Campbell Fund Trust

11/13/2024 | Press release | Distributed by Public on 11/13/2024 14:20

Quarterly Report for Quarter Ending September 30, 2024 (Form 10-Q)

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

FORM 10-Q

☑
Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the quarterly period ended September 30, 2024

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

or

Commission File number: 000-50264

THE CAMPBELL FUND TRUST

(Exact name of Registrant as specified in charter)

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

2850 Quarry Lake Drive
Baltimore, Maryland 21209
(Address of principal executive offices, including zip code)
(410) 413-2600
(Registrant's telephone number, including area code)

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

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

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

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

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

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

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

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

The Registrant has no voting stock. As of September 30, 2024, there were 96,488.838 Series A Units, 8,552.164 Series B Units, 21,264.440 Series D Units, and 10,981.976 Series W Units of Beneficial Interest issued and outstanding.
TABLE OF CONTENTS

Page
PART I - FINANCIAL INFORMATION
Item 1.
Financial Statements.
Condensed Schedules of Investments as of September 30, 2024and December 31, 2023(Unaudited)
1-6
Statements of Financial Condition as of September 30, 2024and December 31, 2023(Unaudited)
7
Statements of Operations for the Three Months and Nine MonthsEnded September 30, 2024and 2023(Unaudited)
8
Statements of Cash Flows for the NineMonths Ended September 30, 2024and 2023(Unaudited)
9
Statements of Changes in Unitholders' Capital (Net Asset Value) for the NineMonths Ended September 30, 2024and 2023(Unaudited)
10-11
Financial Highlights for the Three Months and Nine MonthsEnded September 30, 2024and 2023(Unaudited)
12-15
Notes to Financial Statements (Unaudited)
16-31
Item 2.
Management's Discussion and Analysis of Financial Condition and Results of Operations.
32-41
Item 3.
Quantitative and Qualitative Disclosure About Market Risk.
41-46
Item 4.
Controls and Procedures.
46
PART II - OTHER INFORMATION
Item 1.
Legal Proceedings.
47
Item 1A.
Risk Factors.
47
Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds.
47
Item 3.
Defaults Upon Senior Securities.
47
Item 4.
Mine Safety Disclosures.
47
Item 5.
Other Information.
47
Item 6.
Exhibits.
48-49
SIGNATURES
50

Table of Contents
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2024 (Unaudited)

FIXED INCOME SECURITIES

Maturity
Fair
% of Net
Face Value
Description Value ($) Asset Value
Asset Backed Securities
United States


Auto Loans
$
24,236,586
4.39
%
Equipment Loans
2,554,206
0.46
%
Total Asset Backed Securities (cost $26,692,694)
26,790,792
4.85
%

Bank Deposits
France
Financials (cost $3,849,307)
3,852,148
0.70
%
Sweden
Financials (cost $2,789,990)
2,791,286 0.51 %
United States
Financials (cost $4,528,266)
4,530,570
0.82
%
Total Bank Deposits (cost $11,167,563)
11,174,004
2.03
%

Commercial Paper
Canada
Materials (cost $8,592,201)
8,591,509
1.56
%
United Kingdom
Financials (cost $2,665,801)
2,666,363
0.48
%
United States
Communications
5,253,658
0.95
%
Consumer Discretionary
26,401,800
4.78
%
Consumer Staples
4,011,228 0.73 %
Financials
41,022,278
7.43
%
Industrials
17,573,019
3.18
%
Materials
6,793,377
1.23
%
Real Estate
6,339,416 1.15 %
Technology
10,185,564
1.84
%
Utilities
29,588,798
5.36
%
Total United States (cost $147,189,374)
147,169,138
26.65
%
Total Commercial Paper (cost $158,447,376)
158,427,010
28.69
%












Corporate Bonds
Australia
Financials (cost $7,224,831)
7,297,677
1.32
%
Canada
Energy
3,398,258
0.62
%
Financials
10,278,269
1.86
%
Total Canada (cost $13,619,254)
13,676,527
2.48
%
Germany
Consumer Discretionary (cost $1,175,145)
1,178,449
0.21
%
Japan
Financials (cost $3,439,985)
3,473,150
0.63
%
Netherlands
Financials (cost $3,549,542)
3,578,591
0.65
%
Switzerland
Financials (cost $2,129,932)
2,138,475
0.39
%
United Kingdom
Financials (cost $5,538,135)
$
5,570,526
1.01
%

See Accompanying Notes to Financial Statements

1
Table of Contents
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2024 (Unaudited)
FIXED INCOME SECURITIES

Maturity
Fair
% of Net
Face Value
Description
Value ($)
Asset Value
Corporate Bonds (continued)
United States
Communications
$ 2,145,324 0.39%
Consumer Discretionary
7,459,649
1.35%
Consumer Staples
2,709,430
0.49%
Energy
662,081 0.12%
Financials
15,908,730
2.88%
Health Care
726,119
0.13%
Industrials
5,463,188
0.99%
Materials
2,369,352
0.43%
Real Estate
5,560,968
1.01%
Technology
5,161,924
0.93%
Utilities
3,324,523
0.60%
Total United States (cost $51,138,113)
51,491,288
9.32%
Total Corporate Bonds (cost $87,814,937)
88,404,683
16.01%
Government and Agency Obligations
United States
U.S. Treasury Bills
$
 31,400,000
U.S. Treasury Bills Due 10/10/2024(1)
31,363,478 5.68%
$
500,000
U.S. Treasury Bills Due 11/07/2024(1)
497,589
0.09%
$
7,200,000
U.S. Treasury Bills Due 11/14/2024(1)
7,159,003
1.30%
$
40,200,000
U.S. Treasury Bills Due 12/05/2024(1)
39,871,415
7.22%
Total Government And Agency Obligations (cost $78,851,809)
78,891,485
14.29%
Total Fixed Income Securities (cost $362,974,379)(2)
$
363,687,974
65.87%

(1)
Pledged as collateral for the trading of futures positions.
(2)
Included in fixed income securities are U.S. Treasury Bills with a fair value of $78,891,485 deposited with the futures brokers.

See Accompanying Notes to Financial Statements
2
Table of Contents
THE CAMPBELL FUND TRUST
 CONDENSED SCHEDULE OF INVESTMENTS
 SEPTEMBER 30, 2024 (Unaudited)

SHORT TERM INVESTMENTS

Fair
% of Net
Description
Value ($)
Asset Value
Money Market Funds
United States
Money Market Funds (cost $95,559)
$
95,559
0.02
%
Total Short Term Investments (cost $95,559)
$
95,559
0.02
%

LONG FUTURES CONTRACTS

Fair
% of Net
Description
Value ($)
Asset Value
Agriculture
$
5,283,371
0.96
%
Energy
(245,560
)
(0.04
)%
Metals
8,021,676
1.45
%
Stock indices
6,155,684
1.11
%
Short-term interest rates
601,338
0.11
%
Long-term interest rates
1,592,636
0.29
%
Net unrealized gain (loss) on long futures contracts
21,409,145
3.88
%

SHORT FUTURES CONTRACTS

Fair
% of Net
Description
Value ($)
Asset Value
Agriculture
(3,400,484
)
(0.62
)%
Energy
(2,778,518
)
(0.50
)%
Metals
(10,882,420
)
(1.97
)%
Stock indices
(1,909,435
)
(0.35
)%
Short-term interest rates
120,398
0.02
%
Long-term interest rates
1,991,610
0.36
%
Net unrealized gain (loss) on short futures contracts
(16,858,849
)
(3.06
)%
Net unrealized gain (loss) on open futures contracts
$
4,550,296
0.82
%

FORWARD CURRENCY CONTRACTS

Fair
% of Net
Description
Value ($)
Asset Value
Various long forward currency contracts
$
17,684,188
3.20
%
Various short forward currency contracts
(11,297,664
)
(2.05
)%
Net unrealized gain (loss) on open forward currency contracts
$
6,386,524
1.15
%

CREDIT DEFAULT INDEX SWAPS

Fair
% of Net
Description
Value ($)
Asset Value
Centrally cleared credit default index swaps - sell protection (net cost $21,743,266)(3)
$
21,196,135
3.84
%

INTEREST RATE SWAPS

Fair
% of Net
Description
Value ($)
Asset Value
Centrally cleared interest rate swaps - pay fixed (net cost $271,712)(4)
$
(861,937
)
(0.16
)%

(3)
Includes $21,438,872 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps broker in the statement of financial condition.

(4)
Includes $359,661 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin payable. Variation margin amount is included within cash at swaps broker in the statement of financial condition.

See Accompanying Notes to Financial Statements.
3
Table of Contents
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2023

FIXED INCOME SECURITIES

Maturity

Fair % of Net
Face Value
Description
Value ($) Asset Value
Asset Backed Securities
United States


Auto Loans
$
21,031,868
4.24
%
Equipment Loans
5,739,749
1.16
%
Total Asset Backed Securities (cost $26,725,105)
26,771,617
5.40
%

Bank Deposits
France
Financials (cost $2,689,873)
2,695,966
0.54
%
United States
Financials (cost $5,095,042)
5,098,875
1.03
%
Total Bank Deposits (cost $7,784,915)
7,794,841
1.57
%

Commercial Paper
Canada
Materials (cost $5,072,576)
5,069,414
1.02
%
United Kingdom
Financials (cost $7,755,682)
7,752,957
1.56
%
United States
Communications
5,694,636
1.15
%
Consumer Discretionary
7,009,329
1.41
%
Financials
49,166,754
9.89
%
Health Care
6,562,128
1.32
%
Real Estate
2,357,678
0.47
%
Utilities
64,248,424
12.94
%
Total United States (cost $135,120,438)
135,038,949
27.18
%
Total Commercial Paper (cost $147,948,696)
147,861,320
29.76
%
Corporate Bonds
Australia
Financials (cost $5,869,688)
5,928,915
1.19
%
Canada
Energy
3,259,737
0.66
%
Financials
10,728,129
2.15
%
Total Canada (cost $13,945,133)
13,987,866
2.81
%
Germany
Consumer Discretionary
1,180,925
0.24
%
Industrials
1,967,082
0.40
%
Total Germany (cost $3,140,322)
3,148,007
0.64
%
Japan
Financials (cost $3,439,993)
3,454,498
0.70
%
Netherlands
Financials (cost $1,674,156)
1,693,997
0.34
%
Spain
Financials (cost $2,599,992)
2,582,419
0.52
%
Switzerland
Financials (cost $3,179,943)
$
3,184,100
0.64
%

See Accompanying Notes to Financial Statements.

4
Table of Contents
THE CAMPBELL FUND TRUST
 CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2023

FIXED INCOME SECURITIES

Maturity
Fair
% of Net
Face Value
Description
Value ($)
Asset Value
Corporate Bonds (continued)
United States


Consumer Discretionary
$
9,445,913
1.90
%
Consumer Staples
1,543,452
0.31
%
Energy
638,592
0.13
%
Financials
22,164,700
4.46
%
Health Care
2,939,970
0.59
%
Industrials
9,173,693
1.85
%
Materials
4,229,786
0.85
%
Real Estate
2,114,972
0.43
%
Technology
2,051,390
0.41
%
Utilities
4,945,318
1.00
%
Total United States (cost $59,105,030)
59,247,786
11.93
%
Total Corporate Bonds (cost $92,954,257)
93,227,588
18.77
%
Government and Agency Obligations
United States
U.S. Treasury Bills
$
17,300,000
U.S. Treasury Bills Due 01/11/2024(1)
17,277,393
3.47
%
$
8,700,000
U.S. Treasury Bills Due 02/08/2024(1)
8,652,883
1.74
%
$
29,450,000
U.S. Treasury Bills Due 03/07/2024(1)
29,173,165
5.87
%
Total Government And Agency Obligations (cost $55,079,114)
55,103,441
11.08
%
Total Fixed Income Securities (cost $330,492,087)(2)
$
330,758,807
66.58
%

(1)
Pledged as collateral for the trading of futures positions.
(2)
Included in fixed income securities are U.S. Treasury Bills with a fair value of $55,103,441 deposited with the futures brokers.

