Equinox Campbell Strategy Fund

Data updated: 2020-05-27

C000120207 — Equinox Campbell Strategy Fund. Money Market · $97.45M AUM · 2.14% expense ratio. Holdings, fees, performance and SEC filings.

C000120207 Fund Overview

Equinox Campbell Strategy Fund is a US mutual fund managed by Equinox Funds Trust, categorised as Money Market. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

Type: US mutual fund
Manager: Equinox Funds Trust
Category: Money Market
Assets under management: $97.45M
SEC CIK: 0001498272
SEC series ID: S000039100
Share class ID: C000120207

C000120207 Investment Objective and Strategy

Equinox Campbell Strategy Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Equinox Funds Trust.

Investment objective

The Equinox Campbell Strategy Fund (the ?Fund?) seeks to achieve long-term capital appreciation.

Principal investment strategy

Please refer to the section entitled Key Terms below for additional information on highlighted terms. The Fund pursues its investment objective by making a combination of investments (i) directly in an actively managed fixed-income portfolio, and (ii) indirectly through its wholly-owned subsidiary (the Subsidiary) in trading companies that employ the managed futures program of Campbell& Company, LP (Campbell), a commodity trading adviser (CTA) registered with the U.S. Commodity Futures Trading Commission and/or derivative instruments such as swap agreements that provide exposure to Campbells managed futures program (the Campbell Program). The Campbell Program seeks to generate attractive risk-adjusted returns across a broad range of market conditions through systematic investments in a diversified portfolio that may include swaps, futures and forward contracts in various global assets, including global interest rates, stock indices, currencies and commodities.

The Campbell Program seeks to invest in a variety of assets and markets in and outside of the United States including emerging countries. The Campbell Program consists of trend following and other quantitative strategies that aim for low correlation to traditional asset classes such as equities and fixed income and are diversified by investment style, information source, investment holding period and instrument. Campbells investment philosophy is driven by a belief that markets are broadly efficient but trends emerge and remain due to shifts in supply, demand, and other economic factors. Asset mispricing can occur as a result of instability and uncertainty in markets, strongly-held opinions by market participants, or an unreliable flow of market information. Campbell seeks to systematically identify price trends and to develop macro and fundamental themes that exploit asset mispricing.

The Campbell Program uses quantitative modeling to develop and maintain systematic trading strategies driven by scientific analysis of technical, macro , and econometric data across global financial and commodity markets. The Campbell Program is designed to analyze market data to identify trends and relationships occurring within and across markets and asset classes globally. Once identified, these trends and relationships are converted into mathematical models that can be historically tested. Once a model is developed and thoroughly tested, it undergoes a rigorous peer review process to evaluate strength of theory and robustness. Model assumptions and other criteria are also analyzed, including tail risk, broad level risk factor exposures, market diversification, correlation, and volatility as well as transaction costs.

New models must demonstrate efficacy on a stand-alone basis while complimenting the existing portfolio. Prospective investors should note that Campbell is not responsible for the formation or the operation of, and does not act as an adviser to, the Fund or the Subsidiary and does not make recommendations or representations with respect to the Fund or the Subsidiary. Other than reviewing the description of the Campbell Program, Campbell has not had any involvement in the preparation of this Prospectus and is not responsible or liable for the contents hereof. Prospective investors will not be investing their funds with Campbell, will not have voting rights or a direct interest in any Campbell fund, and will have no standing or recourse against the Campbell with respect to the Fund, its operations or performance.

In addition, while the Fund and the Subsidiary may gain exposure to the Campbell Program through one or more trading companies that employ the Campbell Program and/or derivative instruments such as swap agreements that provide exposure to the Campbell Program, neither the Fund nor the Subsidiary will have a direct interest in any Campbell fund. Derivative Instruments: As a principal investment strategy, the Fund or the Subsidiary will either (i) invest in one or more trading companies that use a variety of derivative instruments including swap agreements, exchange-traded futures and option contracts and forward contracts to gain exposure to a wide variety of global markets for currencies, interest rates, stock market indices, energy resources, metals and agricultural products and to hedge price risk, (ii) enter into swap agreements that provide exposure to the Campbell Program, or (iii) invest in some combination of (i) and (ii).

In general, a derivative contract typically involves leverage, i.e., it provides exposure to potential gain or loss from a change in the level of the market price of a security, currency or commodity (or a basket or index) in a notional amount that exceeds the amount of cash or assets required to establish or maintain the derivative contract. To the extent the Fund employs derivatives to gain exposure to the Campbell Program, it is anticipated that the Fund will utilize a total return swap (a Swap), a type of derivative instrument designed to replicate the aggregate returns of the Campbell Program. Any Swap will be based on a notional amount agreed upon by the Adviser and a counterparty. The Adviser will retain the ability to adjust the notional exposure of the Swap at its discretion. Generally, the fees and expenses of a Swap are based on the notional value of the Swap.

