Document and Entity Information
Document and Entity Information | 3 Months Ended |
Mar. 31, 2020shares | |
Entity Information [Line Items] | |
Entity Registrant Name | CAMPBELL FUND TRUST |
Entity Central Index Key | 0001043951 |
Current Fiscal Year End Date | --12-31 |
Entity Current Reporting Status | Yes |
Entity Interactive Data Current | Yes |
Entity Shell Company | false |
Entity Filer Category | Non-accelerated Filer |
Entity Small Business | false |
Entity Emerging Growth Company | false |
Document Type | 10-Q |
Amendment Flag | false |
Document Period End Date | Mar. 31, 2020 |
Document Fiscal Year Focus | 2020 |
Document Fiscal Period Focus | Q1 |
Entity Address, State or Province | MD |
Series A [Member] | |
Entity Information [Line Items] | |
Entity Common Stock, Shares Outstanding | 93,078.451 |
Series B [Member] | |
Entity Information [Line Items] | |
Entity Common Stock, Shares Outstanding | 12,765.840 |
Series D [Member] | |
Entity Information [Line Items] | |
Entity Common Stock, Shares Outstanding | 3,917.158 |
Series W [Member] | |
Entity Information [Line Items] | |
Entity Common Stock, Shares Outstanding | 8,450.378 |
CONDENSED SCHEDULE OF INVESTMEN
CONDENSED SCHEDULE OF INVESTMENTS - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 | |||
Investment Owned | |||||
Short term investments | $ 8,998 | $ 4,780 | |||
Net unrealized gain (loss) on open futures contracts | 5,062,013 | (8,139,937) | |||
Net unrealized gain (loss) on open forward currency contracts | 17,331,485 | 0 | |||
Fixed Income Securities [Member] | |||||
Investment Owned | |||||
Fair value | $ 256,899,282 | [1] | $ 257,548,052 | [2] | |
% of Net Asset Value | 80.03% | 83.21% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | |||||
Investment Owned | |||||
Fair value | $ 18,604,024 | $ 19,676,042 | |||
% of Net Asset Value | 5.79% | 6.36% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | United States [Member] | Auto Loans [Member] | |||||
Investment Owned | |||||
Fair value | $ 17,753,372 | $ 15,837,798 | |||
% of Net Asset Value | 5.52% | 5.12% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | United States [Member] | Credit Cards [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,675,309 | ||||
% of Net Asset Value | 0.86% | ||||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | United States [Member] | Equipment Loans [Member] | |||||
Investment Owned | |||||
Fair value | $ 306,533 | $ 618,295 | |||
% of Net Asset Value | 0.10% | 0.20% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | United States [Member] | Utilities [Member] | |||||
Investment Owned | |||||
Fair value | $ 544,119 | $ 544,640 | |||
% of Net Asset Value | 0.17% | 0.18% | |||
Fixed Income Securities [Member] | Bank Deposits [Member] | |||||
Investment Owned | |||||
Fair value | $ 3,558,164 | $ 5,230,590 | |||
% of Net Asset Value | 1.11% | 1.69% | |||
Fixed Income Securities [Member] | Bank Deposits [Member] | Singapore [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,837,107 | ||||
% of Net Asset Value | 0.92% | ||||
Fixed Income Securities [Member] | Bank Deposits [Member] | United States [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 3,558,164 | $ 2,393,483 | |||
% of Net Asset Value | 1.11% | 0.77% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | |||||
Investment Owned | |||||
Fair value | $ 111,067,815 | $ 94,402,644 | |||
% of Net Asset Value | 34.60% | 30.50% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | Australia [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,498,283 | $ 2,485,923 | |||
% of Net Asset Value | 0.78% | 0.80% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | Canada [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 999,620 | ||||
% of Net Asset Value | 0.32% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | Netherlands [Member] | Energy [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,191,369 | ||||
% of Net Asset Value | 0.68% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | Spain [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 499,324 | ||||
% of Net Asset Value | 0.16% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | Sweden [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,990,613 | ||||
% of Net Asset Value | 0.97% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | Switzerland [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 3,509,331 | $ 4,297,185 | |||
% of Net Asset Value | 1.09% | 1.39% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United Kingdom [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,026,327 | ||||
% of Net Asset Value | 0.63% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | |||||
Investment Owned | |||||
Fair value | $ 100,343,181 | $ 83,629,303 | |||
% of Net Asset Value | 31.26% | 27.02% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Communications [Member] | |||||
Investment Owned | |||||
Fair value | $ 1,882,860 | $ 2,995,139 | |||
% of Net Asset Value | 0.59% | 0.97% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Consumer Discretionary [Member] | |||||
Investment Owned | |||||
Fair value | $ 16,357,301 | $ 26,514,040 | |||
% of Net Asset Value | 5.10% | 8.57% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Consumer Staples [Member] | |||||
Investment Owned | |||||
Fair value | $ 5,758,881 | $ 4,537,769 | |||
% of Net Asset Value | 1.79% | 1.47% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Energy [Member] | |||||
Investment Owned | |||||
Fair value | $ 1,495,730 | ||||
% of Net Asset Value | 0.47% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 25,866,304 | $ 23,493,503 | |||
% of Net Asset Value | 8.05% | 7.59% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Industrials [Member] | |||||
Investment Owned | |||||
Fair value | $ 10,485,787 | $ 1,997,585 | |||
% of Net Asset Value | 3.27% | 0.64% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Materials [Member] | |||||
Investment Owned | |||||
Fair value | $ 14,924,029 | ||||
% of Net Asset Value | 4.65% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Utilities [Member] | |||||
Investment Owned | |||||
Fair value | $ 23,572,289 | $ 24,091,267 | |||
% of Net Asset Value | 7.34% | 7.78% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | |||||
Investment Owned | |||||
Fair value | $ 73,232,160 | $ 84,597,249 | |||
% of Net Asset Value | 22.81% | 27.33% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Australia [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 3,390,146 | ||||
% of Net Asset Value | 1.06% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Canada [Member] | |||||
Investment Owned | |||||
Fair value | $ 7,505,653 | ||||
% of Net Asset Value | 2.43% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Canada [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 6,507,997 | $ 5,910,253 | |||
% of Net Asset Value | 2.03% | 1.91% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Canada [Member] | Industrials [Member] | |||||
Investment Owned | |||||
Fair value | $ 1,595,400 | ||||
% of Net Asset Value | 0.52% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Germany [Member] | Consumer Discretionary [Member] | |||||
Investment Owned | |||||
Fair value | $ 3,684,989 | $ 5,166,625 | |||
% of Net Asset Value | 1.15% | 1.67% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Japan [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,020,373 | ||||
% of Net Asset Value | 0.65% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Switzerland [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 1,231,793 | ||||
% of Net Asset Value | 0.38% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United Kingdom [Member] | |||||
Investment Owned | |||||
Fair value | $ 5,994,195 | ||||
% of Net Asset Value | 1.94% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United Kingdom [Member] | Energy [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,120,364 | ||||
% of Net Asset Value | 0.69% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United Kingdom [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 5,660,639 | $ 3,873,831 | |||
% of Net Asset Value | 1.76% | 1.25% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | |||||
Investment Owned | |||||
Fair value | $ 52,756,596 | $ 63,910,403 | |||
% of Net Asset Value | 16.43% | 20.64% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Communications [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,506,252 | $ 3,078,403 | |||
% of Net Asset Value | 0.78% | 0.99% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Consumer Discretionary [Member] | |||||
Investment Owned | |||||
Fair value | $ 12,312,708 | $ 14,140,035 | |||
% of Net Asset Value | 3.84% | 4.57% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Consumer Staples [Member] | |||||
Investment Owned | |||||
Fair value | $ 3,279,278 | $ 3,547,193 | |||
% of Net Asset Value | 1.02% | 1.14% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Energy [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,457,659 | $ 6,047,117 | |||
% of Net Asset Value | 0.77% | 1.95% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 18,127,305 | $ 23,371,727 | |||
% of Net Asset Value | 5.64% | 7.55% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Industrials [Member] | |||||
Investment Owned | |||||
Fair value | $ 5,897,217 | $ 5,427,486 | |||
% of Net Asset Value | 1.84% | 1.75% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Materials [Member] | |||||
Investment Owned | |||||
Fair value | $ 874,864 | $ 884,220 | |||
% of Net Asset Value | 0.27% | 0.29% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Technology [Member] | |||||
Investment Owned | |||||
Fair value | $ 5,013,434 | $ 5,066,126 | |||
% of Net Asset Value | 1.56% | 1.64% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Utilities [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,287,879 | $ 2,348,096 | |||
% of Net Asset Value | 0.71% | 0.76% | |||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | |||||
Investment Owned | |||||
Fair value | $ 50,437,119 | $ 53,641,527 | |||
% of Net Asset Value | 15.72% | 17.33% | |||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 04/16/2020 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 8,659,732 | |||
% of Net Asset Value | 2.70% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 05/14/2020 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 27,687,424 | |||
% of Net Asset Value | 8.63% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 06/11/2020 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 14,089,963 | |||
% of Net Asset Value | 4.39% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 01/02/2020 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 4,160,000 | |||
% of Net Asset Value | 1.35% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 01/16/2020 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 4,497,563 | |||
% of Net Asset Value | 1.45% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 02/13/2020 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 27,642,108 | |||
% of Net Asset Value | 8.93% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 03/12/2020 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 17,341,856 | |||
