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Campbell & Company

Managed Futures Portfolio

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Monthly performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
20186.29%-10.31%1.41%-0.16%-4.18%3.13%-2.77%     -7.26%
2017-2.64%4.34%-1.60%1.52%-0.34%-5.14%2.55%0.66%-1.31%6.12%0.56%0.78%5.11%
20162.68%1.09%-3.56%-5.54%-1.38%4.17%3.96%-4.55%-2.92%-2.62%-1.84%0.46%-10.14%
20155.25%-0.27%2.80%-4.03%-0.90%-9.27%3.21%-0.25%1.06%-1.27%5.23%-3.60%-2.98%
2014-2.36%-4.44%-3.55%0.16%2.59%2.54%-0.01%6.69%5.69%1.64%6.40%3.68%19.87%
20134.06%0.64%1.22%6.35%0.06%-1.59%-0.57%-0.50%-1.35%2.63%1.71%-0.45%12.58%
20123.13%3.11%-2.46%1.20%5.22%-5.20%5.77%-1.70%0.09%-7.74%0.06%3.84%4.45%
2011-0.78%2.83%-6.01%7.23%-3.03%-3.67%9.43%0.13%-5.05%-4.98%-0.81%3.07%-2.92%
2010-7.13%1.80%2.64%2.80%-2.97%-0.18%-1.27%5.43%4.86%4.43%-1.77%5.38%14.00%
20090.26%1.45%-1.69%-4.58%-0.30%-1.97%0.32%-0.98%4.32%-1.60%3.88%-3.28%-4.46%
20080.24%1.87%0.17%-2.25%2.31%5.84%-0.64%-1.16%-0.78%-0.57%-0.97%1.88%5.83%
20072.49%-5.00%-2.71%2.42%5.90%3.93%-10.49%-6.33%2.51%6.06%-6.01%-2.02%-10.36%
20062.20%-1.01%4.02%-2.36%-2.35%-0.15%0.22%-0.07%-2.56%2.06%1.10%8.21%9.16%
2005-2.06%-0.69%0.28%0.71%5.43%6.25%1.29%-5.14%4.17%3.90%2.27%-2.11%14.56%
20042.68%10.83%0.89%-6.60%-0.48%-3.02%-0.36%-0.84%-1.27%2.80%4.36%1.13%9.54%
20037.75%7.92%-4.25%2.88%2.16%-0.66%-4.16%2.64%-0.93%3.32%0.85%4.18%22.98%
2002-0.73%-1.90%-1.57%-3.98%4.24%8.07%7.27%3.71%4.03%-4.52%-1.10%3.89%17.72%
2001-1.00%0.71%7.18%-7.87%1.30%-1.55%1.50%2.19%7.34%4.81%-9.66%3.77%7.41%
20003.29%-0.07%-1.76%-1.72%2.91%1.95%-1.16%3.03%-2.68%3.32%5.59%2.74%16.14%
1999-4.88%1.93%1.47%5.48%-3.06%4.99%0.24%1.04%1.89%-3.86%1.02%3.79%9.87%
19983.22%-2.06%7.27%-6.13%7.01%0.55%-3.74%9.35%3.21%5.32%-0.19%0.48%25.69%
19974.96%2.12%-1.81%-2.82%-1.46%2.04%8.58%-4.71%3.83%2.35%0.56%4.70%19.05%
19964.99%-5.81%5.50%3.41%-1.77%1.29%0.13%1.62%2.63%12.61%11.59%-3.97%35.27%
1995-4.40%6.01%9.57%2.13%0.97%-0.93%-4.32%5.58%-3.50%0.96%-0.34%6.96%19.02%
1994-4.55%-6.90%7.13%-1.50%-2.32%4.61%-4.33%-3.41%7.03%0.50%-6.56%-4.82%-15.30%
1993-0.77%12.86%-5.09%2.64%2.63%3.13%5.13%-3.79%-4.19%-6.17%0.34%0.58%5.96%
1992-5.63%-3.58%1.13%-2.54%1.08%10.66%9.45%4.42%-1.55%-4.66%6.27%-0.04%14.31%
1991-8.92%-2.18%20.28%-1.90%2.85%1.61%-8.06%3.66%5.60%0.78%-2.44%16.28%26.41%
19902.85%0.67%4.57%4.35%-11.18%7.37%9.42%11.66%1.83%0.72%-1.76%-0.76%31.63%
19897.66%-2.56%10.14%1.57%12.91%1.49%0.67%-0.95%-4.67%-6.72%2.43%12.50%37.41%
19884.21%2.16%-1.69%-2.65%1.41%7.82%-0.77%-0.23%4.58%0.52%-0.47%-0.23%15.13%

Performance statistics — Jan 1988 to Jul 2018

Cumulative total return 2025.30%
Annualized compound return 10.51%
Annualized standard deviation 15.41%
Monthly correlation to S&P 500 TRI 0.00
Annualized sharpe ratio (0%) 0.52
Monthly maximum loss (May 1990) -11.18%
Maximum drawdown (Aug 1993 - Jan 1995) -29.32%

Annual performance (%) — Jan 1988 to Jul 2018

Year or YTD Campbell and Company S&P 500 TRIBTOP50 Index
2018-7.266.47-4.21
20175.1121.83-0.82
2016-10.1411.96-4.44
2015-2.981.38-0.92
201419.8713.6912.33
201312.5832.390.74
20124.4516.00-1.83
2011-2.922.11-4.25
201014.0015.066.38
2009-4.4626.46-4.77
20085.83-37.0013.58
2007-10.365.497.57
20069.1615.795.61
200514.564.912.76
20049.5410.880.86
200322.9828.6915.55
200217.72-22.1013.68
20017.41-11.893.83
200016.14-9.106.60
19999.8721.041.64
199825.6928.5813.18
199719.0533.3610.85
199635.2722.9611.14
199519.0237.5813.90
1994-15.301.32-1.02
19935.9610.0813.42
199214.317.622.55
199126.4130.4714.68
199031.63-3.1015.24
198937.4131.693.41
198815.1316.6114.71

Performance comparison: Growth of $10,000 invested since inception — Jan 1988 to Jul 2018

This chart represents a hypothetical investment of $10,000 at the time of the strategy’s inception and is not intended to imply an actual investment. Hypothetical returns do not assume the reinvestment of dividends and income.

