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,June 30, 2023

☐
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,June 30, 2023, there were 92,118.58092,852.982 Series A Units, 9,894.4179,483.243 Series B Units, 15,317.27516,886.917 Series D Units, and 11,548.56411,969.138 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,June 30, 2023 and December 31, 2022 (Unaudited)
1-6
    
  
Statements of Financial Condition as of March 31,June 30, 2023 and December 31, 2022 (Unaudited)
7
    
  
Statements of Operations for the Three Months and Six Months Ended March 31,June 30, 2023 and 2022 (Unaudited)
8
    
  
Statements of Cash Flows for the ThreeSix Months Ended March 31,June 30, 2023 and 2022 (Unaudited)
9
    
  
Statements of Changes in Unitholders’ Capital (Net Asset Value) for the ThreeSix Months Ended March 31,June 30, 2023 and 2022 (Unaudited)
10-11
    
  
Financial Highlights for the Three Months and Six Months Ended March 31,June 30, 2023 and 2022 (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.
31-3632-39
    
 Item 3.
Quantitative and Qualitative Disclosure About Market Risk.
36-4139-44
    
 Item 4.
Controls and Procedures.
4144
    
PART II — OTHER INFORMATION
 
    
 Item 1.
Legal Proceedings.
4245
    
 Item 1A.
Risk Factors.
4245
    
 Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds.
4245
    
 Item 3.
Defaults Upon Senior Securities.
4245
    
 Item 4.
Mine Safety Disclosures.
4245
    
 Item 5.
Other Information.
4245
    
 Item 6.
Exhibits.
43-4446-47
    
SIGNATURES
 4548

Table of Contents
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31,JUNE 30, 2023 (Unaudited)

FIXED INCOME SECURITIES

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


 Asset Backed Securities    
 
 Asset Backed Securities      
  United States        United States      
  Auto Loans 
$
22,460,085
   
4.43
%
  Auto Loans 
$
24,638,877
   
4.79
%
  Equipment Loans  
3,199,446
   
0.63
%
  Equipment Loans  
3,966,702
   
0.77
%
  
Total Asset Backed Securities (cost $25,863,531)
  
25,659,531
   
5.06
%
  
Total Asset Backed Securities (cost $28,702,770)
  
28,605,579
   
5.56
%












           
  Bank Deposits          Bank Deposits        
  United States          United States        
  Financials (cost $6,585,402)  
6,568,615
   
1.30
%
  Financials (cost $18,427,938)  
18,419,809
   
3.58
%
  
Total Bank Deposits (cost $6,585,402)
  
6,568,615
   
1.30
%
  Australia        
             Financials (cost $2,552,328)  
2,550,020
   
0.50
%
  Commercial Paper          
Total Bank Deposits (cost $20,980,266)
  
20,969,829
   
4.08
%
  Canada                   
  Materials (cost $2,344,122)  
2,342,684
   
0.46
%
  Commercial Paper        
  France          Canada        
  Financials (cost $1,538,926)  
1,538,394
   
0.30
%
  Materials (cost $11,708,217)  
11,704,732
   
2.28
%
  United Kingdom          United Kingdom        
  Financials (cost $1,306,839)  
1,307,275
   
0.26
%
  Financials (cost $8,618,439)  
8,614,307
   
1.67
%
  United States          United States        
  Communications  
2,619,984
   
0.52
%
  Consumer Discretionary  
26,119,991
   
5.08
%
  Consumer Discretionary  
17,936,717
   
3.54
%
  Financials  
69,016,188
   
13.41
%
  Consumer Staples  
1,017,661
   
0.20
%
  Industrials  
13,420,639
   
2.61
%
  Financials  
70,176,690
   
13.83
%
  Real Estate  
1,968,255
   
0.38
%
  Health Care  
748,141
   
0.15
%
  Technology  
9,201,290
   
1.79
%
  Industrials  
1,226,223
   
0.24
%
  Utilities  
35,907,463
   
6.98
%
  Real Estate  
7,904,917
   
1.56
%
  
Total United States (cost $155,676,142)
  
155,633,826
   
30.25
%
  Technology  
9,046,998
   
1.78
%
  
Total Commercial Paper (cost $176,002,798)
  
175,952,865
   
34.20
%
  Utilities  
39,848,311
   
7.86
%
           
  
Total United States (cost $150,552,870)
  
150,525,642
   
29.68
%
  Corporate Bonds        
  
Total Commercial Paper (cost $155,742,757)
  
155,713,995
   
30.70
%
  Australia        












  Financials (cost $4,174,527)  
4,169,393
   
0.81
%
  Corporate Bonds          Canada        
  Australia          Energy  
3,300,943
   
0.64
%
  Financials (cost $1,244,445)  
1,253,778
   
0.25
%
  Financials  
12,998,644
   
2.52
%
  Canada          
Total Canada (cost $16,388,494)
  
16,299,587
   
3.16
%
  Energy  
3,275,644
   
0.65
%
  Germany        
  Financials  
11,581,922
   
2.27
%
  Consumer Discretionary  
1,178,033
   
0.23
%
  
Total Canada (cost $15,012,779)
  
14,857,566
   
2.92
%
  Industrials  
1,967,421
   
0.38
%
  Germany          
Total Germany (cost $3,140,471)
  
3,145,454
   
0.61
%
  Consumer Discretionary  
1,167,736
   
0.23
%
  Japan        
  Industrials  
1,957,413
   
0.39
%
  Financials (cost $1,239,999)  
1,242,074
   
0.24
%
  
Total Germany (cost $3,140,553)
  
3,125,149
   
0.62
%
  Spain        
  Japan          Financials (cost $2,599,994)  
2,549,865
   
0.50
%
  Financials (cost $1,240,000)  
1,221,381
   
0.24
%
  Switzerland        
  Spain          Financials (cost $3,180,000)  
3,126,124
   
0.61
%
  Financials (cost $2,599,995)  
2,542,857
   
0.50
%
  United Kingdom        
  Switzerland          Financials (cost $1,893,546) 
$
1,888,011
   
0.37
%
  Financials (cost $3,579,969)  
3,465,665
   
0.68
%
  United Kingdom        
  Financials (cost $1,893,286) 
$
1,853,690
   
0.37
%

See Accompanying Notes to Financial Statements.
 
1
Table of Contents
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31,JUNE 30, 2023 (Unaudited)
 
FIXED INCOME SECURITIES

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


 Corporate Bonds (continued)    
 
  United States      
 Corporate Bonds (continued)      
  Communications 
$
247,101
   
0.05
%
  United States      
  Consumer Discretionary  
9,346,240
   
1.84
%
  Consumer Discretionary 
$
8,262,661
   
1.61
%
  Energy  
4,800,952
   
0.95
%
  Energy  
1,284,090
   
0.25
%
  Financials  
20,868,206
   
4.11
%
  Financials  
18,744,440
   
3.64
%
  Health Care  
3,890,763
   
0.77
%
  Health Care  
3,889,458
   
0.76
%
  Industrials  
7,965,993
   
1.57
%
  Industrials  
7,080,590
   
1.38
%
  Materials  
5,202,788
   
1.03
%
  Materials  
5,180,192
   
1.01
%
  Real Estate  
2,105,405
   
0.42
%
  Real Estate  
2,114,064
   
0.41
%
  Technology  
2,880,112
   
0.57
%
  Technology  
2,046,105
   
0.40
%
  Utilities  
5,966,937
   
1.18
%
  Utilities  
5,341,516
   
1.04
%
  
Total United States (cost $63,767,915)
  
63,274,497
   
12.49
%
  
Total United States (cost $54,325,369)
  
53,943,116
   
10.50
%
  
Total Corporate Bonds (cost $92,478,942)
  
91,594,583
   
18.07
%
  
Total Corporate Bonds (cost $86,942,400)
  
86,363,624
   
16.80
%












           
  Government and Agency Obligations          Government and Agency Obligations        
  United States          United States        
  U.S. Treasury Bills          U.S. Treasury Bills        
$
1,500,000
 
U.S. Treasury Bills Due 04/20/2023(1)
  
1,496,687
   
0.30
%
6,200,000
 
U.S. Treasury Bills Due 07/13/2023(1)
  
6,191,326
   
1.20
%
$
6,200,000
 
U.S. Treasury Bills Due 04/13/2023(1)
  
6,192,269
   
1.22
%
1,500,000
 
U.S. Treasury Bills Due 07/20/2023(1)
  
1,496,451
   
0.29
%
$
19,175,000
 
U.S. Treasury Bills Due 05/04/2023(1)
  
19,098,721
   
3.77
%
16,000,000
 
U.S. Treasury Bills Due 09/07/2023(1)
  
15,848,805
   
3.08
%
$
20,000,000
 
U.S. Treasury Bills Due 05/11/2023(1)
  
19,902,880
   
3.91
%
19,175,000
 
U.S. Treasury Bills Due 09/28/2023(1)
  
18,935,482
   
3.67
%
$
3,300,000
 
U.S. Treasury Bills Due 06/20/2023(1)
  
3,266,868
   
0.64
%
12,300,000
 
U.S. Treasury Bills Due 10/12/2023(1)
  
12,120,936
   
2.36
%
$
9,000,000
 
U.S. Treasury Bills Due 06/08/2023(1)
  
8,924,778
   
1.76
%
  
Total Government And Agency Obligations (cost $58,862,775)
  
58,882,203
   
11.60
%
  
Total Government And Agency Obligations (cost $54,606,425)
  
54,593,000
   
10.60
%
  
Total Fixed Income Securities (cost $339,533,407)(2)
 
$
338,418,927
   
66.73
%
  
Total Fixed Income Securities (cost $367,234,659)(2)
 
$
366,484,897
   
71.24
%

(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 $58,882,203$54,593,000 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,JUNE 30, 2023 (Unaudited)
 
SHORT TERM INVESTMENTS      

 Fair  % of Net 
Description Value ($)  Asset Value 
Money Market Funds      
United States      
Money Market Funds (cost $18,811,513)
 
$
18,811,513
   
3.71
%
Total Short Term Investments (cost $18,811,513)
 
$
18,811,513
   
3.71
%
SHORT TERM INVESTMENTS
  Fair  % of Net 
Description Value ($)  Asset Value 
Money Market Funds      
United States      
Money Market Funds (cost $5,063,301) 
$
5,063,301
   
0.98
%
Total Short Term Investments (cost $5,063,301)
 
$
5,063,301
   
0.98
%

LONG FUTURES CONTRACTS      

 Fair  % of Net 
Description Value ($)  Asset Value 
Agriculture 
$
4,452,517
   
0.88
%
Energy  
927,691
   
0.18
%
Metals  
3,400,653
   
0.67
%
Stock indices  
6,014,182
   
1.19
%
Short-term interest rates  
89,406
   
0.02
%
Long-term interest rates  
454,077
   
0.09
%
Net unrealized gain (loss) on long futures contracts  
15,338,526
   
3.03
%
LONG FUTURES CONTRACTS

SHORT FUTURES CONTRACTS      

 Fair  % of Net 
Description Value ($)  Asset Value 
Agriculture  
(2,917,271
)
  
(0.58
)%
Energy  
557,540
   
0.11
%
Metals  
(93,319
)
  
(0.02
)%
Stock indices  
(2,046,589
)
  
(0.40
)%
Short-term interest rates  
674,939
   
0.13
%
Long-term interest rates  
(567,384
)
  
(0.11
)%
Net unrealized gain (loss) on short futures contracts  
(4,392,084
)
  
(0.87
)%
Net unrealized gain (loss) on open futures contracts 
$
10,946,442
   
2.16
%
  Fair  % of Net 
Description Value ($)  Asset Value 
Agriculture 
$
2,033,132
   
0.40
%
Energy  
565,819
   
0.11
%
Metals  
(3,593,001
)
  
(0.70
)%
Stock indices  
5,308,183
   
1.03
%
Long-term interest rates  
(581,169
)
  
(0.11
)%
Net unrealized gain (loss) on long futures contracts  
3,732,964
   
0.73
%

FORWARD CURRENCY CONTRACTS      

 Fair  % of Net 
Description Value ($)  Asset Value 
Various long forward currency contracts 
$
35,432,763
   
6.99
%
Various short forward currency contracts  
(34,082,473
)
  
(6.72
)%
Net unrealized gain (loss) on open forward currency contracts 
$
1,350,290
   