% of Net Asset Value | 5.60% | ||||
Short Term Investments [Member] | |||||
Investment Owned | |||||
Short term investments | $ 8,998 | $ 4,780 | |||
% of Net Asset Value | 0.00% | 0.00% | |||
Short Term Investments [Member] | Money Market Funds [Member] | United States [Member] | |||||
Investment Owned | |||||
Short term investments | $ 8,998 | $ 4,780 | |||
% of Net Asset Value | 0.00% | 0.00% | |||
Futures Contracts [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 5,062,013 | $ (8,139,937) | |||
% of Net Asset Value | 1.58% | (2.62%) | |||
Futures Contracts [Member] | Long [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (9,702,386) | $ (2,394,931) | |||
% of Net Asset Value | (3.02%) | (0.77%) | |||
Futures Contracts [Member] | Long [Member] | Agriculture [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 65,111 | $ 111,797 | |||
% of Net Asset Value | 0.02% | 0.04% | |||
Futures Contracts [Member] | Long [Member] | Energy [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 15,089 | $ 897,502 | |||
% of Net Asset Value | 0.00% | 0.29% | |||
Futures Contracts [Member] | Long [Member] | Metals [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (9,903,993) | $ 2,205,166 | |||
% of Net Asset Value | (3.08%) | 0.71% | |||
Futures Contracts [Member] | Long [Member] | Stock Indices [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (350,928) | $ 91,738 | |||
% of Net Asset Value | (0.11%) | 0.03% | |||
Futures Contracts [Member] | Long [Member] | Short-Term Interest Rates [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 53,859 | $ (765,294) | |||
% of Net Asset Value | 0.02% | (0.25%) | |||
Futures Contracts [Member] | Long [Member] | Long-Term Interest Rates [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 418,476 | $ (4,935,840) | |||
% of Net Asset Value | 0.13% | (1.59%) | |||
Futures Contracts [Member] | Short [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 14,764,399 | $ (5,745,006) | |||
% of Net Asset Value | 4.60% | (1.85%) | |||
Futures Contracts [Member] | Short [Member] | Agriculture [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (3,964) | $ (2,850,079) | |||
% of Net Asset Value | 0.00% | (0.92%) | |||
Futures Contracts [Member] | Short [Member] | Energy [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 828,126 | $ 588,691 | |||
% of Net Asset Value | 0.26% | 0.19% | |||
Futures Contracts [Member] | Short [Member] | Metals [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 16,096,479 | $ (4,618,405) | |||
% of Net Asset Value | 5.01% | (1.49%) | |||
Futures Contracts [Member] | Short [Member] | Stock Indices [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (1,402,028) | $ 79,410 | |||
% of Net Asset Value | (0.44%) | 0.03% | |||
Futures Contracts [Member] | Short [Member] | Short-Term Interest Rates [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (412) | ||||
% of Net Asset Value | 0.00% | ||||
Futures Contracts [Member] | Short [Member] | Long-Term Interest Rates [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (754,214) | $ 1,055,789 | |||
% of Net Asset Value | (0.23%) | 0.34% | |||
Forward Currency Contracts [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open forward currency contracts | $ 17,331,485 | $ (2,663,677) | |||
% of Net Asset Value | 5.40% | (0.86%) | |||
Forward Currency Contracts [Member] | Long [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open forward currency contracts | $ (29,365,939) | $ 22,090,636 | |||
% of Net Asset Value | (9.15%) | 7.14% | |||
Forward Currency Contracts [Member] | Short [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open forward currency contracts | $ 46,697,424 | $ (24,754,313) | |||
% of Net Asset Value | 14.55% | (8.00%) | |||
[1] | Included in fixed income securities are U.S. Treasury Bills with a fair value of $50,437,119 deposited with the futures brokers. | ||||
[2] | Included in fixed income securities are U.S. Treasury Bills with a fair value of $53,641,527 deposited with the futures brokers. | ||||
[3] | Pledged as collateral for the trading of futures positions. |
CONDENSED SCHEDULE OF INVESTM_2
CONDENSED SCHEDULE OF INVESTMENTS (Parenthetical) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 |
Investment Owned | ||
Fixed income securities deposited with futures brokers | $ 50,437,119 | $ 53,641,527 |
Fixed Income Securities [Member] | ||
Investment Owned | ||
Cost | 258,466,877 | 257,289,099 |
Fixed Income Securities [Member] | Asset Backed Securities [Member] | ||
Investment Owned | ||
Cost | 18,553,654 | 19,601,083 |
Fixed Income Securities [Member] | Bank Deposits [Member] | ||
Investment Owned | ||
Cost | 3,546,737 | 5,229,284 |
Fixed Income Securities [Member] | Bank Deposits [Member] | Singapore [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 2,837,086 | |
Fixed Income Securities [Member] | Bank Deposits [Member] | United States [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 2,392,198 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | ||
Investment Owned | ||
Cost | 111,081,031 | 94,403,769 |
Fixed Income Securities [Member] | Commercial Paper [Member] | Australia [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 2,498,054 | 2,486,462 |
Fixed Income Securities [Member] | Commercial Paper [Member] | Canada [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 999,632 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | Netherlands [Member] | Energy [Member] | ||
Investment Owned | ||
Cost | 2,183,527 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | Spain [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 499,264 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | Sweden [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 2,990,273 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | Switzerland [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 3,505,422 | 4,296,981 |
Fixed Income Securities [Member] | Commercial Paper [Member] | United Kingdom [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 2,025,564 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | ||
Investment Owned | ||
Cost | 100,369,200 | 83,630,421 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | ||
Investment Owned | ||
Cost | 74,909,932 | 84,419,463 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Australia [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 3,585,000 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Canada [Member] | ||
Investment Owned | ||
Cost | 7,494,451 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Canada [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 6,615,000 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Germany [Member] | Consumer Discretionary [Member] | ||
Investment Owned | ||
Cost | 3,813,917 | 5,147,253 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Japan [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 2,020,000 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Switzerland [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 1,315,000 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | United Kingdom [Member] | ||
Investment Owned | ||
Cost | 5,979,474 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | United Kingdom [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 5,928,194 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | ||
Investment Owned | ||
Cost | 53,652,821 | 63,778,285 |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | ||
Investment Owned | ||
Cost | 50,375,523 | 53,635,500 |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | ||
Investment Owned | ||
Fixed income securities deposited with futures brokers | 50,437,119 | 53,641,527 |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 04/16/2020 [Member] | ||
Investment Owned | ||
Maturity face value | $ 8,660,000 | |
Due date | Apr. 16, 2020 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 05/14/2020 [Member] | ||
Investment Owned | ||
Maturity face value | $ 27,690,000 | |
Due date | May 14, 2020 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 06/11/2020 [Member] | ||
Investment Owned | ||
Maturity face value | $ 14,092,500 | |
Due date | Jun. 11, 2020 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 01/02/2020 [Member] | ||
Investment Owned | ||
Maturity face value | $ 4,160,000 | |
Due date | Jan. 2, 2020 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 01/16/2020 [Member] | ||
Investment Owned | ||
Maturity face value | $ 4,500,000 | |
Due date | Jan. 16, 2020 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 02/13/2020 [Member] | ||
Investment Owned | ||
Maturity face value | $ 27,690,000 | |
Due date | Feb. 13, 2020 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 03/12/2020 [Member] | ||
Investment Owned | ||
Maturity face value | $ 17,392,500 | |
Due date | Mar. 12, 2020 | |
Short Term Investments [Member] | ||
Investment Owned | ||
Cost | $ 8,998 | $ 4,780 |
Short Term Investments [Member] | Money Market Funds [Member] | United States [Member] | ||
Investment Owned | ||
Cost | $ 8,998 | $ 4,780 |
STATEMENTS OF FINANCIAL CONDITI
STATEMENTS OF FINANCIAL CONDITION (Unaudited) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 |
Equity in futures brokers trading accounts | ||
Cash | $ 23,138,099 | $ 15,751,729 |
Restricted cash | 1,700,164 | 4,648,990 |
Fixed income securities (cost $50,375,523 and $53,635,500, respectively) | 50,437,119 | 53,641,527 |
Net unrealized gain (loss) on open futures contracts | 5,062,013 | (8,139,937) |
Total equity in futures brokers trading accounts | 80,337,395 | 65,902,309 |
Cash and cash equivalents | 26,056,850 | 15,970,752 |
Restricted cash at interbank market maker | 0 | 29,815,239 |
Short term investments (cost $8,998 and $4,780, respectively) | 8,998 | 4,780 |
Fixed income securities (cost $208,091,354 and $203,653,599, respectively) | 206,462,163 | 203,906,525 |
Net unrealized gain on open forward currency contracts | 17,331,485 | 0 |
Interest receivable | 416,871 | 635,953 |
Total assets | 330,613,762 | 316,235,558 |
LIABILITIES | ||
Accounts payable | 307,402 | 327,900 |
Management fee payable | 1,035,268 | 995,719 |
Payable for securities purchased | 3,194,801 | 0 |
Net unrealized loss on open forward currency contracts | 0 | 2,663,677 |
Accrued commissions and other trading fees on open contracts | 95,143 | 183,841 |
Offering costs payable | 119,659 | 114,869 |
Redemptions payable | 4,859,322 | 2,442,931 |
Total liabilities | 9,611,595 | 6,728,937 |
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Total unitholders' capital (Net Asset Value) | 321,002,167 | 309,506,621 |
Total liabilities and unitholders' capital (Net Asset Value) | 330,613,762 | 316,235,558 |
Series A Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | 251,707,605 | 243,974,281 |
Series B Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | 37,829,362 | 36,551,654 |
Series D Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | 4,311,179 | 3,507,300 |
Series W Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | $ 27,154,021 | $ 25,473,386 |
STATEMENTS OF FINANCIAL CONDI_2
