ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Policies)

3 Months Ended

Mar. 31, 2026

ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES [Abstract]

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

Investments

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

Investment transactions, 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.

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.

Net Asset Value per Unit

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

Fair Value

D. Fair Value

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

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

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

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

Level 3 inputs are unobservable inputs for an asset or liability (including the Trust’s own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of March 31, 2026 and December 31, 2025 and for the periods ended March 31, 2026 and 2025, the Trust did not have any Level 3 assets or liabilities.

The following tables set forth by level within the fair value hierarchy the Trust’s investments accounted for at fair value on a recurring basis as of March 31, 2026 and December 31, 2025.

	Fair Value at March 31, 2026
Description	Level 1		Level 2			Level 3		Total
Investments
Short term investments	$	4,019,670	$	0		$	0	$	4,019,670
Fixed income securities		0		460,184,110			0		460,184,110

Other Financial Instruments
Exchange-traded futures contracts		13,718,050		0			0		13,718,050
Forward currency contracts		0		14,530,602			0		14,530,602
Credit default index swap contracts		0		(5,386,413	)		0		(5,386,413	)
Interest rate swap contracts		0		(812,643	)		0		(812,643	)
Total	$	17,737,720	$	468,515,656		$	0	$	486,253,376

	Fair Value at December 31, 2025
Description	Level 1		Level 2		Level 3		Total
Investments
Short term investments	$	16,788,616	$	0	$	0	$	16,788,616
Fixed income securities		0		405,348,577		0		405,348,577

Other Financial Instruments
Exchange-traded futures contracts		9,561,021		0		0		9,561,021
Forward currency contracts		0		3,558,249		0		3,558,249
Credit default index swap contracts		0		26,945,598		0		26,945,598
Interest rate swap contracts		0		3,448,830		0		3,448,830
Total	$	26,349,637	$	439,301,254	$	0	$	465,650,891

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.

Cash and Cash Equivalents

E. Cash and Cash Equivalents

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

Income Taxes

F. Income Taxes

The Trust prepares calendar year U.S. federal and applicable state 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 2022 through 2025 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

Offering Costs

G. Offering Costs

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

If the Trust terminates prior to completion of payment to Campbell & Company for the unreimbursed offering costs incurred through the date of such termination, Campbell & Company will not be entitled to any additional payments, and Series A units, Series D units and Series W units will have no further obligation to Campbell & Company. At March 31, 2026 and December 31, 2025, the amount of unreimbursed offering costs incurred by Campbell & Company is $95,568 and $90,865 for Series A units, $497,539 and $455,141 for Series D units and $391,733 and $374,501 for Series W units, respectively.

Foreign Currency Transactions

H. Foreign Currency Transactions

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

Allocations

I. Allocations

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

Recently Issued Accounting Pronouncements

J. Recently Issued Accounting Pronouncements

In November 2024, the FASB issued ASU 2024-03, Income Statement - Reporting Comprehensive Income – Expense Disaggregation Disclosures (Subtopic 220-40): Disaggregation of Income Statement Expenses. ASU 2024-03 requires disclosure of certain costs and expenses on an interim and annual basis in the notes to the financial statements. ASU 2024-03 is effective for fiscal years beginning after December 15, 2026, and interim periods beginning with the first quarter ended March 31, 2028. Early adoption and retrospective application are permitted. Management is currently assessing the impact that this guidance will have, if any, on the Trust’s financial statements.

Segment Reporting

K. Segment Reporting

The Chief Operating Officer of Campbell & Company acts as the Trust’s Chief Operating Decision Maker (CODM) and is responsible for assessing performance and allocating resources with respect to the Trust. The Management has concluded that the Trust operates as a single operating segment since the Trust has a single investment strategy as disclosed in its Offering Memorandum, against which the CODM assesses performance. As the Trust’s operations comprise a single operating segment, the financial information provided to and reviewed by the CODM is presented within the Trust’s financial statements.