0.27
%
SHORT FUTURES CONTRACTS

CREDIT DEFAULT INDEX SWAPS      

 Fair  % of Net 
Description Value ($)  Asset Value 
Centrally cleared credit default index swaps - Buy protection (net proceeds $3,079,648)(3)
 
$
(1,492,089
)
  
(0.29
)%
  Fair  % of Net 
Description Value ($)  Asset Value 
Agriculture  
(3,423,138
)
  
(0.67
)%
Energy  
(3,368,717
)
  
(0.65
)%
Metals  
8,895,067
   
1.73
%
Stock indices  
(1,950,795
)
  
(0.38
)%
Short-term interest rates  
4,402,559
   
0.86
%
Long-term interest rates  
1,823,440
   
0.35
%
Net unrealized gain (loss) on short futures contracts  
6,378,416
   
1.24
%
Net unrealized gain (loss) on open futures contracts 
$
10,111,380
   
1.97
%

INTEREST RATE SWAPS      

 Fair  % of Net 
Description Value ($)  Asset Value 
Centrally cleared interest rate swaps - pay fixed (net proceeds $1,290,022)(4)
 
$
(3,355,938
)
  
(0.66
)%
FORWARD CURRENCY CONTRACTS

  Fair  % of Net 
Description Value ($)  Asset Value 
Various long forward currency contracts 
$
777,811
   
0.15
%
Various short forward currency contracts  
(2,744,661
)
  
(0.53
)%
Net unrealized gain (loss) on open forward currency contracts 
$
(1,966,850
)
  
(0.38
)%

CREDIT DEFAULT INDEX SWAPS

  Fair  % of Net 
Description Value ($)  Asset Value 
Centrally cleared credit default index swaps - sell protection (net cost $5,307,048)(3)
 
$
8,030,555
   
1.56
%

INTEREST RATE SWAPS

  Fair  % of Net 
Description Value ($)  Asset Value 
Centrally cleared interest rate swaps - receive fixed (net proceeds $238,465)(4)
 
$
1,375,296
   
0.27
%
 
(3)Includes $1,873,254$6,858,862 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 $2,792,118$560,740 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, 2022
 
FIXED INCOME SECURITIES

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


 Asset Backed Securities     
 Asset Backed Securities     
  United States        United States      
  Auto Loans 
$
26,555,513
   
5.58
%
  Auto Loans 
$
26,555,513
   
5.58
%
  Equipment Loans  
2,715,516
   
0.57
%
  Equipment Loans  
2,715,516
   
0.57
%
  
Total Asset Backed Securities (cost $29,695,821)
  
29,271,029
   
6.15
%
  
Total Asset Backed Securities (cost $29,695,821)
  
29,271,029
   
6.15
%
                      
  Bank Deposits          Bank Deposits        
  United States          United States        
  Financials (cost $6,693,346)  
6,663,278
   
1.40
%
  Financials (cost $6,693,346)  
6,663,278
   
1.40
%
  
Total Bank Deposits (cost $6,693,346)
  
6,663,278
   
1.40
%
  
Total Bank Deposits (cost $6,693,346)
  
6,663,278
   
1.40
%
  Ireland                   
  Financials (cost $4,562,289)  
4,561,133
   
0.96
%
  Commercial Paper
        
  Sweden          Ireland        
  Financials (cost $2,817,803)  
2,813,493
   
0.59
%
  Financials (cost $4,562,289)  
4,561,133
   
0.96
%
  United States          Sweden        
  Communications  
4,693,791
   
0.99
%
  Financials (cost $2,817,803)  
2,813,493
   
0.59
%
  Consumer Discretionary  
12,966,134
   
2.72
%
  United States        
  Consumer Staples  
1,158,739
   
0.24
%
  Communications  
4,693,791
   
0.99
%
  Financials  
54,722,559
   
11.49
%
  Consumer Discretionary  
12,966,134
   
2.72
%
  Industrials  
5,940,791
   
1.25
%
  Consumer Staples  
1,158,739
   
0.24
%
  Materials  
8,536,145
   
1.79
%
  Financials  
54,722,559
   
11.49
%
  Real Estate  
12,600,960
   
2.65
%
  Industrials  
5,940,791
   
1.25
%
  Technology  
16,920,786
   
3.55
%
  Materials  
8,536,145
   
1.79
%
  Utilities  
37,464,042
   
7.87
%
  Real Estate  
12,600,960
   
2.65
%
  
Total United States (cost $155,050,330)
  
155,003,947
   
32.55
%
  Technology  
16,920,786
   
3.55
%
  
Total Commercial Paper (cost $162,430,422)
  
162,378,573
   
34.10
%
  Utilities  
37,464,042
   
7.87
%
             
Total United States (cost $155,050,330)
  
155,003,947
   
32.55
%
  Corporate Bonds          
Total Commercial Paper (cost $162,430,422)
  
162,378,573
   
34.10
%
  Australia                   
  Financials (cost $3,579,373)  
3,591,929
   
0.75
%
  Corporate Bonds        
  Canada          Australia        
  Energy  
1,986,796
   
0.42
%
  Financials (cost $3,579,373)  
3,591,929
   
0.75
%
  Financials  
14,405,034
   
3.03
%
  Canada        
  
Total Canada (cost $16,602,020)
  
16,391,830
   
3.45
%
  Energy  
1,986,796
   
0.42
%
  Germany          Financials  
14,405,034
   
3.03
%
  Consumer Discretionary  
1,167,942
   
0.25
%
  
Total Canada (cost $16,602,020)
  
16,391,830
   
3.45
%
  Industrials  
1,958,285
   
0.41
%
  Germany        
  
Total Germany (cost $3,140,636)
  
3,126,227
   
0.66
%
  Consumer Discretionary  
1,167,942
   
0.25
%
  Spain          Industrials  
1,958,285
   
0.41
%
  Financials (cost $2,599,997)  
2,547,603
   
0.54
%
  
Total Germany (cost $3,140,636)
  
3,126,227
   
0.66
%
  Switzerland          Spain        
  Financials (cost $3,579,916)  
3,413,800
   
0.72
%
  Financials (cost $2,599,997)  
2,547,603
   
0.54
%
  United Kingdom          Switzerland        
  Financials (cost $1,893,025) 
$
1,851,153
   
0.39
%
  Financials (cost $3,579,916)  
3,413,800
   
0.72
%
  United Kingdom        
  Financials (cost $1,893,025) 
$
1,851,153
   
0.39
%

See Accompanying Notes to Financial Statements.
 
4
Table of Contents
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2022
 
FIXED INCOME SECURITIES

Maturity  Fair  % of Net 
Face Value Description Value ($)  Asset Value 
  Corporate Bonds (continued)     
  United States      
  Communications 
$
246,408
   
0.05
%
  Consumer Discretionary  
7,230,970
   
1.52
%
  Consumer Staples  
1,183,951
   
0.25
%
  Energy  
5,993,767
   
1.26
%
  Financials  
22,087,716
   
4.64
%
  Health Care  
7,699,345
   
1.62
%
  Industrials  
8,344,061
   
1.75
%
  Materials  
5,188,545
   
1.09
%
  Real Estate  
2,100,455
   
0.44
%
  Technology  
3,779,829
   
0.79
%
  Utilities  
4,771,304
   
1.00
%
  
Total United States (cost $69,370,169)
  
68,626,351
   
14.41
%
  
Total Corporate Bonds (cost $100,765,136)
  
99,548,893
   
20.92
%
           
  Government and Agency Obligations        
  United States        
  U.S. Treasury Bills        
$
10,660,000
 
U.S. Treasury Bills Due 01/19/2023(1)
  
10,642,848
   
2.24
%
$
29,900,000
 
U.S. Treasury Bills Due 02/09/2023(1)
  
29,780,729
   
6.26
%
$
15,000,000
 
U.S. Treasury Bills Due 03/09/2023(1)
  
14,885,085
   
3.13
%
   
Total Government And Agency Obligations (cost $55,295,067)
  
55,308,662
   
11.63
%
   
Total Fixed Income Securities (cost $354,879,792)(2)
 
$
353,170,435
   
74.20
%

(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 $55,308,662 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, 2022

SHORT TERM INVESTMENTS      
  Fair  % of Net 
Description Value ($)  Asset Value 
Money Market Funds      
United States      
Money Market Funds (cost $3,954,316)
 
$
3,954,316
   
0.83
%
Total Short Term Investments (cost $3,954,316)
 
$
3,954,316
   
0.83
%

LONG FUTURES CONTRACTS      
  Fair  % of Net 
Description Value ($)  Asset Value 
Agriculture 
$
(225,065
)
  
(0.05
)%
Energy  
2,614,383
   
0.55
%
Metals  
3,084,398
   
0.65
%
Stock indices  
(3,155,432
)
  
(0.66
)%
Long-term interest rates  
(5,461,702
)
  
(1.15
)%
Net unrealized gain (loss) on long futures contracts  
(3,143,418
)
  
(0.66
)%

SHORT FUTURES CONTRACTS      
  Fair  % of Net 
Description Value ($)  Asset Value 
Agriculture  
(1,942,253
)
  
(0.41
)%
Energy  
(210,280
)
  
(0.04
)%
Metals  
(1,133,335
)
  
(0.24
)%
Stock indices  
1,005,017
   
0.21
%
Short-term interest rates  
1,845,983
   
0.39
%
Long-term interest rates  
6,204,690
   
1.30
%
Net unrealized gain (loss) on short futures contracts  
5,769,822
   
1.21
%
Net unrealized gain (loss) on open futures contracts 
$
2,626,404
   
0.55
%

FORWARD CURRENCY CONTRACTS      
  Fair  % of Net 
Description Value ($)  Asset Value 
Various long forward currency contracts 
$
14,941,445
   
3.14
%
Various short forward currency contracts  
(12,973,695
)
  
(2.73
)%
Net unrealized gain (loss) on open forward currency contracts 
$
1,967,750
   
0.41
%

CREDIT DEFAULT INDEX SWAPS            
 Fair  % of Net  Fair  % of Net 
Description Value ($)  Asset Value  Value ($)  Asset Value 
Centrally cleared credit default index swaps - Sell protection (net proceeds $263,252)(3)
 
$
381,247
   
0.08
%
Centrally cleared credit default index swaps - sell protection (net proceeds $263,252)(3)
 
$
381,247
   
0.08
%

INTEREST RATE SWAPS      
  Fair  % of Net 
Description Value ($)  Asset Value 
Centrally cleared interest rate swaps - receive fixed (net cost $389,362)(4)
 
$
3,287,237
   
0.69
%

(3)Includes $345,093 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 $286,060 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,JUNE 30, 2023 AND DECEMBER 31, 2022 (Unaudited)

 March 31, 2023  December 31, 2022  June 30, 2023  December 31, 2022 
ASSETS            
Equity in futures brokers trading accounts            
Cash 
$
45,914,684
  
$
33,417,908
  
$
29,732,552
  
$
33,417,908
 
Restricted cash
  89,930   5,709,117   13,302,843   5,709,117 
Fixed income securities (cost $58,862,775 and $55,295,067, respectively)
  
58,882,203
   
55,308,662
 
Fixed income securities (cost $54,606,425 and $55,295,067, respectively)
  
54,593,000
   
55,308,662
 
Net unrealized gain on open futures contracts  
10,946,442
   
2,626,404
   
10,111,380
   
2,626,404
 
Total equity in futures brokers trading accounts  
115,833,259
   
97,062,091
   
107,739,775
   
97,062,091
 
                
Cash and cash equivalents  
5,501,684
   
8,763,179
   
4,915,429
   
8,763,179
 
Cash at interbank market maker  
10,141,352
   
4,445,935
   
15,994,615
   
4,445,935
 
Restricted cash at interbank market maker  
55,635,441
   
50,629,684
   
42,038,432
   
50,629,684
 
Short term investments (cost $18,811,513 and $3,954,316, respectively)
  
18,811,513
   
3,954,316
 
Short term investments (cost $5,063,301 and $3,954,316, respectively)
  
5,063,301
   
3,954,316
 
Cash at swaps broker  
0
   
6,713,855
   
16,455,054
   
6,713,855
 
Restricted cash at swaps broker  
22,802,173
   
7,712,162
   
25,545,500
   
7,712,162
 
Fixed income securities (cost $280,670,632 and $299,584,725, respectively)
  
279,536,724
   
297,861,773
 
Fixed income securities (cost $312,628,234 and $299,584,725, respectively)
  
311,891,897
   
297,861,773
 
Credit default index swaps  
381,165
   
36,154
   
1,171,693
   
36,154
 
Interest rate swaps  0   3,001,177   814,556   3,001,177 
Due from swaps broker  
95,545
   
