Quarterly Report for Quarter Ending June 30, 2025 (Form 10-Q)

Management's Discussion and Analysis of Financial Condition and Results of Operations.

Introduction

The Campbell Fund Trust (the "Registrant" or 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) and began trading operations in January 1972. The Trust currently trades in the U.S. and international futures, forward and centrally cleared swaps markets under the sole direction of Campbell & Company, LP ("Campbell & Company" or the "managing operator"). 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.

As a registrant with the Securities and Exchange Commission (the "SEC"), the Trust is subject to the regulatory requirements under the Securities Act of 1934. As a commodity investment pool, the Trust is subject to the provisions of the Commodity Exchange Act, regulations of the Commodity Futures Trading Commission (the "CFTC"), an agency of the United States government which regulates most aspects of the commodity futures industry; rules of the National Futures Association (the "NFA"), 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, interbank market makers, and centrally cleared swaps brokers through which the Trust trades.

U.S. Bank National Association, a national banking corporation, (the "Trustee"), is the sole trustee of the Trust. The Trustee is unaffiliated with the managing operator and the Trust's selling agents, and its duties and liabilities with respect to the offering of the Units of Beneficial Interest (the "Units") are limited to its express obligations under the Declaration of Trust and Trust Agreement.

Under the Amended and Restated Declaration of Trust and Trust Agreement, the Trustee has delegated the exclusive management of all aspects of the business and administration of the Trust to Campbell & Company. Campbell & Company is registered with the CFTC as a commodity pool operator and a commodity trading advisor, and is a member of the NFA in such capacities. In addition to managing all aspects of business and administration, Campbell & Company makes all trading decisions for the Trust. Campbell & Company uses a systematic trading approach combined with quantitative portfolio management analysis and seeks to identify and profit from price movements in the future, forward and swaps markets. Multiple trading models are utilized across most markets traded. Each model analyzes market movements and internal market and price configurations in order to generate signals to be executed through a variety of execution platforms.

Pursuant to the terms of the Amended and Restated Declaration of Trust and Trust Agreement, the Registrant is scheduled to be terminated and dissolved promptly thereafter upon the happening of the earlier of: (a) the expiration of the Trust's stated term on December 3l, 2025; (b) an election to terminate the Trust at any time by Unitholders owning more than 50% of the Units then outstanding; (c) the trading in commodity futures is terminated, suspended or for any reason becomes impossible or economically unfeasible in the sole judgment of the managing operator; or (d) the date upon which the Trust is dissolved by operation of law or judicial decree. The managing operator of the Registrant plans to undertake the process of amending the Registrant's Amended and Restated Declaration of Trust and Trust Agreement to extend the term in perpetuity, subject to the other events that would cause the Registrant's term to end as set forth in sections (b), (c), or (d) above.

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 June 30, 2025, the aggregate capitalization of the Trust was $636,781,691 with Series A, Series B, Series D and Series W comprising $471,441,863, $40,836,928, $61,118,973 and $63,383,927, respectively, of the total. The Net Asset Value per Unit was $4,386.39 for Series A, $4,882.99 for Series B, $1,795.71 for Series D and $5,575.95 for Series W.

Critical Accounting Policies

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

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

Capital Resources

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

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

Liquidity

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

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.

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 six months ended June 30, 2025 and 2024 for Series A were 0.03% and 7.53%, Series B were 0.21% and 7.72%, Series D were 0.28% and 8.12% and Series W were 0.30% and 8.53%, respectively.

2025 (For the Six Months Ended June 30)

Of the 0.03% return for the six months ended June 30, 2025 for Series A, approximately 0.65% was due to trading gains (before commissions), approximately 2.05% due to investment income and approximately (2.67)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series A.

Of the 0.21% return for the six months ended June 30, 2025 for Series B, approximately 0.65% was due to trading gains (before commissions) approximately 2.05% due to investment income and approximately (2.49)% due to brokerage fees, management fees, sales commissions, and operating costs incurred by Series B.

Of the 0.28% return for the six months ended June 30, 2025 for Series D, approximately 0.65% was due to trading gains (before commissions) approximately 2.05% due to investment income and approximately (2.42)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series D.

