UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
[ X ] Quarterly Report Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
For the quarterly period ended June 30, 1996
or
[ ] Transition Report Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
For the transition period from ______________ to ______________
Commission File number: 0-22260
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Exact name of registrant as specified in charter)
Delaware 52-1823554
(State of Organization) (IRS Employer Identification Number)
Court Towers Building,
210 West Pennsylvania Avenue,
Baltimore, Maryland 21204
(Address of principal executive offices) (Zip Code)
(410) 296-3301
(Registrant's telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act
of 1934 during the preceding 12 months, and (2) has been subject to such
filing requirements for the past 90 days.
Yes [X] No [ ]
Total number of Pages: 15
<PAGE>
PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
The following unaudited financial statements of Campbell Strategic
Allocation Fund, L.P. are included in Item 1:
Statements of Financial Condition as of June 30, 1996 and
December 31, 1995
Statements of Operations for the Three Months and Six Months Ended
June 30, 1996 and 1995
Statements of Changes in Partners' Capital for the Six Months Ended
June 30, 1996 and 1995
<PAGE>
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
June 30, 1996 (Unaudited) and December 31, 1995 (Audited)
June 30, December 31,
1996 1995
ASSETS
Equity in broker trading accounts
Cash $ 5,173,541 $ 1,238,207
United States government securities 7,206,171 7,205,197
Unrealized gain on open futures
contracts 521,704 2,798,738
---------- ----------
Deposits with broker 12,901,416 11,242,142
Cash and cash equivalents 46,925,225 32,491,237
United States government securities 2,980,146 2,985,505
Unrealized gain (loss) on open
forward contracts 25,961 (227,297)
---------- ----------
Total assets $62,832,748 $46,491,587
=========== ===========
LIABILITIES
Accounts payable $36,308 $31,699
Brokerage fee 391,850 301,006
Redemptions payable 369,581 1,018,007
Offering costs payable 47,691 37,187
Subscription deposits 234,027 30,154
---------- ----------
Total liabilities 1,079,457 1,418,053
---------- ----------
PARTNERS' CAPITAL (Net Asset Value)
General Partner - 616.207 units
outstanding at June 30, 1996 and
December 31,1995 637,016 459,018
Limited Partners - 59,119.596 and
45,897.894 units outstanding at
June 30, 1996 and December 31, 1995 61,116,275 44,614,516
---------- ----------
Total partners' capital
(Net Asset Value) 61,753,291 45,073,534
---------- ----------
$62,832,748 $46,491,587
=========== ===========
See accompanying notes.
<PAGE>
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
For the Three Months Ended June 30, 1996 and 1995 and
For the Six Months Ended June 30, 1996 and 1995
(Unaudited)
Three Months Ended Six Months Ended
June 30, June 30,
1996 1995 1996 1995
INCOME
Trading gains (losses)
Realized $4,261,808 $2,089,940 $6,189,927 $1,899,352
Change in unrealized (2,596,607) (2,274,231) (2,023,776) 84,358
---------- --------- --------- ---------
Gain (loss) from
trading 1,665,201 (184,291) 4,166,151 1,983,710
Interest income 695,754 384,254 1,276,198 687,745
---------- --------- --------- ---------
Total income 2,360,955 199,963 5,442,349 2,671,455
---------- --------- --------- ---------
EXPENSES
Brokerage fee 1,110,758 557,171 2,062,286 1,000,405
Operating expenses 59,509 29,457 106,446 79,351
---------- --------- --------- ---------
Total expenses 1,170,267 586,628 2,168,732 1,079,756
---------- --------- --------- ---------
NET INCOME (LOSS) $1,190,688 $ (386,665) $3,273,617 $1,591,699
========== ========== ========== ==========
NET INCOME (LOSS) PER
GENERAL AND LIMITED
PARTNER UNIT
(based on weighted
average number of
units outstanding
during the period) $ 22.36 $ (13.36) $ 65.22 $ 59.43
========== ========== ========== ==========
INCREASE (DECREASE)
IN NET ASSET VALUE PER
GENERAL AND LIMITED
PARTNER UNIT $ 21.22 $ (14.22) $ 61.73 $ 56.96
========== ========== ========== ==========
See accompanying notes.