See Accompanying Notes to Financial Statements.
5
Table of Contents
THE CAMPBELL FUND TRUST
 CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2023

SHORT TERM INVESTMENTS

Fair
% of Net
Description
Value ($)
Asset Value
Money Market Funds
United States
Money Market Funds (cost $514,524)
$
514,524
0.10
%
Total Short Term Investments (cost $514,524)
$
514,524
0.10
%

LONG FUTURES CONTRACTS
Fair
% of Net
Description
Value ($)
Asset Value
Agriculture
$
(1,348,265
)
(0.27
)%
Energy
(795,622
)
(0.16
)%
Metals
6,426,759
1.29
%
Stock indices
2,375,176
0.48
%
Short-term interest rates
765,199
0.15
%
Long-term interest rates
126,277
0.03
%
Net unrealized gain (loss) on long futures contracts
7,549,524
1.52
%

SHORT FUTURES CONTRACTS
Fair
% of Net
Description
Value ($)
Asset Value
Agriculture
(739,447
)
(0.15
)%
Energy
(1,986,927
)
(0.40
)%
Metals
(9,573,582
)
(1.93
)%
Stock indices
(896,409
)
(0.18
)%
Short-term interest rates
(1,905,385
)
(0.38
)%
Long-term interest rates
(2,519,569
)
(0.51
)%
Net unrealized gain (loss) on short futures contracts
(17,621,319
)
(3.55
)%
Net unrealized gain (loss) on open futures contracts
$
(10,071,795
)
(2.03
)%

FORWARD CURRENCY CONTRACTS
Fair
% of Net
Description
Value ($)
Asset Value
Various long forward currency contracts
$
39,139,236
7.88
%
Various short forward currency contracts
(41,624,367
)
(8.38
)%
Net unrealized gain (loss) on open forward currency contracts
$
(2,485,131
)
(0.50
)%

CREDIT DEFAULT INDEX SWAPS
Fair
% of Net
Description
Value ($)
Asset Value
Centrally cleared credit default index swaps - sell protection (net cost $6,719,050)(3)
$
11,078,458
2.23
%

INTEREST RATE SWAPS
Fair
% of Net
Description
Value ($)
Asset Value
Centrally cleared interest rate swaps - pay fixed (net proceeds $447,192)(4)
$
(12,982
)
0.00
%

(3)
Includes $11,107,528 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps broker in the statement of financial condition.

(4)
Includes $124,676 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps broker in the statement of financial condition.

See Accompanying Notes to Financial Statements.

6
Table of Contents
THE CAMPBELL FUND TRUST
STATEMENTS OF FINANCIAL CONDITION
SEPTEMBER 30, 2024 AND DECEMBER 31, 2023 (Unaudited)

September 30, 2024
December 31, 2023
ASSETS
Equity in futures brokers trading accounts
Cash
$
59,804,168
$
37,203,513
Restricted cash
 981,189 9,425,127
Fixed income securities (cost $78,851,809and $55,079,114, respectively)
78,891,485
55,103,441
Net unrealized gain (loss) on open futures contracts
4,550,296
(10,071,795
)
Total equity in futures brokers trading accounts
144,227,138
91,660,286
Cash and cash equivalents
3,856,246
7,188,062
Cash at interbank market maker
15,463,047
12,255,988
Restricted cash at interbank market maker
52,937,717
60,037,949
Short term investments (cost $95,559and $514,524, respectively)
95,559
514,524
Cash at swaps broker
28,865,104
14,486,553
Restricted cash at swaps broker
19,415,647
22,814,498
Fixed income securities (cost $284,122,570and $275,412,973, respectively)
284,796,489
275,655,366
Due from swaps broker
428,736
328,072
Net unrealized gain on open forward currency contracts
6,386,524 0
Interest receivable
2,120,774
1,839,449
Subscriptions receivable 0 17,426,044
Total assets
$
558,592,981
$
504,206,791
LIABILITIES
Redemptions payable
$
1,860,853
$
3,055,460
Management fee payable
920,947
795,037
Payable for securities purchased
904,958 0
Sales commission payable
746,427
658,519
Accounts payable
215,963 257,168
Net unrealized loss on open forward currency contracts
0 2,485,131
Credit default index swaps
242,737
29,070
Offering costs payable
123,998
124,259
Interest rate swaps
1,221,598
137,658
Accrued commissions and other trading fees on open contracts
84,065
84,107
Total liabilities
6,321,546
7,626,409
UNITHOLDERS' CAPITAL (Net Asset Value)
Series A Units - Redeemable
Other Unitholders - 96,488.838and 100,750.468units outstanding at September 30, 2024and December 31, 2023
414,665,915
378,102,257
Series B Units - Redeemable
Other Unitholders - 8,552.164and 9,165.999units outstanding at September 30, 2024and December 31, 2023
40,815,025
38,104,608
Series D Units - Redeemable
Other Unitholders - 21,264.440and 18,665.278units outstanding at September 30, 2024and December 31, 2023
37,223,920
28,301,256
Series W Units - Redeemable
Other Unitholders - 10,981.976and 11,146.280units outstanding at September 30, 2024and December 31, 2023
59,566,575
52,072,261
Total unitholders' capital (Net Asset Value)
552,271,435
496,580,382
Total liabilities and unitholders' capital (Net Asset Value)
$
558,592,981
$
504,206,791

See Accompanying Notes to Financial Statements.

7
Table of Contents
THE CAMPBELL FUND TRUST
STATEMENTS OF OPERATIONS
FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 2024 AND 2023 (Unaudited)

Three Months Ended September 30,
Nine Months Ended September 30,
2024
2023
 2024 2023
TRADING GAINS (LOSSES)
Futures trading gains (losses)
Realized
$ 23,970,354 $ 8,679,135 $ 53,862,866 $ 12,864,871
Change in unrealized
(8,141,185 ) (1,071,925 ) 14,622,091 6,413,051
Brokerage commissions
(832,273 ) (710,730 ) (2,233,331 ) (2,135,582 )
Net gain (loss) from futures trading
14,996,896 6,896,480 66,251,626 17,142,340
Forward currency trading gains (losses)
Realized
1,966,672 (635,051 ) (17,739,549 ) 5,203,250
Change in unrealized
10,373,174 (148,814 ) 8,871,655 (4,083,414 )
Brokerage commissions
(114,262 ) (127,998 ) (491,916 ) (467,726 )
Net gain (loss) from forward currency trading
12,225,584 (911,863 ) (9,359,810 ) 652,110
Swap trading gains (losses)
Realized
8,483,272 7,199,407 18,055,786 14,965,963
Change in unrealized
(3,224,352 ) (5,485,509 ) (6,474,398 ) (4,690,615 )
Net gain (loss) from swap trading
5,258,920 1,713,898 11,581,388 10,275,348
Total net trading gain (loss)
32,481,400 7,698,515 68,473,204 28,069,798
NET INVESTMENT INCOME (LOSS)
Investment income
Interest income
6,700,093 10,504,432 19,634,265 21,223,844
Realized gain (loss) on fixed income securities
(101,384 ) (3,807,416 ) 155,105 (3,922,528 )
Change in unrealized gain (loss) on fixed income securities
720,402 23,858 446,875 1,245,540
Total investment income (loss)
7,319,111 6,720,874 20,236,245 18,546,856
Expenses
Management fee
2,709,484 2,542,783 7,886,082 7,623,253
Performance fee
 0 0 0 122
Operating expenses
321,528 301,802 909,446 924,687
Sales commission
2,307,070 2,158,718 6,739,372 6,486,551
Total expenses
5,338,082 5,003,303 15,534,900 15,034,613
Net investment income (loss)
1,981,029 1,717,571 4,701,345 3,512,243
NET INCOME (LOSS)
$ 34,462,429 $ 9,416,086 $ 73,174,549 $ 31,582,041
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT
(based on weighted average number of units outstanding during the period)
Series A
$ 265.40 $ 72.64 $ 556.32 $ 246.44
Series B
$ 293.61 $ 80.07 $ 615.71 $ 281.61
Series D
$ 114.41 $ 36.86 $ 242.31 $ 115.51
Series W
$ 364.07 $ 109.31 $ 777.37 $ 374.21
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT
Series A
$ 262.21 $ 69.31 $ 544.69 $ 240.08
Series B
$ 294.45
$
80.65
$ 615.31 $ 277.57
Series D
$ 111.08
$
32.48
$ 234.27 $ 109.98
Series W
$ 353.75 $ 109.44 $ 752.31 $ 365.55
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
Series A
96,429.507
92,777.880
97,756.513 91,780.677
Series B
8,638.560
9,470.891
8,878.723 9,733.951
Series D
20,262.248
17,223.470
19,505.791 15,957.918
Series W
11,029.272
11,740.393
11,059.594 11,702.996

See Accompanying Notes to Financial Statements.

8
Table of Contents
THE CAMPBELL FUND TRUST
STATEMENTS OF CASH FLOWS
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2024 AND 2023 (Unaudited)

Nine Months Ended September 30,
2024
2023
Cash flows from (for) operating activities
Net income (loss)
$
73,174,549
$
31,582,041
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
Net change in unrealized on futures, forwards, swaps and investments
(17,466,223
)
1,115,438
(Increase) decrease in interest receivable
(281,325
)
(807,109
)
(Increase) decrease in due from swaps broker
(100,664
)
(117,593
)
Increase (decrease) in payable for securities purchased
904,958 0
Increase (decrease) in accounts payable and accrued expenses
172,571
260,955
Net purchases from swap broker
(5,176,791
)
(978,146
)
Purchases of investments
(3,293,419,550
)
(3,164,932,933
)
Sales/maturities of investments
3,261,356,223
3,179,120,222
Net cash from (for) operating activities
19,163,748
45,242,875
Cash flows from (for) financing activities
Addition of units
49,145,080
41,983,659
Redemption of units
(49,076,240
)
(28,638,180
)
Offering costs paid
(1,321,160
)
(1,406,354
)
Net cash from (for) financing activities
(1,252,320
)
11,939,125
Net increase (decrease) in cash, cash equivalents and restricted cash
17,911,428
57,182,000
Cash, cash equivalents and restricted cash at beginning of period
163,411,690
117,391,840
Cash, cash equivalents and restricted cash at end of period
$
181,323,118
$
174,573,840
The following table provides a reconciliation of cash, cash equivalents and restricted cash reported within the Statements of Financial Condition that sum to the total of the same such amounts shown in the Statements of Cash Flows.
September 30, 2024
December 31, 2023
Cash, cash equivalents and restricted cash at end of period consists of:
Equity in futures brokers trading accounts:
Cash
$
59,804,168
$
37,203,513
Restricted cash
 981,189 9,425,127
Cash and cash equivalents
3,856,246
7,188,062
Cash at interbank market maker
15,463,047
12,255,988
Restricted cash at interbank market maker
52,937,717
60,037,949
Cash at swaps broker
28,865,104
14,486,553
Restricted cash at swaps broker
19,415,647
22,814,498
Total cash, cash equivalents and restricted cash at end of period
$
181,323,118
$
163,411,690

See Accompanying Notes to Financial Statements.

