<PAGE> 1
As Filed with the Securities Exchange Commission on December 31, 1996
Registration No. ____________
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SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
------------------
FORM S-1
REGISTRATION STATEMENT
UNDER
THE SECURITIES ACT OF 1933
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Exact name of registrant as specified in its charter)
Delaware 6799 52-1823554
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(State of Organization) (Primary Standard Industrial (I.R.S. Employer
Classification Number) Identification Number)
c/o Campbell & Company, Inc.
Court Towers Building
210 West Pennsylvania Avenue
Baltimore, Maryland 21204
(410) 296-3301
(Address, including zip code, and telephone
number, including area code, of
registrant's principal executive offices)
Theresa D. Livesey
Campbell & Company, Inc.
Court Towers Building
210 West Pennsylania Avenue
Baltimore, Maryland 21204
(410) 296-3301
(Name, address, including zip code, and telephone number,
including area code, of agent for service)
Copy to:
David M. Matteson
Foley & Lardner
330 North Wabash Avenue
Suite 3300
Chicago, IL 60611
(312) 755-2562
Approximate date of commencement of proposed sale to the public:
As soon as practicable after the effective date of this Registration Statement
If any of the securities being registered on this Form are to be
offered on a delayed or continuous basis pursuant to Rule 415 under the
Securities Act of 1933 check the following box |X|
CALCULATION OF REGISTRATION FEE
<TABLE>
<CAPTION>
Title of Each
Class of Securities Amount Being Maximum Offering Maximum Aggregate Amount of
Being Registered Registered Price Per Unit Offering Price Registration Fee
(1)
<S> <C> <C> <C> <C>
Units of Limited
Partnership Interest $100,000,000 $30,303
</TABLE>
(1) Pursuant to Rule 457(o), the "Amount Being Registered" and "Maximum
Offering Price Per Unit" are omitted.
Pursuant to Rule 429, the Prospectus contained herein also relates to
Registration Statement No. 333-5767 and this constitutes Post Effective
Amendment No. 1 to such Registration Statement. Based on sales of Units through
November 30, 1996 and Unit value as of such date, $17,057,967 of securities are
being carried forward from the previous Registration Statement. The registration
fee related to the amount of securities being carried forward is $6,882.
The Registrant hereby amends this registration statement on such date or dates
as may be necessary to delay its effective date until the registrant shall file
a further amendment which specifically states that this registration statement
shall thereafter become effective in accordance with Section 8(a) of the
Securities Act of 1933 or until this registration statement shall become
effective on such date as the Commission, acting pursuant to said Section 8(a),
may determine.
<PAGE> 2
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
Cross Reference Sheet
<TABLE>
<CAPTION>
Item
No. Prospectus Heading
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<S> <C>
1. Forepart of the Registration Statement
and Outside Front Cover Page of
Prospectus . . . . . . . . . . . . . . . . . . . . . . . Cover Page
2. Inside Front and Outside Back Cover
Pages of Prospectus . . . . . . . . . . . . . . . . . . Inside Cover Page; Table of Contents
3. Summary Information, Risk Factors
and Ratio of Earnings to Risk Disclosure Statement; Summary;
Fixed Charges . . . . . . . . . . . . . . . . . . . . . Risk Factors; Charges to the Fund
4. Use of Proceeds . . . . . . . . . . . . . . . . . . . . Use of Proceeds; Campbell & Company, Inc.;
The Futures and Forwards Markets
5. Determination of Offering Price . . . . . . . . . . . . Inside Cover Page; Plan of Distribution
6. Dilution . . . . . . . . . . . . . . . . . . . . . . . . Not Applicable
7. Selling Security Holders . . . . . . . . . . . . . . . . Not Applicable
8. Plan of Distribution . . . . . . . . . . . . . . . . . . Inside Cover Page; Plan of Distribution
9. Description of Securities to Be Registered . . . . . . . Cover Page; Distributions and Redemptions;
Agreement of Limited Partnership--Sharing of
Profits and Losse
10. Interests of Named Experts and Counsel . . . . . . . . . Certain Legal Matters; Experts
11. Information with Respect to the Registrant . . . . . . . Summary; Risk Factors; Use of Proceeds;
Risk Factors; Campbell & Company, Inc.;
Charges to the Fund; The Futures Markets;
Index to Financial Statements
12. Disclosure of Commission Position on
Indemnification for Securities Act Liabilities . . . . . Not Applicable
</TABLE>
2
<PAGE> 3
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
$117,057,967 IN UNITS OF LIMITED PARTNERSHIP INTERESTS
--------------------------------
Campbell Strategic Allocation Fund, Limited Partnership (the "Fund"), is
a Delaware limited partnership organized to engage in the speculative trading of
financial futures contracts, forward contracts and related options.
Campbell & Company, Inc., a Maryland corporation ("Campbell & Company"),
is the general partner and trading advisor of the Fund. The Fund's objective is
to achieve substantial capital appreciation over the medium- to long-term while
controlling the risks associated with the trading activities through the use of
active stop-loss provisions and modern portfolio diversification techniques.
Campbell & Company has been trading futures contracts pursuant to technical
trading systems for over 24 years and currently has over $570 million under its
management ($480 million in the Financial, Metal & Energy Large Portfolio
primarily utilized to trade the Fund's assets). Past performance is not
necessarily indicative of and may significantly exceed future performance.
Futures and forward trading is speculative and involves a high degree of risk.
Units of Limited Partnership ("Units") of the Fund are being offered on
an ongoing basis (the "Continuing Offering Period"), which began after the
Initial Offering Period terminated on April 15, 1994. A total of $92,942,033 has
been raised in the Initial and Continuing Offering Period through December 1,
1996; redemptions over the same time period total $15,512,351. Campbell &
Company may terminate the Continuing Offering Period in its discretion. The Unit
value as of November 30, 1996 was $1,326.66.
All of the proceeds of the offering will be available for trading
purposes. Units will be sold as of the first business day of each month (the
"Continuing Offering Period") at Net Asset Value per Unit. The minimum
investment is $10,000; $5,000 for eligible employee benefit plans and Individual
Retirement Accounts ($5,000 and $2,000, respectively, for registered
representatives of NASD registered broker-dealers). Limited Partners may
increase their investment in the Fund with a minimum investment of $1,000.
No market will exist for the Units. Units may be redeemed monthly, at the
Net Asset Value per Unit, net of any redemption fee, at the election of the
Limited Partner on ten business days' written notice prior to month-end. During
the 12 months following the purchase, the General Partner charges a redemption
fee as follows: 4% of Net Asset Value on Units redeemed in the first quarter
following purchase, 3% during the second quarter, 2% during the third quarter,
and 1% in the fourth quarter. After the fourth quarter, no redemption fees are
charged. THESE ARE SPECULATIVE SECURITIES AND INVOLVE A HIGH DEGREE OF RISK.
THESE SECURITIES ARE SUITABLE FOR INVESTMENT ONLY BY A PERSON WHO CAN AFFORD TO
LOSE THE ENTIRE INVESTMENT. SEE "PLAN OF DISTRIBUTION," "RISK FACTORS," AND
"CONFLICTS OF INTEREST." RISK FACTORS RELATING TO THE UNITS INCLUDE THE
FOLLOWING:
- Futures and forward trading is speculative and involves a high degree
of risk. See "Risk Factors."
- The Fund is subject to significant charges, unrelated to
profitability. Campbell & Company estimates that the Fund will need to
generate gross trading profits, in addition to interest income on its
assets, of approximately $45 per Unit (based on a $1,000 initial net
asset value per unit), or 4.50%, in order for unit value to remain
constant for the next 12 months. See "Charges to the Fund."
- Redemption rights with respect to the Units are limited and there are
substantial restrictions on transferability. See "Distributions and
Redemptions" and "Agreement of Limited Partnership-Dispositions."
- Campbell & Company and the Fund are subject to significant conflicts
of interest. These conflicts include Campbell & Company acting as both
general partner and trading advisor of the Fund and establishing its
fees without arm's length negotiation. See "Conflicts of Interest."
- Limited Partners will be taxed each year on their allocable share of
income or gain recognized by the Fund despite not having received any
cash distributions. See "Federal Income Tax Aspects."
- The success of the Fund is dependent upon Campbell & Company and there
can be no assurance that Campbell & Company will trade profitably or
avoid significant losses. See "Campbell & Company, Inc."
SEE "RISK FACTORS" FOR A MORE DETAILED DESCRIPTION OF THE FOREGOING RISKS
AND OTHER SIGNIFICANT RISK FACTORS APPLICABLE TO AN INVESTMENT IN THE FUND.
THERE IS NO ASSURANCE THAT THE FUND WILL ACHIEVE ITS OBJECTIVES.
--------------------------------
SUBSCRIBERS TO THE FUND WILL BE REQUIRED TO GIVE CERTAIN REPRESENTATIONS AND
WARRANTIES IN THE SUBSCRIPTION AGREEMENT AND POWER OF ATTORNEY.
--------------------------------
THE COMMODITY FUTURES TRADING COMMISSION HAS NOT PASSED UPON THE MERITS OF
PARTICIPATING IN THIS POOL NOR HAS THE COMMISSION PASSED ON THE
ADEQUACY OR ACCURACY OF THIS DISCLOSURE
DOCUMENT.
--------------------------------
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE SECURITIES AND
EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION NOR HAS THE
COMMISSION OR ANY STATE COMMISSION PASSED UPON THE ACCURACY
OR ADEQUACY OF THIS PROSPECTUS.
ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.
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Proceeds to the
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<TABLE>
<CAPTION>
=================================================================================================================
Selling
Price to Public (1)(5) Commissions Fund (2)(3)(4)
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<S> <C> <C> <C>
Continuing Offering Period..................... Net Asset Value (2) Net Asset Value
- -----------------------------------------------------------------------------------------------------------------
Total Maximum.................................. $117,057,967 (2) $117,057,967
=================================================================================================================
</TABLE>
*See Notes on the following page.
The date of this Prospectus is
2
<PAGE> 5
NOTES:
(1) The Units are offered on a "best efforts" basis without any firm
underwriting commitment through broker-dealers including, but not limited to,
PaineWebber Incorporated, A.G. Edwards & Sons, Inc., J.C. Bradford & Company,
Inc. and Interstate/Johnson Lane Corporation, which are registered
broker-dealers and members of the National Association of Securities Dealers,
Inc. (the "Selling Agents"). Units are offered until such time as Campbell &
Company terminates such offering (the "Continuing Offering Period").
Subscriptions received during the Continuing Offering Period can be accepted on
a monthly basis. Subscribers whose subscriptions are canceled or rejected will
be notified of when their subscriptions, plus interest, will be returned, which
shall be promptly after rejection. Subscribers whose subscriptions are accepted
will be issued fractional Units, calculated to three decimal places, in an
amount equal to the interest earned on their subscriptions.
Campbell & Company may suspend, limit or terminate the offering of Units at any
time.
The Fund's escrow account is maintained at Mercantile Safe Deposit &
Trust Company, Baltimore, Maryland (the "Escrow Agent"). All subscription funds
are required to be promptly transmitted to the Escrow Agent. Subscriptions must
be accepted or rejected by Campbell & Company within five business days of
receipt, and the settlement date for the deposit of subscription funds in escrow
must be within five business days of acceptance. No fees or costs will be
assessed on any subscription while held in escrow, irrespective of whether the
subscription is accepted or subscription funds returned.
Subscriptions from clients of any of the Selling Agents may also be
made by authorizing such Selling Agent to debit the subscriber's customer
securities account at the Selling Agent on the settlement date. Promptly after
debiting the customer's securities account, the Selling Agent shall send payment
to the Escrow Agent as described above, in the amount of the subscription so
debited.
(2) No selling commissions are paid by the investor or from the
proceeds of subscriptions. The Selling Agents receive from Campbell & Company
selling commissions of up to 4% of the subscription amount, subject to
additional amounts being paid by Campbell & Company as described in Note (3)
below.
(3) Ongoing payments are made to those Selling Agents (or assignees
thereof) which are registered "futures commission merchants" or "introducing
brokers" (or obtain such registration prior to the commencement of such ongoing
payments), to the extent such payments are attributable to Units sold by such
Selling Agents which remain outstanding more than twelve months. These ongoing
payments are paid monthly beginning at the end of the thirteenth full month
after the sale of the Units in respect of which such compensation is paid, and
equal, on an annual basis, up to 4% of the average month-end Net Assets of the
Fund. Units sold at different Closing Dates have different dates when ongoing
compensation becomes payable in respect of such Units. For investors who
purchase Units at different times, a "first-in, first-out" assumption is made in
determining when Units redeemed were sold. Account executives who are registered
with the Commodity Futures Trading Commission ("CFTC") and have satisfied all
applicable proficiency requirements are eligible to receive all or a portion of
such ongoing payments, to the extent attributable to Units sold by such account
executives which remain outstanding for more than twelve months, from the
applicable Selling Agents.
Selling Agents and registered representatives who are not registered
with the CFTC as described above may receive additional selling commissions from
Campbell & Company, paid on the same basis as the ongoing payments, provided
that the total of such additional selling commissions plus the initial 4%
selling commission, salaries, expenses and bonuses of employees of Campbell &
Company engaged in wholesaling activities and per Unit organization and offering
costs properly deemed to constitute costs allocable to the Selling Agents (such
as a selling brochure, seminar costs and travel expenses) do not exceed 10% of
such Units' initial sale price. Such ongoing payments, salaries and bonuses and
additional selling commissions may be deemed to constitute underwriting
compensation.
