Campbell Systematic Macro Fund
Actively managed U.S. bond fund
As of its 2026 Q2 report, Campbell Systematic Macro Fund held 119 positions with $2.12B in net assets. Its ten largest holdings made up 87.7% of the fund. The EBSAX share class costs 2% a year. Over the 12 months to May 2026, EBSAX returned 4.8%, with dividends reinvested. In 2026 Q2 it added 108 new positions and exited 108.
The investment objective of the Campbell Systematic Macro Fund (the Fund) is to seek capital appreciation over the medium to long-term.
The fund employs over 100 systematic trading models across global futures, forwards, options and swaps to identify price trends and exploit asset mispricing through three combined strategies: momentum (40%), quantitative macro (35%), and short-term mean reversion (25%). Up to 25% of assets are allocated to a wholly-owned Cayman Islands subsidiary to obtain commodity and futures exposure in a tax-efficient manner, with the remainder invested in investment-grade securities for cash management. The fund is non-diversified under the 1940 Act and may concentrate its holdings in fewer securities than a diversified fund. Because the fund's returns depend on the performance of its systematic models and daily signal evaluation, divergence from its capital appreciation objective may occur if the models fail to identify profitable opportunities or if market conditions render the identified trends unprofitable.
What you own
| Company | Weight | Value | Shares |
|---|---|---|---|
TREASURY BILL 0.00% · due 2026-08-06 | 14.08% | $298.02M | — |
TREASURY BILL 0.00% · due 2026-10-08 | 13.99% | $296.12M | — |
TREASURY BILL 0.00% · due 2026-11-12 | 11.62% | $245.87M | — |
U.S. Bank Money Market Deposit Account | 11.15% | $235.93M | — |
TREASURY BILL 0.00% · due 2026-06-04 | 10.63% | $224.93M | — |
TREASURY BILL 0.00% · due 2026-07-09 | 10.35% | $219.16M | — |
TREASURY BILL 0.00% · due 2026-09-03 | 9.36% | $198.13M | — |
TSTXXBlackRock Liquidity Funds T-Fu | 5.34% | $112.96M | — |
N/A | 0.78% | $16.47M | — |
N/A | 0.46% | $9.82M | — |
All 119 holdings, with the share counts as filed, open with a free account.
What the fund is made of
Percentages are of fund net assets. Rounding, liabilities and short positions can make totals differ from 100%.
| Bonds | 70.02% |
| Cash & short-term | 16.48% |
| Derivatives | -0.30% |
These positions come to 86.20% of net assets. Not everything a fund owns is reported as a holding — uninvested cash is collected at fund level instead — so the total is not expected to reach 100%.
The outer band is exposure held short — written against the portfolio rather than part of it, which is why it sits outside the ring and why the two are never netted into one figure.
Derivatives are shown at market value, not notional exposure.
How it has done
EBSAX share class · total returns with dividends reinvested
Volatility over the last 12 months: 6.47%. Past returns are a record, not a forecast.
The 3 share classes hold the same portfolio
| Share class | Expense ratio | 1 year | 3 years | 5 years | Worst fall |
|---|---|---|---|---|---|
| 2.00% | +4.84% | +10.93% | +48.82% | -7.26% | |
| 1.75% | +5.17% | +11.73% | +50.77% | -7.22% | |
| 2.75% | +4.04% | +8.38% | +43.37% | -7.48% |
These classes hold the same portfolio, so the 7.40pp spread over 5 years is the cost difference between them — roughly 1.48pp a year — not a difference in what they own.
Fees & fund details
Campbell Systematic Macro Fund is an actively managed U.S. bond fund.
- Asset class
- Bonds
- Region
- United States
- Management
- Actively managed
- Fund type
- Open-end fund
- Credit quality
- Investment grade
- Features
- Non-diversified
- Expense ratio, by class
- 1.75% – 2.75%· EBSAX 2.00%
- Portfolio turnover
- 0.00% a year · as of 2026 Q1
Net is what a holder pays after the adviser's contractual waiver; gross is before it. A waiver can expire.
Turnover is how much of the portfolio was replaced in a year.
Classified from what the fund holds, not from its name · 2026 Q2. The summary is a paraphrase of the prospectus; the objective is verbatim.
What changed this quarter
Positions that entered or left the fund since its previous filing. Positions that were only resized are not listed.
108 new· the largest 1
108 exited· the largest 1
Debt profile
What this fund holds — value-weighted across its bond and securitized long positions · as of 2026-05-31
Share of the fund's debt by how its coupon behaves — the fact that decides whether a rate move reaches this portfolio at all.
| Fixed rate | 100.0% |
Share of the fund's debt value in each maturity band, shortest first.
| <1y | 100.0% |
Based on what filers reported; a filer that never reported a flag also reads as none.
Risk profile
Interest-rate and credit-spread sensitivity, both in years · as of 2026Q2
More of this fund’s sensitivity sits in credit spreads than in interest rates — a rate rally that comes with a credit selloff works against it.
Share of the fund's spread duration carried by each credit tier.
| Investment grade | +0.16 yr |
Share of duration at each point, shortest first. A positive figure loses value when spreads widen; a negative one offsets — a credit hedge.
| 5 yr | 0.02 yr | 100% |
3 mo and 1 yr are NEGATIVE (-0.23 yr, -0.05 yr) — a deliberate hedge at that point on the curve, so they are not part of the band above.
| 3 mo | 0.18 yr | 91% |
| 5 yr | 0.02 yr | 9% |
1 yr is NEGATIVE (-0.03 yr) — a deliberate hedge at that point on the curve, so it is not part of the band above.
The two bands measure the same positions against different shocks and do not add — a Treasury carries rate duration and no spread duration, a floating-rate credit the reverse. Rate tenors are also summed across every currency the fund discloses.
Show the numbers
| Tenor | Rate yrs | IG yrs | HY yrs | IG $/bp | HY $/bp |
|---|---|---|---|---|---|
| 3 mo | -0.23 | +0.18 | +0.00 | $38.1k | $0 |
| 1 yr | -0.05 | -0.03 | +0.00 | -$7.3k | $0 |
| 5 yr | +0.02 | +0.02 | +0.00 | $3.9k | $0 |
| 10 yr | +0.00 | +0.00 | +0.00 | $0 | $0 |
| 30 yr | +0.00 | +0.00 | +0.00 | $0 | $0 |
Dollar change per 1bp of spread movement, as filed and sign-anchored. A blank cell was not filed; a zero was.
Duration contribution in years, summing to the fund's -0.26 yr.
This is where the fund's rate exposure sits, not its currency risk — most international bond funds hedge the currency back to dollars, and the size of those hedges is not in the filing. Tenors are also summed across curves, so a 5-year JPY point and a 5-year USD point are added together.
Understand how this fund fits with the rest.
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