9
Table of Contents
THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE)
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2024 AND 2023 (Unaudited)

Series A - Other Unitholders
Series B - Other Unitholders
Units
Amount
Units
Amount
Nine Months Ended September 30, 2024
Balances at December 31, 2023
100,750.468
$
378,102,257
9,165.999
$
38,104,608
Net income (loss) for the three months ended March 31, 2024
27,748,720
2,811,450
Additions
2,406.028
9,329,266
6.938
30,065
Redemptions
(5,317.370
)
(20,725,801
)
(117.654
)
(504,557
)
Offering costs
(432,541
)
0
Balances at March 31, 2024
97,839.126
$
394,021,901
9,055.283
$
40,441,566
Net income (loss) for the three months ended June 30, 2024
1,042,911
118,903
Additions
1,040.713
4,195,388
7.292
32,576
Redemptions
(2,212.915
)
(8,915,701
)
(398.679
)
(1,795,853
)
Offering costs
(260,542
)
0
Balances at June 30, 2024
96,666.924
$
390,083,957
8,663.896
$
38,797,192
Net income (loss) for the three months ended September 30, 2024
25,592,359 2,536,367
Additions
 1,573.339 6,613,259 10.813 50,569
Redemptions (1,751.425 ) (7,327,800 ) (122.545 ) (569,103 )
Offering costs
 (295,860 ) 0
Balances at September 30, 2024 96,488.838 $ 414,665,915 8,552.164 $ 40,815,025
Nine Months Ended September 30, 2023
Balances at December 31, 2022
89,254.537
$
352,416,060
10,002.807
$
43,597,613
Net income (loss) for the three months ended March 31, 2023
14,816,600
1,839,702
Additions
3,341.433
13,805,592
6.658
30,318
Redemptions
(477.390
)
(1,967,848
)
(115.048
)
(521,849
)
Offering costs
(373,374
)
0
Balances at March 31, 2023
92,118.580
$
378,697,030
9,894.417
$
44,945,784
Net income (loss) for the three months ended June 30, 2023
1,062,055
143,161
Additions
2,291.155
9,476,723
6.687
30,548
Redemptions
(1,556.753
)
(6,434,366
)
(417.861
)
(1,918,928
)
Offering costs
(320,110
)
0
Balances at June 30, 2023
92,852.982
$
382,481,332
9,483.243
$
43,200,565
Net income (loss) for the three months ended September 30, 2023
6,739,537 758,314
Additions 1,521.288 6,214,930 6.707 30,145
Redemptions (1,166.855 ) (4,710,310 ) (100.089 ) (456,572 )
Offering costs
(324,320 ) 0
Balances at September 30, 2023
93,207.415 $ 390,401,169 9,389.861 $ 43,532,452

Net Asset Value per Other Unitholders' Unit - Series A

September 30, 2024
June 30, 2024
March 31, 2024
December 31, 2023
$
4,297.55
$
4,035.34
$
4,027.24
$
3,752.86

September 30, 2023
June 30, 2023
March 31, 2023
December 31, 2022
$
4,188.52
$
4,119.21
$
4,110.97
$
3,948.44

Net Asset Value per Other Unitholders' Unit - Series B

September 30, 2024
June 30, 2024
March 31, 2024
December 31, 2023
$
4,772.48
$
4,478.03
$
4,466.07
$
4,157.17

September 30, 2023
June 30, 2023
March 31, 2023
December 31, 2022
$
4,636.11
$
4,555.46
$
4,542.54
$
4,358.54

See Accompanying Notes to Financial Statements.

10
Table of Contents
THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE)
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2024 AND 2023 (Unaudited)

Series D - Other Unitholders
Series W - Other Unitholders
Trust
Units
Amount
Units
Amount
Total Amount
Nine Months Ended September 30, 2024
Balances at December 31, 2023
18,665.278
$
28,301,256
11,146.280
$
52,072,261
$
496,580,382
Net income (loss) for the three months ended March 31, 2024
2,220,935
4,131,813
36,912,918
Additions
1,078.818
1,732,407
128.509
615,528
11,707,266
Redemptions
(421.229
)
(682,629
)
(244.478
)
(1,183,556
)
(23,096,543
)
Offering costs
(37,322
)
(67,938
)
(537,801
)
Balances at March 31, 2024
19,322.867
$
31,534,647
11,030.311
$
55,568,108
$
521,566,222
Net income (loss) for the three months ended June 30, 2024
187,232
450,154
1,799,200
Additions
896.541
1,470,470
479.724
2,410,859
8,109,293
Redemptions
(415.649
)
(685,506
)
(322.694
)
(1,636,258
)
(13,033,318
)
Offering costs
(39,854
)
(69,901
)
(370,297
)
Balances at June 30, 2024
19,803.759
$
32,466,989
11,187.341
$
56,722,962
$
518,071,100
Net income (loss) for the three months ended September 30, 2024
2,318,286 4,015,417 34,462,429
Additions
2,282.666 3,890,900 254.944 1,347,749 11,902,477
Redemptions
(821.985 ) (1,408,687 ) (460.309 ) (2,446,182 ) (11,751,772 )
Offering costs
(43,568 ) (73,373 ) (412,801 )
Balances at September 30, 2024 21,264.440 $ 37,223,920 10,981.976 $ 59,566,575 $ 552,271,435
Nine Months Ended September 30, 2023
Balances at December 31, 2022
14,967.333
$
23,615,197
11,697.747
$
56,439,731
$
476,068,601
Net income (loss) for the three months ended March 31, 2023
1,069,324
2,638,351
20,363,977
Additions
913.289
1,507,596
413.439
2,060,481
17,403,987
Redemptions
(563.347
)
(926,063
)
(562.622
)
(2,773,695
)
(6,189,455
)
Offering costs
(31,058
)
(73,233
)
(477,665
)
Balances at March 31, 2023
15,317.275
$
25,234,996
11,548.564
$
58,291,635
$
507,169,445
Net income (loss) for the three months ended June 30, 2023
139,137
457,625
1,801,978
Additions
1,950.261
3,240,197
595.883
3,034,729
15,782,197
Redemptions
(380.619
)
(629,181
)
(175.309
)
(894,152
)
(9,876,627
)
Offering costs
(32,510
)
(75,196
)
(427,816
)
Balances at June 30, 2023
16,886.917
$
27,952,639
11,969.138
$
60,814,641
$
514,449,177
Net income (loss) for the three months ended September 30, 2023 634,882 1,283,353 9,416,086
Additions 917.891 1,493,127 223.896 1,115,842 8,854,044
Redemptions (241.701 ) (402,992 ) (993.584 ) (5,010,401 ) (10,580,275 )
Offering costs
(35,333 ) (73,934 ) (433,587 )
Balances at September 30, 2023
17,563.107 $ 29,642,323 11,199.450 $ 58,129,501 $ 521,705,445

Net Asset Value per Other Unitholders' Unit - Series D

September 30, 2024
June 30, 2024
March 31, 2024
December 31, 2023
$
1,750.52
$
1,639.44
$
1,631.99
$
1,516.25

September 30, 2023
June 30, 2023
March 31, 2023
December 31, 2022
$
1,687.76
$
1,655.28
$
1,647.49
$
1,577.78

Net Asset Value per Other Unitholders' Unit - Series W

September 30, 2024
June 30, 2024
March 31, 2024
December 31, 2023
$
5,424.03
$
5,070.28
$
5,037.76
$
4,671.72

September 30, 2023
June 30, 2023
March 31, 2023
December 31, 2022
$
5,190.39
$
5,080.95
$
5,047.52
$
4,824.84

See Accompanying Notes to Financial Statements.

11
Table of Contents
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 2024 AND 2023 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series A units for the three months and nine months ended September 30, 2024 and 2023. This information has been derived from information presented in the financial statements.

Series A
Three Months Ended September 30,
NineMonths Ended September 30,
2024
2023
2024
2023
Per Unit Performance
(for a unit outstanding throughout the entire period)
Net asset value per unit at beginning of period
$
4,035.34
$
4,119.21
$ 3,752.86 $ 3,948.44
Income (loss) from operations:
Total net trading gains (losses) (1)
252.96
62.12
527.35 231.91
Net investment income (loss) (1)
12.32
10.69
27.46 19.26
Total net income (loss) from operations
265.28
72.81
554.81 251.17
Offering costs (1)
(3.07
)
(3.50
)
(10.12 )
(11.09
)
Net asset value per unit at end of period
$
4,297.55
$
4,188.52
$ 4,297.55 $ 4,188.52
Total Return (4)
6.50
%
1.68
%
14.51 % 6.08 %
Supplemental Data
Ratios to average net asset value:
Expenses prior to performance fee (3)
4.32
%
4.24
%
4.28 % 4.27 %
Performance fee (4)
0.00
%
0.00
%
0.00 % 0.00 %
Total expenses
4.32
%
4.24
%
4.28 % 4.27 %
Net investment income (loss) (2),(3)
1.20
%
1.04
%
0.91 % 0.63 %
Total returns are calculated based on the change in value of a unit during the period. An individual unitholder's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.

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

See Accompanying Notes to Financial Statements.

12
Table of Contents
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 2024 AND 2023 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series B units for the three months and nine months ended September 30, 2024 and 2023. This information has been derived from information presented in the financial statements.

Series B
Three Months Ended September 30,
NineMonths Ended September 30,
2024
2023
2024
2023
Per Unit Performance
(for a unit outstanding throughout the entire period)
Net asset value per unit at beginning of period
$
4,478.03
$
4,555.46
$ 4,157.17 $ 4,358.54
Income (loss) from operations:
Total net trading gains (losses) (1)
280.76
68.82
584.92 256.68
Net investment income (loss) (1)
13.69
11.83
30.39 20.89
Total net income (loss) from operations
294.45
80.65
615.31 277.57
Net asset value per unit at end of period
$
4,772.48
$
4,636.11
$ 4,772.48 $ 4,636.11
Total Return (4)
6.58
%
1.77
%
14.80 % 6.37 %
Supplemental Data
Ratios to average net asset value:
Expenses prior to performance fee (3)
4.32
%
4.24
%
4.29 % 4.29 %
Performance fee (4)
0.00
%
0.00
%
0.00 % 0.00 %
Total expenses
4.32
%
4.24
%
4.29 % 4.29 %
Net investment income (loss) (2),(3)
1.20
%
1.04
%
0.91 % 0.61 %
Total returns are calculated based on the change in value of a unit during the period. An individual unitholder's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.

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

See Accompanying Notes to Financial Statements.

13
Table of Contents
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 2024 AND 2023 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series D units for the three months and nine months ended September 30, 2024 and 2023. This information has been derived from information presented in the financial statements.