(4) Offering expenses related to the Continuing Offering as of
September 30, 1996 totaled $1,1,992,210 and for the nine months commencing on
the date hereof are estimated at $600,000. Campbell & Company will advance such
expenses and will be reimbursed by the Fund, without interest, in 30-month
installment periods throughout the Continuing Offering. Such reimbursements,
however, will not exceed 2.5% of the aggregate subscriptions accepted by
Campbell & Company as general partner. Organization and offering expenses equal
to $240,961 were incurred during the Initial Offering Period and were advanced
by Campbell & Company. Such expenses are being reimbursed in the same manner and
subject to the same 2.5% limit.
(5) The price per Unit during the Continuing Offering Period will vary
depending upon the month-end Net Asset Value per Unit. The Units are being
offered at a minimum subscription of $10,000; $5,000 for eligible employee
benefit plans and Individual Retirement Accounts or $5,000 and $2,500,
respectively, for registered representatives of NASD registered broker-dealers.
Limited Partners may increase their investment in the Fund with a minimum
investment of $1,000. Under the
3
<PAGE> 6
federal securities laws and those of certain states, investors may be subject to
special minimum purchase and/or investor suitability requirements. A description
of these requirements is included in the Subscription Agreement and Power of
Attorney, included as Exhibit D to this Prospectus.
(6) See "Plan of Distribution" for information relating to
indemnification arrangements with respect to the Selling
Agents.
The Fund is subject to the informational requirements of the Securities
Exchange Act of 1934 and in accordance therewith files, or will file, reports,
proxy statements and other information with the Securities and Exchange
Commission (the "SEC"). These reports, proxy statements and other information
can be inspected and copied at the public reference facilities maintained by the
SEC at the SEC's office at 450 Fifth Street, N.W., Room 1024, Washington, D.C.
20549, and at its regional offices located at 7 World Trade Center, Suite 1300,
New York, New York 10048; and 500 West Madison Street, Suite 1400, Chicago,
Illinois 60661. Copies of such material can be obtained from the Public
Reference Section of the SEC at 450 Fifth Street, N.W., Room 1024, Washington,
D.C. 20549, and at the regional offices described above at prescribed rates.
The Fund has filed with the SEC, in Washington, D.C., a Registration
Statement on Form S-1 under the Securities Act of 1933 with respect to the Units
offered hereby. This Prospectus does not contain all the information included in
the Registration Statement, certain items of which are omitted in accordance
with the Rules and Regulations of the SEC. For further information about the
Fund and the Units offered hereby, reference is made to the Registration
Statement and the exhibits thereto.
REGULATORY NOTICES
UNTIL MAY 1, 1997 (90 DAYS AFTER THE DATE HEREOF), ALL DEALERS
EFFECTING TRANSACTIONS IN THE UNITS WHETHER OR NOT PARTICIPATING IN THIS
DISTRIBUTION, MAY BE REQUIRED TO DELIVER A PROSPECTUS. THIS IS IN ADDITION TO
THE OBLIGATION OF DEALERS TO DELIVER A PROSPECTUS WHEN ACTING AS UNDERWRITERS
AND WITH RESPECT TO THEIR UNSOLD ALLOTMENTS OR SUBSCRIPTIONS.
THE SELLING AGENTS MUST ALSO DELIVER ANY SUPPLEMENTED OR AMENDED
PROSPECTUSES ISSUED BY THE FUND.
NO DEALER, SALESMAN OR ANY OTHER PERSON HAS BEEN AUTHORIZED TO GIVE ANY
INFORMATION OR TO MAKE ANY REPRESENTATION NOT CONTAINED IN THIS PROSPECTUS, AND,
IF GIVEN OR MADE, SUCH OTHER INFORMATION OR REPRESENTATION MUST NOT BE RELIED
UPON AS HAVING BEEN AUTHORIZED BY THE FUND, CAMPBELL & COMPANY, THE SELLING
AGENTS, OR ANY OTHER PERSON. NEITHER THE DELIVERY OF THIS PROSPECTUS NOR ANY
SALE MADE HEREUNDER SHALL, UNDER ANY CIRCUMSTANCES, CREATE ANY IMPLICATION THAT
THE INFORMATION CONTAINED HEREIN IS CORRECT AS OF ANY TIME SUBSEQUENT TO THE
DATE HEREOF. THIS PROSPECTUS DOES NOT CONSTITUTE AN OFFER TO SELL OR A
SOLICITATION OF AN OFFER TO BUY THE SECURITIES OFFERED HEREBY TO ANY PERSON OR
BY ANYONE IN ANY JURISDICTION IN WHICH SUCH OFFER OR SOLICITATION MAY NOT
LAWFULLY BE MADE.
THE DIVISION OF INVESTMENT MANAGEMENT OF THE SECURITIES AND EXCHANGE
COMMISSION REQUIRES THAT THE FOLLOWING STATEMENT BE SET FORTH HEREIN: "CAMPBELL
STRATEGIC ALLOCATION FUND, L.P. IS NOT A MUTUAL FUND AND IS NOT SUBJECT TO
REGULATION UNDER THE INVESTMENT COMPANY ACT OF 1940. CONSEQUENTLY, INVESTORS
WILL NOT HAVE THE BENEFIT OF THE PROTECTIVE PROVISIONS OF SUCH
LEGISLATION."
THE FUND IS SUBJECT TO THE INFORMATIONAL REQUIREMENTS OF THE SECURITIES
EXCHANGE ACT OF 1934 AND IN ACCORDANCE THEREWITH FILES REPORTS AND OTHER
INFORMATION WITH THE SECURITIES AND EXCHANGE COMMISSION. SUCH REPORTS AS WELL AS
PROXY AND INFORMATION STATEMENTS MAY BE INSPECTED AND COPIED AT PUBLIC REFERENCE
FACILITIES MAINTAINED BY THE COMMISSION IN WASHINGTON, D.C. 20549 AND COPIES MAY
BE OBTAINED FROM THE COMMISSION UPON PAYMENT OF THE PRESCRIBED FEES.
4
<PAGE> 7
RISK DISCLOSURE STATEMENT
YOU SHOULD CAREFULLY CONSIDER WHETHER YOUR FINANCIAL CONDITION PERMITS
YOU TO PARTICIPATE IN A COMMODITY POOL. IN SO DOING, YOU SHOULD BE AWARE THAT
FUTURES AND OPTIONS TRADING CAN QUICKLY LEAD TO LARGE LOSSES AS WELL AS GAINS.
SUCH TRADING LOSSES CAN SHARPLY REDUCE THE NET ASSET VALUE OF THE POOL AND
CONSEQUENTLY THE VALUE OF YOUR INTEREST IN THE POOL. IN ADDITION, RESTRICTIONS
ON REDEMPTIONS MAY AFFECT YOUR ABILITY TO WITHDRAW YOUR PARTICIPATION IN THE
POOL.
FURTHER, COMMODITY POOLS MAY BE SUBJECT TO SUBSTANTIAL CHARGES FOR
MANAGEMENT, AND ADVISORY AND BROKERAGE FEES. IT MAY BE NECESSARY FOR THOSE POOLS
THAT ARE SUBJECT TO THESE CHARGES TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID
DEPLETION OR EXHAUSTION OF THEIR ASSETS. THIS DISCLOSURE DOCUMENT CONTAINS A
COMPLETE DESCRIPTION OF EACH EXPENSE TO BE CHARGED THIS POOL AT PAGE __ AND A
STATEMENT OF THE PERCENTAGE RETURN NECESSARY TO BREAK EVEN, THAT IS, TO RECOVER
THE AMOUNT OF YOUR INITIAL INVESTMENT, AT PAGE __.
THIS BRIEF STATEMENT CANNOT DISCLOSE ALL THE RISKS AND OTHER FACTORS
NECESSARY TO EVALUATE YOUR PARTICIPATION IN THIS COMMODITY POOL. THEREFORE,
BEFORE YOU DECIDE TO PARTICIPATE IN THIS COMMODITY POOL, YOU SHOULD CAREFULLY
STUDY THIS DISCLOSURE DOCUMENT, INCLUDING A DESCRIPTION OF THE PRINCIPAL RISK
FACTORS OF THIS INVESTMENT, AT PAGE __.
YOU SHOULD ALSO BE AWARE THAT THIS COMMODITY POOL MAY TRADE FOREIGN
FUTURES OR OPTIONS CONTRACTS. TRANSACTIONS ON MARKETS LOCATED OUTSIDE THE UNITED
STATES, INCLUDING MARKETS FORMALLY LINKED TO A UNITED STATES MARKET, MAY BE
SUBJECT TO REGULATIONS WHICH OFFER DIFFERENT OR DIMINISHED PROTECTION TO THE
POOL AND ITS PARTICIPANTS. FURTHER, UNITED STATES REGULATORY AUTHORITIES MAY BE
UNABLE TO COMPEL THE ENFORCEMENT OF THE RULES OF REGULATORY AUTHORITIES OR
MARKETS IN NON-UNITED STATES JURISDICTIONS WHERE TRANSACTIONS FOR THE POOL MAY
BE EFFECTED.
5
<PAGE> 8
TABLE OF CONTENTS
<TABLE>
<CAPTION>
SECTION PAGE
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<S> <C>
1. Summary............................................................................................... 7
2. Risk Factors.......................................................................................... 12
A. Market Risks.................................................................................... 12
B. Trading Risks................................................................................... 12
C. Tax Risks....................................................................................... 13
D. Other Risks..................................................................................... 14
3. Investment Factors.................................................................................... 6
A. Professional Trading Management................................................................. 6
B. Trading Diversification......................................................................... 6
C. Trading Systems Diversification................................................................. 6
D. Investment Diversification...................................................................... 6
E. Limited Liability............................................................................... 6
F. Interest Income................................................................................. 13
4. Campbell & Company, Inc............................................................................... 13
A. Description..................................................................................... 13
B. The Advisory Agreement.......................................................................... 14
C. Management Discussion and Analysis of Financial Condition and Results of Operations............. 15
D. The Trading Systems............................................................................. 15
5. Past Performance of Campbell & Company, Inc........................................................... 17
6. Conflicts of Interest................................................................................. 31
A. Campbell & Company, Inc......................................................................... 31
B. The Commodity Broker and the Foreign Exchange Dealers........................................... 31
C. Selling Agents.................................................................................. 31
D. Fiduciary Duty and Remedies..................................................................... 31
E. Indemnification and Standard of Liability....................................................... 32
7. Charges to the Fund................................................................................... 33
A. Campbell & Company, Inc......................................................................... 33
B. The Commodity Broker............................................................................ 34
C. Selling Agents.................................................................................. 34
D. Foreign Exchange Dealers........................................................................ 34
E. Offering Expenses............................................................................... 34
F. Cash Management................................................................................. 34
G. Other........................................................................................... 34
H. Estimate of Breakeven Level..................................................................... 35
8. Use of Proceeds....................................................................................... 35
9. The Commodity Broker.................................................................................. 36
10. Foreign Exchange Dealers.............................................................................. 40
11. Capitalization........................................................................................ 40
12. Distributions and Redemptions......................................................................... 40
13. The Futures and Forwards Markets...................................................................... 41
A. Futures Contracts............................................................................... 41
B. Forward Contracts............................................................................... 41
C. Regulation...................................................................................... 41
D. Margin.......................................................................................... 42
14. Agreement of Limited Partnership...................................................................... 42
A. Organization and Liabilities.................................................................... 42
</TABLE>
6
<PAGE> 9
<TABLE>
<CAPTION>
SECTION PAGE
<S> <C>
B. Management of Partnership Affairs............................................................... 42
C. Sharing of Profits and Losses................................................................... 42
D. Dispositions.................................................................................... 43
E. Dissolution and Termination of the Fund......................................................... 43
F. Amendments and Meetings......................................................................... 43
G. Indemnification................................................................................. 44
H. Reports to Limited Partners..................................................................... 44
15. Federal Income Tax Aspects............................................................................ 44
A. Introduction.................................................................................... 44
B. Partnership Classification...................................................................... 44
C. Publicly-Traded Partnership Status.............................................................. 45
D. Fund Allocations................................................................................ 45
E. "At-Risk" Limitation and Basis Adjustments...................................................... 45
F. Application of Passive Loss Rules............................................................... 45
G. Cash Distributions and Redemptions.............................................................. 46
H. Taxation of Transactions........................................................................ 46
I. Limitation on Deductibility of Capital Losses................................................... 46
J. Alternative Minimum Tax......................................................................... 46
K. Deductibility of Investment Interest............................................................ 46
L. Tax Elections................................................................................... 46
M. Limited Deduction for Certain Expenses.......................................................... 47
N. Fund Audits..................................................................................... 47
O. Syndication Costs............................................................................... 47
P. State and Local Taxes........................................................................... 47
Q. Laws Subject to Change.......................................................................... 47
16. Investment by ERISA Accounts.......................................................................... 47
17. Plan of Distribution.................................................................................. 48
A. Subscription Procedure.......................................................................... 48
B. Investor Suitability............................................................................ 48
C. The Selling Agents.............................................................................. 49
18. Certain Legal Matters................................................................................. 50
19. Experts 50
20. Additional Information................................................................................ 50
21. Index to Financial Statements......................................................................... 51
</TABLE>
<TABLE>
<CAPTION>
APPENDICES
<S> <C>
Appendix I Campbell & Company, Inc. Financial, Metal & Energy Large Portfolio Pro Forma
Appendix II Glossary
EXHIBITS
Exhibit A Agreement of Limited Partnership
Exhibit B Request for Redemption
Exhibit C Subscription Requirements
Exhibit D Subscription Agreement and Power of Attorney
</TABLE>
7
<PAGE> 10
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
SECTION 1. SUMMARY
The Fund offers investors an opportunity to participate in a portfolio
primarily focused on financial futures (including interest rates, foreign
exchange and stock indices) with a secondary emphasis on metal, energy and
agricultural products. Campbell & Company uses its computerized, trend-
following technical trading and risk control methods in an attempt to capitalize
on these opportunities while seeking to control risk and volatility. Campbell &
Company's technical approach has been in use in actual trading since 1972 - one
of the longest performance records of any active futures manager - and has been
developed and refined over a period of more than 24 years. The Fund began
trading April 18, 1994 with approximately $9.7 million in assets. Through
November 30, 1996, a total of $92,942,033 has been raised in the Initial and
Continuing Offering Period. See Table 1 in "Past Performance of Campbell &
Company, Inc." for a performance record of the Fund through November 30, 1996.