Of the 0.30% return for the six months ended June 30, 2025 for Series W, approximately 0.65% was due to trading gains (before commissions) approximately 2.05% due to investment income and approximately (2.40)% due to brokerage fees, management fees, performance fees, offering costs and operating costs incurred by Series W.

During the six months ended June 30, 2025, the Trust accrued management fees in the amount of $6,230,120 and paid management fees in the amount of $6,123,713. During the six months ended June 30, 2025, the Trust accrued sales commissions in the amount of $5,277,682 and paid sales commissions in the amount of $5,191,681. During the six months ended June 30, 2025, the Trust accrued performance fees in the amount of $574,435 and paid performance fees in the amount of $574,435.

An analysis of the 0.65% gross trading gains/losses for the Trust for the six months ended June 30, 2025 by sector is as follows:

The Trust realized in a profit in January. Profits came from interest rate, commodity, equity index, and credit holdings, while trading in foreign exchange (FX) had minimal impact on P&L.Fixed income instruments led Trust gains during the month with profits concentrated in long-dated bonds. A short UK gilt position profited early in the month as 10-year yields hit the highest since 2008 amid ongoing worries over the UK fiscal deficit. Japanese government bond prices slid, to the benefit of short positioning, in the wake of the BoJ's 25bps rate hike coupled with hawkish comments from Governor Ueda. Adding to fixed income gains, a receiver position (desire rates lower) in MXN Interest Rate Swaps profited on back of expectations for an accelerated cutting cycle from Banxico. In the credit indices, short protection positions resulted in additional gains as the major credit spreads narrowed on the month amid the broader risk-on flows. Commodity positions generated further gains during the month. Meat holdings produced the largest gains for the sector as cattle markets rallied to record highs driven by tight supply expectations. Both precious and industrial metal positioning provided additional returns due to the weaker dollar, as well as the volatility surrounding the Trump tariff uncertainty. Long positioning in equity indices produced additional gains for the Trust in January. Stocks strengthened to kick off the year as Trump's initial tariff action and commentary was more benign than expected, and strong earnings results provided support to the equity market. While stocks finished higher on the month, some risk overhangs remain, including Chinese startup DeepSeek's lower-cost AI model casting doubts on lofty tech valuations. Foreign exchange trading had limited P&L impact as gains in the emerging FX markets (EM) were offset by losses in the developed markets (DM). It was an extremely choppy month for foreign exchange as DM and EM alike whipsawed on back of mixed data releases, the potential impact of tariffs, and shifting central bank expectations..

The Trust realized a loss in February. Losses came from commodity, interest rate, and stock index positions, while foreign exchange (FX) holdings produced some partially offsetting gains during the month. Credit trading had limited impact on P&L in February. Commodity positions led Trust losses during the month. The dominant losses were found in long positioning in the meat markets. While the complex started the year off strong, February saw weakness in the wake of decreased slaughter activity and expectations for increased production. Soft holdings produced additional losses, driven by long cocoa, which weakened as demand concerns overshadowed tight supplies. Fixed income instruments generated further losses during February. Short positioning in US Treasuries dominated losses after prices rallied (yields fell) on the back of weak economic data, and speculation that tariffs could worsen the global growth situation. In response, traders ratcheted up their expectations for Fed rate cuts this year putting further upward pressure on prices. Receiver positions (desire rates lower) in MXN Interest Rate Swaps provided some partially offsetting gains on back of rate cut expectations from the Banxico amid the expected Trump trade levies against Mexico. Positioning in the credit indices resulted in relatively unchanged P&L. As European risk outperformed on the month, modest gains in short protection positions on certain European indices offset losses in short protection against the US CDX markets. Stock indices produced additional losses for the Trust during February with the greatest declines seen from the APAC and US regions. Largely long global equities positioning underwhelmed as uncertainty surrounding President Trump's tariff policies led to risk-off trading. Growth worries, sticky inflation, and stretched valuations also weighed on prices during the month. FX trading led to some partially offsetting gains in February. Currencies were relatively less reactive to tariff headlines than they had been after the US election results. The Trust's largest gains came from short New Zealand and Australian dollars (against long USD) with those currencies selling off in the back half of the month after rate cuts from their respective central banks.