Series D
Three Months Ended September 30,
NineMonths Ended September 30,
2024
2023
2024
2023
Per Unit Performance
(for a unit outstanding throughout the entire period)
Net asset value per unit at beginning of period
$
1,639.44
$
1,655.28
$ 1,516.25 $ 1,577.78
Income (loss) from operations:
Total net trading gains (losses) (1)
102.86
25.12
213.75 92.77
Net investment income (loss) (1)
10.37
9.41
26.71 23.41
Total net income (loss) from operations
113.23 34.53 240.46 116.18
Offering costs (1)
(2.15
)
(2.05
)
(6.19 ) (6.20 )
Net asset value per unit at end of period
$
1,750.52
$
1,687.76
$ 1,750.52 $ 1,687.76
Total Return (4)
6.78
%
1.96
%
15.45 % 6.97 %
Supplemental Data
Ratios to average net asset value:
Expenses prior to performance fee (3)
3.00
%
2.96
%
2.99 % 2.99 %
Performance fee (4)
0.00
%
0.00
%
0.00 % 0.00 %
Total expenses
3.00
%
2.96
%
2.99 % 2.99 %
Net investment income (loss) (2),(3)
2.44
%
2.28
%
2.16 % 1.88 %
Total returns are calculated based on the change in value of a unit during the period. An individual unitholder's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.

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

See Accompanying Notes to Financial Statements.

14
Table of Contents
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 2024 AND 2023 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series W units for the three months and nine months ended September 30, 2024 and 2023. This information has been derived from information presented in the financial statements.

Series W
Three Months Ended September 30,
NineMonths Ended September 30,
2024
2023
2024
2023
Per Unit Performance
(for a unit outstanding throughout the entire period)
Net asset value per unit at beginning of period
$
5,070.28
$
5,080.95
$ 4,671.72 $ 4,824.84
Income (loss) from operations:
Total net trading gains (losses) (1)
318.29
77.29
660.53 284.76
Net investment income (loss) (1)
42.11
38.45
110.88 99.79
Total net income (loss) from operations
360.40
115.74
771.41 384.55
Offering costs (1)
(6.65
)
(6.30
)
(19.10 ) (19.00 )
Net asset value per unit at end of period
$
5,424.03
$
5,190.39
$ 5,424.03 $ 5,190.39
Total Return (4)
6.98
%
2.15
%
16.10 % 7.58 %
Supplemental Data
Ratios to average net asset value:
Expenses prior to performance fee (3)
2.28
%
2.24
%
2.25 % 2.25 %
Performance fee (4)
0.00
%
0.00
%
0.00 % 0.00 %
Total expenses
2.28
%
2.24
%
2.25 % 2.25 %
Net investment income (loss) (2),(3)
3.20
%
3.08
%
2.93 % 2.65 %
Total returns are calculated based on the change in value of a unit during the period. An individual unitholder's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.

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

See Accompanying Notes to Financial Statements.

15
Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2024 (Unaudited)

Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

A. General Description of the Trust

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

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

B. Regulation

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

C. Method of Reporting

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

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

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

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

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2024 (Unaudited)
Centrally cleared credit default index swaps and interest rate swap transactions are recorded on the trade date. Realized gains or losses are determined using the identified cost method. The fair value of centrally cleared swap contracts is determined by using current market quotations provided by an independent external pricing source. Valuation using an external pricing source involves the use of observable inputs in accordance with the fair value hierarchy. Any change in net unrealized gain or loss from the prior period is reported in "Swap trading gains (losses) - Change in Unrealized" in the Statements of Operations. Period payments received or paid on swap contracts, commissions and fees associated with trading the swap contracts and cash payments received or made due to the underlying obligation in the event of a credit event are recorded as part of "Swap trading gains (losses) - Realized" in the Statements of Operations.

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

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

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

D. Fair Value

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

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

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

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

Level 3 inputs are unobservable inputs for an asset or liability (including the Trust's own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of September 30, 2024 and December 31, 2023 and for the periods ended September 30, 2024 and 2023, the Trust did not have any Level 3 assets or liabilities.

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2024 (Unaudited)
The following tables set forth by level within the fair value hierarchy the Trust's investments accounted for at fair value on a recurring basis as of September 30, 2024 and December 31, 2023.

Fair Value at September 30, 2024
Description
Level 1
Level 2
Level 3
Total
Investments
Short term investments
$
95,559
$
0
$
0
$
95,559
Fixed income securities
0
363,687,974
0
363,687,974
Other Financial Instruments
Exchange-traded futures contracts
4,550,296
0
0
4,550,296
Forward currency contracts
0
6,386,524
0
6,386,524
Credit default index swap contracts
0
21,196,135
0
21,196,135
Interest rate swap contracts 0 (861,937 ) 0 (861,937 )
Total
$
4,645,855
$
390,408,696
$
0
$
395,054,551

Fair Value at December 31, 2023
Description
Level 1
Level 2
Level 3
Total
Investments
Short term investments
$
514,524
$
0
$
0
$
514,524
Fixed income securities
0
330,758,807
0
330,758,807
Other Financial Instruments
Exchange-traded futures contracts
(10,071,795
)
0
0
(10,071,795
)
Forward currency contracts
0
(2,485,131
)
0
(2,485,131
)
Credit default index swap contracts
0
11,078,458
0
11,078,458
Interest rate swap contracts 0 (12,982 ) 0 (12,982 )
Total
$
(9,557,271
)
$
339,339,152
$
0
$
329,781,881

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

E. Cash and Cash Equivalents

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

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2024 (Unaudited)
F. Income Taxes

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

Management has continued to evaluate the application of ASC 740, Income Taxes, to the Trust, and has determined that no reserves for uncertain tax positions were required. There are no tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly increase or decrease within twelve months. The Trust files federal and state tax returns. The 2020 through 2023tax 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 1/12of 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 September 30, 2024 and December 31, 2023, the amount of unreimbursed offering costs incurred by Campbell & Company is $83,812 and $91,015 for Series A units, $171,564 and $128,000 for Series D units and $224,576 and $199,065 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.

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2024 (Unaudited)
Note 2. MANAGING OPERATOR AND COMMODITY TRADING ADVISOR

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

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

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

Note 3. SALES COMMISSION

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

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

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

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

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2024 (Unaudited)
Note 4. TRUSTEE

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

Note 5. ADMINISTRATOR AND TRANSFER AGENT

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

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

Note 6. CASH MANAGER AND CUSTODIAN

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

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

Note 7. DEPOSITS WITH FUTURES BROKERS

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

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2024 (Unaudited)
Note 8. DEPOSITS WITH INTERBANK MARKET MAKER

The Trust's counterparty with regard to its forward currency transactions is NatWest Markets Plc ("NatWest"). The Trust has entered into an International Swap and Derivatives Association, Inc. agreement ("ISDA Agreement") with NatWest which governs these transactions. The credit ratings reported by the three major rating agencies for NatWest were considered investment grade as of September 30, 2024. Margin requirements are satisfied by the deposit of cash with NatWest. The Trust typically earns interest income on its assets deposited with NatWest.

Note 9. DEPOSITS WITH SWAPS BROKER

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

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

Note 10. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

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

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

Redemption fees, which are paid to Campbell & Company, apply to Series A units through the first twelve month-ends following purchase (the month-end as of which the unit is purchased is counted as the first month-end) as follows: 1.833% of Net Asset Value per unit redeemed through the second month-end, 1.666% of Net Asset Value per unit redeemed through the third month-end, 1.500% of Net Asset Value per unit redeemed through the fourth month-end, 1.333% of Net Asset Value per unit redeemed through the fifth month-end, 1.167% of Net Asset Value per unit redeemed through the sixth month-end, 1.000% of Net Asset Value per unit redeemed through the seventh month-end, 0.833% of Net Asset Value per unit redeemed through the eighth month-end, 0.667% of Net Asset Value per unit redeemed through the ninth month-end, 0.500% of Net Asset Value per unit redeemed through the tenth month-end, 0.333% of Net Asset Value per unit redeemed through the eleventh month-end and 0.167% of Net Asset Value per unit redeemed through the twelfth month end. For the nine months ended September 30, 2024 and 2023, Campbell & Company received redemption fees of $5,410 and $608, respectively.

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2024 (Unaudited)
Note 11. CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES

Credit derivatives generally require the seller to make a payment to the buyer in the event the underlying referenced security or index to the contract defaults or another triggering event, as defined in the applicable derivative contract, occurs. The Trust sells credit derivative contracts for speculative investment purposes. The following table summarizes the notional amounts of credit derivative contracts sold by the Trust by their maturity for contracts which are outstanding at September 30, 2024 and December 31, 2023. Notional amounts are disclosed as they represent the maximum potential payout, however, management believes that the carrying value of these contracts is a more relevant measure of these obligations. At September 30, 2024 and December 31, 2023, the carrying value of such credit derivative contracts purchased was $21,196,135 and $11,078,458, respectively.

September 30, 2024
December 31, 2023
Credit Default Index Swaps
Maturity Date:
December 2029
Maturity Date:
December 2028
Investment grade
$
355,610,975
$
468,234,947
Non-investment grade

231,479,715

183,131,945
Total
$
587,090,690
$
651,366,892

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

Note 12. TRADING ACTIVITIES AND RELATED RISKS

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

Market Risk

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

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2024 (Unaudited)
The following tables summarize quantitative information required by ASC 815, Derivatives and Hedging, ("ASC 815"). ASC 815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entity's financial position, financial performance and cash flows. The fair value of the Trust's derivatives by instrument type, as well as the location of those instruments on the Statements of Financial Condition, as of September 30, 2024 and December 31, 2023 are as follows:

Type of Instrument *
Statements of Financial Condition Location
Asset
Derivatives at
September 30, 2024
Fair Value
Liability
Derivatives at
September 30, 2024
Fair Value
Net
Agriculture Contracts
Net unrealized gain (loss) on open futures contracts
$
5,564,860
$
(3,681,973
)
$
1,882,887
Energy Contracts
Net unrealized gain (loss) on open futures contracts
148,675
(3,172,753
)
(3,024,078
)
Metal Contracts
Net unrealized gain (loss) on open futures contracts
8,341,114
(11,201,858
)
(2,860,744
)
Stock Indices Contracts
Net unrealized gain (loss) on open futures contracts
7,092,308
(2,846,059
)
4,246,249
Short-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
1,849,710
(1,127,974
)
721,736
Long-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
4,672,430
(1,088,184
)
3,584,246
Forward Currency Contracts
Net unrealized gain (loss) on open forward currency contracts
23,056,333
(16,669,809
)
6,386,524
Credit Default Index Swap Contracts**
Credit default index swaps
23,123,946
(1,927,811
)
21,196,135
Interest Rate Swap Contracts**
Interest rate swaps
3,316,628
(4,178,565
)
(861,937
)
Totals
$
77,166,004
$
(45,894,986
)
$
31,271,018

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

Type of Instrument *
Statements of Financial Condition Location
Asset
Derivatives at
December 31, 2023
Fair Value
Liability
Derivatives at
December 31, 2023
Fair Value
Net
Agriculture Contracts
Net unrealized gain (loss) on open futures contracts
$
2,891,417
$
(4,979,129
)
$
(2,087,712
)
Energy Contracts
Net unrealized gain (loss) on open futures contracts
713,181
(3,495,730
)
(2,782,549
)
Metal Contracts
Net unrealized gain (loss) on open futures contracts
6,898,129
(10,044,952
)
(3,146,823
)
Stock Indices Contracts
Net unrealized gain (loss) on open futures contracts
3,118,236
(1,639,469
)
1,478,767
Short-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
774,634
(1,914,820
)
(1,140,186
)
Long-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
653,960
(3,047,252
)
(2,393,292
)
Forward Currency Contracts
Net unrealized gain (loss) on open forward currency contracts
41,529,719
(44,014,850
)
(2,485,131
)
Credit Default Index Swap Contracts**
Credit default index swaps
13,971,793
(2,893,335
)
11,078,458
Interest Rate Swap Contracts** Interest rate swaps 1,493,055 (1,506,037 ) (12,982 )
Totals
$
72,044,124
$
(73,535,574
)
$
(1,491,450
)