STATEMENTS OF FINANCIAL CONDITION (Unaudited) (Parenthetical) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 |
Equity in futures brokers trading accounts | ||
Fixed income securities, cost | $ 50,375,523 | $ 53,635,500 |
Short term investments, cost | 8,998 | 4,780 |
Fixed income securities, cost | $ 208,091,354 | $ 203,653,599 |
Series A Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 93,078.451 | 95,005.038 |
Series B Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 12,765.840 | 13,005.349 |
Series D Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 3,917.158 | 3,366.350 |
Series W Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 8,450.378 | 8,389.889 |
STATEMENTS OF OPERATIONS (Unaud
STATEMENTS OF OPERATIONS (Unaudited) - USD ($) | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Futures trading gains (losses) | ||
Realized | $ (17,005,356) | $ 11,332,347 |
Change in unrealized | 13,201,950 | 7,608,895 |
Brokerage commissions | (593,239) | (510,955) |
Net gain (loss) from futures trading | (4,396,645) | 18,430,287 |
Forward currency trading gains (losses) | ||
Realized | 5,155,862 | 7,832,537 |
Change in unrealized | 19,995,162 | (11,358,215) |
Brokerage commissions | (40,206) | (67,001) |
Net gain (loss) from forward currency trading | 25,110,818 | (3,592,679) |
Total net trading gain (loss) | 20,714,173 | 14,837,608 |
Investment income (loss) | ||
Interest income | 1,451,917 | 2,035,444 |
Realized gain (loss) on fixed income securities | 13,325 | 518 |
Change in unrealized gain (loss) on fixed income securities | (1,826,548) | 457,530 |
Total investment income (loss) | (361,306) | 2,493,492 |
Expenses | ||
Management fee | 3,135,806 | 3,169,297 |
Operating expenses | 229,608 | 263,524 |
Total expenses | 3,365,414 | 3,432,821 |
Net investment income (loss) | (3,726,720) | (939,329) |
NET INCOME (LOSS) | $ 16,987,453 | $ 13,898,279 |
Series A [Member] | ||
NET INCOME (LOSS) PER OTHER UNITHOLDERS' UNIT | ||
NET INCOME (LOSS) PER OTHER UNITHOLDERS' UNIT (based on weighted average number of units outstanding during the period) (in dollars per unit) | $ 140.53 | $ 100.68 |
INCREASE (DECREASE) IN NET ASSET VALUE PER OTHER UNITHOLDERS' UNIT (in dollars per unit) | $ 136.24 | $ 100.41 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 94,522.042 | 108,849.717 |
Series B [Member] | ||
NET INCOME (LOSS) PER OTHER UNITHOLDERS' UNIT | ||
NET INCOME (LOSS) PER OTHER UNITHOLDERS' UNIT (based on weighted average number of units outstanding during the period) (in dollars per unit) | $ 153.56 | $ 106.90 |
INCREASE (DECREASE) IN NET ASSET VALUE PER OTHER UNITHOLDERS' UNIT (in dollars per unit) | $ 152.82 | $ 113.23 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 12,972.774 | 15,312.285 |
Series D [Member] | ||
NET INCOME (LOSS) PER OTHER UNITHOLDERS' UNIT | ||
NET INCOME (LOSS) PER OTHER UNITHOLDERS' UNIT (based on weighted average number of units outstanding during the period) (in dollars per unit) | $ 54.93 | $ 45.29 |
INCREASE (DECREASE) IN NET ASSET VALUE PER OTHER UNITHOLDERS' UNIT (in dollars per unit) | $ 58.72 | $ 44.07 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 3,629.866 | 1,569.589 |
Series W [Member] | ||
NET INCOME (LOSS) PER OTHER UNITHOLDERS' UNIT | ||
NET INCOME (LOSS) PER OTHER UNITHOLDERS' UNIT (based on weighted average number of units outstanding during the period) (in dollars per unit) | $ 180.16 | $ 133.18 |
INCREASE (DECREASE) IN NET ASSET VALUE PER OTHER UNITHOLDERS' UNIT (in dollars per unit) | $ 177.15 | $ 131.35 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 8,395.537 | 9,241.854 |
STATEMENTS OF CASH FLOWS (Unaud
STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Cash flows from (for) operating activities | ||
Net income (loss) | $ 16,987,453 | $ 13,898,279 |
Adjustments to reconcile net income (loss) to net cash from (for) operating activities | ||
Net change in unrealized on futures, forwards and investments | (31,370,564) | 3,291,790 |
(Increase) decrease in interest receivable | 219,082 | 269,470 |
Increase (decrease) in payable for securities purchased | 3,194,801 | 1,895,106 |
Increase (decrease) in accounts payable and accrued expenses | (69,647) | 19,124 |
Purchases of investments | (805,520,518) | (902,961,960) |
Sales/maturities of investments | 804,338,522 | 910,393,255 |
Net cash from (for) operating activities | (12,220,871) | 26,805,064 |
Cash flows from (for) financing activities | ||
Addition of units | 3,220,581 | 1,088,823 |
Redemption of units | (5,934,095) | (27,107,021) |
Offering costs paid | (357,212) | (366,791) |
Net cash from (for) financing activities | (3,070,726) | (26,384,989) |
Net increase (decrease) in cash, cash equivalents and restricted cash | (15,291,597) | 420,075 |
Cash, cash equivalents and restricted cash at beginning of period | 66,186,710 | 67,746,528 |
Cash, cash equivalents and restricted cash at end of period | $ 50,895,113 | $ 68,166,603 |
STATEMENTS OF CASH FLOWS (Una_2
STATEMENTS OF CASH FLOWS (Unaudited) (Parenthetical) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Dec. 31, 2018 |
Cash, cash equivalents and restricted cash at end of period consists of: | ||||
Cash in futures brokers trading accounts | $ 23,138,099 | $ 15,751,729 | ||
Restricted cash in futures brokers trading accounts | 1,700,164 | 4,648,990 | ||
Cash and cash equivalents | 26,056,850 | 15,970,752 | ||
Restricted cash at interbank market maker | 0 | 29,815,239 | ||
Total cash, cash equivalents and restricted cash at end of period | $ 50,895,113 | $ 66,186,710 | $ 68,166,603 | $ 67,746,528 |
STATEMENTS OF CHANGES IN UNITHO
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE) (Unaudited) - USD ($) | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Balances at beginning of period | $ 309,506,621 | $ 333,891,934 |
Net income (loss) | 16,987,453 | 13,898,279 |
Additions | 3,220,581 | 1,088,823 |
Redemptions | (8,350,486) | (25,690,681) |
Offering costs | (362,002) | (410,397) |
Balances at end of period | 321,002,167 | 322,777,958 |
Series A [Member] | Other Unitholders [Member] | ||
Balances at beginning of period | $ 243,974,281 | $ 265,715,642 |
Balances at beginning of period (in units) | 95,005.038 | 111,488.756 |
Net income (loss) | $ 13,283,425 | $ 10,959,406 |
Additions | $ 1,036,884 | $ 966,271 |
Additions (in units) | 380.679 | 402.786 |
Redemptions | $ (6,263,995) | $ (19,795,854) |
Redemptions (in units) | (2,307.266) | (8,230.105) |
Offering costs | $ (322,990) | $ (376,105) |
Balances at end of period | $ 251,707,605 | $ 257,469,360 |
Balances at end of period (in units) | 93,078.451 | 103,661.437 |
Series B [Member] | Other Unitholders [Member] | ||
Balances at beginning of period | $ 36,551,654 | $ 40,954,227 |
Balances at beginning of period (in units) | 13,005.349 | 15,779.825 |
Net income (loss) | $ 1,992,123 | $ 1,636,947 |
Additions | $ 0 | $ 78,844 |
Additions (in units) | 0 | 29.1090 |
Redemptions | $ (714,415) | $ (4,411,610) |
Redemptions (in units) | (239.509) | (1,684.043) |
Offering costs | $ 0 | $ 0 |
Balances at end of period | $ 37,829,362 | $ 38,258,408 |
Balances at end of period (in units) | 12,765.840 | 14,124.891 |
Series D [Member] | Other Unitholders [Member] | ||
Balances at beginning of period | $ 3,507,300 | $ 1,517,078 |
Balances at beginning of period (in units) | 3,366.350 | 1,569.589 |
Net income (loss) | $ 199,390 | $ 71,088 |
Additions | $ 713,740 | $ 0 |
Additions (in units) | 645.496 | 0 |
Redemptions | $ (104,213) | $ 0 |
Redemptions (in units) | (94.688) | 0 |
Offering costs | $ (5,038) | $ (1,923) |
Balances at end of period | $ 4,311,179 | $ 1,586,243 |
Balances at end of period (in units) | 3,917.158 | 1,569.589 |
Series W [Member] | Other Unitholders [Member] | ||
Balances at beginning of period | $ 25,473,386 | $ 25,704,987 |
Balances at beginning of period (in units) | 8,389.889 | 9,306.953 |
Net income (loss) | $ 1,512,515 | $ 1,230,838 |
Additions | $ 1,469,957 | $ 43,708 |
Additions (in units) | 454.565 | 16.012 |
Redemptions | $ (1,267,863) | $ (1,483,217) |
Redemptions (in units) | (394.076) | (521.852) |
Offering costs | $ (33,974) | $ (32,369) |
Balances at end of period | $ 27,154,021 | $ 25,463,947 |
Balances at end of period (in units) | 8,450.378 | 8,801.113 |
STATEMENTS OF CHANGES IN UNIT_2
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE) (Unaudited) (Parenthetical) - $ / shares | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Dec. 31, 2018 |
Series A [Member] | ||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | $ 2,704.25 | $ 2,568.01 | $ 2,483.75 | $ 2,383.34 |
Series B [Member] | ||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | 2,963.33 | 2,810.51 | 2,708.58 | 2,595.35 |
Series D [Member] | ||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | 1,100.59 | 1,041.87 | 1,010.61 | 966.54 |
Series W [Member] | ||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | $ 3,213.35 | $ 3,036.20 | $ 2,893.26 | $ 2,761.91 |
FINANCIAL HIGHLIGHTS (Unaudited
FINANCIAL HIGHLIGHTS (Unaudited) - $ / shares | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | ||
Series A [Member] | |||
Per Unit Performance (for a unit outstanding throughout the entire period) | |||
Net asset value per unit at beginning of period (in dollars per unit) | $ 2,568.01 | $ 2,383.34 | |
Income (loss) from operations: | |||
Total net trading gains (losses) (in dollars per unit) | [1] | 171.88 | 111.71 |
Net investment income (loss) (in dollars per unit) | [1] | (32.22) | (7.84) |
Total net income (loss) from operations (in dollars per unit) | 139.66 | 103.87 | |
Offering costs (in dollars per unit) | [1] | (3.42) | (3.46) |
Net asset value per unit at end of period (in dollars per unit) | $ 2,704.25 | $ 2,483.75 | |
Total Return | [2] | 5.31% | 4.21% |
Ratios to average net asset value: | |||
Expenses prior to performance fee | [3] | 4.36% | 4.37% |
Performance fee | [2] | 0.00% | 0.00% |
Total expenses | 4.36% | 4.37% | |
Net investment income (loss) | [3],[4] | (4.80%) | (1.31%) |
Series B [Member] | |||
Per Unit Performance (for a unit outstanding throughout the entire period) | |||
Net asset value per unit at beginning of period (in dollars per unit) | $ 2,810.51 | $ 2,595.35 | |
Income (loss) from operations: | |||
Total net trading gains (losses) (in dollars per unit) | [5] | 188.08 | 121.76 |
Net investment income (loss) (in dollars per unit) | [5] | (35.26) | (8.53) |
Total net income (loss) from operations (in dollars per unit) | 152.82 | 113.23 | |
Net asset value per unit at end of period (in dollars per unit) | $ 2,963.33 | $ 2,708.58 | |
Total Return | [2] | 5.44% | 4.36% |
Ratios to average net asset value: | |||
Expenses prior to performance fee | [3] | 4.36% | 4.40% |
Performance fee | [2] | 0.00% | 0.00% |
Total expenses | 4.36% | 4.40% | |
Net investment income (loss) | [3],[4] | (4.80%) | (1.32%) |
Series D [Member] | |||
Per Unit Performance (for a unit outstanding throughout the entire period) | |||
Net asset value per unit at beginning of period (in dollars per unit) | $ 1,041.87 | $ 966.54 | |
Income (loss) from operations: | |||
Total net trading gains (losses) (in dollars per unit) | [1] | 70.16 | 45.44 |
Net investment income (loss) (in dollars per unit) | [1] | (10.05) | (0.14) |