<PAGE>
<TABLE>
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
For the Six Months Ended June 30, 1996 and 1995
(Unaudited)
<CAPTION>
Partners' Capital
General Limited Total
Units Amount Units Amount Units Amount
<S> <C> <C> <C> <C> <C> <C>
Six Months Ended
June 30, 1996
Balances at
December 31, 1995 472.222 $459,018 45,897.894 $44,614,516 46,370.116 $45,073,534
Additions 143.985 150,000 16,559.545 16,938,469 16,703.530 17,088,469
Net income for the six months
ended June 30, 1996 30,695 3,242,922 3,273,617
Redemptions 0.000 0 (3,337.843) (3,410,463) (3,337.843) (3,410,463)
Offering costs (2,697) (269,169) (271,866)
------- -------- ---------- ----------- ---------- -----------
Balances at
June 30, 1996 616.207 $637,016 59,119.596 $61,116,275 59,735.803 $61,753,291
======= ======== ========== =========== ========== ===========
Six Months Ended
June 30, 1995
Balances at
December 31, 1994 253.300 $223,859 23,055.320 $20,375,537 23,308.620 $20,599,396
Additions 105.509 100,000 11,686.582 10,824,749 11,792.091 10,924,749
Net income for the six months
ended June 30, 1995 15,067 1,576,632 1,591,699
Redemptions 0.000 0 (1,697.499) (1,559,959) (1,697.499) (1,559,959)
Offering costs (1,384) (130,997) (132,381)
------- -------- ---------- ----------- ---------- -----------
Balances at
June 30, 1995 358.809 $337,542 33,044.403 $31,085,962 33,403.212 $31,423,504
======= ======== ========== =========== ========== ===========
</TABLE>
Net Asset Value Per Unit
June 30, December 31, June 30, December 31,
1996 1995 1995 1994
$ 1,033.77 $ 972.04 $ 940.73 $ 883.77
========== ======== ======== ========
See accompanying notes.
<PAGE>
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
A. General Description of the Partnership
Campbell Strategic Allocation Fund, L.P. (the Partnership)
is a Delaware limited partnership which operates as a
commodity investment pool. The Partnership was formed on
May 11, 1993 and commenced trading on April 18, 1994.
B. Regulation
As a registrant with the Securities and Exchange
Commission, the Partnership is subject to the regulatory
requirements under the Securities Acts of 1933 and 1934. As
a commodity investment pool, the Partnership is subject to
the regulations of the Commodity Futures Trading
Commission, an agency of the United States (U.S.)
government which regulates most aspects of the commodity
futures industry, rules of the National Futures
Association, an industry self-regulatory organization, and
the requirements of the various commodity exchanges where
the Partnership executes transactions. Additionally, the
Partnership is subject to the requirements of Futures
Commission Merchants (brokers) and interbank market makers
through which the Partnership trades.
C. Method of Reporting
The Partnership's financial statements are presented in
accordance with generally accepted accounting principles,
which require the use of certain estimates made by the
Partnership's management. Gains or losses are realized when
contracts are liquidated. Net unrealized gain or loss on
open contracts (the difference between contract purchase
price and market price) is reported in the statement of
financial condition in accordance with Financial Accounting
Standards Board Interpretation No.39. Any change in net
unrealized gain or loss from the preceding period is
reported in the statement of operations. United States
government securities are stated at cost plus accrued
interest, which approximates market value.
D. Cash and Cash Equivalents
Cash and cash equivalents includes cash and short-term
investments in fixed income securities held at a financial
institution.
E. Income Taxes
The Partnership prepares calendar year U.S. and state
information tax returns and reports to the partners their
allocable shares of the Partnership's income, expenses and
trading gains or losses.
F. Offering Costs
The General Partner has advanced the Partnership the costs
incurred in connection with the initial offering of Units
(initial offering costs) of $240,961 and additional costs
incurred through June 30, 1996 in connection with the
subsequent offering of Units (continuous offering costs) of
$1,792,798. The General Partner is reimbursed by the
Partnership for such advanced amounts in approximately 30
equal installments commencing after the close of the
initial offering (for initial offering costs advanced) and
throughout the continuous offering (for continuous offering
costs advanced).
Reimbursement for such advanced costs is limited to 2.5% of
the aggregate subscriptions accepted during the initial and
continuous offerings. If the Partnership terminates prior
to completion of reimbursement to the General Partner, the
General Partner will not be entitled to any additional
reimbursement and the Partnership will have no further
obligation to the General Partner.
The amount of monthly reimbursement due to the General
Partner is charged directly to partners' capital.
G. Foreign Currency Transactions
The Partnership'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
statement 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 currently.
