,513
 
Forward currency contracts
 NatWest Markets Plc
  
33,799,523
   
(25,458,248
)
  
8,341,275
 
 NatWest Markets Plc
  
65,881,724
   
(48,789,153
)
  
17,092,571
 
Centrally cleared swap contracts*
 Centrally Cleared
  
3,705,972
   
(186,113
)
  
3,519,859
 
 Centrally Cleared
  
2,549,061
   
(2,549,061
)
  
0
 
Total derivatives  
$
65,112,719
  
$
(46,095,508
)
 
$
19,017,211
   
$
91,774,187
  
$
(69,358,910
)
 
$
22,415,277
 

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

Derivative Assets and Collateral Received by Counterparty
Derivative Assets and Collateral Received by Counterparty
 Derivative Assets and Collateral Received by Counterparty 
As of March 31, 2022         
As of September 30, 2022         
 
Net Amounts of
Unrealized Gain
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
     
Net Amounts of
Unrealized Gain
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty 
Statements of
Financial Condition
  
Financial
Instruments
  
Cash Collateral
Received
  Net Amount  
Statements of
Financial Condition
  
Financial
Instruments
  
Cash Collateral
Received
  
Net Amount
 
UBS Securities LLC 
$
3,937,822
  
$
0
  
$
0
  
$
3,937,822
  
$
2,483,193
  
$
0
  
$
0
  
$
2,483,193
 
Goldman Sachs & Co. LLC  
3,218,255
   
0
   
0
   
3,218,255
 
Goldman, Sachs & Co.  
2,839,513
   
0
   
0
   
2,839,513
 
NatWest Markets Plc  
8,341,275
   
0
   
0
   
8,341,275
   
17,092,571
   
0
   
0
   
17,092,571
 
Centrally Cleared  
3,519,859
   
0
   
0
   
3,519,859
   
0
   
0
   
0
   
0
 
Total 
$
19,017,211
  
$
0
  
$
0
  
$
19,017,211
  
$
22,415,277
  
$
0
  
$
0
  
$
22,415,277
 

Offsetting of Derivative Liabilities by CounterpartyOffsetting of Derivative Liabilities by Counterparty Offsetting of Derivative Liabilities by Counterparty 
As of March 31, 2022
 
         
As of September 30, 2022
 
         
Type of Instrument
 Counterparty
 
Gross
Amounts
of Recognized
Liabilities
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
 
 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
 
$
10,420,261
  
$
(10,420,261
)
 
$
0
 
 UBS Securities LLC
 
$
9,225,539
  
$
(9,225,539
)
 
$
0
 
Futures contracts
 Goldman, Sachs & Co.
  
10,030,886
   
(10,030,886
)
  
0
 
 Goldman, Sachs & Co.
  
8,795,157
   
(8,795,157
)
  
0
 
Forward currency contracts
 NatWest Markets Plc
  
25,458,248
   
(25,458,248
)
  
0
 
 NatWest Markets Plc
  
48,789,153
   
(48,789,153
)
  
0
 
Centrally cleared swap contracts
 Centrally Cleared
  
186,113
   
(186,113
)
  
0
 
 Centrally Cleared
  
2,785,156
   
(2,549,061
)
  
236,095
 
Total derivatives  
$
46,095,508
  
$
(46,095,508
)
 
$
0
   
$
69,595,005
  
$
(69,358,910
)
 
$
236,095
 

27
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Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31,SEPTEMBER 30, 2022 (Unaudited)

Derivative Liabilities and Collateral Pledged by Counterparty
Derivative Liabilities and Collateral Pledged by Counterparty
 Derivative Liabilities and Collateral Pledged by Counterparty 
As of March 31, 2022         
As of September 30, 2022         
 
Net Amounts of
Unrealized Loss
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
     
Net Amounts of
Unrealized Loss
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty 
Statements of
Financial Condition
  
Financial
Instruments
  
Cash Collateral
Pledged
  Net Amount  
Statements of
Financial Condition
  
Financial
Instruments
  
Cash Collateral
Pledged
  Net Amount 
UBS Securities LLC 
$
0
  
$
0
  
$
0
 
$
0
  
$
0
  
$
0
  
$
0
  
$
0
 
Goldman, Sachs & Co.  
0
   
0
   
0
  
0
   
0
   
0
   
0
   
0
 
NatWest Markets Plc  
0
   
0
   
0
   
0
   
0
   
0
   
0
   
0
 
Centrally Cleared  
0
   
0
   
0
   
0
   
236,095
   
0
   
(236,095
)
  
0
 
Total 
$
0
  
$
0
  
$
0
 
$
0
  
$
236,095
  
$
0
  
$
(236,095
)
 
$
0
 
 
Offsetting of Derivative Assets by Counterparty
Offsetting of Derivative Assets by Counterparty
 
Offsetting of Derivative Assets by Counterparty
 
As of December 31, 2021
As of December 31, 2021
         
As of December 31, 2021
 
Type of Instrument
Counterparty
 
Gross
Amounts
of Recognized
Assets
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
 
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
 
$
6,465,894
  
$
(6,446,733
)
 
$
19,161
 
UBS Securities LLC
 
$
6,465,894
  
$
(6,446,733
)
 
$
19,161
 
Futures contracts
Goldman, Sachs & Co.
  
6,338,333
   
(5,764,341
)
  
573,992
 
Goldman, Sachs & Co.
  