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

24
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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2024 (Unaudited)
The trading gains and losses of the Trust's derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the three months and nine months ended September 30, 2024 and 2023 are as follows:

Type of Instrument
Trading Gains (Losses) for
the Three Months Ended
September 30, 2024
Trading Gains (Losses) for
the Three Months Ended
September 30, 2023
Agriculture Contracts
$
9,830,405
$
2,692,666
Energy Contracts
(7,644,092
)
18,273,654
Metal Contracts
(3,226,588
)
(7,220,993
)
Stock Indices Contracts
8,160,493
(8,172,516
)
Short-Term Interest Rate Contracts
4,066,148
(187,840
)
Long-Term Interest Rate Contracts
4,642,803
2,222,239
Forward Currency Contracts
12,339,846
(783,865
)
Credit default index swap contracts
1,455,898
(38,931
)
Interest rate swap contracts
3,803,022
1,752,829
Total
$
33,427,935
$
8,537,243

Type of Instrument
Trading Gains (Losses) for
the Nine Months Ended
September 30, 2024
Trading Gains (Losses) for
the Nine Months Ended
September 30, 2023
Agriculture Contracts
$
16,088,687
$
3,939,320
Energy Contracts
(17,544,930
)
9,714,969
Metal Contracts
1,844,974
4,246,216
Stock Indices Contracts
54,613,485
(1,883,810
)
Short-Term Interest Rate Contracts
13,694,957
5,999,068
Long-Term Interest Rate Contracts
(212,216
)
(2,737,841
)
Forward Currency Contracts
(8,867,894
)
1,119,836
Credit default index swap contracts
4,784,259
2,955,219
Interest rate swap contracts
6,797,129
7,320,129
Total
$
71,198,451
$
30,673,106

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2024 (Unaudited)
Line Item in the Statements of Operations
Trading Gains (Losses) for
the Three Months Ended
September 30, 2024
Trading Gains (Losses) for
the Three Months Ended
September 30, 2023
Futures trading gains (losses):
Realized**
$
23,970,354
$
8,679,135
Change in unrealized
(8,141,185
)
(1,071,925
)
Forward currency trading gains (losses):
Realized**
1,966,672
(635,051
)
Change in unrealized
10,373,174
(148,814
)
Swap trading gains (losses):
Realized**
8,483,272
7,199,407
Change in unrealized
(3,224,352
)
(5,485,509
)
Total
$
33,427,935
$
8,537,243

Line Item in the Statements of Operations
Trading Gains (Losses) for
the Nine Months Ended
September 30, 2024
Trading Gains (Losses) for
the Nine Months Ended
September 30, 2023
Futures trading gains (losses):
Realized***
$
53,862,866
$
12,864,871
Change in unrealized
14,622,091
6,413,051
Forward currency trading gains (losses):
Realized***
(17,739,549
)
5,203,250
Change in unrealized
8,871,655
(4,083,414
)
Swap trading gains (losses):
Realized***
18,055,786
14,965,963
Change in unrealized
(6,474,398
)
(4,690,615
)
Total
$
71,198,451
$
30,673,106

**
For the three months ended September 30, 2024 and 2023, the amounts above include gains (losses) on foreign currency cash balances at the futures brokers of $(153,328) and $166,486, respectively, and gains (losses) on spot trades in connection with forward currency trading at the interbank market maker of $(831,138) and $(584,566),respectively.
***
For the nine months ended September 30, 2024and 2023, the amounts above include gains (losses) on foreign currency cash balances at the futures brokers of $(131,211) and $150,063, respectively, and gains (losses) on spot trades in connection with forward currency trading at the interbank market maker of $(9,256,554) and $(3,420,616), respectively.

26
Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2024 (Unaudited)
For the three months ended September 30, 2024 and 2023, the monthly average of futures contracts bought and sold was approximately 74,800 and 68,200, respectively; the monthly average of notional value of centrally cleared swap contracts was approximately $10,817,700,000 and $6,389,300,000, respectively; and the monthly average of notional value of forward currency contracts was $4,682,100,000 and $4,047,200,000, respectively.

For the nine months ended September 30, 2024 and 2023, the monthly average of futures contracts bought and sold was approximately 66,000 and 63,700, respectively; the monthly average of notional value of centrally cleared swap contracts was approximately $9,802,400,000 and $5,193,400,000, respectively; and the monthly average of notional value of forward currency contracts was $5,595,800,000 and $5,081,200,000, respectively.

Open contracts generally mature within three months; as of September 30, 2024, the latest maturity date for open futures contracts is December 2025and the latest maturity date for open forward currency contracts is December 2024. However, the Trust intends to close all futures and offset all forward currency contracts prior to maturity. The latest termination date for centrally cleared swap contracts is December 2029.

Credit Risk

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

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

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

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

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

The amount of required margin and good faith deposits with the futures brokers, swaps broker, and interbank market maker usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at September 30, 2024 and December 31, 2023 was $78,891,485 and $55,103,441, respectively, which equals approximately 14% and 11% of Net Asset Value, respectively. Included in cash deposits with the futures brokers, swaps broker and interbank market maker at September 30, 2024 and December 31, 2023 was restricted cash for margin requirements of $73,334,553 and $92,277,574, respectively, which equals approximately 13% and 19% of Net Asset Value, respectively.

27
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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2024 (Unaudited)
Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for offset in the Statements of Financial Condition and instruments and transactions that are subject to a master netting agreement as well as amounts related to financial collateral (including U.S. Treasury Bills and cash collateral) held at clearing brokers and counterparties. Margin reflected in the collateral tables is limited to the net amount of unrealized loss at each counterparty. Actual margin amounts required at each counterparty are based on the notional amounts or the number of contracts outstanding and may exceed the margin presented in the collateral tables.

Offsetting of Derivative Assets by Counterparty
As of September 30, 2024
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
$
14,159,198
$
(11,707,525
)
$
2,451,673
Futures contracts
Goldman, Sachs & Co.
13,509,899
(11,411,276
)
2,098,623
Forward currency contracts
NatWest Markets Plc
23,056,333
(16,669,809
)
6,386,524
Centrally cleared swap contracts*
Centrally Cleared
26,440,574
(6,106,376
)
20,334,198
Total derivatives
$
77,166,004
$
(45,894,986
)
$
31,271,018

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

Derivative Assets and Collateral Received by Counterparty
As of September 30, 2024
Net Amounts of
Unrealized Gain
Presented in the
Gross Amounts Not Offset in the
Statements of Financial Condition
Counterparty
Statements of
Financial Condition
Financial
Instruments
Cash Collateral
Received
Net Amount
UBS Securities LLC
$
2,451,673
$
0
$
0
$
2,451,673
Goldman, Sachs & Co.
2,098,623
0
0
2,098,623
NatWest Markets plc
 6,386,524 0 0 6,386,524
Centrally Cleared
20,334,198
0
0
20,334,198
Total
$
31,271,018
$
0
$
0
$
31,271,018


Offsetting of Derivative Liabilities by Counterparty
As of September 30, 2024
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
$
11,707,525
$
(11,707,525
)
$
0
Futures contracts
Goldman, Sachs & Co.
11,411,276
(11,411,276
)
0
Forward currency contracts
NatWest Markets Plc
16,669,809
(16,669,809
)
0
Centrally cleared swap contracts
Centrally Cleared
6,106,376
(6,106,376
)
0
Total derivatives
$
45,894,986
$
(45,894,986
)
$
0

28
Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2024 (Unaudited)
Derivative Liabilities and Collateral Pledged by Counterparty
As of September 30, 2024
Net Amounts of
Unrealized Loss
Presented in the
Gross Amounts Not Offset in the
Statements of Financial Condition
Counterparty
Statements of
Financial Condition
Financial
Instruments
Cash Collateral
Pledged
Net Amount
UBS Securities LLC
$
0
$
0
$
0
$
0
Goldman, Sachs & Co.
0
0
0
0
NatWest Markets Plc
0
0
0
0
Centrally Cleared
0
0
0
0
Total
$
0
$
0
$
0
$
0


Offsetting of Derivative Assets by Counterparty
As of December 31, 2023
Type of Instrument
Counterparty
Gross
Amounts of
Recognized
Assets
Gross
Amounts
Offset in the
Statements of
Financial Condition
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
Futures contracts
UBS Securities LLC
$
7,705,322
$
(7,705,322
)
$
0
Futures contracts
Goldman, Sachs & Co.
7,344,235
(7,344,235
)
0
Forward currency contracts
NatWest Markets Plc
41,529,719
(41,529,719
)
0
Centrally cleared swap contracts*
Centrally Cleared
15,464,848
(4,399,372
)
11,065,476
Total derivatives
$
72,044,124
$
(60,978,648
)
$
11,065,476

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

Derivative Assets and Collateral Received by Counterparty
As of December 31, 2023
Net Amounts of
Unrealized Gain
Presented in the
Gross Amounts Not Offset in the
Statements of Financial Condition
Counterparty
Statements of
Financial Condition
Financial
Instruments
Cash Collateral
Received
Net Amount
UBS Securities LLC
$
0
$
0
$
0
$
0
Goldman, Sachs & Co.
0
0
0
0
NatWest Markets Plc
0
0
0
0
Centrally Cleared
11,065,476
0
0
11,065,476
Total
$
11,065,476
$
0
$
0
$
11,065,476

29
Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2024 (Unaudited)
Offsetting of Derivative Liabilities by Counterparty
As of December 31, 2023
Type of Instrument
Counterparty
Gross
Amounts of
Recognized
Liabilities
Gross
Amounts
Offset in the
Statements of
Financial Condition
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
Futures contracts
UBS Securities LLC
$
12,209,145
$
(7,705,322
)
$
4,503,823
Futures contracts
Goldman, Sachs & Co.
12,912,207
(7,344,235
)
5,567,972
Forward currency contracts
NatWest Markets Plc
44,014,850
(41,529,719
)
2,485,131
Centrally cleared swap contracts
Centrally Cleared
4,399,372
(4,399,372
)
0
Total derivatives
$
73,535,574
$
(60,978,648
)
$
12,556,926

Derivative Liabilities and Collateral Pledged by Counterparty
As of December 31, 2023
Net Amounts of
Unrealized Loss
Presented in the
Gross Amounts Not Offset in the
Statements of Financial Condition
Counterparty
Statements of
Financial Condition
Financial
Instruments
Cash Collateral
Pledged
Net Amount
UBS Securities LLC
$
4,503,823
$
0
$
(4,503,823
)
$
0
Goldman, Sachs & Co.
5,567,972
0
(5,567,972
)
0
NatWest Markets Plc
2,485,131
0
(2,485,131
)
0
Centrally Cleared
0
0
0
0
Total
$
12,556,926
$
0
$
(12,556,926
)
$
0

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

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

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Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2024 (Unaudited)
Note 13. INDEMNIFICATIONS

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

Note 14. INTERIM FINANCIAL STATEMENTS
The Statements of Financial Condition, including the Condensed Schedules of Investments, as of September 30, 2024 and December 31, 2023, the Statements of Operations and Financial Highlights for the three months and nine months ended September 30, 2024 and 2023, and the Statements of Cash Flows and Changes in Unitholders' Capital (Net Asset Value) for the nine months ended September 30, 2024 and 2023 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 September 30, 2024 and December 31, 2023, the results of operations and financial highlights for the three months and nine months ended September 30, 2024 and 2023, and cash flows and changes in unitholders' capital (Net Asset Value) for the nine months ended September 30, 2024 and 2023.