Note 2. GENERAL PARTNER AND COMMODITY TRADING ADVISOR
The General Partner of the Partnership is Campbell & Company,
Inc., which conducts and manages the business of the
Partnership. The General Partner is also the commodity trading
advisor of the Partnership. The Amended Agreement of Limited
Partnership provides that the General Partner may make
withdrawals of its Units, provided that such withdrawals do not
reduce the General Partner's aggregate percentage interest in
the Partnership to less than 1% of the net aggregate
contributions.
The General Partner is required by the Amended Agreement of
Limited Partnership to maintain a net worth equal to the lesser
of 5% of the capital contributed by all the limited partnerships
for which it acts as general partner, including the Partnership.
The minimum net worth shall in no case be less than $50,000 nor
shall net worth in excess of $1,000,000 be required.
The Partnership pays a monthly brokerage fee equal to 1/12 of 8%
(8% annualized) of month-end net assets. The General Partner
receives 7/8 of this fee, a portion (4/8 of the total brokerage
fee) of which is used to compensate selling agents for ongoing
services rendered and a portion (3/8 of the total brokerage fee)
of which is retained by the General Partner for trading and
management services rendered. The remaining 1/8 of the brokerage
fee is paid directly to the broker. During the six months ended
June 30, 1996 and 1995, the amounts paid directly to the broker
amounted to $257,786 and $124,904 respectively.
The General Partner is also paid a quarterly performance fee of
20% of the Partnership's aggregate cumulative appreciation in
the Net Asset Value per Unit, exclusive of appreciation
attributable to interest income.
Note 3. DEPOSITS WITH BROKER
The Partnership deposits funds with a broker subject to
Commodity Futures Trading Commission regulations and various
exchange and broker requirements. Margin requirements are
satisfied by the deposit of U.S. Treasury bills and cash with
such broker. The Partnership earns interest income on its assets
deposited with the broker.
Note 4. OPERATING EXPENSES
Operating expenses of the Partnership are limited by the Amended
Agreement of Limited Partnership to .5% per year of the average
month-end Net Asset Value of the Partnership. Actual operating
expenses were less than .5% (annualized) for the six months
ended June 30, 1996 and 1995.
Note 5. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
Investments in the Partnership are made by subscription
agreement, subject to acceptance by the General Partner. As of
June 30, 1996 and December 31, 1995, amounts received by the
Partnership by prospective limited partners who have not yet
been admitted to the Partnership by the General Partner amount
to $234,027 and $30,154, respectively.
The Partnership is not required to make distributions, but may
do so at the sole discretion of the General Partner. A Limited
Partner may request and receive redemption of Units owned,
subject to a potential redemption fee if redeemed within the
first twelve months after the units are sold, subject to
restrictions in the Amended Agreement of Limited Partnership.
Note 6. TRADING ACTIVITIES AND RELATED RISKS
The Partnership engages in the speculative trading of U.S. and
foreign futures contracts and forward contracts (collectively,
"derivatives"). These derivatives include both financial and
non-financial contracts held as part of a diversified trading
program. The Partnership is exposed to both market risk, the
risk arising from changes in the market value of the contracts,
and credit risk, the risk of failure by another party to perform
according to the terms of a contract.
Purchase and sale of futures contracts requires margin deposits
with the broker. The Commodity Exchange Act requires a broker to
segregate all customer transactions and assets from such
broker's proprietary activities. A customer's cash and other
property (for example, U.S. Treasury bills) deposited with a
broker are considered commingled with all other customer funds
subject to the broker's segregation requirements. In the event
of a broker's insolvency, recovery may be limited to a pro rata
share of segregated funds available. It is possible that the
recovered amount could be less than total cash and other
property deposited.
The amount of required margin and good faith deposits with
brokers and interbank market makers usually range from 20% to
35% of Net Asset Value. The market value of securities held to
satisfy such requirements at June 30, 1996 and December 31, 1995
was $10,186,317 and $10,190,702, respectively, which equals 17%
and 23% of Net Asset Value, respectively.
The Partnership trades forward contracts in unregulated markets
between principals and assumes the risk of loss from
counterparty nonperformance. Additionally, the trading of
forward contracts typically involves delayed cash settlement.
At June 30, 1996, the Partnership has approximately $4,010,000
of its cash on deposit with a financial institution. In the
event of a financial institution's insolvency, recovery of
Partnership assets on deposit may be limited to account
insurance or other protection afforded such deposits. In the
normal course of business, the Partnership requires collateral
for repurchase agreements.
For derivatives, risks arise from changes in the market value of
the contracts. Theoretically, the Partnership is exposed to a
market risk equal to the value of futures and forward contracts
purchased and unlimited liability on such contracts sold short.