6,338,333
   
(5,764,341
)
  
573,992
 
Forward currency contracts
NatWest Markets Plc
  
15,205,088
   
(15,205,088
)
  
0
 
NatWest Markets Plc
  
15,205,088
   
(15,205,088
)
  
0
 
Centrally cleared swap contracts*
Centrally Cleared
  
3,700,832
   
(486,151
)
  
3,214,681
 
Centrally Cleared
  
3,700,832
   
(486,151
)
  
3,214,681
 
Total derivatives  
$
31,710,147
  
$
(27,902,313
)
 
$
3,807,834
   
$
31,710,147
  
$
(27,902,313
)
 
$
3,807,834
 

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

Derivative Assets and Collateral Received by Counterparty 
As of December 31, 2021
         
 
 
Net Amounts of
Unrealized Gain
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty 
Statements of
Financial Condition
  
Financial
Instruments
  
Cash Collateral
Received
  Net Amount 
UBS Securities LLC 
$
19,161
  
$
0
  
$
0
  
$
19,161
 
Goldman, Sachs & Co.  
573,992
   
0
   
0
   
573,992
 
NatWest Markets Plc  
0
   
0
   
0
   
0
 
Centrally Cleared  
3,214,681
   
0
   
0
   
3,214,681
 
Total 
$
3,807,834
  
$
0
  
$
0
  
$
3,807,834
 

28
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Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31,SEPTEMBER 30, 2022 (Unaudited)

Offsetting of Derivative Liabilities by Counterparty
Offsetting of Derivative Liabilities by Counterparty
 Offsetting of Derivative Liabilities by Counterparty 
As of December 31, 2021As of December 31, 2021         As of December 31, 2021 
Type of Instrument
Counterparty
 
Gross
Amounts
of Recognized
Liabilities
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
 
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
 
$
6,446,733
  
$
(6,446,733
)
 
$
0
 
UBS Securities LLC
 
$
6,446,733
  
$
(6,446,733
)
 
$
0
 
Futures contracts
Goldman, Sachs & Co.
  
5,764,341
   
(5,764,341
)
  
0
 
Goldman, Sachs & Co.
  
5,764,341
   
(5,764,341
)
  
0
 
Forward currency contracts
NatWest Markets Plc
  
16,983,063
   
(15,205,088
)
  
1,777,975
 
NatWest Markets Plc
  
16,983,063
   
(15,205,088
)
  
1,777,975
 
Centrally cleared swap contracts
Centrally Cleared
  
486,151
   
(486,151
)
  
0
 
Centrally Cleared
  
486,151
   
(486,151
)
  
0
 
Total derivatives  
$
29,680,288
  
$
(27,902,313
)
 
$
1,777,975
   
$
29,680,288
  
$
(27,902,313
)
 
$
1,777,975
 

Derivative Liabilities and Collateral Pledged by CounterpartyDerivative Liabilities and Collateral Pledged by Counterparty Derivative Liabilities and Collateral Pledged by Counterparty 
As of December 31, 2021
                         


 Net Amounts of
Unrealized Loss
Presented in the
 
Gross Amounts Not Offset in the
Statements of Financial Condition
 
Net Amount 
  
Net Amounts of
Unrealized Loss
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty
Statements of
Financial Condition
 
Financial
Instruments
 
Cash Collateral
Pledged
   
Statements of
Financial Condition
  
Financial
Instruments
  
Cash Collateral
Pledged
  Net Amount 
UBS Securities LLC 
$
0
  
$
0
  
$
0
  
$
0
  
$
0
  
$
0
  
$
0
  
$
0
 
Goldman, Sachs & Co.  
0
   
0
   
0
   
0
   
0
   
0
   
0
   
0
 
NatWest Markets Plc  
1,777,975
   
0
   
(1,777,975
)
  
0
   
1,777,975
   
0
   
(1,777,975
)
  
0
 
Centrally Cleared  
0
   
0
   
0
   
0
   
0
   
0
   
0
   
0
 
Total 
$
1,777,975
  
$
0
  
$
(1,777,975
)
 
$
0
  
$
1,777,975
  
$
0
  
$
(1,777,975
)
 
$
0
 

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

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

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31,SEPTEMBER 30, 2022 (Unaudited)

Note 13. 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 14. INTERIM FINANCIAL STATEMENTS
 
The Statements of Financial Condition, including the Condensed Schedules of Investments, as of March 31,September 30, 2022 and December 31, 2021, the Statements of Operations and Financial Highlights for the three months and nine months ended March 31,September 30, 2022 and 2021, and the Statements of Cash Flows and Changes in Unitholders’ Capital (Net Asset Value) for the threenine months ended March 31,September 30, 2022 and 2021 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,September 30, 2022 and December 31, 2021, the results of operations and financial highlights for the three months and nine months ended March 31,September 30, 2022 and 2021, and cash flows and changes in unitholders’ capital (Net Asset Value) for the threenine months ended March 31,September 30, 2022 and 2021.

Note 15. SUBSEQUENT EVENTS

Management of the Trust has evaluated subsequent events through the date the financial statements were filed. There are no 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, forward and centrally cleared swap markets under the sole direction of Campbell & Company, LP, the managing operator of the Trust. Specifically, the Trust trades in a diverse array of global assets, including global interest rates, stock indices, currencies, credit and commodities. The Trust is an actively managed account with speculative trading profits as its objective.

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

As of March 31,September 30, 2022, the aggregate capitalization of the Trust was $374,977,619$491,185,716 with Series A, Series B, Series D and Series W comprising $279,430,276 $39,426,133, $12,686,644$363,914,809, $47,216,643, $22,584,283 and $43,434,566,$57,469,981, respectively, of the total. The Net Asset Value per Unit was $3,497.31$4,216.96 for Series A, $3,854.55$4,648.72 for Series B, $1,391.13$1,679.75 for Series D and $4,228.15$5,126.97 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.

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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.

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

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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 or centrally cleared in order to initiate and maintain forward contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparty.

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

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

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

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Off-Balance Sheet Risk

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

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

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

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

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

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Results of Operations

The returns for the threenine months ended March 31,September 30, 2022 and 2021 for Series A were 20.47%45.26% and 6.29%11.88%, Series B were 20.11%44.86% and 6.42%12.30%, Series D were 16.33%40.46% and 6.62%11.83% and Series W were 18.35%43.50% and 6.82%13.57%, respectively.

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2022 (For the ThreeNine Months Ended March 31)September 30)

Of the 20.47%45.26% return for the threenine months ended March 31,September 30, 2022 for Series A, approximately 21.91% 53.31% was due to trading gains (before commissions) and, approximately (0.10)% 0.46% due to investment loss, offset byincome and approximately (1.34)(8.51)% due to brokerage fees, management fees, sales commissions, performance fees, offering costs and operating costs incurred by Series A.