Note 15. SUBSEQUENT EVENTS

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

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Table of Contents
Item 2.Management's Discussion and Analysis of Financial Condition and Results of Operations.

Introduction

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

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

As of September 30, 2024, the aggregate capitalization of the Trust was $552,271,435 with Series A, Series B, Series D and Series W comprising $414,665,915, $40,815,025, $37,223,920 and $59,566,575, respectively, of the total. The Net Asset Value per Unit was $4,297.55 for Series A, $4,772.48 for Series B, $1,750.52 for Series D and $5,424.03 for Series W.

Critical Accounting Policies

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

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

Capital Resources

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

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

Liquidity

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

32
Table of Contents
The entire offering proceeds, without deductions, will be credited to the Trust's bank, custodial and/or cash management accounts. The Trust meets margin requirements for its trading activities by depositing cash and U.S. government securities with the futures broker and the over-the-counter counterparty. This does not reduce the risk of loss from trading futures, forward and swap contracts. The Trust receives all interest earned on its assets. No other person shall receive any interest or other economic benefits from the deposit of Trust assets.

Approximately 15% to 40% of the Trust's assets normally are committed as required margin for futures contracts and held by the futures brokers, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. Treasury Bills in segregated accounts with the futures brokers pursuant to the Commodity Exchange Act and regulations thereunder. Approximately 5% to 15% of the Trust's assets are deposited with the over-the-counter counterparty or centrally cleared in order to initiate and maintain forward contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparty.

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

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

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

Off-Balance Sheet Risk

The term "off-balance sheet risk" refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Trust trades in futures, forward and swap contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Trust, market risk, that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Trust at the same time, and if the Trust's trading advisor was unable to offset futures interests positions of the Trust, the Trust could lose all of its assets and the Unitholders would realize a 100% loss. Campbell & Company, the managing operator (who also acts as trading advisor), minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 40% however, these precautions may not be effective in limiting the risk of loss.

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

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

33
Table of Contents
Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts Accounted for at Fair Value

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

Results of Operations

The returns for the nine months ended September 30, 2024 and 2023 for Series A were 14.51% and 6.08%, Series B were 14.80% and 6.37%, Series D were 15.45% and 6.97% and Series W were 16.10% and 7.58%, respectively.

2024 (For the Nine Months Ended September 30)

Of the 14.51% return for the nine months ended September 30, 2024 for Series A, approximately 14.11% was due to trading gains (before commissions), approximately 3.89% due to investment income and approximately (3.49)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series A.

Of the 14.80% return for the nine months ended September 30, 2024 for Series B, approximately 14.11% was due to trading gains (before commissions) approximately 3.89% due to investment income and approximately (3.20)% due to brokerage fees, management fees, sales commissions, and operating costs incurred by Series B.

Of the 15.45% return for the nine months ended September 30, 2024 for Series D, approximately 14.11% was due to trading gains (before commissions) approximately 3.89% due to investment income and approximately (2.55)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series D.

Of the 16.10% return for the nine months ended September 30, 2024 for Series W, approximately 14.11% was due to trading gains (before commissions) approximately 3.89% due to investment income and approximately (1.90)% due to brokerage fees, management fees, performance fees, offering costs and operating costs incurred by Series W.

During the nine months ended September 30, 2024, the Trust accrued management fees in the amount of $7,886,082 and paid management fees in the amount of $7,760,172. During the nine months ended September 30, 2024, the Trust accrued sales commissions in the amount of $6,739,372 and paid sales commissions in the amount of $6,651,464. During the nine months ended September 30, 2024, the Trust accrued performance fees in the amount of $0 and paid performance fees in the amount of $0.

An analysis of the 14.11% gross trading gains/losses for the Trust for the nine months ended September 30, 2024 by sector is as follows:

Sector
% Gain (Loss)
Credit
0.90
%
Commodities
0.00
%
Foreign Exchange
(1.56
)%
Interest Rates
2.74
%
Equity Indices
12.03
%
14.11
%

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Table of Contents
The Trust realized a profit in January. Gains came from equity index and interest rates holdings, while trading in foreign exchange (FX), commodities, and credit produced partially offsetting losses during the month. Global stock indexes generated profits for the Trust. Net long positioning on a variety of equity indices benefitted as most major global stock indexes finished the month in positive territory. The general risk-on sentiment was fueled by goldilocks data releases, ongoing disinflationary traction, some positive earnings takeaways, and Chinese stimulus measures. Fixed income markets contributed additional gains during the month. January's overarching theme was the unwinding of expectations for early rate cuts across the world. In the US, bond prices fell (yields rose) as solid economic data cast doubts on how quickly the Fed will begin cutting rates, benefiting short positioning in US 30yr Treasuries. Additional gains were realized in payer positions (which benefit from higher rates) in Scandinavian instruments. Hotter-than-expected Swedish inflation spurred traders to look for less easing by the Riksbank, while a moderately hawkish tilt by Norges Bank took Norwegian yields higher. In the credit indices, partially offsetting losses were realized in short protection positions as most credit spreads widened. FX trading generated partially offsetting losses with short positions in the developed market currencies (versus long USD) suffering the most. The dominant theme was the aforementioned improving data out of the US, which caused a correction in the USD after the dovish Fed expectations in the prior months. Gains in short NOK (versus long the USD) were more than offset by losses in long positions in markets like NZD. Commodity trading also provided losses for the Trust. Energies were the worst performing commodity sub-sector with most energy markets posting negative returns. A short holding in natural gas, one of the big winners for the Trust in 2023, faltered as models covered much of their position during a rally in the first half of the month, consequently missing much of the move lower in the latter half of the month. Short grain holdings provided some offsetting gains, as the agricultural complex weakened on expectations for widening inventories and weaker demand.

The Trust produced a gain in February. Gains came from equity index, interest rates, and credit holdings, while trading in foreign exchange (FX) and commodities produced some partially offsetting losses during the month. Long global stock index positioning generated the best sector returns for the Trust. Many equity markets around the globe were bolstered to all-time highs amid the artificial-intelligence euphoria as well as stronger US economic data. Concentration concerns, stretched positioning, and a hawkish Fed remain the key overhangs. Fixed income markets contributed additional gains during the month. Global bond prices fell (yields rose) as expectations for imminent rate cuts continued to fade, with central bank officials pushing back on early spring cuts. Short positioning in German 5yr and 10yr bonds benefited after the ECB minutes confirmed that policymakers still believe it is too soon to cut rates, prompting traders to reduce rate cut bets to <100 bps for this year. In the US, exceptionally strong labor market data and hotter-than-expected inflation pushed the SOFR lower, helping short positioning. Payer positions (which benefit from higher rates) in New Zealand and Sweden IRS added to gains. Short protection positions on the credit indices generated additional gains as spreads narrowed on the month amid the broader rally in risk assets. FX trading generated partially offsetting losses with the Developed Market (DM) currencies, versus long the USD, suffering the most. While the US dollar index continued its strengthening trend on back of the aforementioned stronger US data and fewer 2024 rate cuts expected from the Fed, certain DM currency pairs traded in a more range-bound fashion. Gains in short NOK (versus long the USD) were more than offset by Trust losses in currencies like the GBP and CAD, which suffered amid choppy trading. Commodity positions detracted modestly from P&L in February. Soft commodities generated the largest sub-sector losses during the month. However, short grain holdings provided partially offsetting gains as the grain complex weakened on ample world supplies.

The Trust produced a gain in March. Gains came from equity index, foreign exchange (FX), credit, and commodity holdings, while trading interest rates produced some partially offsetting losses during the month. Global stock indexes generated the best profits for the Trust. Net long positioning on a variety of equity indices benefitted as equities posted another month of gains as the US economy remained resilient, the Fed signaled it is still willing to cut interest rates this year, and AI optimism continued to be a key tailwind for the market. Foreign exchange trading experienced additional gains for the Trust in March. Long positions on the US dollar benefited as the USD strengthened on back of rate differential expectations. That is, the market is still pricing in the Fed to cut rates this year, but not as early as other central banks. The Scandinavian central banks were particularly dovish in March and their currencies weakened; a short position on the Norwegian krone (versus long the USD) was a standout performer for the Trust. Short protection positions on the credit indices generated additional gains as spreads narrowed on the month amid the broader rally in risk assets. Commodity trading was modestly additive in March. Positive performance came from nearly all markets in the energy sub-sector, as efforts from OPEC+ to curb supply and continued geopolitical risks in the Middle East were favorable to net long holdings. Underperformance in short grain positioning capped sector gains. Fixed income markets contributed offsetting losses during the month. Global bonds rallied (yields fell) as many of the major central banks turned more dovish after two months of pushing back against rate cuts. The BOE delivered a more dovish split to its voting pattern and UK gilts advanced, generating losses on short positioning. In the wake of dovish-leaning ECB meetings/commentary, short positioning on German bonds incurred additional losses. Meanwhile, guidance from the Czech National Bank was an exception on the month and delivered a hawkish bias. Receiver positions in Czech Interest Rate Swaps (lower rates desired) suffered losses as a result.

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The Trust produced a gain in April. Gains came from interest rates trading while, equity index, foreign exchange (FX), credit, and commodity holdings produced some partially offsetting losses during the month. Fixed income markets generated the best sector returns for the Trust. April saw bonds swing between the competing narratives of persistent inflation prompting calls for yields to be "higher for longer" and geopolitical risks prompting safe haven bids. Ultimately, the former prevailed which pushed global bond prices lower (yields higher). Short positioning in US Treasuries across all tenors profited after the hot US CPI caused a hawkish repricing of the Fed's policy outlook. By month end, traders had pushed back the timing of the first rate cut to December, dramatically changing the base case for 2024 from six cuts to a single year-end cut. The sell-off in Treasuries spilled over into global markets, to the benefit of short positioning in German bonds. In IRS markets, payer positions (desires rates higher) in Norway and Sweden added to gains as rates in Scandinavian countries rose in tandem with the US. Largely long positioning in global equity indices had a negative impact on Trust performance for the month with risk markets facing a reckoning of the likelihood of higher for longer yields in conjunction with heightened geopolitical tensions in the Middle East. In the credit indices, additional losses were realized in short protection positions as credit spreads widened amid the broader move lower in risk. FX trading generated additional losses during the month with the Developed Market (DM) currencies suffering the most. While the USD index continued its strengthening trend on back of the aforementioned stronger US CPI and fewer 2024 rate cuts expected from the Fed, certain DM currency pairs traded in a more choppy fashion. Gains in short NOK (versus long the USD) were more than offset by Trust losses in currencies like the AUD and GBP, which suffered amid the mid-month reversals. Commodity holdings detracted modestly from P&L in April. The energy sub-sector produced small losses, with a short natural gas position the underperformer as natural gas futures rallied into month-end amid forecasts for warming temps for much of the US. Grains and industrial metals holdings produced some partially offsetting gains.