63,523
   
309,357
   
63,523
 
Net unrealized gain on open forward currency contracts  
1,350,290
   
1,967,750
   
0
   
1,967,750
 
Interest receivable  
1,471,476
   
990,528
   
1,714,820
   
990,528
 
Subscriptions receivable  29,257   341,433   0   341,433 
Total assets 
$
511,589,879
  
$
483,543,560
  
$
533,654,429
  
$
483,543,560
 
                
LIABILITIES                
Accounts payable 
$
375,342
  
$
264,610
  
$
274,719
  
$
264,610
 
Payable at custodian
  5,000,000   0 
Management fee payable  
841,951
   
791,085
   
857,661
   
791,085
 
Interest rate swaps  
563,820
   
0
 
Cash deficit at swaps broker  433,606   0 
Payable for securities purchased  7,295,047   0 
Net unrealized loss on open forward currency contracts  
1,966,850
   
0
 
Accrued commissions and other trading fees on open contracts  
121,360
   
67,321
   
112,303
   
67,321
 
Offering costs payable  
148,697
   
179,549
   
145,194
   
179,549
 
Sales commission payable  
689,301
   
639,495
   
700,126
   
639,495
 
Redemptions payable  
1,246,357
   
5,532,899
   
2,853,352
   
5,532,899
 
Total liabilities  
4,420,434
   
7,474,959
   
19,205,252
   
7,474,959
 
                
UNITHOLDERS’ CAPITAL (Net Asset Value)                
                
Series A Units - Redeemable                
Other Unitholders - 92,118.580 and 89,254.537 units outstanding at March 31, 2023 and December 31, 2022
  
378,697,030
   
352,416,060
 
Other Unitholders - 92,852.982 and 89,254.537 units outstanding at June 30, 2023 and December 31, 2022
  
382,481,332
   
352,416,060
 
Series B Units – Redeemable                
Other Unitholders - 9,894.417 and 10,002.807 units outstanding at March 31, 2023 and December 31, 2022
  
44,945,784
   
43,597,613
 
Other Unitholders - 9,483.243 and 10,002.807 units outstanding at June 30, 2023 and December 31, 2022
  
43,200,565
   
43,597,613
 
Series D Units – Redeemable                
Other Unitholders - 15,317.275 and 14,967.333 units outstanding at March 31, 2023 and December 31, 2022
  
25,234,996
   
23,615,197
 
Other Unitholders - 16,886.917 and 14,967.333 units outstanding at June 30, 2023 and December 31, 2022
  
27,952,639
   
23,615,197
 
Series W Units – Redeemable                
Other Unitholders - 11,548.564 and 11,697.747 units outstanding at March 31, 2023 and December 31, 2022
  
58,291,635
   
56,439,731
 
Other Unitholders - 11,969.138 and 11,697.747 units outstanding at June 30, 2023 and December 31, 2022
  
60,814,641
   
56,439,731
 
Total unitholders’ capital (Net Asset Value)  
507,169,445
   
476,068,601
   
514,449,177
   
476,068,601
 
Total liabilities and unitholders’ capital (Net Asset Value) 
$
511,589,879
  
$
483,543,560
  
$
533,654,429
  
$
483,543,560
 

See Accompanying Notes to Financial Statements.

7
Table of Contents
THE CAMPBELL FUND TRUST
STATEMENTS OF OPERATIONS
FOR THE THREE MONTHS AND SIX MONTHS ENDED MARCH 31,JUNE 30, 2023 AND 2022 (Unaudited)

 Three Months Ended March 31,  
Three Months Ended June 30,
  Six Months Ended June 30, 
 2023  2022  
2023
  
2022
  2023  2022 
TRADING GAINS (LOSSES)                  
Futures trading gains (losses)                  
Realized $(692,746) $42,007,020  $4,878,481  $34,797,702  $4,185,736  $76,804,722 
Change in unrealized  8,320,038   6,562,924   (835,061)  (6,940,270)  7,484,976   (377,346)
Brokerage commissions  (621,320)  (345,972)  (803,532)  (357,492)  (1,424,852)  (703,466)
Net gain (loss) from futures trading  7,005,972
   48,223,972   3,239,888   27,499,940   10,245,860   75,723,910 
                        
Forward currency trading gains (losses)                        
Realized  14,176,403
   7,497,056
   (8,338,102)  27,720,688   5,838,301   35,217,743 
Change in unrealized  (617,460)  10,119,250
   (3,317,140)  3,496,384   (3,934,600)  13,615,634 
Brokerage commissions  (152,898)  (64,191)  (186,829)  (54,993)  (339,727)  (119,184)
Net gain (loss) from forward currency trading  13,406,045
   17,552,115
   (11,842,071)  31,162,079   1,563,974   48,714,193 
                        
Swap trading gains (losses)                        
Realized  3,427,298   (613,017)  4,339,259   2,219,457   7,766,557   1,606,440 
Change in unrealized  (4,020,731)  1,122,983   4,815,626   (630,957)  794,894   492,026 
Net gain (loss) from swap trading  (593,433)  509,966   9,154,885   1,588,500   8,561,451   2,098,466 
Total net trading gain (loss)  19,818,584
   66,286,053
   552,702   60,250,519   20,371,285   126,536,569 
                        
NET INVESTMENT INCOME (LOSS)                        
Investment income                        
Interest income  6,894,773
   214,695
   9,733,444   921,703   14,841,592   1,140,006 
Realized gain (loss) on fixed income securities  (1,972,055)  (17,398)  (3,834,968)  (11,565)  (3,975,204)  (28,962)
Change in unrealized gain (loss) on fixed income securities  594,877   (538,800)  409,910   (746,623)  959,595   (1,289,033)
Total investment income (loss)  5,517,595   (341,503)  6,308,386   163,515   11,825,983   (177,989)
                        
Expenses                        
Management fee  2,510,527
   1,683,378
   2,569,943   2,113,410   5,080,470   3,796,788 
Performance fee  122   1,530,801   0   10,629,658   122   12,160,459 
Operating expenses  321,600
   215,236
   301,286   263,109   622,887   478,342 
Sales commission  2,139,953
   1,460,348
   2,187,881   1,820,334   4,327,834   3,280,681 
Total expenses  4,972,202
   4,889,763
   5,059,110   14,826,511   10,031,313   19,716,270 
Net investment income (loss)  545,393   (5,231,266)  1,249,276   (14,662,996)  1,794,670   (19,894,259)
NET INCOME (LOSS) $20,363,977  $61,054,787  $1,801,978  $45,587,523  $22,165,955  $106,642,310 
                        
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
                        
(based on weighted average number of units outstanding during the period)                        
Series A $164.29  $600.02  $11.50  $418.28  $173.95  $1,014.29 
Series B $183.95  $645.50  $14.71  $455.04  $200.99  $1,100.69 
Series D $71.20  $201.55  $8.90  $164.26  $78.85  $361.41 
Series W $227.91  $665.58  $38.81  $518.44  $264.97  $1,177.27 
                        
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
                        
Series A $162.53  $594.36  $8.24  $415.98  $170.77  $1,010.34 
Series B $184.00  
$
645.43
  $12.92  
$
454.79
  $196.92  $1,100.22 
Series D $69.71  
$
195.25
  $7.79  
$
163.80
  $77.50  $359.05 
Series W $222.68  $655.47  $33.43  $510.46  $256.11  $1,165.93 
                        
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
                        
Series A  90,183.020
   
77,571.617
   92,381.130   
81,070.594
   91,282.075   79,321.105 
Series B  10,001.246
   
10,232.838
   9,729.716   
10,215.365
   9,865.481   10,224.101 
Series D  15,019.156
   
7,732.918
   15,631.127   
9,805.164
   15,325.142   8,769.041 
Series W  11,576.046
   
9,535.187
   11,792.551   
10,451.828
   11,684.298   9,993.508 

See Accompanying Notes to Financial Statements.

8
Table of Contents
THE CAMPBELL FUND TRUST
STATEMENTS OF CASH FLOWS
FOR THE THREESIX MONTHS ENDED MARCH 31,JUNE 30, 2023 AND 2022 (Unaudited)

 Three Months Ended March 31,  Six Months Ended June 30, 
 2023  2022  2023  2022 
Cash flows from (for) operating activities            
Net income (loss) 
$
20,363,977
  
$
61,054,787
  
$
22,165,955
  
$
106,642,310
 
Adjustments to reconcile net income (loss) to net cash from (for) operating activities                
Net change in unrealized on futures, forwards, swaps and investments  
(4,276,724
)
  
(17,266,357
)
  
(5,304,865
)
  
(12,441,281
)
(Increase) decrease in interest receivable  
(480,948
)
  
(22,193
)
  
(724,292
)
  
(290,099
)
(Increase) decrease in due from swaps broker  
(32,022
)
  
24,859
   
(245,834
)
  
60,400
 
Increase in cash deficit at swaps broker
  433,606   0 
(Increase) decrease in payable at custodian
  5,000,000   0 
(Increase) decrease in payable for securities purchased  7,295,047   0 
Increase (decrease) in accounts payable and accrued expenses  
265,443
   
1,808,478
   
182,298
   
11,073,352
 
Net purchases from swaps broker  
(800,743
)
  
1,407,159
 
Net purchases from swap broker  
1,845,977
   
517,858
 
Purchases of investments  
(924,373,686
)
  
(771,103,238
)
  
(2,067,401,439
)
  
(1,900,071,834
)
Sales/maturities of investments  
924,862,872
   
713,166,946
   
2,053,937,586
   
1,773,618,719
 
Net cash from (for) operating activities  
15,961,775
   
(10,929,559
)
  
16,750,433
   
(20,890,575
)
                
Cash flows from (for) financing activities                
Addition of units  
17,716,163
   
20,372,622
   
33,527,617
   
41,912,744
 
Redemption of units  
(10,475,997
)
  
(3,644,235
)
  
(18,745,629
)
  
(6,605,063
)
Offering costs paid  
(508,517
)
  
(347,883
)
  
(939,836
)
  
(792,805
)
Net cash from (for) financing activities  
6,731,649
   
16,380,504
   
13,842,152
   
34,514,876
 
                
Net increase (decrease) in cash, cash equivalents and restricted cash  
22,693,424
   
5,450,945
   
30,592,585
   
13,624,301
 
                
Cash, cash equivalents and restricted cash at beginning of period  
117,391,840
   
86,100,689
   
117,391,840
   
86,100,689
 
Cash, cash equivalents and restricted cash at end of period 
$
140,085,264
  
$
91,551,634
  
$
147,984,425
  
$
99,724,990
 
 
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, 2023  December 31, 2022  June 30, 2023  December 31, 2022 
Cash, cash equivalents and restricted cash at end of period consists of:            
Equity in futures brokers trading accounts:            
Cash 
$
45,914,684
  
$
33,417,908
  
$
29,732,552
  
$
33,417,908
 
Restricted cash
  89,930   5,709,117   13,302,843   5,709,117 
Cash and cash equivalents  
5,501,684
   
8,763,179
   
4,915,429
   
8,763,179
 
Cash at interbank market maker  
10,141,352
   
4,445,935
   
15,994,615
   
4,445,935
 
Restricted cash at interbank market maker  
55,635,441
   
50,629,684
   
42,038,432
   
50,629,684
 
Cash at swaps broker  
0
   
6,713,855
   
16,455,054
   
6,713,855
 
Restricted cash at swaps broker  
22,802,173
   
7,712,162
   
25,545,500
   
7,712,162
 
Total cash, cash equivalents and restricted cash at end of period 
$
140,085,264
  
$
117,391,840
  
$
147,984,425
  
$
117,391,840
 

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 THREESIX MONTHS ENDED MARCH 31,JUNE 30, 2023 AND 2022 (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, 2023
            
Six Months Ended June 30, 2023
            
                        
Balances at December 31, 2022
  89,254.537  
$
352,416,060
   10,002.807  
$
43,597,613
   89,254.537  
$
352,416,060
   10,002.807  
$
43,597,613
 
Net income (loss) for the three months ended March 31, 2023
      
14,816,600
       
1,839,702
       
14,816,600
       
1,839,702
 
Additions  
3,341.433
   
13,805,592
   
6.658
   
30,318
   
3,341.433
   
13,805,592
   
6.658
   
30,318
 
Redemptions  
(477.390
)
  
(1,967,848
)
  
(115.048
)
  