Disclosure of the material aspects of, and the risks involved in an
investment in the Fund, including compliance with applicable regulatory
disclosure requirements, has resulted in the considerable length of this
Prospectus. In an effort to make these disclosures more readily comprehensible,
the following summary reviews in outline form certain important aspects of an
investment in the Fund. The following summary is qualified in its entirety by
the information set forth elsewhere in this Prospectus. The intended effective
date for use of this document is February 1, 1997.
PLAN OF DISTRIBUTION
Securities Offered
- Units will be sold monthly at the Net Asset Value per Unit as of the
last day of each month (until Campbell & Company elects to terminate
the offering).
- Subscriptions will be accepted into escrow throughout the Continuing
Offering Period. Units will be sold by transfer of subscription funds
from escrow to the Fund on each closing date (a "Closing Date").
- Subscribers which are accepted as investors in the Fund will receive
additional Units, in fractions calculated to three decimal places, in
lieu of interest earned on their subscription funds while held in
escrow. Rejected subscribers will receive such interest in cash. No
fees or charges will be assessed against any funds held in escrow.
- The Units are offered on a "best efforts" basis by the Selling Agents,
without any firm underwriting commitment.
Minimum Investment
$10,000 except for trustees or custodians of eligible employee
benefit plans and individual retirement accounts, for which the
minimum investment is $5,000 (these minimums are reduced to $5,000 and
$2,000, respectively, for registered representatives of NASD
registered broker-dealers). Limited Partners may increase their
investment in the Fund with a minimum investment of $1,000.
Suitability
- An investment in the Fund is speculative and involves a high degree of
risk. Each investor must, at a minimum, have (i) a net worth of at
least $150,000 (exclusive of home, furnishings and automobiles) or
(ii) a net worth (similarly calculated) of at least $45,000 and an
annual gross income of at least $45,000. A number of jurisdictions in
which the Units are offered impose higher minimum suitability
standards on prospective investors. These suitability standards are,
in each case, regulatory minimums only, and merely because a
prospective investor meets such standards does not mean that an
investment in the Units is suitable for him. See Exhibit C -
Subscription Requirements. No one may invest more than 10% of his
"liquid" net worth (exclusive of home, furnishings and automobiles) in
the Fund.
Subscription Procedures
- Subscribers must complete, execute and deliver to their Selling Agent
a copy of the Subscription Agreement and Power of Attorney included as
Exhibit D at the back of this Prospectus. The Subscription Agreement
and Power of Attorney requires investors to make certain specific
representations and warranties. Read the Subscription Agreement and
Power of Attorney as well as this Prospectus carefully before you
decide whether to invest. See "Plan of Distribution - Subscription
Procedure."
INVESTMENT FACTORS
Overview
- A leveraged, professionally managed investment fund emphasizing
financial instrument trading; the Fund trades in a wide range of
domestic and international markets.
- The Fund trades in approximately 26 financial instrument contracts,
including six different currency contracts.
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<PAGE> 11
- Objectives of substantial capital appreciation with controlled
volatility.
- If profitable, the Fund has the potential to provide a valuable
component of diversification to traditional securities portfolios.
- An investment in the Units offers the advantage of limited liability
in highly leveraged trading, as well as administrative convenience, in
a fund which participates in complex trading strategies in various
United States and international markets.
Campbell & Company, Inc.
- The office of Campbell & Company, Inc. and the Fund is located at 210
West Pennsylvania Avenue, Baltimore, Maryland 21204 (telephone: (410)
296-3301). The books and records of the Fund are kept at this office.
- Campbell & Company, the general partner and trading advisor, is a
Maryland corporation organized in April 1978. It administers the Fund
as well as directs its trading, and its principals have over 24 years
of experience trading in the futures markets. As of November 30, 1996,
Campbell & Company was managing approximately $570 million in the
futures markets, including approximately $480 million in its
Financial, Metal & Energy Large Portfolio (FME Large Portfolio) which
concentrates in financial markets in interest rates, stock indices and
foreign exchange, as well as metals and energy products, which is the
portfolio currently traded by 75% of the Fund. The remaining 25% of
assets is traded in the Global Diversified Portfolio, which includes
many of the same markets as the FME Large Portfolio, as well as
agricultural markets such as grains, meats, sugar, coffee, and fibers.
Campbell & Company currently allocates the Fund's assets as follows:
approximately 79% to financial markets, 9% to metals, 7% to energy
products, and 5% to agricultural markets. The percentages will
fluctuate as market conditions change.
- Employs a computerized, technical, trend-following approach combined
with quantitative portfolio management analysis and seeks to identify
and profit from sustained price trends.
- Implements two trading systems in most markets traded. Each system is
used in the analysis of market movements and internal market and price
configurations. A third trading system is also used for certain
markets which appear to respond well to both trend-following and
contra-trend following techniques.
- Utilizes a proprietary "value-weighted/volatility-time" model for
allocating capital to a portfolio's constituent markets.
Business Terms
- The Fund's charges, as set forth below, are substantial and must be
offset by trading gains to avoid depletion of the Fund's assets.
<TABLE>
<S> <C>
Campbell & Company......... Brokerage Fee equal to 8% of Net Assets per annum, of which portions are remitted
to other entities as set forth below.
20% of quarterly appreciation in Unit Value, excluding interest income.
Reimbursement of offering expenses over a 30-month period, estimated at and not to
exceed 2.5% of the aggregate subscriptions accepted by Campbell & Company.
Dealers.................... Bid-ask spread in off-exchange contracts.
Cash Management............ 125 of 1% per annum of assets in trust account, plus 25% of any incremental return
generated above an index of the 90-day U.S. Treasury Bill rate.
Others..................... Operating expenses such as legal, auditing, printing and postage (up to a maximum of
0.5 of 1% of Net Assets per annum).
</TABLE>
- The Brokerage Fee is paid to Campbell & Company, which, in turn,
remits 1% to the Commodity Broker, 4% to the Selling Agents and
retains the remaining 3%.
Estimate of Break-Even Level
- In order for an investor to "break-even" on his investment in the
first year of trading (i.e. for ending net asset value to equal the
initial amount invested), assuming an initial investment of $1,000,
the Fund must earn $45 per Unit, or 4.50%. See "Charges to the Fund."
<TABLE>
<S> <C>
Assumed Initial Selling Price Per Unit $ 1,000.00
----------
Brokerage Fee (8%) $ 80.00
Organization & Offering Expense Reimbursement (1%) 10.00
Operating Expenses (0.5%) 5.00
Less: Interest Income (5%) (net of cash management fee) (50.00)
----------
</TABLE>
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<PAGE> 12
<TABLE>
<S> <C>
Amount of Trading Income Required for the Fund's Net Asset Value per Unit at
the End of One Year to Equal the Initial Selling Price per Unit $ 45.00
===========
Percentage of Assumed Initial Selling Price per Unit 4.50%
===========
</TABLE>
- The Fund meets its margin requirements by depositing U.S. government
securities with the Commodity Broker and the dealers. In this way,
substantially all (i.e., 95% or more) of the Fund's assets, whether
used as margin for trading purposes or as reserves for such trading,
can be invested in U.S. government securities and time deposits with
U.S. banks. Maintenance of the Fund's assets in U.S. government
securities and banks does not reduce the risk of loss from trading
futures contracts. The Fund receives all interest earned on its
assets.
- No upfront sales commissions paid by investors.
- All offering expenses will be advanced by Campbell & Company
throughout the Continuing Offering and will be reimbursed, without
interest, by the Fund in 30 equal monthly installments following the
incurrence of the expense. The reimbursement is subject to a maximum
equal to 2.5% of the subscriptions accepted by Campbell & Company.
- A medium - to long-term investment (2 to 3 years).
- Units are transferable, but no market exists for their sale and none
will develop. Monthly redemptions are permitted upon ten business
days' written notice to Campbell & Company. During the 12 months
following the purchase, the General Partner charges a redemption fee
as follows: 4% of Net Asset Value on Units redeemed in the first
quarter following purchase, 3% during the second quarter, 2% during
the third quarter, and 1% in the fourth quarter. After the fourth
quarter, no redemption fees are charged.
- Campbell & Company does not intend to make distributions, choosing
instead to retain the Fund's capital for trading purposes. Due to the
redemption rights they typically provide, few futures funds make
distributions.
Diversification
- Expected non-correlation with traditional portfolio components such as
stocks and bonds.
- Ability to shift capital quickly among different domestic markets and
international economies.
- According to modern portfolio theory, diversification of a portfolio
over various non-correlated asset classes can increase overall return
and reduce the volatility (a primary measure of risk) of a portfolio.
As a zero-sum risk transfer activity, futures and forward trading has
no inherent correlation with any other investments. The Fund can
provide diversification benefits only if it is profitable and other
sectors of the portfolio are under-performing. The Fund may or may not
be profitable when other sectors of the portfolio are
under-performing. If the Fund were to be highly correlated with other
investments in a Limited Partner's portfolio, the Fund would not
provide additional diversification to such portfolio. Historically
Campbell & Company's portfolios have had a low correlation with
traditional stock and bond investments. However, no assurance can be
given that a low correlation will continue in the future, or that the
Fund will be profitable. The Fund's profitability depends on the
success of the trading techniques. Of course, an investment in the
Fund may not necessarily have a positive rate of return, and if
unprofitable the Fund will not increase the return on an investor's
portfolio or achieve its diversification objectives.
RISK FACTORS
- NO SUBSCRIBER MAY INVEST MORE THAN 10% OF THE SUBSCRIBER'S LIQUID
ASSETS (EXCLUSIVE OF HOME, FURNISHINGS AND AUTOMOBILES) AND IN NO
EVENT MORE THAN SUCH SUBSCRIBER CAN AFFORD TO LOSE.
- The Fund is a highly speculative investment.
- There can be no assurance whatsoever that the Fund will achieve its
objectives or avoid substantial losses, which could include the loss
of a subscriber's entire investment.
- The portfolio of primarily financial, metal and energy contracts
traded by the Fund may produce more volatile performance and greater
risk than would a more diversified approach utilizing Campbell &
Company's trading methods.
- A single advisor fund such as the Fund may be inherently more volatile
than multi-advisor managed futures products.
- The Fund is subject to 8% per annum Brokerage Fees payable to Campbell
& Company irrespective of profitability as well as quarterly
performance fees equal to 20% of aggregate cumulative appreciation in
Net Asset Value, if any. The Fund pays "bid-ask" spreads on its
forward trades.
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<PAGE> 13
- Although Campbell & Company is an experienced professional manager,
past results are not necessarily indicative of and may significantly
exceed future performance.
- Campbell & Company has from time to time in the past incurred
substantial losses in trading on behalf of its clients. See "Past
Performance of Campbell & Company."
- Futures and forward trading is a "zero-sum" game in that for every
gain there is an equal and offsetting loss. Such trading also has no
inherent value or participation in economic growth. Unlike typical
securities investments, there is no consistency of yield (as in the
case of debt) or growth (as in the case of equity). Any increase in
Unit value is entirely speculative.
- Although liquid compared to such other investments as real estate or
venture capital, the Units may only be redeemed on a monthly basis,
only upon ten business days' notice. During the 12 months following
the purchase, the General Partner charges a redemption fee as follows:
4% of Net Asset Value on Units redeemed in the first quarter following
purchase, 3% during the second quarter, 2% during the third quarter,
and 1% in the fourth quarter. After the fourth quarter, no redemption
fees are charged. See "Redemptions and Distributions."
- The Fund trades in futures and forward contracts and is therefore a
party to financial instruments with elements of off-balance sheet
market risk, including market volatility and possible illiquidity. In
addition to market risk, there is a credit risk that a counterparty
will not be able to meet its obligations to the Fund. See
"Management's Discussion and Analysis of Financial Condition and
Results of Operations."
- There are significant income tax considerations in connection with an
investment in the Fund. For example, although the Fund has received an
opinion of counsel that the Fund will be classified as a partnership
for federal income tax purposes, no ruling has been obtained from the
Internal Revenue Service confirming this tax treatment. In addition,
futures contracts held by the Fund at the end of each year are
"marked-to-market" and treated for tax purposes as if they were
realized gains or losses. See "Federal Income Tax Aspects."
- The Fund is subject to numerous conflicts of interest including the
following: (i) Campbell & Company is both the general partner and
trading advisor of the Fund and its fees were not negotiated at arm's
length; (ii) Campbell & Company, the Commodity Broker and the Foreign
Exchange Dealers may have incentives to favor other accounts over the
Fund; and (iii) Campbell & Company, the Commodity Broker and the
Foreign Exchange Dealers and their respective principals and
affiliates may trade in the commodity markets for their own accounts
and may take positions opposite or ahead of those taken for the Fund.
See "Conflicts of Interest."
- Limited Partners take no part in the management of the Fund.
- Because Campbell & Company is both the general partner and trading
advisor of the Fund, it has a disincentive to add or replace advisors,
even if doing so may be in the best interests of the Fund.
Notwithstanding such conflict, Campbell & Company, as general partner,
has a fiduciary responsibility to the Limited Partners to exercise
good faith and fairness in all dealings affecting the Fund. See
"Conflicts of Interest."
SEE "RISK FACTORS" FOR A MORE DETAILED DESCRIPTION OF THE FOREGOING AND
OTHER SIGNIFICANT RISKS APPLICABLE TO AN INVESTMENT IN THE FUND.