Total net income (loss) from operations (in dollars per unit) | 60.11 | 45.30 | |
Offering costs (in dollars per unit) | [1] | (1.39) | (1.23) |
Net asset value per unit at end of period (in dollars per unit) | $ 1,100.59 | $ 1,010.61 | |
Total Return | [2] | 5.64% | 4.56% |
Ratios to average net asset value: | |||
Expenses prior to performance fee | [3] | 3.04% | 3.09% |
Performance fee | [2] | 0.00% | 0.00% |
Total expenses | 3.04% | 3.09% | |
Net investment income (loss) | [3],[4] | (3.64%) | (0.06%) |
Series W [Member] | |||
Per Unit Performance (for a unit outstanding throughout the entire period) | |||
Net asset value per unit at beginning of period (in dollars per unit) | $ 3,036.20 | $ 2,761.91 | |
Income (loss) from operations: | |||
Total net trading gains (losses) (in dollars per unit) | [1] | 203.49 | 129.99 |
Net investment income (loss) (in dollars per unit) | [1] | (22.29) | 4.86 |
Total net income (loss) from operations (in dollars per unit) | 181.20 | 134.85 | |
Offering costs (in dollars per unit) | [1] | (4.05) | (3.50) |
Net asset value per unit at end of period (in dollars per unit) | $ 3,213.35 | $ 2,893.26 | |
Total Return | [2] | 5.83% | 4.76% |
Ratios to average net asset value: | |||
Expenses prior to performance fee | [3] | 2.32% | 2.34% |
Performance fee | [2] | 0.00% | 0.00% |
Total expenses | 2.32% | 2.34% | |
Net investment income (loss) | [3],[4] | (2.80%) | 0.70% |
[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] | Not annualized. | ||
[3] | Annualized. | ||
[4] | Excludes performance fee. | ||
[5] | Net investment income (loss) per unit is calculated by dividing the net investment income (loss) by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. |
ORGANIZATION AND SUMMARY OF SIG
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | 3 Months Ended |
Mar. 31, 2020 | |
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES [Abstract] | |
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | 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 and forward currency 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 1G, Note 1I, Note 2 and Note 6 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. These financial statements should be read in conjunction with the financial statements and notes thereto included in the Trust’s Annual Report on Form 10-K filed with the SEC for the year ended December 31, 2019. All adjustments of a normal recurring nature considered necessary for a fair presentation have been included herein. 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 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. Net 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 the 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 fixed income investments are marked to market on the last business day of the reporting period by the Administrator 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 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 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. 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, 2020 and December 31, 2019, and for the periods ended March 31, 2020 and 2019 the Trust did not have any Level 3 assets or liabilities. 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, 2020 and December 31, 2019. Fair Value at March 31, 2020 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 8,998 $ 0 $ 0 $ 8,998 Fixed income securities 0 256,899,282 0 256,899,282 Other Financial Instruments Exchange-traded futures contracts 5,062,013 0 0 5,062,013 Forward currency contracts 0 17,331,485 0 17,331,485 Total $ 5,071,011 $ 274,230,767 $ 0 $ 279,301,778 Fair Value at December 31, 2019 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 4,780 $ 0 $ 0 $ 4,780 Fixed income securities 0 257,548,052 0 257,548,052 Other Financial Instruments Exchange-traded futures contracts (8,139,937 ) 0 0 (8,139,937 ) Forward currency contracts 0 (2,663,677 ) 0 (2,663,677 ) Total $ (8,135,157 ) $ 254,884,375 $ 0 $ 246,749,218 The gross presentation of the fair value of the Trust’s derivatives by instrument type is shown in Note 9. 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 information 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 2016 through 2019 tax years generally remain subject to examination by the U.S. federal and most state tax authorities. 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, 2020 and December 31, 2019, the amount of unreimbursed offering costs incurred by Campbell & Company is $269,003 and $245,152 for Series A units, $85,196 and $78,736 for Series D units and $248,183 and $240,264 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 August 2018, the FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement. The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Campbell & Company has adopted the new guidance, and management has determined its adoption has no material impact on the Trust’s financial statement disclosures. In July 2019, the FASB issued ASU 2019-07, Codification Updates to SEC Sections – Amendments to SEC Paragraphs Pursuant to SEC Final Rule Releases No. 33-10532, Disclosure Update and Simplification, and Nos. 33-10231 and 33-10442, Investment Company Reporting Modernization, and Miscellaneous Updates. The primary focus of ASU 2019-07 is to clarify amendments made by the SEC with the intention of facilitating the disclosure of information to investors and simplifying compliance without significantly altering the total mix of information provided to investors. As a result of these amendments, an analysis of changes in equity is required for the current and comparative interim periods, with subtotals for each interim period. Campbell & Company has adopted the new guidance, and management has determined its adoption has no material impact on the Trust’s financial statement disclosures. K. Reclassification Certain 2019 amounts in the Notes to the Financial Statements were reclassified to conform with the 2020 presentation. Specifically, trading gains and losses in Note 9 were reclassified to include and disclose the amounts of gains and losses on foreign currency cash balances at the futures brokers. |
MANAGING OPERATOR AND COMMODITY
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR | 3 Months Ended |
Mar. 31, 2020 | |
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR [Abstract] | |
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR | 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 and Series B units pay the managing operator a monthly management fee equal to 1/12 of 4% (4% annually) of the Net Assets (as defined) of Series A units and Series B units, respectively, as of the end of each month. Series D units pay the managing operator a monthly management fee equal to 1/12 of 2.75% (2.75% annually) of the Net Assets (as defined) of Series D units as of the end of each month. 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 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. |
TRUSTEE
TRUSTEE | 3 Months Ended |
Mar. 31, 2020 | |
TRUSTEE [Abstract] | |
TRUSTEE | Note 3. 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. |
ADMINISTRATOR AND TRANSFER AGEN
ADMINISTRATOR AND TRANSFER AGENT | 3 Months Ended |
Mar. 31, 2020 | |
ADMINISTRATOR AND TRANSFER AGENT [Abstract] | |
ADMINISTRATOR AND TRANSFER AGENT | Note 4. ADMINISTRATOR AND TRANSFER AGENT Effective January 1, 2020, NAV Consulting, Inc. serves as the Administrator for 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. Prior to January 1, 2020, Northern Trust Hedge Fund Services LLC served as the Administrator of the Trust. 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. |
CASH MANAGER AND CUSTODIAN
CASH MANAGER AND CUSTODIAN | 3 Months Ended |
Mar. 31, 2020 | |
CASH MANAGER AND CUSTODIAN [Abstract] | |
CASH MANAGER AND CUSTODIAN | Note 5. 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 has 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 its custody account at the custodian. The cash manager will have no beneficial or other interest in the securities and cash in such custody account. |
DEPOSITS WITH FUTURES BROKERS
DEPOSITS WITH FUTURES BROKERS | 3 Months Ended |
Mar. 31, 2020 | |
DEPOSITS WITH FUTURES BROKERS [Abstract] | |
DEPOSITS WITH FUTURES BROKERS | Note 6. DEPOSITS WITH FUTURES BROKERS The Trust deposits assets with UBS Securities LLC and Goldman Sachs & Co. LLC as the futures brokers, subject to Commodity Futures Trading Commission regulations and various exchange and futures broker requirements. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with such futures brokers. The Trust typically earns interest income on its assets deposited with the futures brokers. |
DEPOSITS WITH INTERBANK MARKET
DEPOSITS WITH INTERBANK MARKET MAKER | 3 Months Ended |
Mar. 31, 2020 | |
DEPOSITS WITH INTERBANK MARKET MAKER [Abstract] | |
DEPOSITS WITH INTERBANK MARKET MAKER | Note 7. DEPOSITS WITH INTERBANK MARKET MAKER The Trust’s counterparty with regard to its forward currency transactions is NatWest Markets plc (“NatWest”). The Trust has entered into an International Swaps and Derivatives Association Master Agreement (“ISDA Agreement”) with NatWest which governs these transactions. The credit ratings reported by the three major rating agencies for NatWest were considered investment grade as of March 31, 2020. Margin requirements are satisfied by the deposit of cash with NatWest. The Trust typically earns interest income on its assets deposited with NatWest. |
SUBSCRIPTIONS, DISTRIBUTIONS AN
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS | 3 Months Ended |
Mar. 31, 2020 | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS [Abstract] | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS | Note 8. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS Investments in the Trust are made by subscription agreement, subject to acceptance by Campbell & Company. The Trust is not required to make distributions, but may do so at the sole discretion of Campbell & Company. A unitholder may request and receive redemption of units owned, subject to restrictions in the Declaration of Trust and Trust Agreement. Units are transferable, but no market exists for their sale and none is expected to develop. Monthly redemptions are permitted upon ten (10) business days advance written notice to Campbell & Company. Redemption fees, which are paid to Campbell & Company, apply to Series A units through the first twelve month-ends following purchase (the month-end as of which the unit is purchased is counted as the first month-end) as follows: 1.833% of Net Asset Value per unit redeemed through the second month-end, 1.666% of Net Asset Value per unit redeemed through the third month-end, 1.500% of Net Asset Value per unit redeemed through the fourth month-end, 1.333% of Net Asset Value per unit redeemed through the fifth month-end, 1.167% of Net Asset Value per unit redeemed through the sixth month-end, 1.000% of Net Asset Value per unit redeemed through the seventh month-end, 0.833% of Net Asset Value per unit redeemed through the eighth month-end, 0.667% of Net Asset Value per unit redeemed through the ninth month-end, 0.500% of Net Asset Value per unit redeemed through the tenth month-end, 0.333% of Net Asset Value per unit redeemed through the eleventh month-end and 0.167% of Net Asset Value per unit redeemed through the twelfth month end. For the three months ended March 31, 2020 and 2019, Campbell & Company received redemption fees of $0 and $36, respectively. |