The Trust realized a profit in March. Profits came from commodity and foreign exchange (FX) holdings, while credit, stock index, and interest rate positions produced some partially offsetting losses. Commodities provided strong returns for the Trust in March, led by long precious metal holdings. Bullion prices broadly rose throughout the month, with gold marking several new all-time highs, as global trade war concerns, geopolitical risks, and macro uncertainties sparked haven demand. Additional profits were experienced in the energy and meat sub-sectors. FX trading also contributed positively during the month. Gains came from long positions in both the emerging and developed market currencies (versus short USD) as the dollar experienced a broad sell-off with tariff headlines and policy uncertainty driving sentiment. The European currencies were the dominant outperformers as the euro rallied sharply after Germany unveiled their largest defense spending package in post-unified German history. The Trust's short-term strategies quickly pivoted from being short EURUSD to long, resulting in one of the most profitable FX positions. Fixed income and the credit instruments experienced partially offsetting losses on mixed regional positioning. German bonds experienced their worst day since 1990 on the aforementioned military and infrastructure plans, to the detriment of long positioning. However, partially offsetting gains were seen from short positions in longer-dated UST futures as concerns that tariff policies would be inflationary pushed yields higher. In the credit indices, short protection positions incurred losses with credit spreads widening alongside the broader move lower in risk assets. Stock indices also had a negative P&L impact in March. Net Trust positioning fluctuated between long and short during a volatile month for equities. Nearly all major global benchmarks logged losses as markets grappled with the uncertainty surrounding Trump's tariff policies and the potential implications on global growth. Geopolitical and AI capex bubble concerns also weighed on sentiment. US stock markets saw outsized losses compared to international counterparts amid concerns over fading US exceptionalism.

The Trust realized a loss in April. Losses came from commodity, credit, stock, and foreign exchange (FX) positions, while interest rate holdings contributed some partially offsetting gains during the month. The commodity sector led the Trust lower during the month. Long energy positions to start the month generated the largest sub-sector losses with the complex selling-off sharply as harsher-than-expected "Liberation Day" tariffs and an escalating trade war threatened to cripple global demand. A shock announcement by OPEC+ to increase oil supply added to downward price pressures. Additional losses for the Trust came from industrial metals, precious metals, and soft commodity holdings. Stock indices also had a negative P&L impact in April amid extreme trading volatility. Long European and some Asian stock holdings produced the bulk of the monthly losses as equity markets reacted sharply to the downside amid global growth fears on the back of President Trump's larger-than-anticipated reciprocal tariffs announcement. Stocks rebounded to close out the month as the Trump administration softened its trade stance and amid positive earnings takeaways. Initial short positioning in the credit indices produced losses for the Trust as spreads widened on the back of the heightened risk-off trading at the start of the month. FX trading contributed additional losses with the greatest impact coming from the emerging market currencies. It was also an extraordinarily volatile month for the sector as the proposed tariffs sparked a sharp dollar selloff, while subsequent trade war headlines, growth fears, and Fed Independence concerns extended USD selling. Fixed income instruments generated large, partially offsetting returns. President Trump's announcement of extensive tariff increases, alongside confrontations with the Federal Reserve, shook investors' confidence in American assets resulting in substantial price declines in US long bonds, benefiting short positioning. Meanwhile, European bond prices rose with a safe haven bid and ECB easing, making long positioning across all tenors profitable. A receiver position (desire rates lower) in New Zealand IRS generated gains after the RBNZ cut by 25bps. An anticipated rate cut in the Czech Republic produced additional gains in a receiver position in Czech IRS.