Of the 20.11%44.86% return for the threenine months ended March 31,September 30, 2022 for Series B, approximately 21.91% 53.31% was due to trading gains (before commissions) and approximately (0.10)% 0.46% due to investment loss, offset byincome and approximately (1.70)(8.91)% due to brokerage fees, management fees, sales commissions, performance fees and operating costs incurred by Series B.

Of the 16.33%40.46% return for the threenine months ended March 31,September 30, 2022 for Series D, approximately 21.91%53.31% was due to trading gains (before commissions) and approximately (0.10)% 0.46% due to investment loss, offset byincome and approximately (5.48)(13.31)% due to brokerage fees, management fees, sales commissions, performance fees, offering costs and operating costs incurred by Series D.

Of the 18.35%43.50% return for the threenine months ended March 31,September 30, 2022 for Series W, approximately 21.91% 53.31% was due to trading gains (before commissions) and approximately (0.10)% 0.46% due to investment loss, offset byincome and approximately (3.46)(10.27)% due to brokerage fees, management fees, performance fees, offering costs and operating costs incurred by Series W.

During the threenine months ended March 31,September 30, 2022, the Trust accrued management fees in the amount of $1,683,378$6,104,905 and paid management fees in the amount of $1,564,199.$5,781,955. During the threenine months ended March 31,September 30, 2022, the Trust accrued sales commissions in the amount of $1,460,348$5,249,614 and paid sales commissions in the amount of $1,390,171.$5,007,651. During the threenine months ended March 31,September 30, 2022, the Trust accrued performance fees in the amount of $1,530,801$20,426,740 and paid performance fees in the amount of $0.$12,186,794.

An analysis of the 21.91%53.31% gross trading gains for the Trust for the threenine months ended March 31,September 30, 2022 by sector is as follows:

Sector % Gain (Loss) 
Credit  0.000.86%
Commodities  10.4611.79%
Foreign Exchange  5.8922.33%
Interest Rates  5.3215.89%
Equity Indices  0.242.44%
   21.9153.31%

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

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

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

The Trust produced a gain during April. Profits came from foreign exchange, interest rate, and commodity holdings, while credit positions and stock index trading had little P&L impact. Foreign exchange trading produced the largest Trust returns in April. Long US dollar exposure proved profitable as the greenback saw a sharp rally over the month. The USD gained on the increasingly aggressive US monetary policy and the significant rise in longer dated interest rate yields. The greenback also benefited from global growth concerns as Europe continues to struggle with the fallout from Russia’s invasion of Ukraine, and China enacted lockdowns in a bid to curtail the spread of the latest COVID-19 variant. Interest rate positions produced additional profits during April, with gains concentrated in long-dated instruments. Short positioning on US Treasuries produced the greatest profits for the sector as the Fed prepared the double act of rate hikes with quantitative tightening. The prospect of tighter monetary policy coupled with concerns over surging inflation around the world sent bond prices lower and real yields higher. Commodity positions also generated gains during the month. Long holdings on the energy complex generated the best commodity sub-sector returns as energy markets advanced on continued supply concerns, although gains were capped as China’s extended coronavirus lockdowns curbed demand for energies. Grain holdings provided additional returns for the Trust as the war in Ukraine, drought concerns, and increased biofuel demand lifted prices higher. Credit trading was relatively flat as short protection positions generated additional offsetting losses as US and European credit spreads widened amid the risk-off environment. Mixed positioning in global stock indices had little impact on the Trust in April, with nearly all major benchmarks logging losses for the month. The risk-off trading was fueled by the hawkish shift in global monetary policy, demand destruction from China’s Covid lockdowns, and continued geopolitical uncertainty centered on Ukraine.

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The Trust produced a loss during May. Losses came from foreign exchange, stock index, and commodity positions. Fixed income and credit index trading had little P&L impact on the month. Foreign exchange trading produced the largest losses for the Trust during May. Long US dollar positions (versus short the foreign currency) experienced losses amid the broader weakness in the USD. While the greenback remains stronger on the year, the DXY dollar index experienced a reversal during May. The foreign exchange market is reconsidering whether US policy makers might slow or potentially pause the tightening cycle in the latter half of 2022, which limited the demand for the US currency. Additionally, data over the course of the month showed the potential of a weaker US consumer which also contributed to the weakness in the buck. Stock index positioning generated additional losses over the course of the month. Global equity returns were mixed during May amid volatility across the global indices as markets weighed accelerating inflation concerns in Europe with easing Covid restrictions in China and some investor expectations of a possible slowdown in US monetary tightening. Commodity holdings generated modest losses during the month. Net long positioning on the grain complex incurred losses for the Trust as grain markets plummeted into month-end on the possibility that Russia will allow exports of Ukrainian grain through the Black Sea. Long holdings on energies generated partially offsetting gains as those markets advanced on continued fallout from the war in Ukraine, in addition to easing Covid restrictions in Asia, a busy travel season, and low inventories. Mixed positioning in fixed income had little impact on the Trust in May. Longs on European interest rate instruments produced losses as those markets declined (yields rose) as record inflation prints increased bets the BoE and ECB will have to quicken the pace of rate hikes to quell surging prices. Canadian Government Bonds produced some offsetting gains amid a hawkish approach from the BoC. Finally in credit trading, short protection positions also had little impact on the Trust during the month.