TRADING ACTIVITIES AND RELATED
TRADING ACTIVITIES AND RELATED RISKS | 3 Months Ended |
Mar. 31, 2020 | |
TRADING ACTIVITIES AND RELATED RISKS [Abstract] | |
TRADING ACTIVITIES AND RELATED RISKS | Note 9. TRADING ACTIVITIES AND RELATED RISKS The Trust engages in the speculative trading of U.S. and foreign futures contracts and forward currency contracts (collectively, “derivatives”). Specifically, the Trust trades a portfolio focused on futures and forward contracts, which are instruments designed to hedge changes in interest rates, currency exchange rates, stock index values, metals, energy and agriculture values. The Trust is exposed to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract. Market Risk For derivatives, risks arise from changes in the fair value of the contracts. Market movements result in frequent changes in the fair value of the Trust’s open positions and, consequently, in its earnings and cash flow. The Trust’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the fair value of financial instruments and contracts, the diversification effects among the Trust’s open positions and the liquidity of the markets in which it trades. Theoretically, the Trust is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. See Note 1.C. for an explanation of how the Trust determines its valuation for derivatives as well as the netting of derivatives. The Trust adopted the provisions of ASC 815, Derivatives and Hedging, (“ASC 815”). ASC 815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entity’s financial position, financial performance and cash flows. The following tables summarize quantitative information required by ASC 815. The fair value of the Trust’s derivatives by instrument type, as well as the location of those instruments on the Statements of Financial Condition, as of March 31, 2020 and December 31, 2019 is as follows: Type of Instrument * Statements of Financial Condition Location Asset Derivatives at March 31, 2020 Fair Value Liability Derivatives at March 31, 2020 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 500,486 $ (439,339 ) $ 61,147 Energy Contracts Net unrealized gain (loss) on open futures contracts 850,234 (7,019 ) 843,215 Metal Contracts Net unrealized gain (loss) on open futures contracts 16,772,328 (10,579,842 ) 6,192,486 Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 139,119 (1,892,075 ) (1,752,956 ) Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 268,261 (214,402 ) 53,859 Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 1,007,114 (1,342,852 ) (335,738 ) Forward Currency Contracts Net unrealized gain (loss) on open Forward Currency Contracts 54,499,080 (37,167,595 ) 17,331,485 Totals $ 74,036,622 $ (51,643,124 ) $ 22,393,498 * Derivatives not designated as hedging instruments under ASC 815 Type of Instrument * Statements of Financial Condition Location Asset Derivatives at December 31, 2019 Fair Value Liability Derivatives at December 31, 2019 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 193,039 $ (2,931,321 ) $ (2,738,282 ) Energy Contracts Net unrealized gain (loss) on open futures contracts 1,761,936 (275,743 ) 1,486,193 Metal Contracts Net unrealized gain (loss) on open futures contracts 5,593,742 (8,006,981 ) (2,413,239 ) Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 1,340,862 (1,169,714 ) 171,148 Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 314,422 (1,080,128 ) (765,706 ) Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 1,421,030 (5,301,081 ) (3,880,051 ) Forward Currency Contracts Net unrealized gain (loss) on open Forward Currency Contracts 23,303,459 (25,967,136 ) (2,663,677 ) Totals $ 33,928,490 $ (44,732,104 ) $ (10,803,614 ) * Derivatives not designated as hedging instruments under ASC 815 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 ended March 31, 2020 and 2019 is as follows: Type of Instrument Trading Gains/(Losses) for the Three Months Ended March 31, 2020 Trading Gains/(Losses) for the Three Months Ended March 31, 2019 Agriculture Contracts $ 3,712,427 $ 852,719 Energy Contracts 9,953,259 (4,099,499 ) Metal Contracts 8,243,449 (1,676,556 ) Stock Indices Contracts (44,993,303 ) 7,931,870 Short-Term Interest Rate Contracts 15,241,726 4,294,530 Long-Term Interest Rate Contracts 4,039,036 11,638,178 Forward Currency Contracts 25,151,024 (3,525,678 ) Total $ 21,347,618 $ 15,415,564 Line Item in the Statements of Operations Trading Gains/(Losses) for the Three Months Ended March 31, 2020 Trading Gains/(Losses) for the Three Months Ended March 31, 2019 Futures trading gains (losses): Realized** $ (17,005,356 ) $ 11,332,347 Change in unrealized 13,201,950 7,608,895 Forward currency trading gains (losses): Realized** 5,155,862 7,832,537 Change in unrealized 19,995,162 (11,358,215 ) Total $ 21,347,618 $ 15,415,564 ** For the three months ended March 31, 2020 and 2019, the amounts above include gains and losses on foreign currency cash balances at the futures brokers of $52,869 and $ 93,045, respectively; and gains and losses on spot trades in connection with forward currency trading at the interbank market makers of $1,697,113 and $ 0, respectively. For the three months ended and 2019, the monthly average of futures contracts bought and sold was approximately 59,900 and 49,200, respectively, and the monthly average of notional value of forward currency contracts was $2,326,700,000 and $3,493,300,000, respectively Open contracts generally mature within three months; as of March 31, 2020, the latest maturity date for open futures contracts is June 2021 and the latest maturity date for open forward currency contracts is June 2020. However, the Trust intends to close all futures and forward currency contracts prior to maturity. Credit Risk The Trust trades futures contracts on exchanges that require margin deposits with the futures brokers. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a futures broker to segregate all customer transactions and assets from such futures broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury Bills) deposited with a futures broker are considered commingled with all other customer funds subject to the futures broker’s segregation requirements. In the event of a futures broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than total cash and other property deposited. The Trust trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with forward currency contracts are generally greater than those associated with exchange traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency contracts typically involves delayed cash settlement. The Trust has a portion of its assets on deposit with PNC Bank. In the event of a financial institution’s insolvency, recovery of the Trust’s assets on deposit may be limited to account insurance or other protection afforded such deposits. Under the terms of the ISDA Agreement with NatWest, upon the designation of an Event of Default, as defined in the ISDA Agreement, the non-defaulting party may set-off any sum or obligation owed by the defaulting party to the non-defaulting party against any sum or obligation owed by the non-defaulting party to the defaulting party. If any sum or obligation is unascertained, the non-defaulting party may in good faith estimate that sum or obligation and set-off in respect to that estimate, accounting to the other party when such sum or obligation is ascertained. Under the terms of each of the master netting agreement with UBS Securities and Goldman Sachs, upon occurrence of a default by the Trust, as defined in respective account documents, UBS Securities and Goldman Sachs have the right to close out any or all open contracts held in the Trust’s account; sell any or all of the securities held; and borrow or buy any securities, contracts or other property for the Trust’s account. The Trust would be liable for any deficiency in its account resulting from such transactions. The amount of required margin and good faith deposits with the futures broker and interbank market maker usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at March 31, 2020 and December 31, 2019 was $50,437,119 and $53,641,527, respectively, which equals approximately 16% and 17% of Net Asset Value, respectively. The cash deposited with the interbank market maker at March 31, 2020 and December 31, 2019 was $24,153,417 and 44,667,046, respectively, which equals approximately 8% and 14% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents. Included in cash deposits with the futures brokers and interbank market maker at March 31, 2020 and December 31, 2019 was restricted cash for margin requirements of $1,700,164 and $34,464,229, respectively, which equals approximately 1% and 11% of Net Asset Value, respectively. Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for offset in the Statements of Financial Condition and instruments and transactions that are subject to a master netting agreement as well as amounts related to financial collateral (including U.S. Treasury Bills and cash collateral) held at clearing brokers and counterparties. Margin reflected in the collateral tables is limited to the net amount of unrealized loss at each counterparty. Actual margin amounts required at each counterparty are based on the notional amounts or the number of contracts outstanding and may exceed the margin presented in the collateral tables. Offsetting of Derivative Assets by Counterparty As of March 31, 2020 Type of Instrument Counterparty Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 9,810,206 $ (7,450,207 ) $ 2,359,999 Futures contracts Goldman Sachs & Co. LLC 9,727,336 (7,025,322 ) 2,702,014 Forward currency contracts NatWest Markets plc 54,499,080 (37,167,595 ) 17,331,485 Total derivatives $ 74,036,622 $ (51,643,124 ) $ 22,393,498 Derivative Assets and Collateral Received by Counterparty As of March 31, 2020 Counterparty Net Amounts of Unrealized Gain in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Financial Instruments Cash Collateral Received Net Amount UBS Securities LLC $ 2,359,999 $ 0 $ 0 $ 2,359,999 Goldman Sachs & Co. LLC 2,702,014 0 0 2,702,014 NatWest Markets plc 17,331,485 0 0 17,331,485 Total $ 22,393,498 $ 0 $ 0 $ 22,393,498 Offsetting of Derivative Liabilities by Counterparty As of March 31, 2020 Type of Instrument Counterparty Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 7,450,207 $ (7,450,207 ) $ 0 Futures contracts Goldman Sachs & Co. LLC 7,025,322 (7,025,322 ) 0 Forward currency contracts NatWest Markets plc 37,167,595 (37,167,595 ) 0 Total derivatives $ 51,643,124 $ (51,643,124 ) $ 0 Derivative Liabilities and Collateral Pledged by Counterparty As of March 31, 2020 Counterparty Net Amounts of Unrealized loss in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Net Amount Financial Instruments Cash Collateral Pledged UBS