(521,849
)
  
(477.390
)
  
(1,967,848
)
  
(115.048
)
  
(521,849
)
Offering costs      (373,374)      0       (373,374)      0 
Balances at March 31, 2023
  92,118.580  
$
378,697,030
   9,894.417  
$
44,945,784
   92,118.580  $378,697,030   9,894.417  $44,945,784 
                                
Three Months Ended March 31, 2022
                
Net income (loss) for the three months ended June 30, 2023
      1,062,055       
143,161
 
Additions  2,291.155   9,476,723   6.687   
30,548
 
Redemptions  (1,556.753)  (6,434,366)  (417.861)  
(1,918,928
)
Offering costs      (320,110)      0 
Balances at June 30, 2023
  92,852.982  
$
382,481,332
   9,483.243  
$
43,200,565
 
                
Six Months Ended June 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 
                
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 Asset Value per Other Unitholders’ Unit - Series A 
March 31, 2023  December 31, 2022  March 31, 2022  December 31, 2021 
$
4,110.97
  
$
3,948.44
  
$
3,497.31
  
$
2,902.95
 
Net Asset Value per Other Unitholders’ Unit - Series A
Net Asset Value per Other Unitholders’ Unit - Series B 
March 31, 2023  December 31, 2022  March 31, 2022  December 31, 2021 
$
4,542.54
  
$
4,358.54
  
$
3,854.55
  
$
3,209.12
 

June 30, 2023  March 31, 2023  December 31, 2022  June 30, 2022  March 31, 2022  December 31, 2021 
$
4,119.21
  
$
4,110.97
  
$
3,948.44
  
$
3,913.29
  
$
3,497.31
  
$
2,902.95
 

Net Asset Value per Other Unitholders’ Unit - Series B

June 30, 2023  March 31, 2023  December 31, 2022  June 30, 2022  March 31, 2022  December 31, 2021 
$
4,555.46
  
$
4,542.54
  
$
4,358.54
  
$
4,309.34
  
$
3,854.55
  
$
3,209.12
 

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 THREESIX MONTHS ENDED MARCH 31,JUNE 30, 2023 AND 2022 (Unaudited)

  Series D - Other Unitholders  Series W - Other Unitholders  Trust 
  Units  Amount  Units  Amount  Total Amount 
Six Months Ended June 30, 2023
               
                
Balances at December 31, 2022
  14,967.333  
$
23,615,197
   11,697.747  
$
56,439,731
  
$
476,068,601
 
Net income (loss) for the three months ended March 31, 2023
      
1,069,324
       
2,638,351
   
20,363,977
 
Additions  
913.289
   
1,507,596
   
413.439
   
2,060,481
   
17,403,987
 
Redemptions  
(563.347
)
  
(926,063
)
  
(562.622
)
  
(2,773,695
)
  
(6,189,455
)
Offering costs      (31,058)      (73,233)  (477,665)
Balances at March 31, 2023
  15,317.275  $25,234,996   11,548.564  $58,291,635  $507,169,445 
                     
Net income (loss) for the three months ended June 30, 2023
      
139,137
       
457,625
   
1,801,978
 
Additions  1,950.261   
3,240,197
   595.883   
3,034,729
   
15,782,197
 
Redemptions  (380.619)  
(629,181
)
  (175.309)  
(894,152
)
  
(9,876,627
)
Offering costs      (32,510)      (75,196)  
(427,816
)
Balances at June 30, 2023
  16,886.917  
$
27,952,639
   11,969.138  
$
60,814,641
  
$
514,449,177
 
                     
Six Months Ended June 30, 2022
                    
                     
Balances at December 31, 2021
  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       
6,346,406
   
61,054,787
 
Additions  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
)
Offering costs      (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 
                     
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 Asset Value per Other Unitholders’ Unit - Series D

  Series D - Other Unitholders  Series W - Other Unitholders  Trust 
  Units  Amount  Units  Amount  Total Amount 
Three Months Ended March 31, 2023
               
                
Balances at December 31, 2022
  14,967.333  
$
23,615,197
   11,697.747  
$
56,439,731
  
$
476,068,601
 
Net income (loss) for the three months ended March 31, 2023
      
1,069,324
       
2,638,351
   
20,363,977
 
Additions  913.289   
1,507,596
   413.439   
2,060,481
   
17,403,987
 
Redemptions  (563.347)  
(926,063
)
  (562.622)  
(2,773,695
)
  
(6,189,455
)
Offering costs      (31,058)      (73,233)  (477,665)
Balances at March 31, 2023
  15,317.275  
$
25,234,996
   11,548.564  
$
58,291,635
  
$
507,169,445
 
                     
Three Months Ended March 31, 2022
                    
                     
Balances at December 31, 2021
  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       
6,346,406
   
61,054,787
 
Additions  2,244.108   2,918,655   956.930   
3,900,008
   
20,372,622
 
Redemptions  
0
   
0
   (70.953)  (300,000)  
(3,457,011
)
Offering costs      
(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
 
Net Asset Value per Other Unitholders’ Unit - Series D 
March 31, 2023  December 31, 2022  March 31, 2022  December 31, 2021 
$
1,647.49
  
$
1,577.78
  
$
1,391.13
  
$
1,195.88
 
Net Asset Value per Other Unitholders’ Unit - Series W 
March 31, 2023  December 31, 2022  March 31, 2022  December 31, 2021 
$
5,047.52
  
$
4,824.84
  
$
4,228.15
  
$
3,572.68
 
June 30, 2023  March 31, 2023  December 31, 2022  June 30, 2022  March 31, 2022  December 31, 2021 
$
1,655.28
  
$
1,647.49
  
$
1,577.78
  
$
1,554.93
  
$
1,391.13
  
$
1,195.88
 

Net Asset Value per Other Unitholders’ Unit - Series W

June 30, 2023  March 31, 2023  December 31, 2022  June 30, 2022  March 31, 2022  December 31, 2021 
$
5,080.95
  
$
5,047.52
  
$
4,824.84
  
$
4,738.61
  
$
4,228.15
  
$
3,572.68
 

See Accompanying Notes to Financial Statements.

11
Table of Contents

THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS AND SIX MONTHS ENDED MARCH 31,JUNE 30, 2023 AND 2022 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series A units for the three months and six months ended March 31,June 30, 2023 and 2022. This information has been derived from information presented in the financial statements.

 Series A  Series A 
 Three Months Ended March 31,  Three Months Ended June 30,  
Six Months Ended
June 30,
 
 2023  2022  2023  2022  2023  2022 
Per Unit Performance                  
(for a unit outstanding throughout the entire period)                  
Net asset value per unit at beginning of period 
$
3,948.44
  
$
2,902.95
  
$
4,110.97
  
$
3,497.31
  $3,948.44  $2,902.95 
                        
Income (loss) from operations:                        
Total net trading gains (losses) (1)
  
165.24
   636.19   
4.71
   555.07  169.87   1,193.41 
Net investment income (loss) (1)
  
1.43
  
(37.78
)
  
7.00
  
(134.24
)
  8.50  (174.15)
Total net income (loss) from operations  
166.67
   
598.41
   
11.71
   
420.83
  178.37   1,019.26 
Offering costs (1)
  
(4.14
)
  
(4.05
)
  
(3.47
)
  
(4.85
)
  (7.60)  
(8.92
)
Net asset value per unit at end of period 
$
4,110.97
  
$
3,497.31
  
$
4,119.21
  
$
3,913.29
  $4,119.21  $3,913.29 
Total Return (4)
  
4.12
%
  
20.47
%
  
0.20
%
  
11.89
%
  4.33%  34.80%
                        
Supplemental Data                        
Ratios to average net asset value:                        
Expenses prior to performance fee (3)
  
4.32
%
  
4.36
%
  
4.24
%
  
4.40
%
  4.28%  4.40%
Performance fee (4)
  
0.00
%
  
0.00
%
  
0.00
%
  
2.53
%
  0.00%  2.80%
Total expenses  
4.32
%
  
4.36
%
  
4.24
%
  
6.93
%
  4.28%  7.20%
Net investment income (loss) (2),(3)
  
0.12
%
  
(4.80
)%
  
0.68
%
  
(4.24
)%
  0.42%  (4.50)%
 
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.

12
Table of Contents
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS AND SIX MONTHS ENDED MARCH 31,JUNE 30, 2023 AND 2022 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series B units for the three months and six months ended March 31,June 30, 2023 and 2022. This information has been derived from information presented in the financial statements.

 Series B  Series B 
 Three Months Ended March 31,  Three Months Ended June 30,  
Six Months Ended
June 30,
 
 2023  2022  2023  2022  2023  
2022
 
Per Unit Performance                
(for a unit outstanding throughout the entire period)                
Net asset value per unit at beginning of period 
$
4,358.54
  
$
3,209.12
  
$
4,542.54
  
$
3,854.55
  $4,358.54  $3,209.12 
                        
Income (loss) from operations:                        
Total net trading gains (losses) (1)
  182.39   703.65   5.19   612.10   187.67   1,315.67 
Net investment income (loss) (1)
  
1.61
  
(58.22
)
  
7.73
  
(157.31
)
  9.25  (215.45)
Total net income (loss) from operations  
184.00
   
645.43
   
12.92
   
454.79
   196.92   1,100.22 
Net asset value per unit at end of period
 
$
4,542.54
  
$
3,854.55
  
$
4,555.46
  
$
4,309.34
  $4,555.46  $4,309.34 
Total Return (4)
  
4.22
%
  
20.11
%
  
0.28
%
  
11.80
%
  4.52%  34.28%
                        
Supplemental Data                        
Ratios to average net asset value:                        
Expenses prior to performance fee (3)
  
4.32
%
  
4.40
%
  
4.28
%
  
4.44
%
  4.32%  4.42%
Performance fee (4)
  
0.00
%
  
0.47
%
  
0.00
%
  
2.77
%
  0.00%  3.44%
Total expenses  
4.32
%
  
4.87
%
  
4.28
%
  
7.21
%
  4.32%  7.86%
Net investment income (loss) (2),(3)
  
0.16
%
  
(4.80
)%
  
0.68
%
  
(4.28
)%
  0.42%  (4.52)%
 
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 isare 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 SIX MONTHS ENDED MARCH 31,JUNE 30, 2023 AND 2022 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series D units for the three months and six months ended March 31,June 30, 2023 and 2022. This information has been derived from information presented in the financial statements.

 Series D  Series D 
 Three Months Ended March 31,  Three Months Ended June 30,  
Six Months Ended
June 30,
 
 2023  2022  2023  2022  2023  2022 
Per Unit Performance                
(for a unit outstanding throughout the entire period)                
Net asset value per unit at beginning of period 
$
1,577.78
  
$
1,195.88
  
$
1,647.49
  
$
1,391.13
  $1,577.78  $1,195.88 
                        
Income (loss) from operations:                        
Total net trading gains (losses) (1)
  66.03   261.52   1.86   220.75   67.85   481.17 
Net investment income (loss) (1)
  
5.75
  
(64.60
)
  
8.01
  
(55.02
)
  13.80  (118.48)
Total net income (loss) from operations  
71.78
   
196.92
   9.87   165.73   81.65   362.69 
Offering costs (1)
  
(2.07
)
  
(1.67
)
  
(2.08
)
  
(1.93
)
  (4.15)  (3.64)
Net asset value per unit at end of period 
$
1,647.49
  
$
1,391.13
  
$
1,655.28
  
$
1,554.93
  $1,655.28  $1,554.93 
Total Return (4)
  
4.42
%
  
16.33
%
  
0.47
%
  
11.77
%
  4.91%  30.02%
                        
Supplemental Data                        
Ratios to average net asset value:                        
Expenses prior to performance fee (3)
  
3.04
%
  
3.08
%
  
2.96
%
  
3.08
%
  3.00%  3.04%
Performance fee (4)
  
0.00
%
  
4.06
%
  
0.00
%
  
2.91
%
  0.00%  6.69%
Total expenses  
3.04
%
  
7.14
%
  
2.96
%
  
5.99
%
  3.00%  9.73%
Net investment income (loss) (2),(3)
  
1.40
%
  
(3.48
)%
  
1.92
%
  
(2.92
)%
  1.66%  (3.14)%
 
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.

14
Table of Contents
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS AND SIX MONTHS ENDED MARCH 31,JUNE 30, 2023 AND 2022 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series W units for the three months and six months ended March 31,June 30, 2023 and 2022. This information has been derived from information presented in the financial statements.