FUTURES AND FORWARD TRADING INVOLVES A HIGH DEGREE OF RISK. AN
INVESTMENT IN THE FUND IS SPECULATIVE, AND SUITABLE ONLY FOR A LIMITED PORTION
OF THE RISK SEGMENT OF AN INVESTOR'S PORTFOLIO. THERE CAN BE NO ASSURANCE THAT
THE FUND WILL ACHIEVE ITS OBJECTIVES OR AVOID SUBSTANTIAL LOSSES.
SECTION 2. RISK FACTORS
THE FOLLOWING RISK FACTORS DO NOT PURPORT TO BE A COMPLETE EXPLANATION
OF ALL THE RISKS INVOLVED IN PURCHASING UNITS. POTENTIAL INVESTORS SHOULD READ
THIS ENTIRE PROSPECTUS BEFORE DETERMINING TO INVEST IN THE UNITS.
A. MARKET RISKS
(i) Futures and Forward Trading Is Volatile. Futures and forward contracts
have a high degree of price variability. Futures and forward prices are subject
to occasional rapid and substantial changes. Thus, substantial amounts can be
lost in a brief period of time.
(ii) Futures and Forward Trading Is Highly Leveraged. The amount of margin
funds necessary to be deposited with a futures broker in order to enter into a
futures or forward contract position is typically about 2%-10% of the total
value of the contract but can be more or less. Accordingly, a relatively small
movement in the price of a contract can produce a loss that is equal to or
substantially greater than the margin deposit. Combined with the volatility of
futures and forward markets, the
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<PAGE> 14
leveraged nature of the trading can cause the Fund to sustain large and sudden
losses of its capital.
(iii) Futures and Forward Markets Can Be Illiquid or Disrupted. Futures and
forward positions cannot always be liquidated at the desired price; this can
occur when the market is thinly traded (relatively small volume of buy and sell
orders). Futures trading also is subject to daily price fluctuation limits.
These limits are restrictions imposed by futures exchanges for many futures
contracts on the maximum price fluctuation that may occur in a futures contract
on any one trading day. For example, if the price of a futures contract rises to
its daily limit, no trades may take place that day above the limit price.
Futures prices have moved to the daily limit for several consecutive days with
little or no trading, and such situations could recur. Therefore, Campbell &
Company may be unable for some time to liquidate certain unprofitable positions,
thereby increasing the loss to the Fund from the trade. Disruptions may occur in
any market due to political events. For example, foreign governments may take or
be subject to political actions which disrupt the markets in their currency or
major exports such as energy products or metals. These actions could result in
losses to the Fund.
(iv) Forward Transactions. The Fund trades forward contracts in foreign
currencies and may do so in energy products and metals. Forward contracts are
traded through a dealer market which is dominated by major money center banks
and are not regulated by the CFTC. Thus, investors do not receive the protection
of CFTC regulation or the statutory scheme of the Commodity Exchange Act in
connection with this trading activity by the Fund. The Fund is subject to the
risk of the inability or refusal on the part of the principals or agents with or
through which the Fund trades to perform with respect to such contracts.
(v) Limited Ability to Liquidate Investment in Units. There is no market
for the Units. While the Units have redemption rights, there are restrictions.
For example, redemptions can occur only at the end of a month. During the 12
months following the purchase, the General Partner charges a redemption fee as
follows: 4% of Net Asset Value on Units redeemed in the first quarter following
purchase, 3% during the second quarter, 2% during the third quarter, and 1% in
the fourth quarter. After the fourth quarter, no redemption fees are charged. If
a large number of redemption requests were to be received at one time, the Fund
might have to liquidate positions to generate cash to satisfy the requests. Such
premature liquidation could adversely affect the Fund.
B. TRADING RISKS
(i) Trading Methods Based Upon Technical Criteria. The trading systems used
by Campbell & Company for the Fund are technical, trend-following methods. The
profitability of trading under these systems depends on, among other things, the
occurrence of significant price trends (sustained movements, up or down, in
futures prices). Such trends may not develop; there have been periods in the
past without price trends. The profitability of Campbell & Company's systems
also depends on its ability to recognize trends if they occur. There can be no
assurance Campbell & Company will be successful in that regard. No assurance can
be given that Campbell & Company's methods will be successful or that investment
results of the Fund will be similar to those achieved by Campbell & Company in
the past.
(ii) Possible Effects of Other Trend-Following Programs. The increase in
the number of trading advisors using technical, trend-following systems could
operate to the detriment of the Fund. It may become more difficult for the Fund
to implement its trading strategy if other trading advisors using technical
systems are, at the same time, also attempting to initiate or liquidate futures
or forward positions or otherwise alter trading patterns.
(iii) Possible Effects of Speculative Position and Trading Limits. The CFTC
has established limits ("speculative position limits") on the maximum net long
or net short positions which any person may hold or control in certain futures
contracts. Exchanges also have established such limits. All accounts controlled
by Campbell & Company, including the account of the Fund, are combined for
speculative position limit purposes. If positions in those accounts were to
approach the level of the particular speculative position limit, such limits
could cause a modification of Campbell & Company's trading decisions for the
Fund or force liquidation of certain futures positions.
(iv) Trading Methods Involve Proprietary Methods. Investors will be
committing funds to trading under Campbell & Company's trading methods, and the
specific elements of these methods are proprietary to Campbell & Company.
Therefore, a Limited Partner will not be able to determine the full details of
the methods or whether the methods are being followed.
C. TAX RISKS
(i) Possibility of Taxation as a Corporation. Campbell & Company has
received an opinion from Foley & Lardner that under current federal income tax
law the Fund would be classified as a partnership for federal income tax
purposes and not as an association taxable as a corporation. See "Federal Income
Tax Aspects" for important conditions to such opinion. No ruling from the
Internal Revenue Service (the "IRS") in this regard has been obtained because
Campbell & Company is relying on the opinion of counsel.
If the Fund were treated as a corporation for federal income tax purposes,
income or loss of the Fund would not be passed through to Limited Partners, and
the Fund would be subject to tax on its income at the rate of tax applicable to
corporations. In addition, all or a portion of distributions (if any) of Fund
income would generally be taxable to Limited
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<PAGE> 15
Partners as corporate dividends, and Limited Partners' tax liability with
respect to such distributions would be in addition to the corporate tax paid by
the Fund on the same income.
(ii) Limited Partners' Tax Liability May Exceed Distributions.
Distributions to Limited Partners of the Fund's profits (if any) are at the
discretion of Campbell & Company. If the Fund generates taxable income for a
taxable year, that income will be taxable to the Partners whether or not any
cash has been distributed to the Partners.
(iii) Taxation of Interest Income Irrespective of Trading Losses. The Net
Asset Value of the Units reflects the trading profits and losses as well as the
interest income earned and expenses incurred by the Fund. However, losses on the
Fund's trading will be almost exclusively capital losses, and for non-corporate
Limited Partners, net capital losses are deductible against ordinary income only
to the extent of $3,000 per year. Consequently, if a non-corporate Limited
Partner had, for example, an allocable trading (e.g., capital) loss of $10,000
in a given fiscal year and allocable interest (after reduction for expenses) of
$5,000, the Limited Partner would have incurred a net loss in the Net Asset
Value of his Units equal to $5,000 but would recognize taxable income of $2,000.
(The non-deductible $7,000 of capital loss would carry forward and could be used
to offset gains and, subject to the $3,000 limitation, interest income in
subsequent years.)
(iv) Deductibility of Certain Expenses. Although Campbell & Company treats
the Brokerage Fees and performance fees paid to Campbell & Company as ordinary
and necessary business expenses, upon audit, the Fund may be required to treat
such fees as "investment advisory fees," which are subject to substantial
restrictions on deductibility for federal income tax purposes, and such
treatment may create or increase the liability of non-corporate Limited Partners
for the alternative minimum tax. In addition, it is possible that the IRS may
require the Fund to treat a portion of the Brokerage Fee as a non-deductible
syndication cost.
D. OTHER RISKS
(i) Fees and Commissions. The Fund is subject to substantial charges
payable irrespective of profitability in addition to performance fees which are
payable based on the Fund's profitability. Included in these charges are
Brokerage Fees and operating expenses. See "Charges to the Fund." On the Fund's
forward trading, "bid-ask" spreads are incorporated into the pricing of the
Fund's forward contracts by the counterparties in addition to the Brokerage Fees
paid by the Fund. It is not possible to quantify the "bid-ask" spread paid by
the Fund because the Fund cannot determine what, if any, profit its counterparty
is making on the forward trades into which it enters. These spreads may
represent a material execution cost to the Fund.
(ii) Failure of Brokerage Firms; Disciplinary History of Commodity Broker.
The Commodity Exchange Act requires a clearing broker to segregate all funds
received from such broker's customers from such broker's proprietary assets. If
the Commodity Broker were not, in fact, to do so to the full extent required by
law, the assets of the Fund might not be fully protected in the event of the
bankruptcy of the Commodity Broker. Furthermore, in the event of the Commodity
Broker's bankruptcy, the Fund could be limited to recovering only a pro rata
share of all available funds segregated on behalf of the Commodity Broker's
combined customer accounts, even though certain property specifically traceable
to the Fund (for example, Treasury bills deposited by the Fund with the
Commodity Broker as margin) was held by the Commodity Broker. Dealers in forward
contracts are not regulated by the Commodity Exchange Act and are not obligated
to segregate customer assets.
The Commodity Broker has been the subject of certain regulatory and private
causes of action. The material actions are set forth in "Commodity Broker."
(iii) Past Results Not Necessarily Indicative of Future Performance. There
has been regulatory concern in recent years over the potentially misleading
character of the performance records included in futures fund prospectuses. No
assurance can be given that the Fund will perform successfully in the future
inasmuch as past results are not necessarily indicative of future performance.
(iv) Conflicts of Interest. Campbell & Company has a conflict of interest
because it acts as the general partner and trading advisor. The fees payable to
Campbell & Company were established by it and not the subject of arm's length
negotiation. Since Campbell & Company acts as both trading advisor and general
partner, it is very unlikely that its advisory contract will be terminated by
the Fund. Other conflicts are also present. See "Conflicts of Interest."
(v) Reliance on Campbell & Company. Limited Partners are not entitled to
participate in the management of the Fund or the conduct of its business. Any
such participation may subject a Limited Partner to unlimited liability as a
general partner and may adversely affect the status of the Fund.
(vi) Possibility of Termination of the Fund Before Expiration of its Stated
Term. As general partner, Campbell & Company may withdraw from the Fund upon 120
days notice, which would cause the Fund to terminate unless a substitute general
partner were obtained. Certain other events could also cause the Fund to
terminate before the expiration of its stated term. See "Agreement of Limited
Partnership."
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<PAGE> 16
(vii) Statutory Regulation. If the registrations with the CFTC or
memberships in the National Futures Association of Campbell & Company or the
Commodity Broker were revoked or suspended, such entity would no longer be able
to provide services to the Fund. Although the Fund and Campbell & Company are
subject to regulation by the CFTC, the Fund is not regulated by the Investment
Company Act of 1940 and investors do not have the protection of that law.
(viii) Proposed Regulatory Change. The futures markets are subject to
comprehensive new statutes, regulations, and margin requirements. In addition,
the CFTC and the exchanges are authorized to take extraordinary actions in the
event of a market emergency, including, for example, the retroactive
implementation of speculative position limits or higher margin requirements, the
establishment of daily price limits and the suspension of trading. The
regulation of futures and forwards transactions in the United States is a
rapidly changing area of law and is subject to modification by government and
judicial action. The effect of any future regulatory change on the Fund is
impossible to predict, but could be substantial and adverse.
(ix) Options. Options on futures contracts may be used by the Fund to
generate premium income or capital gains. Futures options involve risks similar
to futures in that options are speculative and highly leveraged. The buyer of an
option risks losing the entire purchase price (the premium) of the option. The
writer (seller) of an option risks losing the difference between the premium
received for the option and the price of the commodity or futures contract
underlying the option which the writer must purchase or deliver upon exercise of
the option. Specific market movements of the commodities or futures contracts
underlying an option cannot accurately be predicted. The Fund does not currently
trade options, but may do so in the future.
(x) Swaps, Hybrids and Other Derivatives. In the future, the Fund may trade
swap agreements, hybrid instruments and other off-exchange contracts. Swap
agreements involve trading income streams such as fixed rate for floating rate
interest. Hybrids are instruments which combine features of a security with
those of a futures contract. The dealer market for off-exchange instruments is
becoming more liquid. There is no exchange or clearinghouse for these contracts
and they are not regulated by the CFTC. Investors will not receive the
protections which are provided by the CFTC's regulatory scheme.
(xi) Foreign Futures and Foreign Options. The risk of loss in trading
foreign futures contracts and foreign options can be substantial. Participation
in foreign futures contracts and foreign options transactions involves the
execution and clearing of trades on or subject to the rules of a foreign board
of trade. Neither the Commodity Futures Trading Commission, the National Futures
Association nor any domestic exchange regulates activities of any foreign boards
of trade, including the execution, delivery and clearing of transactions, or has
the power to compel enforcement of the rules of a foreign board of trade or any
applicable foreign laws. Generally, the foreign transaction will be governed by
applicable foreign law. This is true even if the exchange is formally linked to
a domestic market so that a position taken on the market may be liquidated by a
transaction on another market. Moreover, such laws or regulations will vary
depending on the foreign country in which the foreign futures or foreign options
transaction occurs. For these reasons, customers who trade foreign futures or
foreign options contracts may not be afforded certain of the protective measures
provided by the Commodity Exchange Act, the Commission's regulations and the
rules of the National Futures Association and any domestic exchange, including
the right to use reparations proceedings before the Commission and arbitration
proceedings provided by the National Futures Association or any domestic futures
exchange. In particular, funds received from customers for foreign futures or
foreign options transactions may not be provided the same protections as funds
received in respect of transactions on United States futures exchanges. The
price of any foreign futures or foreign options contract and, therefore, the
potential profit and loss thereon, may be affected by any variance in the
foreign exchange rate between the time the order is placed and the time it is
liquidated, offset or exercised.