The Trust produced a gain during June. Profits came from foreign exchange (FX), interest rate, and stock index holdings. The commodity sector and credit positions had little P&L impact. Foreign exchange trading generated the largest gains for the Trust during the month. Long USD positions (versus short the foreign currency) benefited from the broad-based rally in the greenback. Dominating the market narrative, inflation remains stubbornly high and the Federal Reserve continues to lead the hawkish charge. Following the hotter US CPI print early in the month, the Fed indicated that slowing inflation is more important than the possibility of slower economic growth as a result of higher rates, which helped drive the wide-reaching appreciation in the dollar. Fixed income positions produced additional returns with gains concentrated in long-dated instruments. Persistent inflation prompted central banks to take more aggressive action in their hiking cycles, leading to several greater-than-expected rate increases. Short positioning on Australia and US 10-year instruments profited as yields rose (prices fell) in reaction to the RBA and Fed both delivering rate hikes that exceeded expectations. A fifth consecutive rate hike from the Bank of England, accompanied by hawkish guidance, pushed UK yields higher (prices lower) to the benefit of short Gilt positioning. Net short stock index positioning provided additional gains during the month. Global stock indices sold-off sharply as investors became increasingly convinced that the pace of rising interest rates will trigger a recession. Comments from global central bank speakers throughout the month remained hawkish and Fed Chair Powell even conceded that a soft landing could be “very challenging.” In credit trading, short protection positions were relative flat as US and European credit spreads widened sharply alongside the selloff in risky assets. The models flipped to long protection at the end of June and recovered some of their earlier losses. Commodity trading had little impact on the Trust during the month as gains made from short wheat holdings were offset by losses generated from energy positions.

The Trust produced a loss in July. Losses came from interest rate and foreign exchange (FX) holdings, while commodity positions produced some partially offsetting gains. The stock and credit sectors had little P&L impact. Interest rate positions produced the largest losses for the Trust with declines most notable in long-dated instruments. Bonds rallied (yields fell) amid ongoing fears that tightening monetary policy will drag leading economies into recession. Net short positioning on US Treasuries produced losses as prices jumped after two consecutive quarters of negative GDP confirmed the US economy is in technical recession. Despite a surprise full percentage point rate hike from the Bank of Canada, short positioning in Canada 10-year bonds added to losses after a softer inflation print blunted the case for another 100bps hike, which sent bond prices higher. Foreign exchange trading produced additional losses for the Trust. A short position on the Japanese yen was a detractor for the Trust as the JPY experienced strong gains versus the dollar following the weaker US data and the prospects of a less aggressive Fed. Partially offsetting gains were experienced in the euro as EURUSD reached parity for the first time since 2002 on back of the energy crisis in Europe and a series of poor European data. Commodity trading generated profits for the Trust during the month. Short wheat positioning provided the best sub-sector gains as the grain traded lower on strong US crop expectations, which could help relieve global supply shortfalls caused by turmoil in the Black Sea region. A short sugar position also produced gains as prices fell amid lingering global demand uncertainty and healthy supply expectations from Brazil. Global stock index trading had little P&L impact as gains made on European and Asian stock holdings were overwhelmed by losses sustained from the North American region. Stock indices advanced in July as easing rate rise expectations and generally strong big tech earnings sparked a broad-based rally.

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The Trust produced a gain in August. Profits came from interest rate and foreign exchange (FX) holdings, while commodities and credit index positions produced some partially offsetting losses during the month. The stock index sector had little P&L impact. Interest rate positions produced the largest gains for the Trust in August. Bond yields surged (prices fell) as hawkish commentary from policymakers heightened fears of aggressive monetary policy action aimed at curtailing inflation, despite the risk of dragging economies into recession. Short positioning on Canadian bonds, US Treasuries, and UK gilts led gains. Canadian bonds fell after core inflation rose to a record 5.3% while US Treasury prices declined after a chorus of Fed officials reiterated their resolve to keep hiking rates and to maintain a restrictive stance “for some time.” Foreign exchange trading produced additional gains. August saw a steady rally in the greenback throughout the month and the Trust’s long US dollar positions benefited, especially against the developed market currencies. A short position on the Japanese yen was the largest FX contributor as a hawkish approach from the Fed, coupled with the continued easing policy from the Bank of Japan, caused the yen to resume its weakening trend versus the USD. Commodity holdings produced some offsetting losses for the Trust. Long energy positions generated the largest sector losses as energy markets came under pressure on global recession worries. Short precious metal positioning created some of the best offsetting profits within the commodities sector as a continually hawkish Fed, the stronger US dollar, and rising Treasury yields weighed on metal prices. Credit trading was unprofitable as short protection positions generated losses as US and European credit spreads widened amid the risk-off environment. Stock index trading had little P&L impact as gains made on North American stock index holdings were overwhelmed by losses sustained from the Asian region; European positions had a negligible impact. The global equities markets sold-off in the latter half of the month on expectations of tighter global monetary policy conditions.

The Trust, which consists of momentum, macro, and short-term strategies, produced a gain in September.  Profits came from foreign exchange (FX), interest rate, and stock holdings, while commodities and credit index positions produced some partially offsetting losses during the month.
FX positions produced the largest gains for the Trust in September.  The US dollar experienced a sharp rally during the month and the Trust’s long USD positions benefited, especially against shorts in the developed market currencies.  The narrative in FX was dominated by the US Federal Reserve hiking rates and the greenback serving as a high yielding safe-haven asset.  The largest gains came from shorts on the Norwegian krone (versus long USD), which weakened amid the worsening European oil and gas crisis. Interest rate positions generated additional profits.  Aggressive monetary policy around the globe, elevated inflation, and the European energy crisis pressured bond prices and produced gains for short positioning on fixed income instruments.  Partially offsetting losses came from long Gilt positioning.  UK yields surged (prices fell) after British policy makers announced sweeping tax reform and the market braced for an onslaught of bond supply and aggressive rate hikes. Short stock index positioning also produced gains for the Trust during the month. Investors shed risk assets, sending benchmarks lower across the globe, amid the tightening of financial conditions driven by unrelenting global rate hikes aimed at containing inflation. Commodity holdings detracted from the Trust during September. Some long positioning, namely in cotton, energies, and industrial metals, produced losses as commodities generally underperformed on the back of the weakening demand outlook, heightened global recession fears, and the rapidly strengthening US dollar.  Wheat prices were an exception and rose during the month as supply worries amid war risks outweighed the stronger dollar, and hurt our short positioning. Credit trading was unprofitable as short protection positions generated losses as US and European credit spreads widened amid the risk-off environment.