The fair value of derivatives represents unrealized gains and
losses on open futures and forward contracts. The average fair
value of derivatives during the six months ended June 30, 1996
was approximately $2,633,000 and the related period end fair
value is approximately $548,000.
Net trading income from derivatives is reflected in the
statement of operations and equals gain (loss) from trading less
the portion of the brokerage fee paid directly to the broker.
Such trading income reflects the net gain (loss) arising from
the Partnership's speculative trading of futures and forward
contracts.
Open contracts generally mature within three months; the latest
maturity date for open contracts as of June 30, 1996 is October
1996. However, the Partnership intends to close all contracts
prior to maturity. At June 30, 1996 and December 31, 1995, the
notional amount of open contracts is as follows:
June 30, 1996 December 31, 1995
Contracts to Contracts to Contracts to Contracts to
Purchase Sell Purchase Sell
Derivatives:
Futures contracts:
- Long-term
interest rates $ 30,100,000 $121,100,000 $148,500,000 $ 0
- Short-term
interest rates 16,900,000 226,900,000 105,700,000 34,800,000
- Currencies 6,600,000 15,900,000 700,000 11,900,000
- Stock indices 9,800,000 6,000,000 10,500,000 0
- Softs/Fibers 0 2,100,000 0 3,900,000
- Grains 0 0 1,300,000 400,000
- Meats 400,000 0 400,000 0
- Metals 12,600,000 23,800,000 9,700,000 10,800,000
- Energy 7,400,000 0 10,400,000 0
Forward contracts:
- Currencies 62,400,000 88,900,000 42,600,000 84,900,000
------------ ------------ ------------ ------------
$146,200,000 $484,700,000 $329,800,000 $146,700,000
============ ============ ============ ============
The above amounts do not represent the Partnership's risk of
loss due to market and credit risk, but rather represent the
Partnership's extent of involvement in derivatives at the date
of the statement of financial condition.
The General Partner has established procedures to actively
monitor and minimize market and credit risk. The Limited
Partners bear the risk of loss only to the extent of the market
value of their respective investments and, in certain specific
circumstances, distributions and redemptions received.
Note 7. INTERIM FINANCIAL STATEMENTS
The Statement of Financial Condition as of June 30, 1996, the
Statements of Operations for the three months and six months
ended June 30, 1996 and 1995 and the Statements of Changes in
Partners' Capital (Net Asset Value) for the six months ended
June 30, 1996 and 1995 are unaudited. In the opinion of
management, such financial statements reflect all adjustments,
which were of a normal and recurring nature, necessary for a
fair presentation of financial position as of June 30, 1996 and
the results of operations for the three months and six months
ended June 30, 1996 and 1995.
Item 2. Management's Discussion and Analysis of Financial Condition and
Results of Operations
Introduction
The offering of the Campbell Strategic Allocation Fund's (the "Fund")
Units of Limited Partnership Interests commenced on January 12, 1994, and
the initial offering terminated on April 15, 1994 with proceeds of
$9,692,439. The continuing offering period commenced immediately after the
termination of the initial offering period; additional subscriptions
totaling $58,978,839 have been accepted during the continuing offering
period as of July 1, 1996. Redemptions over the same time period total
$10,756,862. The Fund commenced operations on April 18, 1994.
Capital Resources
The Fund will raise additional capital only through the sale of Units
offered pursuant to the continuing offering, and does not intend to raise
any capital through borrowing. Due to the nature of the Fund's business,
it will make no capital expenditures and will have no capital assets which
are not operating capital or assets.
Liquidity
Most United States commodity exchanges limit fluctuations in commodity
futures contracts prices during a single day by regulations referred to as
"daily price fluctuation limits" or "daily limits". During a single
trading day, no trades may be executed at prices beyond the daily limit.
Once the price of a futures contract has reached the daily limit for that
day, positions in that contract can neither be taken nor liquidated.
Commodity futures prices have occasionally moved to the daily limit for
several consecutive days with little or no trading. Similar occurrences
could prevent the Fund from promptly liquidating unfavorable positions and
subject the Fund to substantial losses which could exceed the margin
initially committed to such trades. In addition, even if commodity futures
prices have not moved the daily limit, the Fund may not be able to execute
futures trades at favorable prices, if little trading in such contracts is
taking place. Other than these limitations on liquidity, which are
inherent in the Fund's commodity futures trading operations, the Fund's
assets are expected to be highly liquid.