(xii) Restrictions on Transferability. Limited Partners may transfer or
assign Units owned by them only upon 30 days' prior written notice to Campbell &
Company and if Campbell & Company is satisfied that the transfer complies with
applicable laws and would not result in the termination of the Fund for federal
income tax purposes. A transferee shall not become a substituted Limited Partner
without the written consent of Campbell & Company. See "Agreement of Limited
Partnership."
(xiii) Restrictions on Investment by ERISA Accounts. ERISA Account means a
pension, profit-sharing, stock bonus or other retirement plan qualified under
Section 401(a) of the Internal Revenue Code. When considering an investment in
the Fund of the assets of an ERISA Account, a fiduciary with respect to such
plan should consider among other things: (i) the definition of "plan assets"
under the Employee Retirement Income Security Act ("ERISA") and regulations
issued by the Department of Labor ("DOL") regarding the definition of plan
assets and the potential retroactive application of such plan asset regulations
issued by the DOL; (ii) whether the investment satisfies the diversification
requirements of Section 404(a)(1) of ERISA; (iii) whether the investment
satisfies the prudence requirements of Section 404(a)(1) of ERISA; and (iv) that
there may be no market in which such fiduciary can sell or otherwise dispose of
the Units. Moreover, profits allocable to an ERISA investor resulting from an
investment in the Fund may be subject to tax as unrelated business income,
particularly if the Fund is deemed to be a "publicly traded partnership". See
"Federal Income Tax Aspects" and "Investments by ERISA Accounts".
THE FOREGOING LIST OF RISK FACTORS DOES NOT PURPORT TO BE A COMPLETE
EXPLANATION OF
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<PAGE> 17
RISKS INVOLVED IN THIS OFFERING. PROSPECTIVE INVESTORS SHOULD READ THE ENTIRE
PROSPECTUS BEFORE DECIDING TO INVEST IN THE FUND.
SECTION 3. INVESTMENT FACTORS
Limited Partners are able to obtain certain advantages which might
otherwise be unavailable to them if they were to engage directly in futures
transactions. For those prepared to accept the risks, the Fund offers the
following advantages:
A. Professional Trading Management. Trading decisions are made for the Fund
by Campbell & Company, which is in the business of managing accounts and funds
which trade futures and forward contracts. If an investor were to open a managed
account to be traded by Campbell & Company, the minimum investment would be
substantially more than the minimum investment in the Fund.
B. Trading Diversification. Campbell & Company trades numerous financial
futures and forward contracts for the Fund. Such diversification in trading is
not possible for an individual investor in futures contracts unless a
substantially larger investment is made than the minimum required for investment
in the Fund.
C. Trading Systems Diversification. Campbell & Company has developed and
utilizes two principal independent trend-following trading systems. These
systems serve to diversify the possible risks from relying upon a single trading
system. Both systems are utilized for the benefit of the Fund. By contrast,
individual trading accounts are typically not of sufficient size to allow full
implementation of multiple trading systems. A third trading system is utilized
for the benefit of the Fund for certain markets which appear to respond well to
both trend-following and contra-trend following techniques.
D. Investment Diversification. An investor who is not prepared to spend
substantial time trading various futures and forward contracts may participate
in these markets through the Fund, thereby obtaining diversification from
stocks, bonds, real estate, and other traditional investments.
According to modern portfolio theory, diversification of a portfolio over
various non-correlated asset classes can increase overall return and reduce the
volatility (a primary measure of risk) of a portfolio. As a zero-sum risk
transfer activity, futures and forward trading has no inherent correlation with
any other investments. The Fund can provide diversification benefits only if it
is profitable and other sectors of the portfolio are under-performing. The Fund
may or may not be profitable when other sectors of the portfolio are
under-performing. If the Fund were to be highly correlated with other
investments in a Limited Partner's portfolio, the Fund would not provide
additional diversification to such portfolio. Historically, Campbell & Company's
portfolios have had a low correlation with traditional stock and bond
investments. However, no assurance can be given that a low correlation will
continue in the future, or that the Fund will be profitable. The Fund's
profitability depends on the success of the trading techniques. Of course, an
investment in the Fund may not necessarily have a positive rate of return, and
if unprofitable the Fund will not increase the return on an investor's portfolio
or achieve its diversification objectives.
E. Limited Liability. Unlike an individual who engages in futures and
forward trading for his own account, a Limited Partner in the Fund cannot be
subjected to margin calls, and his exposure is limited to the loss of the amount
of capital contribution and profits, if any (which includes undistributed
profits, and may include, in certain circumstances, distributed profits and
payments made in connection with redemption of Units), plus interest thereon.
See "Agreement of Limited Partnership."
F. Interest Income. The Fund receives all of the interest income earned on
its assets.
SECTION 4. CAMPBELL & COMPANY, INC.
A. Description. Campbell & Company, Inc. ("Campbell & Company") is the
general partner and trading advisor of the Fund. It is a Maryland corporation
organized in April 1978 as a successor to a partnership originally organized in
January, 1974. Its offices are located at 210 West Pennsylvania Avenue,
Baltimore, Maryland 21204, and its telephone number is (410) 296-3301. Its sole
business is the trading and management of discretionary futures accounts,
including commodity pools. As of November 30, 1996, Campbell & Company had
approximately $570 million under management in the futures and forwards markets
(including $480 million traded pursuant to the same Financial, Metal & Energy
Large Portfolio as primarily traded by the Fund).
Campbell & Company is a member of the National Futures Association and has
been registered as a Commodity Pool Operator since September 10, 1982 and as a
Commodity Trading Advisor since May 6, 1978. It was the sole pool operator and
general partner of The Capital Fund I for a period of time as well as co-pool
operator and co-general partner of other pools with Mr. D. Keith Campbell.
Campbell & Company's compensation is discussed in "Charges to the Fund." The
principals of Campbell & Company have not purchased and do not intend to
purchase Units of the Fund. Campbell & Company has agreed that its capital
account as general partner at all times will equal at least 1% of the net
aggregate capital contributions of all Partners. There has never been any
material administrative, civil or criminal proceedings brought against Campbell
& Company or its principals, whether pending, on appeal or concluded. Required
past performance
15
<PAGE> 18
information for Campbell & Company and Mr. D. Keith Campbell begins on page __.
Campbell & Company's principals are Richard M. Bell, D. Keith Campbell,
William C. Clarke III, Bruce L. Cleland, James M. Little, Theresa D. Livesey,
David M. Salmon, and C. Douglas York. The sole voting stockholder of Campbell &
Company is D. Keith Campbell.
Richard M. Bell, age 44, serves as Vice President of Trading. Mr. Bell
began his employment with Campbell in May, 1990. His duties include managing
daily trade execution of the assets under Campbell's management. From 1986
through 1990 Mr. Bell was the managing general partner of several partnerships
registered as broker-dealers involved in market making on the floor of the
Philadelphia Stock Exchange (PHLX) and Philadelphia Board of Trade (PBOT). From
1975 through 1986, Mr. Bell was a stockholder and Executive Vice President of
Tague Securities, Inc., a registered broker-dealer. Mr. Bell owns a seat on the
PHLX and a Philadelphia Currency Participation, which are leased out. Mr. Bell
graduated from Lehigh University with a B.S. in Finance.
D. Keith Campbell, age 54, has served as Chairman of the Board of Directors
of Campbell & Company and Chief Executive Officer since it began operations and
was President until January, 1994. Mr. Campbell is the sole voting stockholder.
From 1971 through June 1978, he was a registered representative of a futures
commission merchant. He has acted as a commodity trading advisor since January
1972 when, as general partner of Campbell Fund, a limited partnership engaged in
commodity futures trading, he assumed sole responsibility for trading decisions
made on behalf of Campbell Fund. Since that time he has applied various
technical trading systems to numerous discretionary commodity trading accounts
in which Campbell & Company has had discretionary trading authority. Mr.
Campbell is registered with the Commodity Futures Trading Commission and
National Futures Association as a commodity pool operator. He is an Associated
Person of Campbell & Company.
William C. Clarke III, age 45, joined Campbell & Company in June, 1977. He
is Executive Vice President and a Director of Campbell & Company. Mr. Clarke
holds a B.S. in Finance from Lehigh University where he graduated in 1973. Mr.
Clarke currently oversees all aspects of research which involves the development
of proprietary trading models and portfolio management methods. Mr. Clarke is an
Associated Person of Campbell & Company.
Bruce L. Cleland, age 49, joined Campbell & Company in January, 1993. Since
January, 1994, he has been President and Chief Operating Officer and a Director.
Prior to January, 1994, he was Executive Vice President. During the last five
years, Mr. Cleland has served in various principal roles with the following
firms; President, F&G Management, Inc., a commodity trading advisor; President,
Institutional Brokerage Corp., a floor broker; Principal, Institutional Advisory
Corp., a commodity trading advisor and commodity pool operator; Principal,
Hewlett Trading Corporation, a commodity pool operator; Principal of
Institutional Energy Corporation, an introducing broker. Prior to this Mr.
Cleland was employed by Rudolf Wolff Futures, Inc., a futures clearing merchant,
where he served as President until 1986. Mr. Cleland graduated in 1969 from
Victoria University in Wellington, New Zealand where he received a Bachelor of
Commerce and Administration degree. Mr. Cleland is an Associated Person of
Campbell & Company.
James M. Little, age 50, serves as Senior Vice President-Marketing and as a
Director of Campbell & Company. Mr. Little holds a B.S. in Economics and
Psychology from Purdue University. Mr. Little joined Campbell & Company in
April, 1990. Immediately prior to that, Mr. Little was a registered
representative of A.G. Edwards & Sons, Inc. For the three years prior to that he
was the Chief Executive Officer of James Little & Associates, Inc., a registered
commodity pool operator and registered broker-dealer. Mr. Little has extensive
experience in the futures industry having worked in the areas of hedging, floor
trading and managed futures. He is the co-author of The Handbook of Financial
Futures, and is a frequent contributor to investment publications. Mr. Little is
an Associated Person of Campbell & Company.
Theresa D. Livesey, age 33, serves as the Chief Financial Officer,
Treasurer, Secretary and a Director of Campbell & Company. Ms. Livesey joined
Campbell & Company in June, 1991. In addition to her role as CFO, Ms. Livesey
also oversees administration and compliance at Campbell & Company. From
December, 1987 to June, 1991 she was employed by Bank Maryland Corp, a publicly
held company. When she left she was Vice President and Chief Financial Officer.
Prior to that time, she worked with Ernst & Young. Ms. Livesey is a C.P.A. and
has a B.S. in Accounting from the University of Delaware.
David M. Salmon, age 55, is a Director of Campbell & Company. Since
January, 1976 Mr. Salmon has participated actively as a consultant in the
development and implementation of research and trading software at Campbell &
Company. During this time, Mr. Salmon has not been an employee of Campbell, but
has worked under a consulting contract with his own computer consulting firm,
David Salmon, Inc. Prior to his work with Campbell & Company, Mr. Salmon worked
in the field of systems development and optimization with Systems Control, Inc.
and Stanford Research Institute. Mr. Salmon holds a B.S.E.E. from the University
of Auckland, New Zealand, M.S.E.E. from Northeastern University and Ph.D. in
Electrical Engineering from the University of Illinois, Urbana.
C. Douglas York, 38, has been employed by Campbell & Company since
November, 1992. He is the Director of Foreign Exchange for Campbell & Company.
His duties include managing daily trade execution for foreign exchange
16
<PAGE> 19
markets and forward contracts on precious metals and energy markets. From
January 1991 to November 1992, Mr. York worked for Black & Decker as Global
Foreign Exchange Manager. He holds a B.A. in Government from Franklin and
Marshall College. Mr. York is an Associated Person of Campbell & Company.
B. The Advisory Agreement. The term of the Advisory Agreement between the
Fund and Campbell & Company is for successive one year periods subject to the
each party's right to terminate on 60 days' prior written notice. Inasmuch as
Campbell & Company is the trading advisor and the general partner, it is highly
unlikely that the Fund will terminate the Advisory Agreement.
C. Management's Discussion and Analysis of Financial Condition and Results
of Operations.
Introduction. The offering of the Fund's 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 $83,249,594 have been accepted during the
Continuing Offering Period as of December 1, 1996. Redemptions over the same
time period total $15,512,351. 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 to 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 eleven months ended November 30,
1996 was 36.48% and for the year ending December 31, 1995 was 9.99%. 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 as 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 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 credit risk that a
counterparty will not be able to meet its obligations to the Fund. The
counterparty for futures contracts traded in the United States and on most
foreign futures exchanges is the clearinghouse associated with such exchange. In
general, clearinghouses are backed by the corporate members of the clearinghouse
who are required to share any financial burden resulting from the
non-performance by one of their members and as such, should significantly reduce
this credit risk. In cases where the clearinghouse is not backed by the clearing
members (i.e. some foreign exchanges), it is normally backed by a consortium of
banks or other financial institutions. In the case of forward contracts, which
are traded on the interbank market rather than on exchanges, the counterparty is
generally a single bank or other financial institution, rather than a group of
financial institutions, thus there may be greater counterparty credit risk.
Campbell & Company trades for the Fund only with those counterparties which it
believes to be creditworthy. All positions of the Fund are valued each day on a
mark-to-market basis. There can be no assurance that any clearing member,
clearinghouse, or other counterparty, will be able to meet its obligations to
the Fund.