2021 (For the ThreeNine Months Ended March 31)September 30)

Of the 6.29%11.88% return for the threenine months ended March 31,September 30, 2021 for Series A, approximately 7.41%16.18% was due to trading gains (before commissions) and approximately 0.33%0.10% due to investment income, offset by approximately (1.45)(4.40)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series A.

Of the 6.42%12.30% return for the threenine months ended March 31,September 30, 2021 for Series B, approximately 7.41%16.18% was due to trading gains (before commissions) and approximately 0.33%0.10% due to investment income, offset by approximately (1.32)(3.98)% due to brokerage fees, management fees, sales commissions and operating costs incurred by Series B.

Of the 6.62%11.83% return for the threenine months ended March 31,September 30, 2021 for Series D, approximately 7.41%16.18% was due to trading gains (before commissions) and approximately 0.33%0.10% due to investment income, offset by approximately (1.12)(4.45)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series D.

Of the 6.82%13.57% return for the threenine months ended March 31,September 30, 2021 for Series W, approximately 7.41%16.18% was due to trading gains (before commissions) and approximately 0.33%0.10% due to investment income, offset by approximately (0.92)(2.71)% due to brokerage fees, management fees, offering costs and operating costs incurred by Series W.

During the threenine months ended March 31,September 30, 2021, the Trust accrued management fees in the amount of $1,378,057$4,327,806 and paid management fees in the amount of $1,380,981.$4,321,771. During the threenine months ended March 31,September 30, 2021, the Trust accrued sales commissions in the amount of $1,233,221$3,858,879 and paid sales commissions in the amount of $1,239,110.  No$3,850,853.  During the nine months ended September 30, 2021, the Trust accrued performance fees were accrued orin the amount of $54,801 and paid during this period.performance fees in the amount of $54,801.

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An analysis of the 7.41%16.18% gross trading gains for the Trust for the threenine months ended March 31,September 30, 2021 by sector is as follows:

Sector % Gain (Loss) 
Credit  (2.061.78)%
Commodities  3.4911.57%
Foreign Exchange  5.535.13%
Interest Rates  (3.485.88)%
Equity Indices  3.937.14%
   7.4116.18%

The Trust showed a decline in January with losses coming from interest rate, foreign exchange (FX), stock index, and credit positions, while commodity holdings produced some partially offsetting gains. Interest rate positions produced the largest losses during the month with declines most pronounced in long-dated instruments.  Long positions on US rate markets suffered as the Democrats took control of the Senate which sent yields higher (prices lower) amid increased expectations for a large scale fiscal stimulus package being passed.  Long positioning on Australian and Canadian rates also generated losses when prices fell (yields rose).  Australian inflation was higher than expected and the Bank of Canada indicated the country would not need as much quantitative easing as initially expected. Foreign exchange trading contributed additional losses during January.  The largest FX losses came from long emerging market positions (against the USD), specifically in the Colombian peso and Brazilian real. The Latin American currencies were the top underperformers during the month, sinking on regional spreading of the COVID-19 virus and slow vaccine rollouts in the region. Global stock index trading also added losses to the Trust during the month.  Long positioning on many global stock indexes saw gains early in the month, however late month risk aversion erased those gains and ultimately generated losses.  Concerns about liquidity induced asset bubbles, retail driven stock volatility in companies with high levels of short interest, and limited vaccine availability and distribution hurdles all contributed to the risk-off sentiment late in the month. In credit trading, short protection positions generated losses as European and US credit spreads widened amid risk-off sentiment, especially within Europe. Commodities generated some partially offsetting gains for the Trust.  Long positions on the grain complex profited as strong Chinese demand linked with supply concerns pushed prices to multi-year highs during the month.  A long holding on gasoline also added to gains as prices rose driven by fiscal stimulus payments to consumers and hopes for economic reopening on the back of mass COVID-19 vaccinations.

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In February, the Trust showed a gain with profits coming from commodity, stock index, foreign exchange, and credit positions, while interest rate holdings produced some partially offsetting losses. Commodities trading produced the largest Trust gains during February.  Long holdings on the petroleum complex, specifically on gasoline, Brent, and WTI, generated gains on declining COVID infection trends and a deep freeze in Texas that negatively impacted production.  Long positioning on the grains, softs, and industrial metals also proved profitable amid US dollar weakness and strong expected demand from healing world economies. Global stock indexes generated additional profits during the month.  Long positioning on many global stock indexes profited as most major equity indexes advanced during the month.  Declining COVID infection rates, improving COVID vaccine distribution trends, and expectations for the passage of President Biden’s large US fiscal stimulus package all served as major tailwinds for global stock markets. Foreign exchange trading in the developed markets produced gains for the Trust.  A long British pound holding (against short USD) was among the best performers as the GBP benefited from an efficient vaccine roll-out and optimism about the economic recovery in the United Kingdom.  Mixed positioning in the FX markets proved beneficial as a short holding on the Japanese yen (versus long the greenback) benefited from the strength in the US markets relative to those in Japan. Interest rate positions produced the largest offsetting losses during the month with declines most pronounced in long-dated instruments.  Long positioning on long-dated rate instruments in Australia and Canada led sector losses as note prices in those countries fell sharply (yields rose) during February.  Growing global concerns about mounting inflationary pressures sparked by pent-up demand from COVID lockdowns linked with massive monetary and fiscal stimulus sent most global yields sharply higher, depressing bond prices and generating losses for the Trust.