Monthly returns — Aug 2008 to Jul 2018

Distribution of monthly returns — Jan 1988 to Jul 2018

Underwater curve — Jan 1988 to Jul 2018

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656

ASP-CP-001-0818

Company background

Founded in 1972 by D. Keith Campbell, Principal, and based in Baltimore, MD.

Investment goal

Seeks to generate attractive risk-adjusted returns across a broad range of market conditions through a systematic investment process.

Markets traded

Trades across a diverse array of global asset classes including interest rates, stock indices, currencies and commodities.

Strategy

The Campbell Managed Futures Portfolio seeks to generate attractive risk-adjusted returns across a broad range of market conditions through systematic investments in a diversified portfolio of futures and forward contracts in a diverse array of global assets, including global interest rates, stock indices, currencies and commodities. The Portfolio consists of underlying investment strategies, both trend following and non-trend following in nature, that aim for low correlation and are diversified by investment style, information source, investment holding period and instrument.

Trend following strategies apply traditional and alternative trend following methods to systematically exploit futures market moves through the use of price information. Some trend following strategies trade all markets while others are specific to certain sectors or factors. Non-trend following strategies develop relative value and fundamental themes to systematically exploit asset mis-pricings using carry, spread, and directional methods. Non-trend following strategies tend to be specific to certain sectors and employ global tactical asset allocation methodologies. Other technical strategies, based on statistical indicators, use varying lookback and holding periods to identify mis-pricings, complimentary to trend following.

Key personnel

William Andrews, CEO — Mr. Andrews joined Campbell & Company in April 1997, and in November 2012 he was appointed to the Board of Directors and as Chief Executive Officer. He formerly held the positions of Co-Director of Research from November 2011 to October 2012, Chief Operating Officer from January 2010 to May 2012, Vice President & Director of Operations from April 2007 to January 2010, Vice President & Director of Research Operations from March 2006 to April 2007, and Research Assistant from April 1997 to February 2006. In March 2010, Mr. Andrews was appointed to the firm’s Investment Committee. Prior to joining Campbell, Mr. Andrews was employed at Legg Mason as a Research Analyst in the Realty Group from November 1995 to April 1997. Before immigrating to the United States, he was employed by the Japanese Department of Education in the town of Fujimi, Nagano prefecture. Mr. Andrews holds an M.B.A.. in Finance from Loyola College in Maryland and a Bachelor of Social Science from Waikato University, New Zealand.

Michael Harris, President — Mr. Harris joined Campbell & Company in July 2000, and in November 2012 he was appointed to the Board of Directors and President of the company. Mr. Harris formerly held the positions of Deputy Manager of Trading in 2004, Director of Trading in 2006, and was appointed to the firm’s Investment Committee in March 2010. Mr. Harris previously worked as a futures and options broker for Refco Inc. (NY) from 1999 to 2000 and within the Sales and Product Development groups at Morgan Stanley Managed Futures from 1997 to 1999. Mr. Harris attended Gettysburg College in Pennsylvania and received a B.A.. with honors in Economics and Japanese Studies and also studied abroad at Kansai Gaidai University in Osaka, Japan. He is a regular contributor on CNBC and has been featured in numerous industry publications.

Kevin Cole, Ph.D., Chief Research Officer— Dr. Cole joined Campbell & Company in October 2003 and was appointed Chief Research Officer in June 2017. In his current role, Dr. Cole is responsible for establishing and managing the firm's research agenda and for the direct management of Campbell's Research Directors.  As a co-chair of the firm's Investment Committee, he is also responsible for daily risk and portfolio oversight.  Prior to joining Campbell, Dr. Cole held researcher roles at Mellon Capital Management, American Century Investments, and the Federal Reserve Bank of New York. Dr. Cole received a Ph.D. in Economics with a concentration in Finance from the University of California at Berkeley and a B.A. in Economics from Georgetown University. His research has been published in The Journal of Fixed Income and Financial Analysts Journal.

Joseph D. Kelly, Managing Director, Client Solutions Group—  Mr. Kelly is responsible for Campbell's institutional sales and consultant relations efforts. Joe is a highly strategic business development executive with a strong background and expertise in asset management. “His longstanding institutional relationships will be a terrific asset to Campbell as we enter our 45th year as an alternative investment manager". Mr. Kelly has held leadership roles at several alternative asset management firms. Previously he served as head of alternatives, covering liquid and private markets for Russell Investments’ Americas Institutional business, and as head of global business development at Rotella Capital Management. Earlier in his career, Mr. Kelly worked for The Hull Group as a Senior Derivatives Trader and was founder and EVP of fintech firm, iOptions Group, LLC. He holds a B.A. in International Relations from University of Pennsylvania.

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656

ASP-CP-001-0818