 Series W  Series W
 
 Three Months Ended March 31,  Three Months Ended June 30,  
Six Months Ended
June 30,
 
 2023  2022  2023  2022  2023  2022 
Per Unit Performance                  
(for a unit outstanding throughout the entire period)                
Net asset value per unit at beginning of period 
$
4,824.84
  
$
3,572.68
  
$
5,047.52
  
$
4,228.15
  $4,824.84  $3,572.68 
                        
Income (loss) from operations:                        
Total net trading gains (losses) (1)
  201.88   786.86   5.69   672.66   207.50   1,460.93 
Net investment income (loss) (1)
  
27.13
  
(126.39
)
  
34.12
  
(156.32
)
  61.31  (284.08)
Total net income (loss) from operations  
229.01
   
660.47
   
39.81
   
516.34
   268.81   1,176.85 
Offering costs (1)
  
(6.33
)
  
(5.00
)
  
(6.38
)
  
(5.88
)
  (12.70)  (10.92)
Net asset value per unit at end of period 
$
5,047.52
  
$
4,228.15
  
$
5,080.95
  
$
4,738.61
  $5,080.95  $4,738.61 
Total Return (4)
  
4.62
%
  
18.35
%
  
0.66
%
  
12.07
%
  5.31%  32.63%
                        
Supplemental Data                        
Ratios to average net asset value:                        
Expenses prior to performance fee (3)
  
2.28
%
  
2.32
%
  
2.24
%
  
2.32
%
  2.26%  2.32%
Performance fee (4)
  
0.00
%
  
2.57
%
  
0.00
%
  
2.90
%
  0.00%  5.49%
Total expenses  
2.28
%
  
4.89
%
  
2.24
%
  
5.22
%
  2.26%  7.81%
Net investment income (loss) (2),(3)
  
2.16
%
  
(2.76
)%
  
2.68
%
  
(2.16
)%
  2.42%  (2.42)%
 
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,JUNE 30, 2023 (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.

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NOTES TO FINANCIAL STATEMENTS
MARCH 31,JUNE 30, 2023 (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,June 30, 2023 and December 31, 2022, and for the periods ended March 31,June 30, 2023 and 2022 the Trust did not have any Level 3 assets or liabilities.

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NOTES TO FINANCIAL STATEMENTS
MARCH 31,JUNE 30, 2023 (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,June 30, 2023 and December 31, 2022.

 Fair Value at March 31, 2023  Fair Value at June 30, 2023 
Description Level 1  Level 2  Level 3  Total  Level 1  Level 2  Level 3  Total 
Investments                        
Short term investments $18,811,513  $0  $0  $18,811,513  $5,063,301  $0  $0  $5,063,301 
Fixed income securities  0   338,418,927   0   338,418,927   0   366,484,897   0   366,484,897 
                                
Other Financial Instruments                                
Exchange-traded futures contracts  10,946,442   0   0   10,946,442   10,111,380   0   0   10,111,380 
Forward currency contracts  0   1,350,290   0   1,350,290   0   (1,966,850)  0   (1,966,850)
Credit default index swap contracts  0   (1,492,089)  0   (1,492,089)  0   8,030,555   0   8,030,555 
Interest rate swap contracts  0   (3,355,938)  0   (3,355,938)  0   1,375,296   0   1,375,296 
Total $29,757,955  $334,921,190  $0  $364,679,145  $15,174,681  $373,923,898  $0  $389,098,579 

  Fair Value at December 31, 2022 
Description Level 1  Level 2  Level 3  Total 
Investments            
Short term investments $3,954,316  $0  $0  $3,954,316 
Fixed income securities  0   353,170,435   0   353,170,435 
                 
Other Financial Instruments                
Exchange-traded futures contracts  2,626,404   0   0   2,626,404 
Forward currency contracts  0   1,967,750   0   1,967,750 
Credit default index swap contracts  0   381,247   0   381,247 
Interest rate swap contracts  0   3,287,237   0   3,287,237 
Total $6,580,720  $358,806,669  $0  $365,387,389 

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 no reserves for uncertain tax positions were required. There are no 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 2019 through 2022 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,JUNE 30, 2023 (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,June 30, 2023 and December 31, 2022, the amount of unreimbursed offering costs incurred by Campbell & Company is $113,993$108,549 and $149,854 for Series A units, $142,226$138,513 and $141,935 for Series D units and $274,171$256,033 and $286,440 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-month and one-year LIBOR and IBOR tenors after June 2023. As such, management has completed the transition of the affected rates and evaluated any future impact to be immaterial to the Trust.

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NOTES TO FINANCIAL STATEMENTS
MARCH 31,JUNE 30, 2023 (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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NOTES TO FINANCIAL STATEMENTS
MARCH 31,JUNE 30, 2023 (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. serves 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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NOTES TO FINANCIAL STATEMENTS
MARCH 31,JUNE 30, 2023 (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 three major rating agencies for NatWest were considered investment grade as of March 31,June 30, 2023. 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 threesix months ended March 31,June 30, 2023 and 2022, Campbell & Company received redemption fees of $608 and $0, respectively.

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31,JUNE 30, 2023 (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 sells credit derivative contracts for speculative investment purposes. The following table summarizes the notional amounts of credit derivative contracts sold by the Trust by their maturity for contracts which are outstanding at March 31,June 30, 2023 and December 31, 2022. 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,June 30, 2023 the carrying value of such credit derivative contracts purchased was $(1,492,089). Atand December 31, 2022, the carrying value of such credit derivative contracts soldpurchased was $381,247.$8,030,555 and $381,247, respectively.

 March 31, 2023 December 31, 2022  June 30, 2023 December 31, 2022 
Credit Default Index Swaps 
Maturity Date:
June 2028
 
Maturity Date:
December 2027
  
Maturity Date:
June 2028
 
Maturity Date:
December 2027
 
Investment grade  $57,905,714 $73,504,094   $604,728,092 $73,504,094 
Non-investment grade  
82,410,791 
25,156,817   
115,526,562 
25,156,817 
Total  $140,316,505 $98,660,911   $720,254,654 $98,660,911 

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,JUNE 30, 2023 (Unaudited)

The following tables summarize quantitative information required by ASC 815, Derivatives and Hedging, (“ASC 815”). ASC 815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entity’s financial position, financial performance and cash flows. The fair value of the Trust’s derivatives by instrument type, as well as the location of those instruments on the Statements of Financial Condition, as of March 31,June 30, 2023 and December 31, 2022 isare as follows:

Type of Instrument *
 Statements of Financial Condition Location
 
Asset
Derivatives at
March 31, 2023
Fair Value
  
Liability
Derivatives at
March 31, 2023
Fair Value
  
Net
 
 Statements of Financial Condition Location
 
Asset
Derivatives at
June 30, 2023
Fair Value
  
Liability
Derivatives at
June 30, 2023
Fair Value
  
Net
 
Agriculture Contracts
 Net unrealized gain (loss) on open futures contracts
 
$
7,252,161
  
$
(5,716,915
)
 
$
1,535,246
 
 Net unrealized gain (loss) on open futures contracts
 
$
6,457,987
  
$
(7,847,993
)
 
$
(1,390,006
)
Energy Contracts
 Net unrealized gain (loss) on open futures contracts
  
2,302,936
   
(817,705
)
  
1,485,231
 
 Net unrealized gain (loss) on open futures contracts
  
647,630
   
(3,450,528
)
  
(2,802,898
)
Metal Contracts
 Net unrealized gain (loss) on open futures contracts
  
8,087,927
   
(4,780,593
)
  
3,307,334
 Net unrealized gain (loss) on open futures contracts
  
12,348,025
   
(7,045,959
)
  
5,302,066
 
Stock Indices Contracts
 Net unrealized gain (loss) on open futures contracts
  
6,312,703
   
(2,345,110
)
  
3,967,593
 Net unrealized gain (loss) on open futures contracts
  
5,620,157
   
(2,262,769
)
  
3,357,388
 
Short-Term Interest Rate Contracts
 Net unrealized gain (loss) on open futures contracts
  
956,136
   
(191,791
)
  
764,345
 Net unrealized gain (loss) on open futures contracts
  
4,414,860
   
(12,301
)
  
4,402,559
 
Long-Term Interest Rate Contracts
 Net unrealized gain (loss) on open futures contracts
  
1,376,568
   
(1,489,875
)
  
(113,307)
 
 Net unrealized gain (loss) on open futures contracts
  
2,354,148
   
(1,111,877
)
  
1,242,271
 
Forward Currency Contracts
 Net unrealized gain (loss) on open Forward Currency Contracts
  
42,199,875
   
(40,849,585
)
  
1,350,290
 
 Net unrealized gain (loss) on open forward currency contracts
  
25,239,970
   
(27,206,820
)
  
(1,966,850
)
Credit Default Index Swap Contracts**
 Credit default index swaps
  
1,494,922
   
(2,987,011
)
  
(1,492,089)
 
 Credit default index swaps
  
10,091,658
   
(2,061,103
)
  
8,030,555
 
Interest Rate Swap Contracts**
 Interest rate swaps
  
2,572,752
   
(5,928,690
)
  
(3,355,938)
 
 Interest rate swaps
  
3,376,409
   
(2,001,113
)
  
1,375,296
 
Totals
  
$
72,555,980
  
$
(65,107,275
)
 
$
7,448,705
   
$
70,550,844
  
$
(53,000,463
)
 
$
17,550,381
 

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

Type of Instrument *
 Statements of Financial Condition Location
 
Asset
Derivatives at
December 31, 2022
Fair Value
  
Liability
Derivatives at
December 31, 2022
Fair Value
  
Net
 
 Statements of Financial Condition Location
 
Asset
Derivatives at
December 31, 2022
Fair Value
  
Liability
Derivatives at
December 31, 2022
Fair Value
  
Net
 
Agriculture Contracts
 Net unrealized gain (loss) on open futures contracts
 
$
2,362,910
  
$
(4,530,228
)
 
$
(2,167,318
)
 Net unrealized gain (loss) on open futures contracts
 
$
2,362,910
  
$
(4,530,228
)
 
$
(2,167,318
)
Energy Contracts
 Net unrealized gain (loss) on open futures contracts
  
2,696,056
   
(291,953
)
  
2,404,103
 
 Net unrealized gain (loss) on open futures contracts
  
2,696,056
   
(291,953
)
  
2,404,103
 
Metal Contracts
 Net unrealized gain (loss) on open futures contracts
  
6,724,134
   
(4,773,071
)
  
1,951,063
 
 Net unrealized gain (loss) on open futures contracts
  
6,724,134
   
(4,773,071
)
  
1,951,063
 
Stock Indices Contracts
 Net unrealized gain (loss) on open futures contracts
  
1,794,093
   
(3,944,508
)
  
(2,150,415
)
 Net unrealized gain (loss) on open futures contracts
  
1,794,093
   
(3,944,508
)
  
(2,150,415
)
Short-Term Interest Rate Contracts
 Net unrealized gain (loss) on open futures contracts
  
2,220,136
   
(374,153
)
  
1,845,983
 
 Net unrealized gain (loss) on open futures contracts
  
2,220,136
   
(374,153
)
  
1,845,983
 
Long-Term Interest Rate Contracts
 Net unrealized gain (loss) on open futures contracts
  
6,290,661
   
(5,547,673
)
  
742,988
 
 Net unrealized gain (loss) on open futures contracts
  
6,290,661
   
(5,547,673
)
  
742,988
 
Forward Currency Contracts
 Net unrealized gain (loss) on open Forward Currency Contracts
  
23,501,515
   
(21,533,765
)
  
1,967,750
 
 Net unrealized gain (loss) on open forward currency contracts
  
23,501,515
   
(21,533,765
)
  
1,967,750
 
Credit Default Index Swap Contracts**
 Credit default index swaps
  
508,868
   
(127,621
)
  
381,247
 
 Credit default index swaps
  
508,868
   
(127,621
)
  
381,247
 
Interest Rate Swap Contracts**Interest rate swaps  4,972,588   (1,685,351)  3,287,237  Interest rate swaps  4,972,588   (1,685,351)  3,287,237 
Totals
  
$
51,070,961
  
$
(42,808,323
)
 
$
8,262,638
   
$
51,070,961
  
$
(42,808,323
)
 
$
8,262,638
 

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

24
Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31,JUNE 30, 2023 (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 six months ended March 31,June 30, 2023 and 2022 areis as follows:

Type of Instrument
 
Trading Gains (Losses) for
the Three Months Ended
March 31, 2023
  
Trading Gains (Losses) for
the Three Months Ended
March 31, 2022
  
Trading Gains (Losses) for
the Three Months Ended
June 30, 2023
  
Trading Gains (Losses) for
the Three Months Ended
June 30, 2022
 
Agriculture Contracts
 
$
(417,774)
  
$
5,200,704
  
$
1,664,427
  
$
3,236,787
 
Energy Contracts
  
716,456
   
19,565,308
   
(9,275,140
)
  
3,802,057
 
Metal Contracts
  
4,464,974
   
6,975,988
  
7,002,235
   
(1,146,681
)
Stock Indices Contracts
  
531,775
   
1,168,001
   
5,756,931
   
3,191,291
 
Short-Term Interest Rate Contracts
  
1,088,311
   
4,905,169
  
5,098,597
   
(504,421
)
Long-Term Interest Rate Contracts
  
1,243,550
   
10,754,775
  
(6,203,630
)
  
19,278,399
 
Forward Currency Contracts
  
13,558,943
   
17,616,305
   
(11,655,242
)
  
31,217,072
 
Credit default index swap contracts
  
(300,706
)
  
(1,394,715)
 
Interest rate swap contracts
  
(292,727)
   
1,904,681
Credit Default Index Swap Contracts
  
3,294,856
   
(2,829,434
)
Interest Rate Swap Contracts
  
5,860,029
   
4,417,934
 
Total
 
$
20,592,802
  
$
66,696,216
  
$
1,543,063
  
$
60,663,004
 

Line Item in the Statements of Operations
 
Trading Gains (Losses) for
the Three Months Ended
March 31, 2023
  
Trading Gains (Losses) for
the Three Months Ended
March 31, 2022
 
Futures trading gains (losses):      
Realized***
 
$
(692,746)
  
$
42,007,020
 
Change in unrealized
  
8,320,038
   
6,562,924
Forward currency trading gains (losses):        
Realized***
  
14,176,403
   
7,497,056
 
Change in unrealized
  
(617,460)
   
10,119,250
 
Swap trading gains (losses):        
Realized
  
3,427,298
  
(613,017
)
Change in unrealized
  
(4,020,731)
   
1,122,983
Total
 
$
20,592,802
  
$
66,696,216
 
Type of Instrument
 
Trading Gains (Losses) for
the Six Months Ended
June 30, 2023
  
Trading Gains (Losses) for
the Six Months Ended
June 30, 2022
 
Agriculture Contracts
 
$
1,246,653
  
$
8,437,491
 
Energy Contracts
  
(8,558,685
)
  
23,367,365
 
Metal Contracts
  
11,467,209
   
5,829,307
 
Stock Indices Contracts
  
6,288,706
   
4,359,292
 
Short-Term Interest Rate Contracts
  
6,186,908
   
4,400,748
 
Long-Term Interest Rate Contracts
  
(4,960,080
)
  
30,033,173
 
Forward Currency Contracts
  
1,903,702
   
48,833,377
 
Credit Default Index Swap Contracts
  
2,994,150
   
(4,224,149
)
Interest Rate Swap Contracts
  
5,567,301
   
6,322,615
 
Total
 
$
22,135,864
  
$
127,359,219
 

25
Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
  JUNE 30, 2023 (Unaudited)

Line Item in the Statements of Operations
 
Trading Gains (Losses) for
the Three Months Ended
June 30, 2023
  
Trading Gains (Losses) for
the Three Months Ended
June 30, 2022
 
Futures trading gains (losses):      
Realized**
 
$
4,878,481
  
$
34,797,702
 
Change in unrealized
  
(835,061
)
  
(6,940,270
)
Forward currency trading gains (losses):        
Realized**
  
(8,338,102
)
  
27,720,688
 
Change in unrealized
  
(3,317,140
)
  
3,496,384
 
Swap trading gains (losses):        
Realized**
  
4,339,259
   
2,219,457
 
Change in unrealized
  
4,815,626
   
(630,957
)
Total
 
$
1,543,063
  
$
60,663,004
 

Line Item in the Statements of Operations
 
Trading Gains (Losses) for
the Six Months Ended
June 30, 2023
  
Trading Gains (Losses) for
the Six Months Ended
June 30, 2022
 
Futures trading gains (losses):      
Realized***
 
$
4,185,736
  
$
76,804,722
 
Change in unrealized
  
7,484,976
   
(377,346
)
Forward currency trading gains (losses):        
Realized***
  
5,838,301
   
35,217,743
 
Change in unrealized
  
(3,934,600
)
  
13,615,634
 
Swap trading gains (losses):        
Realized***
  
7,766,557
   
1,606,440
 
Change in unrealized
  
794,894
   
492,026
 
Total
 
$
22,135,864
  
$
127,359,219
 

***
For the three months ended March 31,June 30, 2023 and 2022, the amounts above include gains/gains (losses) on foreign currency cash balances at the futures brokers of $12,932$(29,355) and $19,768, respectively;$160,853, respectively, and gains and losses(losses) on spot trades in connection with forward currency trading at the interbank market makersmaker of $(445,194)$(2,390,856) and $1,095,494,$1,544,623, respectively.
***
For the six months ended June 30, 2023 and 2022, the amounts above include gains (losses) on foreign currency cash balances at the futures brokers of $(16,423) and $180,621, respectively, and gains (losses) on spot trades in connection with forward currency trading at the interbank market maker of $(2,836,050) and $2,640,117, respectively.

26
Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
  JUNE 30, 2023 (Unaudited)

For the three months ended March 31,June 30, 2023 and 2022, the monthly average of futures contracts bought and sold was approximately 52,10070,700 and 30,300,33,100, respectively; the monthly average of notional value of centrally cleared swap contracts was approximately $3,854,200,000$5,336,700,000 and $1,348,700,000,$1,459,900,000, respectively; and the monthly average of notional value of forward currency contracts was $5,393,700,000$5,802,700,000 and $3,250,200,000,$2,976,200,000, respectively.

For the six months ended June 30, 2023 and 2022, the monthly average of futures contracts bought and sold was approximately 61,400 and 31,700, respectively; the monthly average of notional value of centrally cleared swap contracts was approximately $4,595,500,000 and $1,404,300,000, respectively; and the monthly average of notional value of forward currency contracts was $5,598,200,000 and $3,113,200,000, respectively.

Open contracts generally mature within three months; as of March 31,June 30, 2023, the latest maturity date for open futures contracts is JuneSeptember 2024 and the latest maturity date for open forward currency contracts is JuneSeptember 2023. 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 JuneSeptember 2028.

25
Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2023 (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,June 30, 2023 and December 31, 2022 was $58,882,203$54,593,000 and $55,308,662, respectively, which equals approximately 12%11% and 12% of Net Asset Value, respectively. Included in cash deposits with the futures brokers, swaps broker and interbank market maker at March 31,June 30, 2023 and December 31, 2022 was restricted cash for margin requirements of $78,527,544$80,886,775 and $64,050,963, respectively, which equals approximately 15%16% and 13% of Net Asset Value, respectively.

26
27
Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31,JUNE 30, 2023 (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
 
As of March 31, 2023
          
Type of Instrument
 Counterparty
 
Gross
Amounts of
Recognized
Assets
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
 
Futures contracts
 UBS Securities LLC
 
$
13,442,376
  
$
(7,714,115
)
 
$
5,728,261
 
Futures contracts
 Goldman, Sachs & Co.
  
12,846,055
   
(7,627,874
)
  
5,218,181
 
Forward currency contracts
 NatWest Markets Plc
  
42,199,875
   
(40,849,585
)
  
1,350,290
 
Centrally cleared swap contracts
 Centrally Cleared
  
4,067,674
   
(4,067,674
)
  
0
 
Total derivatives  
$
72,555,980
  
$
(60,259,248
)
 
$
12,296,732
 

Derivative Assets and Collateral Received by Counterparty
 
As of March 31, 2023         
  
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 
$
5,728,261
  
$
0
  
$
0
  
$
5,728,261
 
Goldman Sachs & Co. LLC  
5,218,181
   
0
   
0
   
5,218,181
 
NatWest Markets Plc  
1,350,290
   
0
   
0
   
1,350,290
 
Centrally Cleared  
0
   
0
   
0
   
0
 
Total 
$
12,296,732
  
$
0
  
$
0
  
$
12,296,732
 
 
 
Offsetting of Derivative Liabilities by Counterparty 
As of March 31, 2023
 
         
Offsetting of Derivative Assets by Counterparty
Offsetting of Derivative Assets by Counterparty
 
As of June 30, 2023
          
Type of Instrument
 Counterparty
 
Gross
Amounts
of Recognized
Liabilities
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
 
 Counterparty
 
Gross
Amounts of
Recognized
Assets
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
 
Futures contracts
 UBS Securities LLC
 
$
7,714,115
  
$
(7,714,115
)
 
$
0
 
 UBS Securities LLC
 
$
15,821,466
  
$
(10,858,334
)
 
$
4,963,132
 
Futures contracts
 Goldman, Sachs & Co.
  
7,627,874
   
(7,627,874
)
  
0
 
 Goldman, Sachs & Co.
  
16,021,341
   
(10,873,093
)
  
5,148,248
 
Forward currency contracts
 NatWest Markets Plc
  
40,849,585
   
(40,849,585
)
  
0
 
 NatWest Markets Plc
  
25,239,970
   
(25,239,970
)
  
0
 
Centrally cleared swap contracts*
 Centrally Cleared
  
8,915,701
   
(4,067,674
)
  
4,848,027
 
 Centrally Cleared
  
13,468,067
   
(4,062,216
)
  
9,405,851
 
Total derivatives  
$
65,107,275
  
$
(60,259,248
)
 
$
4,848,027
   
$
70,550,844
  
$
(51,033,613
)
 
$
19,517,231
 

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

Derivative Assets and Collateral Received by Counterparty 
As of June 30, 2023         
  
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 
$
4,963,132
  
$
0
  
$
0
  
$
4,963,132
 
Goldman, Sachs & Co.  
5,148,248
   
0
   
0
   
5,148,248
 
Centrally Cleared  
9,405,851
   
0
   
0
   
9,405,851
 
Total 
$
19,517,231
  
$
0
  
$
0
  
$
19,517,231
 
27  
Offsetting of Derivative Liabilities by Counterparty 
As of June 30, 2023
 
         
Type of Instrument
 Counterparty
 
Gross
Amounts of
Recognized
Liabilities
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
 
Futures contracts
 UBS Securities LLC
 
$
10,858,334
  
$
(10,858,334
)
 
$
0
 
Futures contracts
 Goldman, Sachs & Co.
  
10,873,093
   
(10,873,093
)
  
0
 
Forward currency contracts
 NatWest Markets Plc
  
27,206,820
   
(25,239,970
)
  
1,966,850
 
Centrally cleared swap contracts
 Centrally Cleared
  
4,062,216
   
(4,062,216
)
  
0
 
Total derivatives  
$
53,000,463
  
$
(51,033,613
)
 
$
1,966,850
 

28
Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31,JUNE 30, 2023 (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, 2023         
As of June 30, 2023         
 
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
   
1,966,850
   
0
   
(1,966,850
)
  
0
 
Centrally Cleared  
4,848,027
   
0
   
(4,848,027)
   
0
   
0
   
0
   
0
   
0
 
Total 
$
4,848,027
  
$
0
  
$
(4,848,027
)
 
$
0
  
$
1,966,850
  
$
0
  
$
(1,966,850
)
 
$
0
 
 
Offsetting of Derivative Assets by Counterparty
Offsetting of Derivative Assets by Counterparty
 
Offsetting of Derivative Assets by Counterparty
 
As of December 31, 2022
As of December 31, 2022
         
As of December 31, 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
 
$
11,125,617
  
$
(9,805,944
)
 
$
1,319,673
 
UBS Securities LLC
 
$
11,125,617
  
$
(9,805,944
)
 
$
1,319,673
 
Futures contracts
Goldman, Sachs & Co.
  
10,962,373
   
(9,655,642
)
  
1,306,731
 
Goldman, Sachs & Co.
  