The Trust realized a loss in May. Losses came from interest rate, foreign exchange (FX), and commodity positions, while stock and credit index holdings contributed some partially offsetting gains during the month. Fixed income instruments led the Trust lower in May as global bond prices slid (yields rose) amid US deficit concerns, ongoing trade negotiations, and hot inflation readings. Long UK gilt positioning was the biggest detractor as prices dropped following a hawkish BoE vote and US-UK trade deal. German bond prices slumped on higher-than-expected Eurozone inflation, to the detriment of long positioning. A JGB short delivered partially offsetting gains as prices fell amid historically weak bond auctions. Foreign exchange trading led to additional losses. The broader dollar index experienced a significant whipsaw move over the month, ultimately finishing near flat as the market reacted to an agreement between the US and China to pause certain tariffs for 90 days. A rally in the Taiwanese dollar resulted in the currency being the Trust's biggest single detractor in May. The TWD appreciated rapidly versus the USD at the start of the month amid a recovery in tech stocks, strong Taiwanese macro data, and news that Taiwan's government may allow the currency to strengthen as part of US trade talks. Within commodities, net short energy positions contributed the largest sub-sector loss for the Trust. The energy complex rallied alongside risk assets amid easing trade tensions and extended geopolitical concerns. Prices were capped to the upside on reports OPEC+ is considering an additional production hike. Industrial metals and grains generated additional losses during the month. Long stock index positioning produced partially offsetting gains for the Trust. Global equity markets posted strong monthly returns as they continued to recover from the post-Liberation Day lows amid a de-escalation of trade tensions. Bullish AI takeaways provided additional tailwinds for equities throughout the month. Markets seemed to largely shake off the Moody's downgrade of US government debt, though deficit concerns related to the US House reconciliation bill produced some headwinds. Short protection positions on the credit indices also generated gains as credit spreads narrowed sharply amid the broader rally in risk.

The Trust realized a loss in June. Losses came from fixed income and foreign exchange (FX) positions while stock, commodity, and credit holdings produced some partially offsetting gains. Fixed income instruments led the Trust lower in June. In the US, positive trade developments, softer inflation, and dovish Fed headlines all contributed to lower yields, hurting mostly short positioning in long-dated tenors. Over in Europe, the ECB cut rates 25bps as expected but signals from Lagarde were mixed as the ECB hinted at the end of the cutting cycle. With this hawkish development, yields rallied to the detriment of long positioning in German bonds. A surprise cut from Norges bank saw Norwegian yields plummet, hurting the payer NOK IRS position (desire rates higher). In FX trading, losses experienced in the Developed Market (DM) currencies more than offset the gains realized in the Emerging Market (EM) sub-sector. After several weeks of choppy trading, the dollar index ultimately finished June at fresh 3-year lows. Some of the more volatile currencies on the month, and the largest losses for the Trust, were AUD and NZD. The antipodean currencies were challenging to trade after the US attacks on Iran and the uncertainty around the effects on commodity prices. In the EM markets, long BRL was the biggest gainer on the month as the Brazilian real benefited from carry dynamics and continued appreciation relative to the USD. Stock index positions produced partially offsetting gains as most major benchmarks advanced. Long positions in US and APAC equity benchmarks led the way as the two regions benefitted greatly from positive trade talks, resulting in deals between the US and China. A dovish repricing around the Fed rate path also supported prices, while the US reconciliation bill and geopolitical concerns remained key overhangs. Net short protection positioning in the credit indices produced additional gains as spreads narrowed on the back of risk-on trading. Commodity holdings also generated some partially offsetting gains during the month. Long cattle positions generated positive returns as meat prices rose on strong demand and tighter supply fears. Industrial metal longs were also additive as the complex was buoyed by a weaker dollar, tariff concerns, and geopolitical developments.

2024 (For the Six Months Ended June 30)

Of the 7.53% return for the six months ended June 30, 2024 for Series A, approximately 7.31% was due to trading gains (before commissions), approximately 2.53% due to investment income and approximately (2.31)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series A.

Of the 7.72% return for the six months ended June 30, 2024 for Series B, approximately 7.31% was due to trading gains (before commissions) approximately 2.53% due to investment income and approximately (2.12)% due to brokerage fees, management fees, sales commissions, and operating costs incurred by Series B.

Of the 8.12% return for the six months ended June 30, 2024 for Series D, approximately 7.31% was due to trading gains (before commissions) approximately 2.53% due to investment income and approximately (1.72)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series D.

Of the 8.53% return for the six months ended June 30, 2024 for Series W, approximately 7.31% was due to trading gains (before commissions) approximately 2.53% due to investment income and approximately (1.31)% due to brokerage fees, management fees, performance fees, offering costs and operating costs incurred by Series W.

During the six months ended June 30, 2024, the Trust accrued management fees in the amount of $5,176,598 and paid management fees in the amount of $5,105,809. During the six months ended June 30, 2024, the Trust accrued sales commissions in the amount of $4,432,303 and paid sales commissions in the amount of $4,380,687. During the six months ended June 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 7.31% gross trading gains/losses for the Trust for the six months ended June 30, 2024 by sector is as follows:

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.

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.