D. The Trading Systems. The Fund's trading decisions will be made by
Campbell & Company based on its computerized technical trading systems. These
systems are used in the analysis of market movements and internal market and
price configurations. Investors are cautioned that the elements of the trading
system to be employed are proprietary to
17
<PAGE> 20
Campbell & Company. Thus, it is impossible to determine whether Campbell &
Company is following the trading system. There can be no assurance that, even if
the trading system were followed, it would produce results similar to those in
the past.
Campbell & Company, Inc. offers six distinct trading portfolios: the
Financial, Metal & Energy Large Portfolio, the Financial, Metal & Energy Small
Portfolio, the Foreign Exchange Portfolio, the Global Diversified Portfolio, the
Interest Rates, Stock Indices and Commodities ("ISC") Portfolio, and the Ark
Portfolio. The Financial, Metal & Energy Large Portfolio is appropriate for
accounts greater than $10 million in size. Accounts in this Portfolio trade
certain contracts in the cash markets which do not have futures equivalents.
Additionally, the Financial, Metal & Energy Large Portfolio accounts trade
certain futures contracts which Campbell & Company does not believe are
appropriate for accounts smaller than $10 million. 75% of the Fund is traded
pursuant to the Financial, Metal & Energy Large Portfolio which trades financial
futures and foreign exchange forwards including precious metals, petroleum,
stock market indices, interest rate instruments and foreign currencies. The
remaining 25% of the Fund's assets is traded pursuant to the Global Diversified
Portfolio, which trades in a wide range of futures markets including but not
limited to, petroleum, coffee, sugar, precious metals, grains, fibers, meat and
livestock, stock market indices, interest rates and foreign currencies.
Currently, Campbell & Company allocates the Fund's assets as follows: 79% to
financial markets, 9% to metals, 7% to energy products, and 5% to agricultural
markets. The percentages will fluctuate as market conditions change. The Foreign
Exchange Portfolio includes only the currency markets traded by Campbell &
Company in either the forward market or the futures markets including outright
and cross-rate positions. The ISC Portfolio trades in all markets traded by the
Global Diversified Portfolio except for currencies. The Ark Portfolio is a
portfolio designed for smaller accounts with assets of less than $500,000
($150,000 minimum), which trades in financial markets.
PORTFOLIO COMPOSITION AS OF DECEMBER 1, 1996:
[CHART]
<TABLE>
<S> <C>
LONG INTEREST RATE 28%
SHORT INTEREST RATE 7%
CROSS RATES 19%
CURRENCIES 17%
STOCK INDICES 8%
AGRICULTURAL 5%
METALS 9%
ENERGY 7%
100%
</TABLE>
(Portfolio composition, including markets traded and percentage allocations
to each market, may change at any time, if Campbell & Company determines such
change to be in the best interest of the Fund).
Campbell & Company renders trading decisions for all its Portfolios largely
pursuant to two proprietary trading systems, both of which are utilized for the
Fund. Each of these systems combines computerized technical trend-following with
quantitative portfolio management analysis. These systems are used in the
analysis of market movements and internal market and price configurations. The
principal objective of the trading systems is to profit from major and sustained
futures price trends.
The differences between the two principal proprietary systems used by
Campbell & Company are primarily in their sensitivity to price action. One
system, for example, may assume positions relatively quickly and place
comparatively close stop-loss orders on market entry while the other system may
tend to assume positions less quickly and consolidate profits, where available,
more slowly than the first system. Furthermore, each system may vary as to the
time or price at which the transaction determined by it is signaled. For
example, one system may attempt a transaction at any time during the day that a
price objective is reached, and the other may attempt a transaction at the
opening of the market or at the close of trading on the same day. On occasion
one of the systems may trigger a long position signal in one delivery month
while the other system recommends a short position in another delivery month of
the same financial instrument. It is unlikely that both positions would prove
profitable, and in retrospect one or both trades will appear to have been
unnecessary. On occasion, the systems might temporarily recommend opposing
positions in the same delivery month of the same financial instrument, in which
case the recommendations would cancel each other out, and a neutral position
would be assumed. It is Campbell &
18
<PAGE> 21
Company's policy to follow trades signaled by each system independent of what
the other system may be recommending. Campbell & Company believes that
utilizing more than one trading system on the same account offers
diversification, and is most beneficial when numerous contracts of each
commodity are traded.
A third trading system is also used for certain markets which appear to
respond well to both trend-following and contra-trend following techniques.
While it follows a disciplined computerized approach to the markets, on
occasion it may, if Campbell & Company deems it advisable, override its system
signals. Computer signals may therefore be modified under certain market
conditions. Such modifications may, or may not, prove beneficial to the results
achieved.
Campbell & Company also employs a quantitative portfolio management
strategy the purpose of which is to assess and manage overall portfolio risk.
This component of the overall Campbell & Company approach includes several
elements, including portfolio balance, capital allocation, and risk limitation.
One objective of portfolio management is to determine periods of high and low
portfolio risk. When, in the opinion of Campbell & Company, such points are
reached, positions may be reduced or increased so that portfolio risk is
decreased or increased, respectively. It is possible, however, that during
periods of reduction the markets may continue to produce profits before the
portfolio cash can be redeployed in market positions. The return that would
otherwise have been realized, had the account been more fully invested, would
thereby be reduced. Campbell & Company may, from time to time, increase or
decrease the number of contracts held based on increases or decreases in the
Fund's assets allocated to its management, changes in internal market
conditions, perceived changes in portfolio-wide risk factors, or other factors
which Campbell & Company deems relevant.
Campbell & Company utilizes a proprietary "value-weighted/volatility-time"
model for the purpose of allocating capital to a portfolio's constituent
markets. This model seeks to achieve theoretically equal weighting for the
individual markets and groups that make up a portfolio. An average of between 1%
and 3% of portfolio assets are allocated to any given market position based on
this risk assessment. Long and short positions receive equal weight. Stops are
placed, monitored and adjusted according to the trading model, the purpose being
to minimize losses while maximizing gains. During periods of loss, trading
likely will continue to be based on the pre-loss asset level of the portfolio.
Campbell & Company may, in the future, develop additional trading systems
and modifications of systems currently in use and, in all likelihood, will
employ such systems for the Fund. The systems currently in use by Campbell &
Company may be modified or even eliminated from use if, in Campbell & Company's
opinion, such action is warranted.
Campbell & Company endeavors to achieve a balance in market commitments,
based primarily upon number of contracts, contract value, margin requirements,
total available capital and market volatility for each future. From time to time
there may be a wide variance in the positions held, based on any of the
aforementioned factors. Campbell & Company estimates that based on the margin
required to maintain a position, normal commitments to each commodity or
financial instrument range between 1% and 3% of the Fund's Net Assets.
In some instances, due to the lack of volume in a particular future, the
Fund's position will be limited to the number of contracts that Campbell &
Company believes can be bought or sold without undue adverse price action at the
time of execution. Thus, in certain cases, the Fund's portfolio would be
influenced by liquidity factors to the extent that its positions in such
commodities might be substantially smaller than its positions in other
commodities which appear to offer greater liquidity.
Campbell & Company monitors the Fund's level of trading commitments as a
whole, and in each commodity or financial instrument, with regard to the margins
required, market volatility, the likelihood of trends, and other factors as from
time to time Campbell & Company deems appropriate. Campbell & Company believes
that risk control is a highly important factor in successful portfolio
management and that balancing the level of margin committed to each commodity
tends to lower risk. However, the Fund may in some instances hold the same or a
larger number of contracts in more volatile commodities than in less volatile
commodities. While this does not create a completely balanced portfolio, it is
Campbell & Company's belief that more volatile commodities tend, over time, to
be more profitable because of a greater likelihood of substantial price trends.
Therefore, the Fund's portfolio may not necessarily be balanced among all
commodities with respect to either margin requirements or volatility.
Campbell & Company issues its orders to the various brokerage firms through
which it executes trades from time to time during the day. Executions for the
Fund's account and Campbell & Company's other accounts may be made during the
day on a "stop" basis where an order becomes a market order when the specified
stop price is reached; "at the market" where the order is executed as soon as
possible after being received on the floor of the exchange; on a "limit" basis
where an order is placed to buy or sell at a specified price or better than the
specified price; and on a "closing price" basis which is a contingent order
based on the closing range of the market close. Order placement varies in
accordance with the system being used, the type of market encountered, and the
type of order that can be used on the exchange where a particular future is
traded. In the case of the Fund, it is the responsibility of the Commodity
Broker to obtain execution of such orders.
19
<PAGE> 22
SECTION 5. PAST PERFORMANCE OF CAMPBELL & COMPANY, INC.
The tables set forth below reflect the actual performance through November,
1996 of the Fund, and estimates through November, 1996 for the Portfolios traded
by the Fund, and other pools and accounts of Campbell & Company. Table 1
presents the actual performance of the Fund from inception on April 18, 1994
through November 30, 1996. For a pro forma presentation of actual performance
results of the Financial, Metal & Energy Large Portfolio adjusted for the
various fees charged the Fund, for the period January 1989 through March 1994,
see Appendix I. Table 2 presents the performance data required to be disclosed
for the most recent five calendar years and year-to-date 1996 for both
Portfolios currently utilized by the Fund, the Financial Metal & Energy Large
Portfolio and the Global Diversified Portfolio. Tables 3 & 4 provide "capsule"
information on each of the other portfolios and pools, respectively, operated by
Campbell & Company and D. Keith Campbell for the past five years and
year-to-date 1996. In Tables 5 through 7, supplementary information is presented
which provides performance information since the inception of trading for both
of the Portfolios traded by the Fund as well as the composite performance of all
accounts ever advised by Campbell & Company.
Specific accounts in the tables may have had more or less favorable results
than the composite information indicates due to a variety of factors, including
varying account sizes, fees, commission rates, intra-day differences in timing
of trade execution, and starting and ending periods of the accounts. For
example, larger accounts might have positions of six contracts of one commodity
and could be traded under both systems, whereas small accounts may be able to
trade in only one contract of each commodity and in some instances may not have
enough capital to trade in all commodities monitored by Campbell & Company's
method.
During the periods covered by the tables, most futures being monitored by
Campbell & Company's programs at times incurred substantial price trends in both
upward and downward directions. No assurances can be made that similar trends
will occur in the future. Also, because of the potentially volatile nature of
commodities prices, it is possible that the performance of some or all of the
accounts and pools advised by Campbell & Company may change significantly during
the Continuing Offering Period from the performance information which is
presented herein.
The results set forth below are not indicative of any results which may be
obtained by Campbell & Company in the future, and it should not be assumed that
Limited Partners of the Fund will experience returns, if any, comparable to
those experienced by investors in other pools and accounts managed by Campbell &
Company.
WITH REGARD TO THE COMPOSITE PERFORMANCE TABLES FOR CAMPBELL & COMPANY, THE
NOTES ACCOMPANYING THE TABLES SHOULD BE READ AS INTEGRAL TO THE APPLICABLE
TABLES.
THE FUND WILL NOT EXPERIENCE IN THE FUTURE THE RESULTS SHOWN IN THE
COMPOSITE TABLES BECAUSE OF DIFFERENCES IN BROKERAGE FEES, ADVISORY AND
PERFORMANCE FEES AND TREATMENT OF INTEREST INCOME BETWEEN THE FUND AND ACCOUNTS
INCLUDED IN SUCH TABLES. THE SIZE OF THE FUND'S ASSETS ALSO MAY AFFECT
PARTICULAR TRADING DECISIONS, SUCH AS THE RELATIVE SIZE OF POSITIONS TAKEN,
DEGREE OF DIVERSIFICATION AND PARTICULAR COMMODITIES TRADED AND MAY AFFECT
GENERALLY THE DESIGN AND EXECUTION OF CAMPBELL & COMPANY'S TRADING METHODS. IN
ANY EVENT, PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
20
<PAGE> 23
INDEX TO PERFORMANCE RECORDS
<TABLE>
<CAPTION>
REQUIRED DISCLOSURES: PAGE
<S> <C> <C> <C>
Table 1: Campbell Strategic Allocation Fund, L.P. (April 1994 (Inception) - November, 1996)............ 20
Table 2: Performance of Trading Portfolios Utilized by the Fund (January 1991 - November, 1996)........ 21
Table 3: Performance of Other Portfolios Traded by Campbell & Company (January 1991 -
November, 1996)......................................................................... 22
Table 4: Performance of Pools Operated by Campbell & Company
and D. Keith Campbell (January 1991 - November, 1996)............................... 23
Notes to Tables ......................................................................................... 23
SUPPLEMENTARY DISCLOSURES:
Table 5: Financial, Metal & Energy Large Portfolio (April, 1983 (Inception) - November, 1996).......... 24
Table 6: Global Diversified Portfolio (February, 1986 - November, 1996)................................ 26
Table 7. Composite of All Accounts Traded by Campbell & Company
(January 1972 - November, 1996)..................................................... 28
Notes to Supplementary Tables ................................................................................. 30
</TABLE>
21
<PAGE> 24
TABLE 1
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
TYPE OF POOL: Publicly offered
INCEPTION OF TRADING: April 18, 1994
AGGREGATE GROSS CAPITAL SUBSCRIPTIONS TO THE POOL: $692,942,033
CURRENT NET ASSET VALUE OF THE FUND: $101,163,842
WORST MONTHLY PERCENTAGE DRAW-DOWN*: November, 1994 / 6.67%
WORST PEAK-TO-VALLEY DRAW-DOWN*: June, 1994 - January, 1995 / 17.99%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
-----------------------------------------
Rate of Return (1)
(Computed on a compounded
monthly basis)
-----------------------------------------
1996
MONTH YEAR-TO-DATE 1995 1994
---------------------------------------------------
<S> <C> <C> <C>
January 5.79% -4.67%
February -5.97% 4.21%
March 4.72% 8.77%
April 3.59% 1.13% 0.16%
May -2.18% -0.84% -2.42%
June 0.75% -1.77% 5.15%
July -0.78% -3.82% -3.94%
August 1.84% 5.47% -3.89%
September 1.77% -3.93% 5.20%
October 12.44% 0.79% -0.14%
November 11.00% -0.15% -6.67%
December 5.35% -4.98%
Total 36.48% 9.99% -11.62%
</TABLE>
22
<PAGE> 25
TABLE 2
PERFORMANCE OF TRADING PORTFOLIOS
The Financial, Metal & Energy Large Portfolio is currently traded by
75% of the Fund's assets. The other 25% is traded according to the Global
Diversified Portfolio. 80% of the Global Diversified Portfolio trades the same
markets as the Financial, Metal & Energy Large Portfolio, with the other 20%
trading agricultural markets. Thus, 5% of the Fund's assets (25% of 20%) is
traded in agricultural markets while the remaining 95% is traded in financial,
metal, and energy markets.