10,962,373
   
(9,655,642
)
  
1,306,731
 
Forward currency contracts
NatWest Markets Plc
  
23,501,515
   
(21,533,765
)
  
1,967,750
 
NatWest Markets Plc
  
23,501,515
   
(21,533,765
)
  
1,967,750
 
Centrally cleared swap contracts*
Centrally Cleared
  
5,481,456
   
(1,812,972
)
  
3,668,484
 
Centrally Cleared
  
5,481,456
   
(1,812,972
)
  
3,668,484
 
Total derivatives  
$
51,070,961
  
$
(42,808,323
)
 
$
8,262,638
   
$
51,070,961
  
$
(42,808,323
)
 
$
8,262,638
 

*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, 2022
         
 
 
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 
$
1,319,673
  
$
0
  
$
0
  
$
1,319,673
 
Goldman, Sachs & Co.  
1,306,731
   
0
   
0
   
1,306,731
 
NatWest Markets Plc  
1,967,750
   
0
   
0
   
1,967,750
 
Centrally Cleared  
3,668,484
   
0
   
0
   
3,668,484
 
Total 
$
8,262,638
  
$
0
  
$
0
  
$
8,262,638
 

28
29
Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31,JUNE 30, 2023 (Unaudited)


Offsetting of Derivative Liabilities by Counterparty
Offsetting of Derivative Liabilities by Counterparty
 Offsetting of Derivative Liabilities by Counterparty 
As of December 31, 2022As of December 31, 2022         As of December 31, 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
 
$
9,805,944
  
$
(9,805,944
)
 
$
0
 
UBS Securities LLC
 
$
9,805,944
  
$
(9,805,944
)
 
$
0
 
Futures contracts
Goldman, Sachs & Co.
  
9,655,642
   
(9,655,642
)
  
0
 
Goldman, Sachs & Co.
  
9,655,642
   
(9,655,642
)
  
0
 
Forward currency contracts
NatWest Markets Plc
  
21,533,765
   
(21,533,765
)
  
0
 
NatWest Markets Plc
  
21,533,765
   
(21,533,765
)
  
0
 
Centrally cleared swap contracts
Centrally Cleared
  
1,812,972
   
(1,812,972
)
  
0
 
Centrally Cleared
  
1,812,972
   
(1,812,972
)
  
0
 
Total derivatives  
$
42,808,323
  
$
(42,808,323
)
 
$
0
   
$
42,808,323
  
$
(42,808,323
)
 
$
0
 

Derivative Liabilities and Collateral Pledged by Counterparty 
As of December 31, 2022
         
 
 
 
Net Amounts of
Unrealized Loss
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty 
Statements of
Financial Condition
  
Financial
Instruments
  
Cash Collateral
Pledged
  Net Amount 
UBS Securities LLC 
$
0
  
$
0
  
$
0
  
$
0
 
Goldman, Sachs & Co.  
0
   
0
   
0
   
0
 
NatWest Markets Plc  
0
   
0
   
0
  
0
 
Centrally Cleared  
0
   
0
   
0
   
0
 
Total 
$
0
  
$
0
  
$
0
 
$
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,JUNE 30, 2023 (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,June 30, 2023 and December 31, 2022, the Statements of Operations and Financial Highlights for the three months and six months ended March 31,June 30, 2023 and 2022, and the Statements of Cash Flows and Changes in Unitholders’ Capital (Net Asset Value) for the threesix months ended March 31,June 30, 2023 and 2022 are unaudited. In the opinion of management, such financial statements reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of financial position as of March 31,June 30, 2023 and December 31, 2022, the results of operations and financial highlights for the three months and six months ended March 31,June 30, 2023 and 2022, and cash flows and changes in unitholders’ capital (Net Asset Value) for the threesix months ended March 31,June 30, 2023 and 2022.

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,June 30, 2023, the aggregate capitalization of the Trust was $507,169,445$514,449,177 with Series A, Series B, Series D and Series W comprising $378,697,030, $44,945,784, $25,234,996$382,481,332, $43,200,565, $27,952,639 and $58,291,635,$60,814,641, respectively, of the total. The Net Asset Value per Unit was $4,110.97$4,119.21 for Series A, $4,542.54$4,555.46 for Series B, $1,647.49$1,655.28 for Series D and $5,047.52$5,080.95 for Series W.

Critical Accounting Policies

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

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

Capital Resources

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

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

Liquidity

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

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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.

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.

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.

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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.

Results of Operations

The returns for the threesix months ended March 31,June 30, 2023 and 2022 for Series A were 4.12%4.33% and 20.47%34.80%, Series B were 4.22%4.52% and 20.11%34.28%, Series D were 4.42%4.91% and 16.33%30.02% and Series W were 4.62%5.31% and 18.35%32.63%, respectively.

2023 (For the ThreeSix Months Ended March 31)June 30)

Of the 4.12%4.33% return for the threesix months ended March 31,June 30, 2023 for Series A, approximately 4.34%4.61% was due to trading gains (before commissions), approximately 1.12%2.42% due to investment income and approximately (1.34)(2.70)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series A.

Of the 4.22%4.52% return for the threesix months ended March 31,June 30, 2023 for Series B, approximately 4.34%4.61% was due to trading gains (before commissions) approximately 1.12%2.42% due to investment income and approximately (1.24)(2.51)% due to brokerage fees, management fees, sales commissions, and operating costs incurred by Series B.

Of the 4.42%4.91% return for the threesix months ended March 31,June 30, 2023 for Series D, approximately 4.34%4.61% was due to trading gains (before commissions) approximately 1.12%2.42% due to investment income and approximately (1.04)(2.12)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series D.

Of the 4.62%5.31% return for the threesix months ended March 31,June 30, 2023 for Series W, approximately 4.34%4.61% was due to trading gains (before commissions) approximately 1.12%2.42% due to investment income and approximately (0.84)(1.72)% due to brokerage fees, management fees, performance fees, offering costs and operating costs incurred by Series W.

During the threesix months ended March 31,June 30, 2023, the Trust accrued management fees in the amount of $2,510,527$5,080,470 and paid management fees in the amount of $2,459,661.$5,013,894. During the threesix months ended March 31,June 30, 2023, the Trust accrued sales commissions in the amount of $2,139,953$4,327,834 and paid sales commissions in the amount of $2,090,147.$4,267,203. During the threesix months ended March 31,June 30, 2023, the Trust accrued performance fees in the amount of $122 and paid performance fees in the amount of $122.

An analysis of the 4.34%4.61% gross trading gains for the Trust for the threesix months ended March 31,June 30, 2023 by sector is as follows:

Sector % Gain (Loss) 
Credit  (0.271.34)%
Commodities  1.011.00%
Foreign Exchange  2.800.56%
Interest Rates  0.620.34%
Equity Indices  0.171.37%
   4.344.61%

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The Trust showed a profit in January. Gains came from stock index, commodity, foreign exchange (FX), and credit positions, while interest rate holdings produced some partially offsetting losses. Global stock indexes generated the largest gains for the Trust in January. Net long positioning on a variety of equity holdings gained as most major global stock indexes finished the month in the green. The general risk-on sentiment was fueled by China reopening optimism and the hopes that the world’s Central Banks ease off their aggressive rate-hike cycle. A slew of mixed Q4 earnings reports and continued layoff announcements were largely ignored as money flowed into riskier assets. Commodity trading also provided gains for the Trust to start the year. Long coffee and sugar holdings generated the biggest wins within the softs sub-sector as those prices rallied on supply concerns. Industrial metals generated additional gains for the Trust spearheaded by a long LME copper position. The base metals complex experienced a significant monthly rally on back of the weak US dollar, ongoing China reopening optimism, and increasing concern over dwindling stockpiles. Foreign exchange trading produced additional Trust profits. The US dollar experienced a sell-off in January and the gains on long Emerging Market (EM) positions, versus short the USD, more than offset the losses incurred in the short Developed Market (DM) currencies. Longs in Latin American currencies were the main EM gainers as risky assets and carry trades were bought in the risk-on environment. Interest rate positions generated partially offsetting losses on the month. US Treasuries advanced (yields fell) after easing US inflation data strengthened the case for the Fed to turn less aggressive, hurting short positioning along the curve. In Europe, short positioning on German bonds added to Trust losses as prices followed Treasuries higher despite hawkish rhetoric from Lagarde and other European Central Bankers. Long positioning on UK gilts and the Aussie 10-year bond generated partially offsetting gains.Short protection positions in the credit indices which narrowed sharply alongside the broader rally in risk assets generated gains for the Trust.

The Trust showed a robust profit in February. Gains came from fixed income, foreign exchange (FX), and commodity positions, while stock indices produced some partially offsetting losses. Credit holdings had limited P&L impact on the month. Interest rate positions dominated Trust gains in February with long-dated and short-dated instruments equally contributing to profits. US Treasury prices fell (yields rose) as hotter-than-expected inflation data and an extraordinary jump in payrolls elicited increasingly hawkish commentary from Fed members throughout the month, benefiting short positioning. Euro-area core inflation accelerated to a record, prompting money markets to price in a higher ECB terminal rate, which created gains for short German bond positioning. Interest rate swap holdings were also additive, led by a payer position in Mexican rates as yields moved higher after a larger-than-expected rate hike from Mexico’s Central Bank. Foreign exchange trading produced additional Trust returns. The US dollar rallied over the course of the month and the Trust’s short positions in the Developed Market (DM), versus long the US dollar, drove sector gains. A short Norwegian krone holding (against long USD) was a major P&L contributor in the FX sector as the krone continued to be susceptible to weakness in energies, ultimately ending the month as the worst performing G-10 currency in 2023. Commodities provided additional profits for the Trust in February. Short holdings across the industrial and precious metal sub-sectors profited as increasing expectations for further Fed policy tightening and a stronger US dollar weighed on metals prices. Net long global stock index positioning generated some offsetting losses during the month. After a strong start to the year, February saw equity markets retrace in North America and Asia. In the US, stronger-than-expected economic releases, which included labor and inflation data, spurred a meaningful repricing of FOMC rate expectations. In the APAC region, strained US-China geopolitical relations and weaker near-term demand outlooks for China further weighed on risk sentiment. Long positioning on European equities provided some offsetting gains as markets proved more resilient to higher rates in the region.

The Trust realized a loss in March. Losses came from interest rate, stock, commodity, and credit holdings, while foreign exchange (FX) produced some partially offsetting gains during the month. Interest rate positions dominated Trust losses on the month, with both long-dated and short-dated instruments suffering in the wake of the banking crisis that drove global bond prices higher (yields lower). The negative impact on the financial sector from the US Fed’s policy tightening campaign prompted traders to scale back rate hike bets, hurting short US Treasury positioning across most tenors. Partially offsetting gains came from long UK Gilt and Aussie 10-year bond positioning, both of which benefited from the rapid shift to less risky assets. Stock holdings also weighed on Trust performance amid a volatile month of trading. Predominantly long stock positioning was negatively impacted after the collapse of Silicon Valley Bank and the ensuing fears of contagion. Some stock P&L losses were recovered with prices rallying off mid-month lows as the banking sector stabilized and investors weighed the possibility of the Fed pausing its rate increases. Commodity positions added to Trust losses in March. Short precious metal holdings generated the largest sub-sector losses as bullion prices rose amid the banking sector turmoil, diminished expectations for further Fed tightening, and a softer US dollar. Credit trading generated additional losses as a short protection position in the iTraxx Senior Financial index suffered after credit spreads widened sharply in the wake of the Silicon Valley Bank and Credit Suisse fiascos. Foreign exchange trading provided some partially offsetting Trust gains. While the DXY index traded lower during the month on back of the shift to a more dovish outlook on the US Federal Reserve, a few of the so-called commodity currencies were the exceptions. The Trust profited from short-positions on the Aussie dollar and Norwegian krone, which both traded softer on back of weakness in oil markets.

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The Trust was close to unchanged in April.  Commodity and foreign exchange (FX) positions produced gains, while fixed income holdings generated offsetting losses.  Credit and stock holdings had little effect on the Trust. The commodity sector was additive for the Trust during the month.  A long sugar holding produced a significant gain as the soft commodity rallied to an 11-year high on Brazilian supply concerns following above-average rainfall in the region.  Some long energy holdings generated partially offsetting losses amid a mid-month sector-wide selloff that was spurred by recession worries and potentially tighter financial conditions which clouded the outlook for fuel demand. FX trading contributed modest gains in April.  Varied performance in the global FX markets (versus the dollar), coupled with mixed positioning led to negligible sector P&L.  Short positions on the Norwegian krone and Australian dollar, which continued their 2023 weakening trends, resulted in gains for the Trust.  Partially offsetting losses were realized in certain emerging market currencies, where long positioning was a detractor in the risk-off environment. Mixed credit positions produced de minimis gains for the Trust as credit spreads widened alongside the sell-off in other risky assets. Interest rate positions added modest losses to the Trust over the month.  UK Gilts underperformed after data showed inflation remained in the double digits, prompting traders to raise bets on the peak BOE rate, hurting long positioning.  Aussie bonds also contributed to losses after minutes showed the RBA discussed a quarter-point hike before deciding on a pause in April.  Short US Treasury positions generated some partially offsetting gains. Stocks indexes trading was flat for the Trust in April.  Gains were seen from Asian and European stock holdings while US index positions generated offsetting losses as markets weighed the potential higher-for-longer dynamic, the debt ceiling stalemate, renewed banking sector turmoil, and a pickup in growth worries with better than feared earnings and guidance.