The Trust produced a loss during May. Losses came from foreign exchange (FX), commodity, and interest rate positions, while stocks and credit index trading created some partially offsetting gains. FX trading generated Trust losses during the month with the Developed Market currencies suffering the worst. May proved to be a difficult month for some FX strategies to navigate given the abrupt shift in the trend of the US dollar. After four straight months of gains for the USD index, the greenback slipped in May on back of several "goldilocks" economic data points. While our models reacted quickly in certain markets like the GBP and benefited from the strength in the pound, they were more than offset by short positions in the NOK and EUR. Commodity positions also detracted from the Trust during the month. The dominant losses were found in the energy sub-sector, led by a short natural gas holding. Futures prices in natural gas rose as tightening supplies spurred a rally. Short grain holdings produced additional losses as the grain complex rallied amid crop concerns. Precious metals produced some offsetting gains as silver prices rose to the highest in more than a decade. Fixed income instruments generated additional losses. Global bonds ended the month mixed with US Treasuries outperforming their peers. The aforementioned goldilocks US data put Fed rate cuts back in play, sending 10yr and 5yr Treasuries higher (yields lower) to the detriment of short positioning. Conversely, rate cut speculation in mainland Europe was dialed back on signs of persistent services sector inflation and elevated wage growth, creating losses in long positioning in short-dated Eurozone bonds. A strong GDP print coupled with a small upside inflation surprise in Switzerland pushed rates higher, hurting receiver (desire rates lower) Swiss IRS positioning. Long positioning in global equity indices provided some partially offsetting gains for the Trust in May. Stock markets advanced on the back of renewed traction surrounding the soft-landing narrative and on optimism for the Fed to begin cutting rates later this year. In the credit indices, additional gains were realized in short protection positions as credit spreads tightened amid the broader move higher in risk.

The Trust produced a gain during June. Profits came from commodity and stock index holdings, while interest rate, foreign exchange (FX), and credit positions created some partially offsetting losses. Commodity holdings produced the best Trust profits during June. The dominant gains were found from short positioning in the grain markets. The grain complex weakened on ample supplies and sluggish demand with prices plunging into month-end after the USDA acreage report showed higher-than-expected plantings. Holdings in meats, softs, and energies produced additional gains. Stocks trading was also additive for the Trust in June. Long Asian and US stock positions proved beneficial as indexes in those regions advanced on AI enthusiasm as well as soft landing optimism after the US CPI and PPI figures added to the disinflation narrative. Meanwhile, long holdings on European indices produced some offsetting losses as those markets weakened on the back of political uncertainty. Fixed income instruments generated partially offsetting losses for the Trust in June, dominated by short positioning in long-dated bonds. Prices rallied (yields fell) as the first of the G-7 central banks began to cut rates. German 10-year bonds headlined losses after the ECB cut 25bps, its first move lower since 2016. While the US Fed held rates unchanged, short positioning in US 10-year Treasuries added to losses after a soft inflation print cleared the path for future Fed interest rate cuts. In the credit indices, additional losses were realized in short protection positions. Credit spreads widened on the month, dominated by Europe and political uncertainty after the EU elections. FX trading provided additional losses during the month with the Developed Market currencies suffering the worst. The US dollar may have strengthened on the month, but it wasn't a smooth ride given the mixed economic data. The hotter US employment report early in June caused a sharp move higher in the USD only to revert lower with the softer US CPI report one week later. The USD eventually made new monthly highs with global election concerns helping the flight-to-quality move, but the choppiness proved difficult for certain strategies.

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The Trust produced a gain during July. Profits came from all traded asset classes; stock index, foreign exchange (FX), interest rate markets, credit, and commodities all benefited the Trust. Long positioning in equity indices produced the best gains for the Trust in July amid a broader pickup in volatility. US equities posted strong gains to start the month as cooling economic data helped to fuel soft-landing expectations and rate cut bets. Though there was a large rotation out of tech mega-cap names and into value/cyclical/small-cap shares, the P&L gains realized in the first half of the month more than offset the rotation-driven losses. Foreign exchange trading generated additional profits with gains in Developed Market currencies dominating the sector. FX markets experienced some volatility-driving events during the month, and there were some notable divergences across countries. The Japanese yen strengthened sharply on back of a more hawkish approach from the Bank of Japan, carry trades were unwound, and commodity currencies were sold. While the choppiness in AUDUSD was a pain-point for the Trust the month prior, the Australian dollar trended lower in the second half of July, benefiting the Trust. Fixed income instruments provided further gains as easing cycles from some countries pushed yields lower. Canadian bonds rallied (yields fell) after the Bank of Canada cut rates for a second straight meeting, benefiting a long CGB position. A receiver Czech IRS position (desire lower yields) added to gains after a weaker-than-expected CPI print boosted the scope for further monetary easing. Long positioning in short-term European bonds benefited after the ECB held interest rates steady and signaled the September meeting will be "wide open." In the credit indices, additional gains were experienced in short protection positions as credit spreads tightened over the month. Commodity holdings produced additional Trust profits during the month. The dominant gains were found in short grain positioning as ample crops from the US amid a lack of Chinese demand sent the agricultural complex lower. Long oil holdings led to some partially offsetting P&L losses as petroleum markets weakened on the back of the aforementioned weaker expectations of China's commodity consumption.

The Trust produced a loss during August. Losses came from stock indices, commodities, and credit holdings. Fixed income markets provided partially offsetting gains while foreign exchange (FX) positions had minimal impact. Long positioning on global stock indexes generated Trust losses. Equity markets started the month severely under pressure after a more hawkish-than-expected Bank of Japan meeting. Japanese stocks saw their worst single day of losses since 1987 with the volatility bleeding into other risk assets. A dramatic miss from US employment figures further contributed to the downturn in sentiment as market appetite turned towards the need for drastic rate cuts from the Federal Reserve. Though equity markets experienced a significant bounce into month-end, losses realized in the first few days of August were unable to be fully recovered. Commodities also detracted from P&L in August. Energies generated the largest sub-sector losses during the month, led by long positioning across Brent and WTI crude oil, as prices fell alongside global equities at the start of the month. A long cocoa holding provided some partially offsetting gains as cocoa futures advanced on West African supply concerns. Fixed income instruments generated gains during the month. Global bonds rallied (yields fell) as most major central banks turned decisively more dovish. Long positioning in US 5Y and 10Y Treasuries led gains with the weaker US data triggering a reassessment of the Fed outlook. Canadian 10Y bonds advanced on the back of a mixed jobs report and softer inflation, to the benefit of long positioning. Short Japanese 10Y positioning delivered partially offsetting losses as Japanese bond prices followed peers higher despite the Bank of Japan bucking the broader easing trend. In the credit indices, mixed positioning and a choppy month of price action led to losses. FX trading had minimal impact on P&L with gains in Developed Market currencies offsetting the losses experienced in the Emerging Markets. While Trust positioning was mixed, the dominant theme was US dollar weakness with Fed Chair Powell saying "the time has come for policy to adjust" which led markets to price in a cut for September.

The Trust produced a gain in September. Profits during the month came from interest rate, foreign exchange (FX), stock index, and credit holdings. Commodities had a more muted impact on P&L. Fixed income instruments generated gains during the month. Global bond prices rallied (yields fell) as increasing bets the Fed would start its easing cycle with a 50bp cut became a reality. Long positioning in short-dated instruments profited as the jumbo-sized cut by the Fed was accentuated at the more interest-rate sensitive portion of the curve. Longs on Canadian 10yr bonds produced gains after the BOC shaved 25bps off their benchmark rate for the third consecutive month amid weakening inflation data. Receiver Sweden and Czech IRS positions (desire lower rates) also profited as their respective policy makers cut rates amid weaker growth and receding inflation. FX trading also had a positive impact on P&L with gains coming from long positions in both the Developed and Emerging Market currencies (versus short the USD). Softer US inflation and slower growth from the labor market was the catalyst for the weaker dollar and the expectations for the larger cut from the Federal Reserve. Other central banks around the world did not have as much of a dovish surprise as the Fed during the month, so US policy and the dollar were the biggest impetus for shifts in FX positioning. Long stock index positioning provided additional gains for the Trust in September. Most global stock indices rallied during the month after the jumbo 50bps Fed rate cut propelled stocks to new all-time highs. Continued AI optimism and more aggressive-than-expected Chinese stimulus further supported equities globally. In the credit indices, short protection positions benefited with the major credit spreads tightening on the month. Commodity holdings had minimal P&L impact on the month. The meat sub-sector was profitable for the Trust, led by a long live cattle position. Cattle futures rallied during the month amid an increase in beef demand expectations. Soft commodities provided additional gains for the Trust, while short grain complex positions generated some partially offsetting losses.

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2023 (For the Nine Months Ended September 30)

Of the 6.08% return for the nine months ended September 30, 2023 for Series A, approximately 6.33% was due to trading gains (before commissions), approximately 3.77% due to investment income and approximately (4.02)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series A.

Of the 6.37% return for the nine months ended September 30, 2023 for Series B, approximately 6.33% was due to trading gains (before commissions) approximately 3.77% due to investment income and approximately (3.73)% due to brokerage fees, management fees, sales commissions, and operating costs incurred by Series B.

Of the 6.97% return for the nine months ended September 30, 2023 for Series D, approximately 6.33% was due to trading gains (before commissions) approximately 3.77% due to investment income and approximately (3.13)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series D.

Of the 7.58% return for the nine months ended September 30, 2023 for Series W, approximately 6.33% was due to trading gains (before commissions) approximately 3.77% due to investment income and approximately (2.52)% due to brokerage fees, management fees, performance fees, offering costs and operating costs incurred by Series W.

During the nine months ended September 30, 2023, the Trust accrued management fees in the amount of $7,623,253 and paid management fees in the amount of $7,541,633. During the nine months ended September 30, 2023, the Trust accrued sales commissions in the amount of $6,486,551 and paid sales commissions in the amount of $6,408,650. During the nine months ended September 30, 2023, the Trust accrued performance fees in the amount of $122 and paid performance fees in the amount of $122.