During the period specified below, the Financial, Metal & Energy Large
Portfolio had 254 accounts closed, 75 with profits and 179 with losses. The
accounts within the portfolio incurred management fees ranging from 0% to 6% per
annum, performance fees ranging from 15% to 25% of trading profits, commissions
ranging from $10 per round turn per contract to $60 per round turn per contract
(with an average of $18 per round turn), and other expenses ranging from 0 to 4%
per annum of net asset value. The Global Diversified Portfolio had 9 accounts
close during the same time period, 7 with profits and 2 with losses. The
accounts within the portfolio incurred management fees ranging from 2% to 6% per
annum, performance fees ranging from 15% to 20% of trading profits, commissions
ranging from $10 per round turn per contract to $60 per round turn per contract
(with an average of $23 per round turn), and other expenses ranging from 0 to 4%
per annum of net asset value.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
FINANCIAL, METAL & GLOBAL DIVERSIFIED PORTFOLIO
ENERGY LARGE PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Commodity Trading Advisor: Campbell & Company, Inc. Campbell & Company, Inc.
- -------------------------------------------------------------------------------------------------------------------
Inception of CTA's Trading: January, 1972 January, 1972
Total Assets Under Management by $574.3 million (Nominal Funds) $574.3 million (Nominal Funds)
CTA: $567.4 million (Actual Funds) $567.4 million (Actual Funds)
- -------------------------------------------------------------------------------------------------------------------
Inception of Trading of the Portfolio: April, 1983 February, 1986
- -------------------------------------------------------------------------------------------------------------------
Total Assets/Accounts Currently
Traded in the Portfolio: $478.0 Million / 4 Accounts $31.3 Million / 11 Accounts
- -------------------------------------------------------------------------------------------------------------------
Worst Monthly Percentage Draw-down*: July, 1991 / 7.96% July, 1991 / 8.54%
Worst Peak-to-Valley Draw-down*: July 1993 - January 1995 / 31.72% July 1993 - February 1994 / 26.05%
- -------------------------------------------------------------------------------------------------------------------
Annual Returns(1):
- -------------------------------------------------------------------------------------------------------------------
1996 YTD (through November) 42.03% 31.27%
- -------------------------------------------------------------------------------------------------------------------
1995 19.46% 6.52%
- -------------------------------------------------------------------------------------------------------------------
1994 -16.73% 9.61%
- -------------------------------------------------------------------------------------------------------------------
1993 4.68% 2.39%
- -------------------------------------------------------------------------------------------------------------------
1992 13.47% 7.68%
- -------------------------------------------------------------------------------------------------------------------
1991 31.12% 14.86%
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
*"Draw-down" means losses experienced by the Fund or portfolio over a specified
period.
23
<PAGE> 26
TABLE 3
PERFORMANCE OF OTHER PORTFOLIOS TRADED BY CAMPBELL & COMPANY, INC.
In addition to the two portfolios utilized by the Fund, Campbell &
Company also currently manages assets in the Financial, Metal & Energy Small
Portfolio, the Foreign Exchange Portfolio, and the Interest Rates, Stock
Indices, & Commodities Portfolio. Currently, only proprietary assets are traded
in the Ark Portfolio. Campbell & Company's Diversified Portfolio closed in
January, 1995 when all assets under management in the Portfolio were merged into
the Global Diversified Portfolio. The Global Financial Portfolio ceased trading
in March 1995 when the last account under management in the Portfolio closed.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
FINANCIAL, FOREIGN INTEREST ARK DIVERSIFIED GLOBAL
METAL & ENERGY EXCHANGE RATES, STOCK PORTFOLIO PORTFOLIO FINANCIAL
SMALL PORTFOLIO PORTFOLIO INDICES & PORTFOLIO
COMMODITIES
("ISC")
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Commodity Trading Advisor: Campbell & Company, Inc.
- -----------------------------------------------------------------------------------------------------------------------------------
Inception of CTA's Trading: January, 1972
- -----------------------------------------------------------------------------------------------------------------------------------
Total Assets Under $574.3 million (Nominal Funds); $567.4 million (Actual Funds)
Management by CTA:
- -----------------------------------------------------------------------------------------------------------------------------------
Inception of Trading of the November, February, 1996 October, 1996 January, 1972 December,
Portfolio: February, 1995 1990 1993
- -----------------------------------------------------------------------------------------------------------------------------------
Total Assets/Accounts $48.3 Million $3.6 Million $12.5 Million $0.6 $0 $0
Currently 45 Accounts 1 Account 1 Account 2 Accounts (closed 2/95) (closed 3/95)
Traded in the Portfolio:
- -----------------------------------------------------------------------------------------------------------------------------------
Worst Monthly Percentage Sept. 1995 July, 1991 February, 1996 None to Date July, 1991 February, 1994
Draw-down*: 5.78% 17.01% 5.56% 11.50% 5.24%
- -----------------------------------------------------------------------------------------------------------------------------------
Worst Peak-to-Valley April 1995 - July 1993 - February, 1996 None to Date July, 1993- December,
Draw-down*: July 1995 6.50% January, 1995 5.56% February, 1994 1993-
44.73% 32.10% January, 1995
19.20%
- -----------------------------------------------------------------------------------------------------------------------------------
Accounts closed: 55 19 0 0 23 1
Accounts closed with profit 15 6 19 0
Accounts closed with loss 40 13 4 1
- -----------------------------------------------------------------------------------------------------------------------------------
Range of annual management 2% to 6% 0% to 6% 2% 4% 2% to 6% 0.5%
fees:
- -----------------------------------------------------------------------------------------------------------------------------------
Range of incentive fees: 15% to 25% 15% to 20% 15% 20% 10% to 20% 20%
- -----------------------------------------------------------------------------------------------------------------------------------
Range of commissions: $10/RT to $0/RT to $10/RT to $7/RT to $10/RT to $10/RT to
$60/RT $60/RT $15/RT $45/RT $60/RT $12/RT
($37/RT avg.) ($19/RT avg.) ($30/RT avg.)
- -----------------------------------------------------------------------------------------------------------------------------------
Range of other expenses: 0% to 4% 0% to 2% 1.5% 0% 0% to 4% 2%
Annual Returns(1):
- -----------------------------------------------------------------------------------------------------------------------------------
1996 YTD (through Nov.) 44.24% 34.45% 34.80% 21.48% - -
- -----------------------------------------------------------------------------------------------------------------------------------
1995 20.34% 26.36% -4.21% 9.30%
- -----------------------------------------------------------------------------------------------------------------------------------
1994 -21.19% 8.52% -13.16%
- -----------------------------------------------------------------------------------------------------------------------------------
1993 -8.49% -5.79 -2.64%
- -----------------------------------------------------------------------------------------------------------------------------------
1992 17.67% -1.80%
- -----------------------------------------------------------------------------------------------------------------------------------
1991 21.23% -0.08%
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*"Draw-down" means losses experienced by the Fund or portfolio over a specified
period.
24
<PAGE> 27
TABLE 4
PERFORMANCE OF POOLS OPERATED BY CAMPBELL & COMPANY, INC. AND D. KEITH CAMPBELL
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
CAMPBELL CAMPBELL CAMPBELL INSTITUTIONAL THE ADVANTAGE THE
STRATEGIC FINANCIAL TRUST FUTURES FUTURES FUND, CAPITAL
NAME OF POOL ALLOCATION FUTURES FUND FUND A LIMITED FUND II, A
FUND, L.P. L. P. LIMITED PARTNERSHIP LIMITED
PARTNERSHIP PARTNERSHIP
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Type of Pool 1 2 2 2 1 1,3
- ----------------------------------------------------------------------------------------------------------------------
Inception of Trading Apr 1994 Aug 1992 Mar 1972 Feb 1986 Dec 1983 Dec 1983
- ----------------------------------------------------------------------------------------------------------------------
Aggregate Subscription ($ x 1,000) 92,942 12,938 2,579 14,829 4,275 9,457
- ----------------------------------------------------------------------------------------------------------------------
Current Total NAV($ x 1,000)
101,164 6,004 1,440 16,027 1,079 1,772
- ----------------------------------------------------------------------------------------------------------------------
Worst Monthly % Drawdown 6.67% 7.68% 11.72% 9.07% 11.42% 8.36%
11/94 2/94 7/91 7/91 2/94 7/91
- ----------------------------------------------------------------------------------------------------------------------
Worst Peak-to-Valley Drawdown 17.99% 29.42% 29.59% 25.46% 33.13% 26.10%
6/94-1/95 7/93-1/95 7/93-2/94 7/93-2/94 7/93-2/94 7/93-4/94
- ----------------------------------------------------------------------------------------------------------------------
Trading Portfolio Used FME Large/ FME Small Global Div. Foreign Ex./ Global Div. Global Div.
Global Div. ISC
- ----------------------------------------------------------------------------------------------------------------------
Rates of Return(1) (computed on a compounded monthly basis)
- ----------------------------------------------------------------------------------------------------------------------
1996 (YTD through November) 36.48% 47.60% 38.31% 37.41% 32.42% 24.67%
- ----------------------------------------------------------------------------------------------------------------------
1995 9.99% 17.12% 4.83% 7.11% 3.23% 5.45%
- ----------------------------------------------------------------------------------------------------------------------
1994 -11.62% -15.84% 11.05% 9.49% 9.48% -1.92%
- ----------------------------------------------------------------------------------------------------------------------
1993 5.29% -1.84% 2.94% -6.53% -7.59%
- ----------------------------------------------------------------------------------------------------------------------
1992 -0.56% -0.36% 8.56% -4.36% -3.29%
- ----------------------------------------------------------------------------------------------------------------------
1991 6.55% 15.10% 4.99% 5.63%
- ----------------------------------------------------------------------------------------------------------------------
Key to Type Of Pool 1- publicly offered pool 2- privately offered pool 3- multi-advisor pool
</TABLE>
*"Draw-down" means losses experienced by the Fund or portfolio over a specified
period.
NOTES TO TABLES
1. The "RATE OF RETURN" for a period is calculated by dividing the net profit or
loss by the assets at the beginning of such period. Additions and withdrawals
occurring during the period are included as an addition to or deduction from
beginning net assets in the calculations of "Rates of Return ", except for
accounts which close on the last day of a period in which case the withdrawal is
not subtracted from beginning net assets for purposes of this calculation. "Rate
of Return" is calculated using the Only Accounts Traded (OAT) method of
computation. This computation method is one of the methods approved by the CFTC
to reduce the distortion caused by significant additions or withdrawals of
capital during a month. The OAT method excludes from the calculation of rate of
return those accounts which had material intra-month additions or withdrawals
and accounts which were open for only part of the month. In this way, the
composite rate of return is based on only those accounts whose rate of return is
not distorted through intra-month capital changes.
