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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
2017-2.64%4.34%-1.60%1.52%-0.34%-5.14%2.55%0.66%-1.31%   -2.27%
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 Sep 2017

Cumulative total return 2030.88%
Annualized compound return 10.83%
Annualized standard deviation 15.37%
Monthly correlation to S&P 500 TRI -0.01
Annualized sharpe ratio (0%) 0.54
Monthly maximum loss (May 1990) -11.18%
Maximum drawdown (Aug 1993 - Jan 1995) -29.32%

Annual performance (%) — Jan 1988 to Sep 2017

Year or YTD Campbell and Company S&P 500 TRIBTOP50 Index
2017-2.2714.24-4.33
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 Sep 2017

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 — Oct 2007 to Sep 2017

Distribution of monthly returns — Jan 1988 to Sep 2017

Underwater curve — Jan 1988 to Sep 2017

 

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-001-0817

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.

Xiaohua Hu, Chief Research Officer— Dr. Hu joined Campbell & Company in April 1994 and has served as Chief Research Officer, formerly known as Director of Research since November 2012. Dr. Hu formerly served as the Co-Director of Research from November 2011 to October 2012. Since joining the firm, Dr. Hu has had a major role in the ongoing research and development of Campbell’s trading systems, models, and systematic algorithms. He was appointed as Co-Chair of the Investment Committee in May 2012 and Director of Research in March 2010 and is responsible for the management of the research and investment process. Dr. Hu holds a B.A. in Manufacturing Engineering from Changsha Institute of Technology in China and a Ph.D. in Systems and Information Engineering from the Toyohashi University of Technology in Japan. During his studies at Toyohashi, he was also a Visiting Researcher in Computer Science and Operations Research and published several refereed papers in the Journal of Society of Instrument and Control Engineers of Japan.

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-001-0817