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March saw all the Trust’s asset classes produce gains with profits coming from foreign exchange, stock index, commodity, interest rate, and credit positions. Foreign exchange trading in both the developed and emerging markets produced the largest Trust gains during March. A short Japanese yen holding (against long USD) was the best performing FX position as the JPY sank to its lowest level in a year. The move was primarily driven by the stronger greenback as the COVID-19 vaccine rollout and stimulus efforts in the US caused the dollar to strengthen. Short positioning on the Australian and New Zealand dollars (against long USD) was also profitable after the Reserve Bank of Australia (RBA) continued its bond purchase program and following the New Zealand government’s efforts to curb property speculation. Global stock indexes generated additional profits for the Trust. Long positioning on many global stock indexes profited as most major equity indexes advanced during the month. Positive progress with the COVID-19 vaccine rollout along with fiscal and monetary stimulus support continued to underpin the rally in most global equities.
Commodity holdings also produced gains during March. The Trust’s nimble short-term suite of models profitably traded the intra-month volatility within the petroleum complex. A short natural gas position benefited from warmer domestic weather forecasts which led to additional energy sub-sector gains. Long grain positions also produced profits for the Trust as the grain complex advanced sharply into month-end after a USDA report showed planting estimates below market expectations. Interest rate positions contributed small additional profits during the month with gains most notable in long-dated instruments. Long positioning on Australian 3- and 10-year notes produced profits after the RBA doubled down on bond purchases and policymakers expressed concern over the speed of the nation’s economic recovery. Credit trading was also profitable during March as short protection positions generated gains as most US and European credit spreads narrowed amid the risk-on environment.

In April, the Trust showed a gain with profits coming from commodity, stock index, and credit holdings, while foreign exchange and fixed income positions created some partially offsetting losses. Commodity holdings produced the best Trust gains during April. Long grain holdings provided profits as the complex rallied sharply throughout the month amid crop concerns in key planting regions and strong demand from top importer China. Long positions on the petroleum and industrial metal complexes proved profitable as prices rose during April driven by rising demand expectations as global economies begin to emerge from the COVID-19 pandemic. Global stock indexes generated additional profits for the Trust. Long positioning on many global stock indexes profited as most major equity indexes advanced during the month. Ongoing fiscal and monetary stimulus, especially from the US, along with strong corporate earnings and improving COVID-19 vaccination rates created an ideal environment for equity appreciation. Credit trading was also profitable during April as short protection positions generated gains as most US and European credit spreads narrowed amid the risk-on environment. Foreign exchange trading in both the developed and emerging markets produced losses for the Trust. The US dollar experienced a wide-breadth selloff given the Fed’s dovish assurances and President Biden’s expansionary fiscal policy measures. While a long CAD position (versus short USD) further benefited from the Bank of Canada acting as the first G10 central bank to formally begin a monetary policy normalization process, it was more than offset by losses elsewhere in the FX portfolio. Interest rate positions contributed additional losses during the month. Long positioning on German 5- and 10-year notes suffered while short holdings on US Treasuries produced some partially offsetting gains as most global yields rose (prices fell) due to growing inflation concerns.
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The Trust produced a gain in May with profits coming from commodity, foreign exchange, stock index, and credit holdings, while fixed income positions created some partially offsetting losses. Commodity holdings produced the best Trust gains during May. In the precious metals sub-sector, a long position on gold proved profitable amid a drumbeat of dovish commentary from FOMC officials who insisted that any inflationary pressures will be transitory which helped weaken the US dollar and sent gold futures higher by over 7% during the month. Other commodity sub-sectors that contributed to monthly gains included grains, energies, softs, and industrial metals. Foreign exchange trading in both the emerging and developed market currencies was profitable for the Trust. A long South African rand holding (against short USD) was the best performer in the EM space as the ZAR rose to its highest level in almost two years, helped along by strong demand for energies and metals. Long positioning on the Canadian dollar (against short USD) was also profitable on back of the bid in commodities as well as the Bank of Canada’s pivot to a more hawkish stance. The overall weaker greenback benefited other short USD holdings, adding to sector gains. Global stock indexes generated additional profits for the Trust. Long positioning on many global stock indexes profited as most major equity indexes advanced during the month. Economic reopening progress from the pandemic linked with ongoing monetary and fiscal stimulus created a risk-on backdrop for stocks. Credit trading was also profitable during May as short protection positions produced gains as most US and European credit spreads narrowed amid the risk-on environment. Interest rate positions created some partially offsetting losses during the month. Short positioning on some European and US instruments suffered as prices rose (yields fell) as multiple ECB and Federal Reserve officials pushed back against market expectations that both central banks were close to considering reducing quantitative easing measures.

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The Trust was down slightly in June with profits coming from commodity, stock index, and credit holdings, while interest rate and foreign exchange positions created some partially offsetting losses for the Trust. Commodity holdings produced the best Trust profits during June. The dominant gains were found in long positioning on the petroleum and natural gas markets. WTI and Brent crude oil rallied amid improving demand dynamics linked with tighter supplies. Natural gas rose sharply on the back of a US heat wave that saw increased gas demand for electric generation for air conditioning. Global stock indexes generated additional gains for the Trust. Long positioning in the United States and Canada generated the best sector profits. Ongoing monetary and fiscal stimulus, accompanied by improving COVID vaccination rates and expanding economic reopening, provided a tailwind for equities. The US NASDAQ and S&P 500 indexes, along with the Canadian S&P/TSX index, printed new all-time highs during the month benefitting our long positioning. Credit trading was also profitable during June as short protection positions generated gains as US and European credit spreads narrowed amid the risk-on environment. Interest rate positions generated the largest partially offsetting losses during the month. Short positioning on the US 10-year note, US 30-year bond, and UK Gilts led sector losses as reassuring commentary from the FOMC and the Bank of England on the transitory nature of higher inflation sent long-term yields lower (prices higher). A long position on the policy-sensitive US 2-year note suffered when the FOMC turned surprisingly hawkish mid-month sending short-term yields higher (prices lower). Foreign exchange trading in the emerging market (EM) currencies was a drag on the Trust as well. Long EM currency positions (versus short the US dollar) suffered after the mid-month FOMC meeting. Chairman Powell surprised markets with an unexpected hawkish shift which sent the greenback sharply higher, hurting our US dollar shorts.