An analysis of the 6.33% gross trading gains/losses for the Trust for the nine months ended September 30, 2023 by sector is as follows:

Sector
% Gain (Loss)
Credit
1.33
%
Commodities
4.07
%
Foreign Exchange
0.53
%
Interest Rates
0.78
%
Equity Indices
(0.38
)%
6.33
%

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

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

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

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

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

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

The Trust produced a loss in July. Losses came from foreign exchange (FX) and interest rate holdings while credit and commodity positions produced some partially offsetting gains during the month. Stock indexes had little impact. Foreign exchange trading generated Trust losses with short positions in the Developed Market currencies (versus long USD) dominating FX P&L. The main story around US policy was that while the Fed hiked 25bps in July, the market is pricing in a terminal rate that is close to its peak, which caused weakness in the greenback relative to its peers. The biggest Trust loss came from a short on the Norwegian krone, which saw additional appreciation on back of the continued strength in crude prices. Interest rate positions were also a negative contributor in July. Mixed fixed income positions generated losses as yields traded choppy as the markets weighed cooling inflation trends, "peak Fed" expectations, sticky employment, and strong economic data. Offsetting gains were experienced in a payer position on the NOK as yields continued their move higher with Norway's economy seen as more resilient than neighboring Sweden. Short protection positions on the credit indices generated partially offsetting gains for the Trust. Credit spreads narrowed amid the broader rally in risk and the Trust benefited as a result. The commodity sector added further gains for the Trust in July. Long energy positions were the largest sector contributor as the complex rallied amid signs of tightening global supply and an improving demand outlook. Industrial and precious metals posted partially offsetting losses with short positions suffering as prices rallied on the weaker USD and positive US macroeconomic trends. Stock index holdings had little impact on the Trust in the month of July amid mixed positioning across the global indices. Stock markets advanced during the month on soft landing expectations and disinflation traction. Positive earnings takeaways provided additional support for stocks.
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The Trust produced a gain in August. Gains came from foreign exchange (FX) and commodity holdings while stock indexes, interest rate, and credit positions produced some partially offsetting losses during the month. Foreign exchange trading led Trust gains in August. Shorts in the developed market currencies (versus long USD) benefited as the USD rallied sharply, following US Treasury yields which hit a 15-year high. The dollar bloc (AUD, NZD, CAD) and the Scandis (NOK and SEK) were the major underperformers on the month, with short AUDUSD leading Trust gains on weaker Chinese data and a rate hold from the RBA. Commodity trading was also additive for the Trust in August. Grains generated the largest sub-sector returns by way of a short wheat holding, which benefitted as prices fell on weak demand for US exports. Short industrial metal positions produced additional gains for the Trust as the base metals complex weakened on concerns about China's economy. Mixed positioning across the global stock indexes generated partially offsetting losses for the Trust. Equity indices weakened during the month as the hard vs soft landing debate continued, fueled by persistent inflation concerns and some weak US data that supported the peak-Fed narrative. Further, equity markets reacted to the steep rise in US yields along with an unexpected Fitch downgrade of the US. Fixed income instruments also detracted on the month. August kicked off with Fitch downgrading the US credit rating, which pushed Treasuries yields lower (prices higher), but weak auctions and hawkish Fed minutes sharply reversed that trend in the back half of August. US Treasuries ultimately ended the month lower, leaving gains in short US 30yr positioning evenly matched with losses on mixed positioning in the US 10yr note. A dismal Eurozone PMI print sparked a rally in German bonds as investors pared bets on another ECB hike, hurting short positioning. Short protection positions on the credit indices generated additional offsetting losses for the Trust. Credit spreads widened amid the broader sell-off in risk and the Trust suffered as a result.

The Trust produced a gain in September. Profits came from interest rate, commodities, and foreign exchange (FX) holdings, while stock and credit index positions produced some partially offsetting losses during the month. Fixed income instruments led Trust gains with short positioning profiting as global bond prices tumbled (yield jumped). US Treasuries sold off sharply as investors responded to the Fed's messaging that rates are set to stay higher for longer than previously expected. Adding to the retreat in the global bond markets, the Fed revised down their forecast for the number of 2024 interest rate cuts and the ECB signaled rates will be held higher for a "sufficiently long" period of time to quell inflation. Commodity trading also provided gains during the month. Precious metals generated the best sub-sector commodity returns for the Trust. Shorts held across the sector performed positively as continued strength in the US dollar and upward pressure on yields weighed on precious metal prices. Long positioning on the petroleum complex also generated gains as those energy markets advanced on tight supplies with OPEC+ leaders Saudi Arabia and Russia constricting output. The foreign exchange markets contributed additional gains for the Trust. Shorts in the developed market currencies (versus long the US dollar) benefited as the USD rallied sharply on back of Treasury yields, which made new highs not seen since before the Global Financial Crisis. While yields moved higher across many of the developed markets, US rates experienced a divergence higher during the month on back of the hawkish Fed, driving the relative strength in the greenback. Stock indices had a negative P&L impact in September, with losses concentrated in long European holdings. Nearly all major benchmarks logged losses for the month with the risk-off trading fueled by the higher-for-longer Fed and accompanying upward pressure on yields. The pickup in consumer headwinds with higher energy prices and the resumption of student loans, as well as the UAW strike and looming government shutdown, also pressured equity markets lower. Short protection positions on the credit indices generated additional offsetting losses for the Trust as credit spreads widened amid the broader sell-off in risk.

Item 3.Quantitative and Qualitative Disclosures About Market Risk.

Introduction

Past Results Not Necessarily Indicative of Future Performance

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

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

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

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Standard of Materiality

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

Quantifying the Trust's Trading Value at Risk

Quantitative Forward-Looking Statements

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

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

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

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

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

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

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

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

The following tables indicate the trading Value at Risk associated with the Trust's open positions by market category as of September 30, 2024 and December 31, 2023 and the trading gains/losses by market category for the nine months ended September 30, 2024 and the year ended December 31, 2023.

September 30, 2024
Market Sector
Value
at Risk*
Trading
Gain/(Loss)**
Credit
0.25
%
0.90
%
Commodities
0.66
%
0.00
%
Foreign Exchange
0.79
%
(1.56
)%
Interest Rates
0.88
%
2.74
%
Equity Indices
1.48
%
12.03
%
Aggregate/Total
2.20
%
14.11
%

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

**
Represents the gross trading for the Trust for the nine months ended September 30, 2024.

Of the 14.51% return for the nine months ended September 30, 2024 for Series A, approximately 14.11% was due to trading gains (before commissions), approximately 3.89% due to investment income and approximately (3.49)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series A.

Of the 14.80% return for the nine months ended September 30, 2024 for Series B, approximately 14.11% was due to trading gains (before commissions) approximately 3.89% due to investment income and approximately (3.20)% due to brokerage fees, management fees, sales commissions, and operating costs incurred by Series B.

Of the 15.45% return for the nine months ended September 30, 2024 for Series D, approximately 14.11% was due to trading gains (before commissions) approximately 3.89% due to investment income and approximately (2.55)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series D.

Of the 16.10% return for the nine months ended September 30, 2024 for Series W, approximately 14.11% was due to trading gains (before commissions) approximately 3.89% due to investment income and approximately (1.90)% due to brokerage fees, management fees, performance fees, offering costs and operating costs incurred by Series W.

December 31, 2023
Market Sector
Value
at Risk*
Trading
Gain/(Loss)**
Credit
0.20
%
(0.22
)%
Commodities
0.73
%
0.10
%
Foreign Exchange
0.73
%
(2.02
)%
Interest Rates
0.72
%
(3.51
)%
Stock Indices
0.44
%
0.74
%
Aggregate/Total
1.59
%
(4.91
)%

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

**
Represents the gross trading for the Trust for the year ended December 31, 2023.

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Of the (4.95)% return for the year ended December 31, 2023 for Series A, approximately (4.91)% was due to trading losses (before commissions) and approximately 5.25% due to investment income, offset by approximately (5.29)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series A.

Of the (4.62)% return for year ended December 31, 2023 for Series B, approximately (4.91)% was due to trading losses (before commissions) and approximately 5.25% due to investment income, offset by approximately (4.96)% due to brokerage fees, management fees, performance fees, sales commissions and operating costs borne by Series B.

Of the (3.90)% return for the year ended December 31, 2023 for Series D, approximately (4.91)% was due to trading losses (before commissions) and approximately 5.25% due to investment income, offset by approximately (4.24)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series D.

Of the (3.17)% return for the year ended December 31, 2023 for Series W, approximately (4.91)% was due to trading losses (before commissions) and approximately 5.25% due to investment income, offset by approximately (3.51)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series W.

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

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

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

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

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

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

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

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

Non-Trading Risk

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

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Qualitative Disclosures Regarding Primary Trading Risk Exposures

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

The following represent the primary trading risk exposures of the Trust as of September 30, 2024 by market sector.

Foreign Exchange

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

Interest Rates

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

Equity Indices

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

Credit

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

Energy

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

Metals

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

Agricultural

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

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Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the primary non-trading risk exposures of the Trust as of September 30, 2024.

Foreign Currency Balances

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

Fixed Income Securities and Short Term Investments

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

U.S. Treasury Bill Positions Held for Margin Purposes

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

General

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

Item 4.Controls and Procedures.

Campbell & Company, the managing operator of the Trust, with the participation of the managing operator's chief executive officer and chief operating officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in the Securities Exchange Act of 1934 Rules 13a-15(e) or 15d-15(e)) with respect to the Trust as of the end of the period covered by this quarterly report. Based on their evaluation, the chief executive officer and chief operating officer have concluded that these disclosure controls and procedures are effective. There were no changes in the managing operator's internal control over financial reporting applicable to the Trust identified in connection with the evaluation required by paragraph (d) of Exchange Act Rules 13a-15 or 15d-15 that occurred during the last fiscal quarter that have materially affected, or is reasonably likely to materially affect, internal control over financial reporting applicable to the Trust.

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PART II-OTHER INFORMATION

Item 1.Legal Proceedings.

None.

Item 1A. Risk Factors.

There are no material changes from the risk factors as previously disclosed in Form 10-K, filed March 22, 2024.

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

None.

Item 3.Defaults Upon Senior Securities.

Not applicable.

Item 4.Mine Safety Disclosures.

Not applicable.

Item 5.Other Information.

None.

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Item 6.Exhibits.

Exhibit
Number
Description of Document
Articles and Plan of Merger of the Campbell Fund Limited Partnership with and into the Registrant dated January 2, 1996 (1)
Fifth Amended and Restated Declaration of Trust and Trust Agreement of the Registrant dated July 21, 2023 (4)
Advisory Agreement between the Registrant and Campbell & Company LP (1)
Global Institutional Master Custody Agreement (2)
Investment Management Agreement with PNC Capital Advisors LLC, as cash manager (3)
31.01
Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
31.02
Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
32.01
Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
32.02
Certification of John R. Radle, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
101
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments As of September 30, 2024 and December 31, 2023, (ii) Statements of Financial Condition As of September 30, 2024 and December 31, 2023, (iii) Statements of Operations For the Three Months and Nine Months Ended September 30, 2024 and 2023, (iv) Statements of Cash Flows For the Nine Months Ended September 30, 2024 and 2023, (v) Statements of Changes in Unitholders' Capital (Net Asset Value) For the Nine Months Ended September 30, 2024 and 2023, (vi) Financial Highlights For the Three Months and Nine Months Ended September 30, 2024 and 2023, (vii) Notes to Financial Statements.
104
Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).

(1)
Incorporated by reference to the respective exhibit to the Registrant's Form 10 filed on April 30, 2003.
(2)
Incorporated by reference to the respective exhibit to the Registrant's Quarterly Report on Form 10-Q filed August 15, 2011.
(3)
Incorporated by reference to the respective exhibit to the Registrant's Quarterly Report on Form 10-Q filed on May 15, 2014.
(4)
Incorporated by reference to the respective exhibit to the Registrant's Quarterly Report on Form 10-Q filed on August 13, 2024.

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EXHIBIT INDEX

31.01
Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
31.02
Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
32.01
Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
32.02
Certification of John R. Radle, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
101
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments As of September 30, 2024 and December 31, 2023, (ii) Statements of Financial Condition As of September 30, 2024 and December 31, 2023, (iii) Statements of Operations For the Three Months and Nine Months Ended September 30, 2024 and 2023, (iv) Statements of Cash Flows For the Nine Months Ended September 30, 2024 and 2023, (v) Statements of Changes in Unitholders' Capital (Net Asset Value) For the Nine Months Ended September 30, 2024 and 2023, (vi) Financial Highlights For the Three Months and Nine Months Ended September 30, 2024 and 2023, (vii) Notes to Financial Statements.
104
Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).

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SIGNATURES

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

THE CAMPBELL FUND TRUST
(Registrant)
By:
Campbell & Company, LP
Managing Operator
Date: November 13, 2024
By:
/s/ Kevin D. Cole
Kevin D. Cole
Chief Executive Officer & Chief Investment Officer


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