Results of Operations
The return for the six months ending June 30, 1996 and 1995 was 6.35% and
6.45%, respectively. The Fund is unaware of any (i) anticipated known
demands, commitments or capital expenditures; (ii) material trends,
favorable or unfavorable, in its capital resources; or (iii) trends or
uncertainties that will have a material effect on operations. From time to
time, certain regulatory agencies have proposed increased margin
requirements on commodity futures contracts. Because the Fund generally
uses a small percentage of assets of margin, the Fund does not believe
that any increase in margin requirements, if adopted as proposed, will
have a material effect on the Fund's operations. Management cannot predict
whether the Fund's Net Asset Value per Unit will increase or decrease.
Inflation is not a significant factor in the Fund's operations, except to
the extent that inflation may affect futures' prices.
Off-Balance Sheet Risk
The Fund trades in futures and forward contracts and is therefore a party
to financial instruments with elements of off-balance sheet market and
credit risk. In entering into these contracts there exists a risk to the
Fund (market risk) that such contracts may be significantly influenced by
market conditions, such as interest rate volatility, resulting in such
contracts being less valuable. If the markets should move against all of
the futures interests positions of the Fund at the same time, and if the
Fund's trading advisor was unable to offset futures interests positions of
the Fund, the Fund could lose all of its assets and the Limited Partners
would realize a 100% loss. Campbell & Company, Inc., the General Partner
(who also acts as trading advisor), minimizes market risk through real-
time monitoring of open positions, diversification of the portfolio and
maintenance of a margin-to-equity ratio that rarely exceeds 30%.
In addition to market risk, in entering into futures and forward contracts
there is a risk to the Fund (credit risk) that a counterparty will not be
able to meet its obligations to the Fund. The counterparty of the Fund for
futures contracts traded in the United States and most foreign exchanges
on which the Fund trades is the clearinghouse associated with such
exchange. In general, clearinghouses are backed by the membership of the
exchange and will act in the event of non-performance by one of its
members or one of its members' customers, and as such, should
significantly reduce this credit risk. In cases where the Fund trades on
exchanges where the clearinghouse is not backed by the membership (i.e.
some foreign exchanges) or when the Fund enters into off-exchange
contracts (i.e. forward contracts) with a counterparty, the sole recourse
of the Fund will be the clearinghouse or the counterparty as the case may
be. Campbell & Company, Inc., in its business as a commodity trading
advisor and through its many relationships with brokers, monitors the
creditworthiness of the exchanges and the clearing members of the foreign
exchanges with which it does business for the Fund and other clients. With
respect to forward contract trading, the Fund trades with only those
counterparties which the General Partner has determined to be
creditworthy. All positions of the Fund are valued each day on a mark-to-
market basis. While the General Partner monitors the creditworthiness and
risks involved in dealing on the various exchanges and with
counterparties, there can be no assurance that an exchange or counterparty
will be able to meet its obligations to the Fund.
PART II-OTHER INFORMATION
Item 1. Legal Proceedings.
None
Item 2. Changes in Securities
None
Item 3. Defaults Upon Senior Securities
Not applicable.
Item 4. Submissions of Matters to a vote of Security Holders.
None
Item 5. Other Information
None
Item 6. Exhibits and Reports on Form 8-K.
None
There are no exhibits to this Form 10-Q.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Registrant)
By: Campbell & Company, Inc.
General Partner
Date: August 5, 1996 By: /s/ Theresa D. Livesey
Theresa D. Livesey
Chief Financial Officer/Treasurer/Director
<PAGE>
EXHIBIT INDEX
Exhibit No. Exhibit Page Number
27 Financial Data Schedule
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>
THE SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM
THE FINANCIAL STATEMENTS OF CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
AS OF AND FOR THE SIX MONTHS ENDED JUNE 30, 1996 AND IS QUALIFIED IN ITS
ENTIRETY BY REFERENCE TO SUCH FINANCIAL STATEMENTS.
</LEGEND>
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> JUN-30-1996
<CASH> 52,099
<SECURITIES> 10,734
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 62,833
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 62,833
<CURRENT-LIABILITIES> 1,080
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 61,753
<TOTAL-LIABILITY-AND-EQUITY> 62,833
<SALES> 0
<TOTAL-REVENUES> 5,442
<CGS> 0
<TOTAL-COSTS> 2,169
<OTHER-EXPENSES> 0
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 3,273
<INCOME-TAX> 0
<INCOME-CONTINUING> 3,273
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 3,273
<EPS-PRIMARY> 65.22
<EPS-DILUTED> 0
</TABLE>