Securities LLC $ 0 $ 0 $ 0 $ 0 Goldman Sachs & Co. LLC 0 0 0 0 NatWest Markets plc 0 0 0 0 Total $ 0 $ 0 $ 0 $ 0 Offsetting of Derivative Assets by Counterparty As of December 31, 2019 Type of Instrument Counterparty Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 5,396,065 $ (5,396,065 ) $ 0 Futures contracts Goldman Sachs & Co. LLC 5,228,966 (5,228,966 ) 0 Forward currency contracts NatWest Markets plc 23,303,459 (23,303,459 ) 0 Total derivatives $ 33,928,490 $ (33,928,490 ) $ 0 Derivative Assets and Collateral Received by Counterparty As of December 31, 2019 Counterparty Net Amounts of Unrealized Gain in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Financial Instruments Cash Collateral Received Net Amount UBS Securities LLC $ 0 $ 0 $ 0 $ 0 Goldman Sachs & Co. LLC 0 0 0 0 NatWest Markets plc 0 0 0 0 Total $ 0 $ 0 $ 0 $ 0 Offsetting of Derivative Liabilities by Counterparty As of December 31, 2019 Type of Instrument Counterparty Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 9,348,737 $ (5,396,065 ) $ 3,952,672 Futures contracts Goldman Sachs & Co. LLC 9,416,231 (5,228,966 ) 4,187,265 Forward currency contracts NatWest Markets plc 25,967,136 (23,303,459 ) 2,663,677 Total derivatives $ 44,732,104 $ (33,928,490 ) $ 10,803,614 Derivative Liabilities and Collateral Pledged by Counterparty As of December 31, 2019 Counterparty Net Amounts of Unrealized loss in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Financial Instruments Cash Collateral Pledged Net Amount UBS Securities LLC $ 3,952,672 $ 0 $ (3,952,672 ) $ 0 Goldman Sachs & Co. LLC 4,187,265 0 (4,187,265 ) 0 NatWest Markets plc 2,663,677 0 (2,663,677 ) 0 Total $ 10,803,614 $ 0 $ (10,803,614 ) $ 0 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. |
INDEMNIFICATIONS
INDEMNIFICATIONS | 3 Months Ended |
Mar. 31, 2020 | |
INDEMNIFICATIONS [Abstract] | |
INDEMNIFICATIONS | Note 10. 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. |
INTERIM FINANCIAL STATEMENTS
INTERIM FINANCIAL STATEMENTS | 3 Months Ended |
Mar. 31, 2020 | |
INTERIM FINANCIAL STATEMENTS [Abstract] | |
INTERIM FINANCIAL STATEMENTS | Note 11. INTERIM FINANCIAL STATEMENTS The Statements of Financial Condition, including the Condensed Schedules of Investments, as of March 31, 2020 and December 31, 2019, the Statements of Operations and Financial Highlights for the three months ended March 31, 2020 and 2019, and the Statements of Cash Flows and Changes in Unitholders’ Capital (Net Asset Value) for the three months ended March 31, 2020 and 2019 are unaudited. In the opinion of management, such financial statements reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of financial position as of March 31, 2020 and December 31, 2019, the results of operations and financial highlights for the three months ended March 31, 2020 and 2019, and cash flows and changes in unitholders’ capital (Net Asset Value) for the three months ended March 31, 2020 and 2019. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 3 Months Ended |
Mar. 31, 2020 | |
SUBSEQUENT EVENTS [Abstract] | |
SUBSEQUENT EVENTS | Note 12. SUBSEQUENT EVENTS The impact of the coronavirus (“COVID-19”) outbreak on the financial performance of the Trust’s investments will depend on future developments, including the duration and spread of the outbreak and related advisories and restrictions. These developments and the impact of COVID-19 on the financial markets and the overall economy are highly uncertain and cannot be predicted. If the financial markets and/or the overall economy are impacted for an extended period, the Trust’s ability to trade and investment results may be materially affected. Management of the Trust has evaluated subsequent events through the date the financial statements were filed. There are no other subsequent events to disclose or record. |
ORGANIZATION AND SUMMARY OF S_2
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Policies) | 3 Months Ended |
Mar. 31, 2020 | |
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES [Abstract] | |
Basis of Accounting | 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. |
Investments | 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 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. Net 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 the 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 fixed income investments are marked to market on the last business day of the reporting period by the Administrator 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. |
Net Asset Value per Unit | 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. |
Fair Value | D. Fair Value The Trust follows the provisions of ASC 820, “Fair Value Measurements and Disclosures.” 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 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. 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, 2020 and December 31, 2019, and for the periods ended March 31, 2020 and 2019 the Trust did not have any Level 3 assets or liabilities. 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, 2020 and December 31, 2019. Fair Value at March 31, 2020 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 8,998 $ 0 $ 0 $ 8,998 Fixed income securities 0 256,899,282 0 256,899,282 Other Financial Instruments Exchange-traded futures contracts 5,062,013 0 0 5,062,013 Forward currency contracts 0 17,331,485 0 17,331,485 Total $ 5,071,011 $ 274,230,767 $ 0 $ 279,301,778 Fair Value at December 31, 2019 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 4,780 $ 0 $ 0 $ 4,780 Fixed income securities 0 257,548,052 0 257,548,052 Other Financial Instruments Exchange-traded futures contracts (8,139,937 ) 0 0 (8,139,937 ) Forward currency contracts 0 (2,663,677 ) 0 (2,663,677 ) Total $ (8,135,157 ) $ 254,884,375 $ 0 $ 246,749,218 The gross presentation of the fair value of the Trust’s derivatives by instrument type is shown in Note 9. See Condensed Schedules of Investments for additional detail categorization. |
Cash and Cash Equivalents | E. Cash and Cash Equivalents Cash and cash equivalents includes cash and overnight money market investments at financial institutions. |
Income Taxes | F. Income Taxes The Trust prepares calendar year U.S. federal and applicable state information 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 2016 through 2019 tax years generally remain subject to examination by the U.S. federal and most state tax authorities. |
Offering Costs | 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, 2020 and December 31, 2019, the amount of unreimbursed offering costs incurred by Campbell & Company is $269,003 and $245,152 for Series A units, $85,196 and $78,736 for Series D units and $248,183 and $240,264 for Series W units, respectively. |
Foreign Currency Transactions | 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. |
Allocations | 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. |
Recently Issued Accounting Pronouncements | J. Recently Issued Accounting Pronouncements In August 2018, the FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement. The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Campbell & Company has adopted the new guidance, and management has determined its adoption has no material impact on the Trust’s financial statement disclosures. In July 2019, the FASB issued ASU 2019-07, Codification Updates to SEC Sections – Amendments to SEC Paragraphs Pursuant to SEC Final Rule Releases No. 33-10532, Disclosure Update and Simplification, and Nos. 33-10231 and 33-10442, Investment Company Reporting Modernization, and Miscellaneous Updates. The primary focus of ASU 2019-07 is to clarify amendments made by the SEC with the intention of facilitating the disclosure of information to investors and simplifying compliance without significantly altering the total mix of information provided to investors. As a result of these amendments, an analysis of changes in equity is required for the current and comparative interim periods, with subtotals for each interim period. Campbell & Company has adopted the new guidance, and management has determined its adoption has no material impact on the Trust’s financial statement disclosures. |
Reclassification | K. Reclassification Certain 2019 amounts in the Notes to the Financial Statements were reclassified to conform with the 2020 presentation. Specifically, trading gains and losses in Note 9 were reclassified to include and disclose the amounts of gains and losses on foreign currency cash balances at the futures brokers. |
ORGANIZATION AND SUMMARY OF S_3
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES [Abstract] | |
Investments Accounted for at Fair Value on a Recurring Basis | 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, 2020 and December 31, 2019. Fair Value at March 31, 2020 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 8,998 $ 0 $ 0 $ 8,998 Fixed income securities 0 256,899,282 0 256,899,282 Other Financial Instruments Exchange-traded futures contracts 5,062,013 0 0 5,062,013 Forward currency contracts 0 17,331,485 0 17,331,485 Total $ 5,071,011 $ 274,230,767 $ 0 $ 279,301,778 Fair Value at December 31, 2019 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 4,780 $ 0 $ 0 $ 4,780 Fixed income securities 0 257,548,052 0 257,548,052 Other Financial Instruments Exchange-traded futures contracts (8,139,937 ) 0 0 (8,139,937 ) Forward currency contracts 0 (2,663,677 ) 0 (2,663,677 ) Total $ (8,135,157 ) $ 254,884,375 $ 0 $ 246,749,218 |
TRADING ACTIVITIES AND RELATE_2
TRADING ACTIVITIES AND RELATED RISKS (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
TRADING ACTIVITIES AND RELATED RISKS [Abstract] | |
Fair Value of the Trust's Derivatives by Instrument Type and Location of Instruments on the Statements of Financial Condition | The following tables summarize quantitative information required by ASC 815. The fair value of the Trust’s derivatives by instrument type, as well as the location of those instruments on the Statements of Financial Condition, as of March 31, 2020 and December 31, 2019 is as follows: Type of Instrument * Statements of Financial Condition Location Asset Derivatives at March 31, 2020 Fair Value Liability Derivatives at March 31, 2020 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 500,486 $ (439,339 ) $ 61,147 Energy Contracts Net unrealized gain (loss) on open futures contracts 850,234 (7,019 ) 843,215 Metal Contracts Net unrealized gain (loss) on open futures contracts 16,772,328 (10,579,842 ) 6,192,486 Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 139,119 (1,892,075 ) (1,752,956 ) Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 268,261 (214,402 ) 53,859 Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 1,007,114 (1,342,852 ) (335,738 ) Forward Currency Contracts Net unrealized gain (loss) on open Forward Currency Contracts 54,499,080 (37,167,595 ) 17,331,485 Totals $ 74,036,622 $ (51,643,124 ) $ 22,393,498 * Derivatives not designated as hedging instruments under ASC 815 Type of Instrument * Statements of Financial Condition Location Asset Derivatives at December 31, 2019 Fair Value Liability Derivatives at December 31, 2019 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 193,039 $ (2,931,321 ) $ (2,738,282 ) Energy Contracts Net unrealized gain (loss) on open futures contracts 1,761,936 (275,743 ) 1,486,193 Metal Contracts Net unrealized gain (loss) on open futures contracts 5,593,742 (8,006,981 ) (2,413,239 ) Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 1,340,862 (1,169,714 ) 171,148 Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 314,422 (1,080,128 ) (765,706 ) Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 1,421,030 (5,301,081 ) (3,880,051 ) Forward Currency Contracts Net unrealized gain (loss) on open Forward Currency Contracts 23,303,459 (25,967,136 ) (2,663,677 ) Totals $ 33,928,490 $ (44,732,104 ) $ (10,803,614 ) * Derivatives not designated as hedging instruments under ASC 815 |