The value of the Swap typically includes a deduction for fees of the counterparty as well as management and performance fees payable to Campbell. Any investment in the Campbell Program will be subject to (i) management fees of 1.00% of notional exposure, and (ii) performance-based incentive fees of 0.00%. Because the Swap is designed to replicate the returns of the Campbell Program, the performance of the Fund will primarily depend on the ability of the Campbell Program to generate returns in excess of the costs of the relevant Swap(s). Cash and Fixed-Income Securities: The Fund will also invest in cash, cash equivalents or securities issued by the U.S. government with one year or less term to maturity for liquidity purposes, and to serve as margin or collateral for the derivatives positions of the Fund or the Subsidiary to the extent necessary.

The Fund may also invest, to the extent permitted by the 1940 Act and rules under it, in money market funds. Subsidiary: Investments in the Subsidiary, which has the same investment objective as the Fund, are intended to provide the Fund with indirect exposure to futures contracts and commodities in a manner consistent with the limitations and requirements of the Internal Revenue Code of 1986, as amended (the Code) that apply to the Fund, which limit the amount of income the Fund may receive from certain sources. Applicable federal tax requirements generally limit the degree to which the Fund may invest in the Subsidiary to an amount not exceeding 25% of its total assets. To the extent they are applicable to the investment activities of the Subsidiary, the Subsidiary will be subject to the same investment restrictions and limitations, and follow the same compliance policies and procedures, as the Fund.

KEY TERMS Econometric analysis is the use of statistical tools and data to describe and test certain economic relationships such as asset prices. Fundamental analysis is the study of basic, underlying factors that will affect the supply and demand of an investment. For example, with respect to commodity futures, fundamental analysis may look at crop reports, weather patterns, economic reports and other fundamental data to determine whether to buy or sell the futures contract. Macro analysis generally analyzes economic, political or financial trends to seek returns and invests across a particular, or a number of, geographic regions. A Managed Futures Program generally is a trading program that a CTA uses to guide its investments in futures, forwards, options or spot contracts. Each of these investments may be tied to a particular asset class: commodities, equities, fixed income or foreign currencies.

A managed futures program may use one or a combination of trading strategies, including those described below. Systematic Trading is a trading strategy that employs computer-driven, mathematical models to identify when to buy or sell an instrument according to rules determined before a trade is made, generally, with little or no human intervention once a mathematical formula has been entered. Technical analysis is a method of evaluating an investment opportunity by using charts or computer programs to identify patterns in market data, such as price change, rates of change, and changes in volume of trading, open interest and other statistical indicators, in order to project the direction that a market or the price of an investment will move. Technical analysis does not take into account fundamental market factors, such as supply and demand.

A Trading Company is a pooled investment vehicle organized as a limited liability company and operated as a commodity pool. A Trend Following strategy generally seeks to identify the general direction of one or more global market segments (either up or down) using indicators such as current market prices and moving average prices, and buy or sell investments based on the assessment of these trade signals as determined before a trade is made. Trend-following generally focuses on the direction an investment or global market segment already has gone and not on the direction it may go. The Funds return will be derived principally from changes in the value of securities held in the Funds portfolio (including its investment in the Subsidiary), and the Funds assets will consist principally of securities.

The Adviser may engage in frequent buying and selling of portfolio holdings to achieve the Funds investment objective.

C000120207 Costs and Fees

C000120207 costs about $214 per $10,000 invested per year in fund expenses.

Net expense ratio: 2.14%
Gross expense ratio: 2.33%
Portfolio turnover: 15%
Brokerage commissions: 60.18 bps of average net assets (SEC N-CEN)

C000120207 Cashflows

Over the 12 months to 2020-03, Equinox Campbell Strategy Fund had net inflows of $83.18M, from monthly SEC N-PORT filings.

Month	Net flow
2020-03	$32.94M
2020-02	$8.24M
2020-01	$5.31M
2019-12	$18.90M
2019-11	$2.61M
2019-10	$3.80M

C000120207 Debt Constituents

No individual debt constituents are reported in Equinox Campbell Strategy Fund's latest SEC N-PORT filing.

C000120207 Prospectus and SEC Filings

Official Equinox Campbell Strategy Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

Related Funds

Other Money Market funds tracked on ABC INVEST:

Data Sources

ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.