The Trust, which consists of momentum, macro, and short-term strategies, produced a gain during July. Profits came from interest rate and commodity holdings, while foreign exchange (FX), stock index, and credit positions produced some partially offsetting losses. Interest rate positions contributed the best Trust profits during the month with gains most notable in long-dated instruments. The growing risks to economic growth due to rising Delta variant infections, inflation, and supply-side disruptions prompted buying of safe-haven assets. Long positioning on German notes were profitable after the ECB raised its inflation goal and made a dovish shift on forward guidance. Commodity holdings produced additional gains for the Trust in July. Long energy positions generated profits for the Trust as the energy complex advanced amid increasing demand and rising inflation concerns. Long nickel positioning outperformed as the base metal rallied to multi-year highs on booming demand for the metal used in stainless steel and electric-vehicle batteries. Foreign exchange trading, primarily in the developed market currencies, produced offsetting losses for the Trust. The Federal Reserve said the US job market still had “some ground to cover” which contributed to losses in short US dollar holdings (against long foreign currencies). Short positioning on the Japanese yen, our biggest loser on the month, strengthened on the Fed commentary as well as the bid for safe-haven assets given the concerns about the Delta variant. Global stock indexes generated additional offsetting losses for the Trust. Long positioning on Asian stock index holdings were a drag for the Trust as concerns that the spread of the Delta variant could dampen recovery momentum and additional Chinese tech regulation weighed on prices. However, long positioning in the United States provided some counteracting gains as ongoing policy accommodation and strong Q2 earnings results provided a tailwind for US equities. Credit positions had little impact on performance as spreads remained range-bound amid a lack of meaningful directional drivers.

The Trust, which consists of momentum, macro, and short-term strategies, produced a loss during August. Losses came from commodity, interest rate, and foreign exchange holdings, while stock index and credit positions produced some partially offsetting gains during the month.
Commodity holdings produced the largest losses for the Trust in August. Long positioning on the petroleum and industrial metal complexes suffered as the surging Delta variant of the COVID-19 virus called into question the outlook for global economic growth which helped to send the prices of those commodities lower. In the grain subsector, long holdings on the soy complex created losses amid prospects for higher production from Brazil and beneficial rain in the US Farm Belt. Interest rate positions contributed additional losses for the Trust with declines most notable in long-dated instruments. Long positioning on US and German notes produced losses as the US Federal Reserve and European Central Bank began to prepare markets for a possible scaling back of quantitative easing measures amid elevated inflation readings. Foreign exchange trading across both emerging market (EM) and developed market (DM) currencies produced additional losses for the Trust during the month. After the US dollar’s slightly weaker July, the greenback had mixed returns over the month. Risk markets generally fared well in August despite the spread of the Delta variant and many EM currencies outperformed (versus the USD) as a result, hurting Trust short positions in those markets. Global stock indexes generated the best partially offsetting gains. Long positioning on a variety of global equity indexes drove sector profits as most major global stock indexes finished August with gains. The ongoing fiscal and monetary support globally continued to provide a tailwind behind equities even as the Delta variant surged. An increase in vaccination rates also helped drive risk-on buying. Credit trading was also profitable as short protection positions generated gains as US and European credit spreads narrowed amid the risk-on environment.

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The Trust, which consists of momentum, macro, and short-term strategies, produced a loss during September. Losses came from interest rate and stock index positions, while commodity and foreign exchange (FX) holdings produced some partially offsetting gains during the month. Interest rate positions contributed the largest partially offsetting losses for the Trust with declines most notable in long-dated instruments. Long positioning on German and Australian notes produced losses as major central banks began to prepare markets for a scaling back of quantitative easing measures amid elevated inflation readings which sent yields higher as bond prices fell. Global stock indexes also generated losses in September. Long positioning on a variety of global equity indexes drove sector declines as most major global stock indexes finished the month with losses. The general risk-off sentiment that intensified during the month put an end to the relentless equity rally seen for most of 2021. Commodity holdings produced the largest gains for the Trust. Long positioning on the petroleum complex created some of the best profits. Brent and WTI crude both showed strong monthly gains as a significant percentage of US Gulf Coast output remained offline following Hurricane Ida, while at the same time, the UK grappled with a fuel shortage crisis. A long position on cotton was also profitable. Cotton advanced sharply during the month as adverse US weather and strong demand from China, Turkey, and Pakistan threatened to further tighten global supplies. Foreign exchange trading produced additional gains. Long US dollar exposure proved profitable as the greenback saw a sharp rally over the month, trading stronger against most developed and emerging market currencies. The dollar benefitted from flight-to-safety buying as some major central banks turned more hawkish, supply chain bottlenecks kept inflation concerns elevated, contagion fears surrounding Chinese company Evergrande were heightened, and as dysfunction among US lawmakers threatened to derail fiscal stimulus. Credit trading was relatively flat as short protection positions generated losses as US and European credit spreads widened amid the risk-off environment.

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).

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

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

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

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

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

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

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,September 30, 2022 and December 31, 2021 and the trading gains/losses by market category for the threenine months ended March 31,September 30, 2022 and the year ended December 31, 2021.

 March 31, 2022  September 30, 2022 
Market Sector 
Value
at Risk*
  
Trading
Gain/(Loss)**
  
Value
at Risk*
  
Trading
Gain/(Loss)**
 
Credit 0.07% 0.00% 0.04% 0.86%
Commodities 1.30% 10.46% 0.57% 11.79%
Foreign Exchange 0.84% 5.89% 1.00% 22.33%
Interest Rates 1.12% 5.32% 0.65% 15.89%
Equity Indices 0.49%  0.24% 0.37%  2.44%
Aggregate/Total 2.27%  21.91% 1.68%  53.31%

*
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 threenine months ended March 31,September 30, 2022.

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Of the 20.47%45.26% return for the threenine months ended March 31,September 30, 2022 for Series A, approximately 21.91% 53.31% was due to trading gains (before commissions) and, approximately (0.11)% 0.46% due to investment loss, offset byincome and approximately (1.33)(8.51)% due to brokerage fees, management fees, sales commissions, performance fees, offering costs and operating costs incurred by Series A.