Trading Gains and Losses of the Trust's Derivatives by Instrument Type and Location of Gains and Losses on the Statements of Operations | 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 ended March 31, 2020 and 2019 is as follows: Type of Instrument Trading Gains/(Losses) for the Three Months Ended March 31, 2020 Trading Gains/(Losses) for the Three Months Ended March 31, 2019 Agriculture Contracts $ 3,712,427 $ 852,719 Energy Contracts 9,953,259 (4,099,499 ) Metal Contracts 8,243,449 (1,676,556 ) Stock Indices Contracts (44,993,303 ) 7,931,870 Short-Term Interest Rate Contracts 15,241,726 4,294,530 Long-Term Interest Rate Contracts 4,039,036 11,638,178 Forward Currency Contracts 25,151,024 (3,525,678 ) Total $ 21,347,618 $ 15,415,564 Line Item in the Statements of Operations Trading Gains/(Losses) for the Three Months Ended March 31, 2020 Trading Gains/(Losses) for the Three Months Ended March 31, 2019 Futures trading gains (losses): Realized** $ (17,005,356 ) $ 11,332,347 Change in unrealized 13,201,950 7,608,895 Forward currency trading gains (losses): Realized** 5,155,862 7,832,537 Change in unrealized 19,995,162 (11,358,215 ) Total $ 21,347,618 $ 15,415,564 ** For the three months ended March 31, 2020 and 2019, the amounts above include gains and losses on foreign currency cash balances at the futures brokers of $52,869 and $ 93,045, respectively; and gains and losses on spot trades in connection with forward currency trading at the interbank market makers of $1,697,113 and $ 0, respectively. |
Offsetting of Derivative Assets and Collateral Received by Counterparty | Offsetting of Derivative Assets by Counterparty As of March 31, 2020 Type of Instrument Counterparty Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 9,810,206 $ (7,450,207 ) $ 2,359,999 Futures contracts Goldman Sachs & Co. LLC 9,727,336 (7,025,322 ) 2,702,014 Forward currency contracts NatWest Markets plc 54,499,080 (37,167,595 ) 17,331,485 Total derivatives $ 74,036,622 $ (51,643,124 ) $ 22,393,498 Derivative Assets and Collateral Received by Counterparty As of March 31, 2020 Counterparty Net Amounts of Unrealized Gain in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Financial Instruments Cash Collateral Received Net Amount UBS Securities LLC $ 2,359,999 $ 0 $ 0 $ 2,359,999 Goldman Sachs & Co. LLC 2,702,014 0 0 2,702,014 NatWest Markets plc 17,331,485 0 0 17,331,485 Total $ 22,393,498 $ 0 $ 0 $ 22,393,498 Offsetting of Derivative Assets by Counterparty As of December 31, 2019 Type of Instrument Counterparty Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 5,396,065 $ (5,396,065 ) $ 0 Futures contracts Goldman Sachs & Co. LLC 5,228,966 (5,228,966 ) 0 Forward currency contracts NatWest Markets plc 23,303,459 (23,303,459 ) 0 Total derivatives $ 33,928,490 $ (33,928,490 ) $ 0 Derivative Assets and Collateral Received by Counterparty As of December 31, 2019 Counterparty Net Amounts of Unrealized Gain in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Financial Instruments Cash Collateral Received Net Amount UBS Securities LLC $ 0 $ 0 $ 0 $ 0 Goldman Sachs & Co. LLC 0 0 0 0 NatWest Markets plc 0 0 0 0 Total $ 0 $ 0 $ 0 $ 0 |
Offsetting of Derivative Liabilities and Collateral Pledged by Counterparty | Offsetting of Derivative Liabilities by Counterparty As of March 31, 2020 Type of Instrument Counterparty Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 7,450,207 $ (7,450,207 ) $ 0 Futures contracts Goldman Sachs & Co. LLC 7,025,322 (7,025,322 ) 0 Forward currency contracts NatWest Markets plc 37,167,595 (37,167,595 ) 0 Total derivatives $ 51,643,124 $ (51,643,124 ) $ 0 Derivative Liabilities and Collateral Pledged by Counterparty As of March 31, 2020 Counterparty Net Amounts of Unrealized loss in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Net Amount Financial Instruments Cash Collateral Pledged UBS Securities LLC $ 0 $ 0 $ 0 $ 0 Goldman Sachs & Co. LLC 0 0 0 0 NatWest Markets plc 0 0 0 0 Total $ 0 $ 0 $ 0 $ 0 Offsetting of Derivative Liabilities by Counterparty As of December 31, 2019 Type of Instrument Counterparty Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 9,348,737 $ (5,396,065 ) $ 3,952,672 Futures contracts Goldman Sachs & Co. LLC 9,416,231 (5,228,966 ) 4,187,265 Forward currency contracts NatWest Markets plc 25,967,136 (23,303,459 ) 2,663,677 Total derivatives $ 44,732,104 $ (33,928,490 ) $ 10,803,614 Derivative Liabilities and Collateral Pledged by Counterparty As of December 31, 2019 Counterparty Net Amounts of Unrealized loss in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Financial Instruments Cash Collateral Pledged Net Amount UBS Securities LLC $ 3,952,672 $ 0 $ (3,952,672 ) $ 0 Goldman Sachs & Co. LLC 4,187,265 0 (4,187,265 ) 0 NatWest Markets plc 2,663,677 0 (2,663,677 ) 0 Total $ 10,803,614 $ 0 $ (10,803,614 ) $ 0 |
ORGANIZATION AND SUMMARY OF S_4
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, General Description of the Trust (Details) | 3 Months Ended |
Mar. 31, 2020USD ($) | |
Series A [Member] | |
General Description of the Trust [Abstract] | |
Initial minimum subscription | $ 25,000 |
Series D [Member] | |
General Description of the Trust [Abstract] | |
Initial minimum subscription | 25,000 |
Series W [Member] | |
General Description of the Trust [Abstract] | |
Initial minimum subscription | $ 25,000 |
ORGANIZATION AND SUMMARY OF S_5
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, Fair Value (Details) - Fair Value on a Recurring Basis [Member] - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 |
Investments [Abstract] | ||
Short term investments | $ 8,998 | $ 4,780 |
Fixed income securities | 256,899,282 | 257,548,052 |
Total | 279,301,778 | 246,749,218 |
Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 5,062,013 | (8,139,937) |
Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 17,331,485 | (2,663,677) |
Level 1 [Member] | ||
Investments [Abstract] | ||
Short term investments | 8,998 | 4,780 |
Fixed income securities | 0 | 0 |
Total | 5,071,011 | (8,135,157) |
Level 1 [Member] | Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 5,062,013 | (8,139,937) |
Level 1 [Member] | Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 2 [Member] | ||
Investments [Abstract] | ||
Short term investments | 0 | 0 |
Fixed income securities | 256,899,282 | 257,548,052 |
Total | 274,230,767 | 254,884,375 |
Level 2 [Member] | Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 2 [Member] | Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 17,331,485 | (2,663,677) |
Level 3 [Member] | ||
Investments [Abstract] | ||
Short term investments | 0 | 0 |
Fixed income securities | 0 | 0 |
Total | 0 | 0 |
Level 3 [Member] | Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 3 [Member] | Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | $ 0 | $ 0 |
ORGANIZATION AND SUMMARY OF S_6
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, Income Taxes (Details) | 3 Months Ended |
Mar. 31, 2020USD ($) | |
Income Taxes [Abstract] | |
Reserves for uncertain tax positions | $ 0 |
Increase in unrecognized tax benefits within twelve months | 0 |
Decrease in unrecognized tax benefits within twelve months | $ 0 |
Federal Tax Authority [Member] | |
Income Taxes [Abstract] | |
Open tax year | 2016 2017 2018 2019 |
State Tax Authorities [Member] | |
Income Taxes [Abstract] | |
Open tax year | 2016 2017 2018 2019 |
ORGANIZATION AND SUMMARY OF S_7
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, Offering Costs (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2020 | Dec. 31, 2019 | |
Series A [Member] | ||
Offering Costs [Abstract] | ||
Monthly offering costs percentage | 0.04167% | |
Annualized offering costs percentage | 0.50% | |
Unreimbursed offering costs | $ 269,003 | $ 245,152 |
Series D [Member] | ||
Offering Costs [Abstract] | ||
Monthly offering costs percentage | 0.04167% | |
Annualized offering costs percentage | 0.50% | |
Unreimbursed offering costs | $ 85,196 | 78,736 |
Series W [Member] | ||
Offering Costs [Abstract] | ||
Monthly offering costs percentage | 0.04167% | |
Annualized offering costs percentage | 0.50% | |
Unreimbursed offering costs | $ 248,183 | $ 240,264 |
MANAGING OPERATOR AND COMMODI_2
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR (Details) | 3 Months Ended |
Mar. 31, 2020 | |
Series A [Member] | |
Management and Performance Fees [Abstract] | |
Monthly management fee percentage | 0.333% |
Annualized management fee percentage | 4.00% |
Quarterly performance fee percentage | 20.00% |
Series B [Member] | |
Management and Performance Fees [Abstract] | |
Monthly management fee percentage | 0.333% |
Annualized management fee percentage | 4.00% |
Quarterly performance fee percentage | 20.00% |
Series D [Member] | |
Management and Performance Fees [Abstract] | |
Monthly management fee percentage | 0.229% |
Annualized management fee percentage | 2.75% |
Quarterly performance fee percentage | 20.00% |
Series W [Member] | |
Management and Performance Fees [Abstract] | |
Monthly management fee percentage | 0.167% |
Annualized management fee percentage | 2.00% |
Quarterly performance fee percentage | 20.00% |
DEPOSITS WITH INTERBANK MARKE_2
DEPOSITS WITH INTERBANK MARKET MAKER (Details) | Mar. 31, 2020Counterparty |
DEPOSITS WITH INTERBANK MARKET MAKER [Abstract] | |
Number of major rating agencies reporting credit ratings considered investment grade for NatWest | 3 |
SUBSCRIPTIONS, DISTRIBUTIONS _2
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS [Abstract] | ||
Number of business days advance written notice is required for monthly redemptions | 10 days | |
Series A [Member] | ||
Redemption Fees [Abstract] | ||
Period for which redemption fees apply following purchase | 12 months | |
Redemption fee percentage of Net Asset Value per unit redeemed through the second month-end | 1.833% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the third month-end | 1.666% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the fourth month-end | 1.50% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the fifth month-end | 1.333% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the sixth month-end | 1.167% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the seventh month-end | 1.00% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the eighth month-end | 0.833% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the ninth month-end | 0.667% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the tenth month-end | 0.50% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the eleventh month-end | 0.333% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the twelfth month-end | 0.167% | |