The Trust produced a gain during May. Profits came from commodity and foreign exchange (FX) positions, while stock index and interest rates produced some partially offsetting losses. Credit holdings had little impact on the Trust. The commodity sector led Trust gains during the month of May. Short copper positions generated the best sector gains with prices falling to 6-month lows as sentiment soured on the back of China’s disappointing economic recovery and on the stronger US dollar. Additionally, copper stockpiles rebounded from multi-year lows. A short natural gas position also provided gains as the energy dropped amid ample supplies following persistent milder weather in the US. Foreign exchange trading generated additional Trust profits. Despite debt-ceiling concerns in the United States, the US dollar rallied during the month and the Trust’s gains on short Developed Market (DM) positions (versus long the USD) marginally offset the losses incurred in some long Emerging Market (EM) currencies. Shorts in commodity-linked currencies like the Norwegian krone and Australian dollar were the big DM gainers with those FX markets depreciating as oil prices sold off and as China growth concerns increased. Global stock index trading resulted in losses to the Trust. Net-long positioning for much of the month generated losses as recession fears, a ‘higher-for-longer’ stance from many Central Banks, US debt ceiling concerns, and China’s lackluster recovery weighed on sentiment. A strong AI-driven rally following Nvidia’s upbeat earnings and blow-out guidance at month-end capped losses. Interest rate positions were also a negative contributor in May. Long positioning on the UK Gilt led losses as a higher-than-expected UK inflation print put pressure on the Bank of England to continue hiking and caused Gilts to weaken (yields higher). Partially offsetting gains came from Canadian and New Zealand interest rate instruments. Canada’s inflation also came in hotter-than-expected which proved beneficial to short CGB positioning as prices declined. Payer NZD IRS positioning (which is profitable with higher yields) experienced monthly gains as Kiwi yields pushed higher prior to the late May RBNZ meeting.

The Trust produced a loss in June. Losses came from commodity and foreign exchange holdings while interest rate, stock index, and credit positions produced some partially offsetting gains during the month. The commodity sector led Trust losses during the month of June. Energy positions generated the largest sub-sector loss, namely from a short natural gas holding. Futures on natural gas rallied throughout the month as warmer temperatures continued to drive up cooling demand. A short on cocoa futures added to monthly losses as the soft commodity surged on fears heavy rains in major producing countries will disrupt harvests. Foreign exchange trading generated additional Trust losses as short positions in the Developed Market currencies (versus long the USD) more than offset the gains experienced in the Emerging Markets. The dominant story for the USD and monetary policy was that the Fed “skipped” a rate hike at its June meeting while other central banks like the ECB remained focused on tightening. This divergence resulted in the dollar index trading weaker on the month, hurting our net long USD position. Interest rate positions resulted in some offsetting gains in June with the positive P&L being led by short-dated instruments. With the exception of the Federal Reserve, major central banks continued raising rates with several delivering larger-than-expected hikes against a backdrop of better-than-expected economic data and persistent inflation. Short positioning on Euribor and German 2-year bonds benefited as yields rallied (prices fell) in the wake of a 25bps ECB hike and ongoing hawkish commentary from ECB President Lagarde. Short protection positions on the credit indices generated additional gains for the Trust. Credit spreads narrowed amid the broader rally in risk and the Trust benefited as a result. Global stock indexes generated profits for the Trust. Net long positioning on a variety of equity holdings benefited as most major indices finished the month in positive territory. Despite aggressive monetary policy tightening and geopolitical tensions, risk-on sentiment prevailed on optimistic soft-landing expectations and AI sector growth tailwinds.

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2022 (For the ThreeSix Months Ended March 31)June 30)

Of the 20.47%34.80% return for the threesix months ended March 31,June 30, 2022 for Series A, approximately 21.91%40.21% was due to trading gains (before commissions) and offset by approximately (0.10)(0.05)% due to investment loss offset byand approximately (1.34)(5.36)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series A.

Of the 20.11%34.28% return for the threesix months ended March 31,June 30, 2022 for Series B, approximately 21.91%40.21% was due to trading gains (before commissions) and offset by approximately (0.10)(0.05)% due to investment loss offset byand approximately (1.70)(5.88)% due to brokerage fees, management fees, sales commissions, performance fees and operating costs incurred by Series B.

Of the 16.33%30.02% return for the threesix months ended March 31,June 30, 2022 for Series D, approximately 21.91%40.21% was due to trading gains (before commissions) and offset by approximately (0.10)(0.05)% due to investment loss offset byand approximately (5.48)(10.14)% due to brokerage fees, management fees, sales commissions, performance fees, offering costs and operating costs incurred by Series D.

Of the 18.35%32.63% return for the threesix months ended March 31,June 30, 2022 for Series W, approximately 21.91%40.21% was due to trading gains (before commissions) and offset by approximately (0.10)(0.05)% due to investment loss offset byand approximately (3.46)(7.53)% due to brokerage fees, management fees, performance fees, offering costs and operating costs incurred by Series W.

During the threesix months ended March 31,June 30, 2022, the Trust accrued management fees in the amount of $1,683,378$3,796,788 and paid management fees in the amount of $1,564,199.$3,553,209. During the threesix months ended March 31,June 30, 2022, the Trust accrued sales commissions in the amount of $1,460,348$3,280,681 and paid sales commissions in the amount of $1,390,171.$3,100,618. During the threesix months ended March 31,June 30, 2022, the Trust accrued performance fees in the amount of $1,530,801$12,160,459 and paid performance fees in the amount of $0.$1,559,966.

An analysis of the 21.91%40.21% gross trading gains for the Trust for the threesix months ended March 31,June 30, 2022 by sector is as follows:

Sector % Gain (Loss) 
Credit  0.000.22%
Commodities  10.4612.76%
Foreign Exchange  5.8915.24%
Interest Rates  5.3210.89%
Equity Indices  0.241.10%
   21.9140.21%

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.

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.

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Standard of Materiality

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

Quantifying the Trust’s Trading Value at Risk

Quantitative Forward-Looking Statements

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

The Trust’s risk exposure in the various market sectors traded is estimated in terms of Value at Risk (VaR). The Trust estimates VaR using a model based upon historical simulation (with a confidence level of 97.5%) which involves constructing a distribution of hypothetical daily changes in the value of a trading portfolio. The VaR model takes into account linear exposures to risks, including equity and commodity prices, interest rates, foreign exchange rates, 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.

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.

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

The following tables indicate the trading Value at Risk associated with the Trust’s open positions by market category as of March 31,June 30, 2023 and December 31, 2022 and the trading gains/losses by market category for the threesix months ended March 31,June 30, 2023 and the year ended December 31, 2022.

 March 31, 2023  June 30, 2023 
Market Sector 
Value
at Risk*
  
Trading
Gain/(Loss)**
  
Value
at Risk*
  
Trading
Gain/(Loss)**
 
Credit 0.24% (0.27)% 0.19% 1.34%
Commodities 0.61% 1.01% 0.73% 1.00%
Foreign Exchange 0.67% 2.80% 0.69% 0.56%
Interest Rates 1.43% 0.62% 0.79% 0.34%
Equity Indices 0.66%  0.17% 0.61%  1.37%
Aggregate/Total 2.35%  4.34% 1.18%  4.61%

*
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 threesix months ended March 31,June 30, 2023.

Of the 4.12%4.33% return for the threesix months ended March 31,June 30, 2023 for Series A, approximately 4.34%4.61% was due to trading gains (before commissions), approximately 1.12%2.42% due to investment income and approximately (1.34)(2.70)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series A.

Of the 4.22%4.52% return for the threesix months ended March 31,June 30, 2023 for Series B, approximately 4.34%4.61% was due to trading gains (before commissions) approximately 1.12%2.42% due to investment income and approximately (1.24)(2.51)% due to brokerage fees, management fees, sales commissions, and operating costs incurred by Series B.

Of the 4.42%4.91% return for the threesix months ended March 31,June 30, 2023 for Series D, approximately 4.34%4.61% was due to trading gains (before commissions) approximately 1.12%2.42% due to investment income and approximately (1.04)(2.12)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series D.

Of the 4.62%5.31% return for the threesix months ended March 31,June 30, 2023 for Series W, approximately 4.34%4.61% was due to trading gains (before commissions) approximately 1.12%2.42% due to investment income and approximately (0.84)(1.72)% due to brokerage fees, management fees, performance fees, offering costs and operating costs incurred by Series W.

  December 31, 2022 
Market Sector 
Value
at Risk*
  
Trading
Gain/(Loss)**
 
Credit  0.09%  1.25%
Commodities  0.54%  8.88%
Foreign Exchange  1.15%  16.83%
Interest Rates  0.98%  16.26%
Stock Indices  0.53%  1.11%
Aggregate/Total  1.66%  44.33%

*
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, 2022.

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Of the 36.01% return for the year ended December 31, 2022 for Series A, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by approximately (9.78)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series A.

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Of the 35.82% return for year ended December 31, 2022 for Series B, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by approximately (9.97)% due to brokerage fees, management fees, performance fees, sales commissions and operating costs borne by Series B.

Of the 31.93% return for the year ended December 31, 2022 for Series D, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by approximately (13.86)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series D.

Of the 35.05% return for the year ended December 31, 2022 for Series W, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by approximately (10.74)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series W.

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

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

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

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

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

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

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

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

Non-Trading Risk

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

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Qualitative Disclosures Regarding Primary Trading Risk Exposures

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

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The following represent the primary trading risk exposures of the Trust as of March 31,June 30, 2023 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.

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.

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.

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Agricultural

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

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the primary non-trading risk exposures of the Trust as of March 31,June 30, 2023.

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.

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.

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 previously disclosed in Form 10-K, filed March 24, 2023.

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

None

Item 3.  Defaults Upon Senior Securities.

Not applicable.

Item 4.  Mine Safety Disclosures.

Not applicable.

Item 5.  Other Information.

None

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Item 6.  Exhibits.


Exhibit Number Description of Document
3.01 
Articles and Plan of Merger of the Campbell Fund Limited Partnership with and into the Registrant dated January 2, 1996(1)
   
3.02 
Amended and Restated Declaration of Trust and Trust Agreement of the Registrant dated February 3, 2010(2)
   
10.01 
Advisory Agreement between the Registrant and Campbell & Company LP(1)
   
10.02 
Global Institutional Master Custody Agreement(2)
   
10.03 
Investment Management Agreement with PNC Capital Advisors LLC, as cash manager(3)
   
 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.
   
101 Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments As of March 31,June 30, 2023 and December 31, 2022, (ii) Statements of Financial Condition As of March 31,June 30, 2023 and December 31, 2022, (iii) Statements of Operations For the Three Months and Six Months Ended March 31,June 30, 2023 and 2022, (iv) Statements of Cash Flows For the ThreeSix Months Ended March 31,June 30, 2023 and 2022, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the ThreeSix Months Ended March 31,June 30, 2023 and 2022, (vi) Financial Highlights For the Three Months and Six Months Ended March 31,June 30, 2023 and 2022, (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.
   
101 Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments As of March 31,June 30, 2023 and December 31, 2022, (ii) Statements of Financial Condition As of March 31,June 30, 2023 and December 31, 2022, (iii) Statements of Operations For the Three Months and Six Months Ended March 31,June 30, 2023 and 2022, (iv) Statements of Cash Flows For the ThreeSix Months Ended March 31,June 30, 2023 and 2022, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the ThreeSix Months Ended March 31,June 30, 2023 and 2022, (vi) Financial Highlights For the Three Months and Six Months Ended March 31,June 30, 2023 and 2022, (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)




(Registrant)

By:Campbell & Company, LP


Managing Operator



Date: May 15,August 14, 2023By:
/s/ Kevin D. Cole



Kevin D. Cole


Chief Executive Officer & Chief Investment Officer


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