Of the 20.11%44.86% return for the threenine months ended March 31,September 30, 2022 for Series B, approximately 21.91% 53.31% was due to trading gains (before commissions) and approximately (0.10)% 0.46% due to investment loss, offset byincome and approximately (1.70)(8.91)% due to brokerage fees, management fees, sales commissions, performance fees and operating costs incurred by Series B.

Of the 16.33%40.46% return for the threenine months ended March 31,September 30, 2022 for Series D, approximately 21.91%53.31% was due to trading gains (before commissions) and approximately (0.08)% 0.46% due to investment loss, offset byincome and approximately (5.50)(13.31)% due to brokerage fees, management fees, sales commissions, performance fees, offering costs and operating costs incurred by Series D.

Of the 18.35%43.50% return for the threenine months ended March 31,September 30, 2022 for Series W, approximately 21.91% 53.31% was due to trading gains (before commissions) and approximately (0.09)% 0.46% due to investment loss, offset byincome and approximately (3.47)(10.27)% due to brokerage fees, management fees, performance fees, offering costs and operating costs incurred by Series W.

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 December 31, 2021  December 31, 2021 
Market Sector 
Value
at Risk*
  
Trading
Gain/(Loss)**
  
Value
at Risk*
  
Trading
Gain/(Loss)**
 
Credit 0.07% (0.59)% 0.07% (0.59)%
Commodities 0.91% 11.16% 0.91% 11.16%
Foreign Exchange 0.90% 8.25% 0.90% 8.25%
Interest Rates 0.58% (9.78)% 0.58% (9.78)%
Stock Indices 0.92%  8.89%
Equity Indices 0.92%  8.89%
Aggregate/Total 2.09%  17.93% 2.09%  17.93%

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

**
Represents the gross trading for the Trust for the year ended December 31, 2021.

Of the 12.52% return for the year ended December 31, 2021 for Series A, approximately 17.93% was due to trading gains (before commissions) and approximately 0.39% due to investment income, offset by approximately (5.80)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series A.

Of the 13.09% return for year ended December 31, 2021 for Series B, approximately 17.93% was due to trading gains (before commissions) and approximately 0.39% due to investment income, offset by approximately (5.23)% due to brokerage fees, management fees, sales commissions and operating costs borne by Series B.

Of the 12.83% return for the year ended December 31, 2021 for Series D, approximately 17.93% was due to trading gains (before commissions) and approximately 0.39% due to investment income, offset by approximately (5.49)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series D.

Of the 14.80% return for the year ended December 31, 2021 for Series W, approximately 17.93% was due to trading gains (before commissions) and approximately 0.39% due to investment income, offset by approximately (3.52)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series W.

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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.

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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.

The following represent the primary trading risk exposures of the Trust as of March 31,September 30, 2022 by market sector.

Foreign Exchange

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

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Interest Rates

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

Equity Indices

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

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Credit

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

Energy

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

Metals

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

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,September 30, 2022.

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 and Short Term Investments

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

U.S. Treasury Bill Positions Held for Margin Purposes

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

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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.

The Trust has continued to operate as normal during the COVID-19 pandemic.  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 COVID-19 on the financial performance of the Trust’s investments will depend on future developments, including the effectiveness of vaccines and the public’s willingness to get vaccinated as new strains of the virus emerge, along with any related advisories and restrictions. These developments and the lasting 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.  There were no changes in the managing operator’s internal control over financial reporting applicable to the Trust identified in connection with the evaluation required by paragraph (d) of Exchange Act Rules 13a-15 or 15d-15 that occurred during the last fiscal quarter that have materially affected, or is reasonably likely to materially affect, internal control over financial reporting applicable to the Trust.

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PART II-OTHER INFORMATION
 
Item 1.  Legal Proceedings.

           None

Item 1A.  Risk Factors.

          There are no material changes from the risk factors as prevouslypreviously disclosed in Form 10-K, filed March 25, 2022.

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 
   
3.02 
   
10.01 
   
10.02 
   
10.03 
   
 Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.
   
 Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.
   
 Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
   
 Certification of John R. Radle, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
   
101101.01 Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments As of March 31,September 30, 2022 and December 31, 2021, (ii) Statements of Financial Condition As of March 31,September 30, 2022 and December 31, 2021, (iii) Statements of Operations For the Three Months and Nine Months Ended March 31,September 30, 2022 and 2021, (iv) Statements of Cash Flows For the ThreeNine Months Ended March 31,September 30, 2022 and 2021, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the ThreeNine Months Ended March 31,September 30, 2022 and 2021, (vi) Financial Highlights For the Three Months and Nine Months Ended March 31,September 30, 2022 and 2021, (vii) Notes to Financial Statements.
104 Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).

(1)
Incorporated by reference to the respective exhibit to the Registrant’s Form 10 filed on April 30, 2003.
(2)
Incorporated by reference to the respective exhibit to the Registrant’s Quarterly Report on Form 10-Q filed August 15, 2011.
(3)
Incorporated by reference to the respective exhibit to the Registrant’s Quarterly Report on Form 10-Q filed on May 15, 2014.

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EXHIBIT INDEX

Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
  
Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
  
Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
  
Certification of John R. Radle, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
  
 101101.01
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments As of March 31,September 30, 2022 and December 31, 2021, (ii) Statements of Financial Condition As of March 31,September 30, 2022 and December 31, 2021, (iii) Statements of Operations For the Three Months and Nine Months Ended March 31,September 30, 2022 and 2021, (iv) Statements of Cash Flows For the ThreeNine Months Ended March 31,September 30, 2022 and 2021, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the ThreeNine Months Ended March 31,September 30, 2022 and 2021, (vi) Financial Highlights For the Three Months and Nine Months Ended March 31,September 30, 2022 and 2021, (vii) Notes to Financial Statements.
  
104 Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).

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SIGNATURES

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

 
THE CAMPBELL FUND TRUST
(Registrant)
    
 By:Campbell & Company, LP 
  Managing Operator 
   
Date: May 16,November 14, 2022By:
/s/ Kevin D. Cole
 
  Kevin D. Cole 
  Chief Executive Officer & Chief Investment Officer 


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