Redemption fees received by Campbell & Company | $ 0 | $ 36 |
TRADING ACTIVITIES AND RELATE_3
TRADING ACTIVITIES AND RELATED RISKS, Derivatives by Instrument Type and Location of Instruments on the Statements of Financial Condition (Details) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 |
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | $ 22,393,498 | $ 0 |
Liability derivatives at fair value | 0 | (10,803,614) |
Not Designated as Hedging Instruments [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 74,036,622 | 33,928,490 |
Liability derivatives at fair value | (51,643,124) | (44,732,104) |
Net | 22,393,498 | (10,803,614) |
Agriculture Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 500,486 | 193,039 |
Liability derivatives at fair value | (439,339) | (2,931,321) |
Net | 61,147 | (2,738,282) |
Energy Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 850,234 | 1,761,936 |
Liability derivatives at fair value | (7,019) | (275,743) |
Net | 843,215 | 1,486,193 |
Metal Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 16,772,328 | 5,593,742 |
Liability derivatives at fair value | (10,579,842) | (8,006,981) |
Net | 6,192,486 | (2,413,239) |
Stock Indices Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 139,119 | 1,340,862 |
Liability derivatives at fair value | (1,892,075) | (1,169,714) |
Net | (1,752,956) | 171,148 |
Short-Term Interest Rate Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 268,261 | 314,422 |
Liability derivatives at fair value | (214,402) | (1,080,128) |
Net | 53,859 | (765,706) |
Long-Term Interest Rate Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 1,007,114 | 1,421,030 |
Liability derivatives at fair value | (1,342,852) | (5,301,081) |
Net | (335,738) | (3,880,051) |
Forward Currency Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Forward Currency Contracts [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 54,499,080 | 23,303,459 |
Liability derivatives at fair value | (37,167,595) | (25,967,136) |
Net | $ 17,331,485 | $ (2,663,677) |
TRADING ACTIVITIES AND RELATE_4
TRADING ACTIVITIES AND RELATED RISKS, Derivatives by Instrument Type (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains / (losses) | $ 21,347,618 | $ 15,415,564 |
Agriculture Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains / (losses) | 3,712,427 | 852,719 |
Energy Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains / (losses) | 9,953,259 | (4,099,499) |
Metal Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains / (losses) | 8,243,449 | (1,676,556) |
Stock Indices Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains / (losses) | (44,993,303) | 7,931,870 |
Short-Term Interest Rate Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains / (losses) | 15,241,726 | 4,294,530 |
Long-Term Interest Rate Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains / (losses) | 4,039,036 | 11,638,178 |
Forward Currency Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains / (losses) | $ 25,151,024 | $ (3,525,678) |
TRADING ACTIVITIES AND RELATE_5
TRADING ACTIVITIES AND RELATED RISKS, Location of Gains and Losses on the Statements of Operations (Details) | 3 Months Ended | ||
Mar. 31, 2020USD ($)Contract | Mar. 31, 2019USD ($)Contract | ||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains / (losses) | $ 21,347,618 | $ 15,415,564 | |
Gains (losses) on foreign currency cash balances at futures brokers | 52,869 | 93,045 | |
Gains (losses) on spot trades in connection with forward currency trading at interbank market makers | $ 1,697,113 | 0 | |
Derivatives [Abstract] | |||
Average number of months until maturity for open contracts | 3 months | ||
Futures Trading Gains (Losses) - Realized [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains / (losses) | [1] | $ (17,005,356) | 11,332,347 |
Futures Trading Gains (Losses) - Change in Unrealized [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains / (losses) | 13,201,950 | 7,608,895 | |
Forward Currency Trading Gains (Losses) - Realized [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains / (losses) | [1] | 5,155,862 | 7,832,537 |
Forward Currency Trading Gains (Losses) - Change in Unrealized [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains / (losses) | $ 19,995,162 | $ (11,358,215) | |
Futures Contracts [Member] | |||
Derivatives [Abstract] | |||
Monthly average of contracts bought and sold | Contract | 59,900 | 49,200 | |
Futures Contracts [Member] | Maximum [Member] | |||
Derivatives [Abstract] | |||
Maturity date for open contracts | Jun. 30, 2021 | ||
Forward Currency Contracts [Member] | |||
Derivatives [Abstract] | |||
Monthly average notional value | $ 2,326,700,000 | $ 3,493,300,000 | |
Forward Currency Contracts [Member] | Maximum [Member] | |||
Derivatives [Abstract] | |||
Maturity date for open contracts | Jun. 30, 2020 | ||
[1] | For the three months ended March 31, 2020 and 2019, the amounts above include gains and losses on foreign currency cash balances at the futures brokers of $52,869 and $93,045, respectively; and gains and losses on spot trades in connection with forward currency trading at the interbank market makers of $1,697,113 and $0, respectively. |
TRADING ACTIVITIES AND RELATE_6
TRADING ACTIVITIES AND RELATED RISKS, Credit Risk (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2020 | Dec. 31, 2019 | |
TRADING ACTIVITIES AND RELATED RISKS [Abstract] | ||
Percentage of Net Asset Value required for margin and good faith deposits, low end | 10.00% | |
Percentage of Net Asset Value required for margin and good faith deposits, high end | 30.00% | |
Fair value of securities held to satisfy margin and good faith deposits | $ 50,437,119 | $ 53,641,527 |
Fair value of securities held to satisfy margin and good faith deposits as a percentage of Net Asset Value | 16.00% | 17.00% |
Cash deposited with interbank market maker | $ 24,153,417 | $ 44,667,046 |
Cash deposited with interbank market maker as a percentage of Net Asset Value | 8.00% | 14.00% |
Restricted cash for margin requirements | $ 1,700,164 | $ 34,464,229 |
Restricted cash for margin requirements as a percentage of Net Asset Value | 1.00% | 11.00% |
Maximum margin-to-equity ratio | 30.00% |
TRADING ACTIVITIES AND RELATE_7
TRADING ACTIVITIES AND RELATED RISKS, Offsetting of Derivative Assets and Collateral Received by Counterparty (Details) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 |
Offsetting of Derivative Assets [Abstract] | ||
Gross amounts of recognized assets | $ 74,036,622 | $ 33,928,490 |
Gross amounts offset in the Statements of Financial Condition | (51,643,124) | (33,928,490) |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 22,393,498 | 0 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain in the Statements of Financial Condition | 22,393,498 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 |
Net amount | 22,393,498 | 0 |
Futures Contracts [Member] | UBS Securities LLC [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Assets [Abstract] | ||
Gross amounts of recognized assets | 9,810,206 | 5,396,065 |
Gross amounts offset in the Statements of Financial Condition | (7,450,207) | (5,396,065) |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 2,359,999 | 0 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain in the Statements of Financial Condition | 2,359,999 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 |
Net amount | 2,359,999 | 0 |
Futures Contracts [Member] | Goldman Sachs & Co. LLC [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Assets [Abstract] | ||
Gross amounts of recognized assets | 9,727,336 | 5,228,966 |
Gross amounts offset in the Statements of Financial Condition | (7,025,322) | (5,228,966) |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 2,702,014 | 0 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain in the Statements of Financial Condition | 2,702,014 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 |
Net amount | 2,702,014 | 0 |
Forward Currency Contracts [Member] | NatWest Markets plc [Member] | Over-the-Counter [Member] | ||
Offsetting of Derivative Assets [Abstract] | ||
Gross amounts of recognized assets | 54,499,080 | 23,303,459 |
Gross amounts offset in the Statements of Financial Condition | (37,167,595) | (23,303,459) |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 17,331,485 | 0 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain in the Statements of Financial Condition | 17,331,485 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 |
Net amount | $ 17,331,485 | $ 0 |
TRADING ACTIVITIES AND RELATE_8
TRADING ACTIVITIES AND RELATED RISKS, Offsetting of Derivative Liabilities and Collateral Pledged by Counterparty (Details) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 |
Offsetting of Derivative Liabilities [Abstract] | ||
Gross amounts of recognized liabilities | $ 51,643,124 | $ 44,732,104 |
Gross amounts offset in the Statements of Financial Condition | (51,643,124) | (33,928,490) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 10,803,614 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss in the Statements of Financial Condition | 0 | 10,803,614 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | (10,803,614) |
Net amount | 0 | 0 |
Futures Contracts [Member] | UBS Securities LLC [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Liabilities [Abstract] | ||
Gross amounts of recognized liabilities | 7,450,207 | 9,348,737 |
Gross amounts offset in the Statements of Financial Condition | (7,450,207) | (5,396,065) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 3,952,672 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss in the Statements of Financial Condition | 0 | 3,952,672 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | (3,952,672) |
Net amount | 0 | 0 |
Futures Contracts [Member] | Goldman Sachs & Co. LLC [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Liabilities [Abstract] | ||
Gross amounts of recognized liabilities | 7,025,322 | 9,416,231 |
Gross amounts offset in the Statements of Financial Condition | (7,025,322) | (5,228,966) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 4,187,265 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss in the Statements of Financial Condition | 0 | 4,187,265 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | (4,187,265) |
Net amount | 0 | 0 |
Forward Currency Contracts [Member] | NatWest Markets plc [Member] | Over-the-Counter [Member] | ||
Offsetting of Derivative Liabilities [Abstract] | ||
Gross amounts of recognized liabilities | 37,167,595 | 25,967,136 |
Gross amounts offset in the Statements of Financial Condition | (37,167,595) | (23,303,459) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 2,663,677 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss in the Statements of Financial Condition | 0 | 2,663,677 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | (2,663,677) |
Net amount | $ 0 | $ 0 |