25
<PAGE> 28
SUPPLEMENTARY PERFORMANCE INFORMATION
TABLE 5
FINANCIAL, METAL & ENERGY LARGE PORTFOLIO (3)
WORST MONTHLY PERCENTAGE DRAW-DOWN*: June, 1986/17.68%
WORST PEAK-TO-VALLEY DRAW-DOWN*: March - November, 1986 / 41.94%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
GROWTH OF A $1,000 Investment
April 1983 - November 1996
[GRAPH]
<TABLE>
<CAPTION>
- ------------------------------------------
S&P Lehman FME
Month VAMI VAMI VAMI
- ----- ---- ------ ----
<S> <C> <C> <C>
$1,000.00 $1,000.00 $1,000.00
Apr-83 $1,000.00 1,021.70 $ 996.00
May-83 $1,000.00 $1,011.79 $ 997.79
Jun-83 1,111.00 $1,014.52 $ 960.77
Jul-83 1,111.00 $ 998.69 $ 992.19
Aug-83 1,111.00 $1,004.49 $ 977.61
Sep-83 1,109.56 $1,032.91 $ 985.72
Oct-83 1,109.56 $1,036.43 $ 944.52
Nov-83 1,109.56 $1,047.72 $ 926.29
Dec-83 1,113.99 $1,050.45 $ 896.55
Jan-84 1,113.99 $1,068.09 $ 907.94
Feb-84 1,113.99 $1,064.25 $ 927.19
Mar-84 1,087.26 $1,056.59 $ 949.81
Apr-84 1,087.26 $1,057.12 $ 950.67
May-84 1,087.26 $1,033.33 $1,043.64
Jun-84 1,059.42 $1,044.18 $ 986.24
Jul-84 1,059.42 $1,083.75 $1,053.90
Aug-84 1,059.42 $1,099.90 $1,039.78
Sep-84 1,162.08 $1,122.23 $1,126.29
Oct-84 1,162.08 $1,165.10 $1,157.71
Nov-84 1,162.08 $1,185.26 $1,121.59
Dec-84 1,183.93 $1,202.68 $1,138.30
Jan-85 1,183.93 $1,226.25 $1,179.62
Feb-85 1,183.93 $1,205.28 $1,316.34
Mar-85 1,292.97 $1,228.18 $1,326.08
Apr-85 1,292.97 $1,252.62 $1,405.25
May-85 1,292.97 $1,323.87 $1,414.75
Jul-85 1,388.00 $1,320.03 $1,492.28
Aug-85 1,388.00 $1,341.54 $1,438.11
Sep-85 1,331.09 $1,350.26 $1,275.75
Oct-85 1,331.09 $1,375.65 $1,326.14
Nov-85 1,331.09 $1,405.78 $1,464.72
Dec-85 1,560.18 $1,448.37 $1,514.52
Jan-86 1,560.18 $1,456.19 $1,419.41
Feb-86 1,560.18 $1,514.59 $1,672.63
Mar-86 1,780.32 $1,573.81 $1,781.02
Apr-86 1,780.32 $1,580.42 $1,640.85
May-86 1,780.32 $1,544.38 $1,723.06
Jun-86 1,885.18 $1,594.57 $1,418.42
Jul-86 1,885.18 $1,606.06 $1,492.32
Aug-86 1,885.18 $1,651.51 $1,605.89
Sep-86 1,753.78 $1,625.74 $1,329.35
Oct-86 1,753.78 $1,648.18 $1,173.29
Nov-86 1,753.78 $1,667.13 $1,034.37
Dec-86 1,851.47 $1,670.13 $1,053.40
Jan-87 2,100.86 $1,688.34 $1,408.50
Feb-87 2,183.84 $1,699.82 $1,454.00
Mar-87 2,246.96 $1,689.79 $1,650.43
Apr-87 2,226.96 $1,648.22 $1,904.44
May-87 2,246.33 $1,641.13 $1,825.02
Jun-87 2,359.77 $1,660.33 $1,766.44
Jul-87 2,479.41 $1,656.85 $1,939.55
Aug-87 2,571.89 $1,647.57 $1,917.83
Sep-87 2,515.57 $1,615.61 $1,969.80
Oct-87 1,973.72 $1,678.45 $1,704.86
Nov-87 1,811.08 $1,686.68 $1,695.83
Dec-87 1,948.91 $1,706.75 $1,731.61
Jan-88 2,030.95 $1,762.56 $1,730.22
Feb-88 2,125.60 $1,781.42 $1,771.57
Mar-88 2,059.92 $1,763.07 $1,738.27
Apr-88 2,082.78 $1,753.73 $1,649.27
May-88 2,100.90 $1,741.28 $1,676.15
Jun-88 2,197.33 $1,779.76 $1,815.11
Jul-88 2,188.98 $1,767.66 $1,802.76
Aug-88 2,114.56 $1,771.19 $1,798.80
Sep-88 2,204.64 $1,809.80 $1,885.14
Oct-88 2,265.93 $1,841.66 $1,884.01
Nov-88 2,233.52 $1,819.92 $1,877.41
Dec-88 2,272.61 $1,826.84 $1,869.53
Jan-89 2,438.97 $1,850.04 $2,017.22
Feb-89 2,355.55 $1,835.06 $1,977.08
Mar-89 2,410.44 $1,846.25 $2,189.42
Apr-89 2,535.54 $1,885.76 $2,231.89
May-89 2,638.23 $1,930.26 $2,538.11
Jun-89 2,623.19 $1,994.73 $2,585.82
Jul-89 2,860.06 $2,036.82 $2,600.05
Aug-89 2,916.12 $2,002.60 $2,578.99
Sep-89 2,904.17 $2,011.21 $2,468.86
Oct-89 2,836.79 $2,063.31 $2,299.01
Nov-89 2,894.66 $2,083.32 $2,355.56
Dec-89 2,964.13 $2,086.86 $2,658.96
Jan-90 2,765.24 $2,057.44 $2,738.73
Feb-90 2,800.91 $2,061.55 $2,754.88
Mar-90 2,875.13 $2,061.14 $2,847.72
Apr-90 2,803.26 $2,043.00 $2,979.29
May-90 3,076.57 $2,100.00 $2,636.67
Jun-90 3,055.65 $2,133.18 $2,855.25
Jul-90 3,045.87 $2,160.49 $3,141.92
Aug-90 2,770.53 $2,130.45 $3,528.37
Sep-90 2,635.60 $2,150.91 $3,619.76
Oct-90 2,624.27 $2,185.97 $3,665.01
Nov-90 2,793.80 $2,234.50 $3,615.53
Dec-90 2,871.74 $2,269.13 $3,596.00
Jan-91 2,996.95 $2,293.41 $3,312.28
Feb-91 3,211.23 $2,306.48 $3,259.61
Mar-91 3,288.95 $2,318.24 $3,924.90
Apr-91 3,296.84 $2,343.75 $3,851.51
May-91 3,438.93 $2,352.89 $3,959.73
Jun-91 3,281.43 $2,349.59 $4,018.73
Jul-91 3,434.34 $2,377.55 $3,698.84
Aug-91 3,515.74 $2,432.71 $3,839.03
Sep-91 3,457.03 $2,483.80 $4,072.06
Oct-91 3,503.35 $2,505.66 $4,097.71
Nov-91 3,362.16 $2,530.71 $4,014.53
Dec-91 3,746.80 $2,617.01 $4,715.06
Jan-92 3,677.11 $2,576.18 $4,453.85
Feb-92 3,724.91 $2,586.23 $4,294.40
Mar-92 3,652.27 $2,571.23 $4,339.49
Apr-92 3,759.65 $2,587.43 $4,218.85
May-92 3,778.07 $2,635.30 $4,266.95
Jun-92 3,721.78 $2,672.98 $4,721.81
Jul-92 3,874.00 $2,740.34 $5,212.87
Aug-92 3,794.58 $2,765.83 $5,473.00
Sep-92 3,749.81 $2,804.82 $5,354.23
Oct-92 3,762.93 $2,764.44 $5,104.19
Nov-92 3,891.25 $2,759.74 $5,423.71
Dec-92 3,945.72 $2,806.10 $5,349.95
Jan-93 3,973.34 $2,865.87 $5,311.96
Feb-93 4,035.33 $2,923.19 $6,041.83
Mar-93 4,120.47 $2,932.83 $5,692.01
Apr-93 4,020.76 $2,955.42 $5,862.20
May-93 4,128.51 $2,952.17 $6,026.92
Jun-93 4,140.49 $3,017.70 $6,180.61
Jul-93 4,123.84 $3,036.11 $6,523.64
Aug-93 4,280.30 $3,103.82 $6,241.16
Sep-93 4,247.47 $3,115.61 $5,939.71
Oct-93 4,335.35 $3,127.45 $5,572.05
Nov-93 4,294.04 $3,093.05 $5,604.92
Dec-93 4,345.95 $3,105.11 $5,600.44
Jan-94 4,493.71 $3,179.32 $5,338.90
Feb-94 4,371.71 $3,048.97 $4,975.32
Mar-94 4,181.10 $2,914.82 $5,323.59
Apr-94 4,234.70 $2,880.13 $5,229.36
May-94 4,304.20 $2,860.26 $5,083.99
Jun-94 4,198.74 $2,832.23 $5,350.89
Jul-94 4,336.46 $2,929.09 $5,117.60
Aug-94 4,514.26 $2,906.53 $4,923.64
Sep-94 4,403.66 $2,814.69 $5,264.35
Oct-94 4,502.74 $2,804.27 $5,283.31
Nov-94 4,338.84 $2,821.94 $4,912.42
Dec-94 4,403.05 $2,865.12 $4,663.36
Jan-95 4,517.23 $2,919.98 $4,455.84
Feb-95 4,693.26 $2,987.73 $4,716.51
Mar-95 4,831.76 $3,006.55 $5,168.35
Apr-95 4,974.06 $3,050.45 $5,275.85
May-95 5,172.87 $3,173.38 $5,322.28
Jun-95 5,293.03 $3,197.81 $5,274.38
Jul-95 5,468.55 $3,185.98 $5,060.76
Aug-95 5,482.28 $3,223.26 $5,355.81
Sep-95 5,713.63 $3,254.20 $5,169.96
Oct-95 5,734.03 $3,303.66 $5,232.00
Nov-95 5,985.75 $3,355.20 $5,219.44
Dec-95 6,101.04 $3,402.85 $5,575.41
Jan-96 6,308.47 $3,423.60 $5,879.83
Feb-96 6,365.25 $3,258.24 $5,548.79
Mar-96 6,426.54 $3,231.20 $5,860.63
Apr-96 6,521.01 $3,210.52 $6,065.17
May-96 6,689.19 $3,205.06 $5,962.06
Jun-96 6,714.68 $3,246.41 $6,033.61
Jul-96 6,417.89 $3,254.52 $6,034.21
Aug-96 6,553.31 $3,228.81 $6,141.62
Sep-96 6,922.26 $3,282.41 $6,293.32
Oct-96 7,113.31 $3,354.62 $7,052.29
Nov-96 7,651.08 $3,450.23 $7,912.67
</TABLE>
*"Draw-down" means losses experienced by the fund or portfolio over a specified
period.
See the notes on page __, which are an integral part of the performance
presentation.
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------
Rate of Return (1)
(Computed on a compounded monthly basis)
----------------------------------------------------------------------------------------------------------------------
1996 YTD 1995 1994 1993 1992
----------------------------------------------------------------------------------------------------------------------
Month Return VAMI (2) Return VAMI (2) Return VAMI (2) Return VAMI (2) Return VAMI (2)
- ----- ------ -------- ------ -------- ------ -------- ------ -------- ------ -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
January 5.46% $5,875 -4.53% $ 4,452 -4.67% $5,339 -0.71% $5,312 -5.54% $4,454
February -5.63% 5,544 5.85% 4,713 -6.81% 4,975 13.74% 6,042 -3.58% 4,294
March 5.62% 5,856 9.58% 5,164 7.00% 5,324 -5.79% 5,692 1.05% 4,339
April 3.49% 6,060 2.08% 5,271 -1.77% 5,229 2.99% 5,862 -2.78% 4,219
May -1.71% 5,956 0.88% 5,318 -2.78% 5,084 2.81% 6,027 1.14% 4,267
June 1.29% 6,033 -0.90% 5,270 5.25% 5,351 2.55% 6,181 10.66% 4,722
July 0.01% 6,034 -4.05% 5,057 -4.36% 5,118 5.55% 6,524 10.40% 5,213
August 1.78% 6,141 5.83% 5,351 -3.79% 4,924 -4.33% 6,241 4.99% 5,473
September 2.47% 6,293 -3.47% 5,166 6.92% 5,264 -4.83% 5,940 -2.17% 5,354
October 12.06% 7,052 1.20% 5,228 0.36% 5,283 -6.19% 5,572 -4.67% 5,104
November 12.20% 7,912 -0.24% 5,215 -7.02% 4,912 0.59% 5,605 6.26% 5,424
December 6.82% 5,571 -5.07% 4,663 -0.08% 5,600 -1.36% 5,350
Year 42.03% 19.46% -16.73% 4.68% 13.47%
</TABLE>
*Draw-down" means lossess experienced by the fund or portfolio over a specified
period.
See the notes on page ___, which are an integral part of the performance
presentation.
26
<PAGE> 29
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------
Rate of Return (1)
(Computed on a compounded monthly basis)
---------------------------------------------------------------------------------------------------------------------
1991 1990 1989 1988 1987
---------------------------------------------------------------------------------------------------------------------
Month Return VAMI (2) Return VAMI (2) Return VAMI (2) Return VAMI (2) Return VAMI (2)
- ----- ------ -------- ------ -------- ------ -------- ------ -------- ------ --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
January -7.89% $3,312 3.00% 2,739 7.90% $2,017 -0.08% $1,730 33.71% $ 1,409
February -1.59% 3,260 0.59% 2,755 -1.99% 1,977 2.39% 1,772 3.23% 1,454
March 20.41% 3,925 3.37% 2,848 10.74% 2,189 -1.88% 1,738 13.51% 1,650
April -1.87% 3,852 4.62% 2,979 1.94% 2,232 -5.12% 1,649 15.39% 1,904
May 2.81% 3,960 -11.50% 2,637 13.72% 2,538 1.63% 1,676 -4.17% 1,825
June 1.49% 4,019 8.29% 2,855 1.88% 2,586 8.29% 1,815 -3.21% 1,766
July -7.96% 3,699 10.04% 3,142 0.55% 2,600 -0.68% 1,803 9.80% 1,940
August 3.79% 3,839 12.30% 3,528 -0.81% 2,579 -0.22% 1,799 -1.12% 1,918
September 6.07% 4,072 2.59% 3,620 -4.27% 2,469 4.80% 1,885 2.71% 1,970
October 0.63% 4,098 1.25% 3,665 -6.88% 2,299 -0.06% 1,884 -13.45% 1,705
November -2.03% 4,015 -1.35% 3,616 2.46% 2,356 -0.35% 1,877 -0.53% 1,696
December 17.45% 4,715 -0.54% 3,596 12.88% 2,659 -0.42% 1,870 2.11% 1,732
Year 31.12% 35.24% 42.23% 7.96% 64.38%
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------
Rate of Return (1)
(Computed on a compounded monthly basis)
----------------------------------------------------------------------------------------------
1986 1985 1984 1983
----------------------------------------------------------------------------------------------
Month Return VAMI (2) Return VAMI (2) Return VAMI (2) Return VAMI (2)
- ----- ------ -------- ------ -------- ------ -------- ------ --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
January -6.28% $1,419 3.63% $1,180 1.27% 908
February 17.84% 1,673 11.59% 1,316 2.12% 927
March 6.48% 1,781 0.74% 1,326 2.44% 950 $1,000
April -7.87% 1,641 5.97% 1,405 0.09% 951 -0.40% 996
May 5.01% 1,723 2.92% 1,446 9.78% 1,044 0.18% 998
June -17.68% 1,418 -2.18% 1,415 -5.50% 986 -3.71% 961
July 5.21% 1,492 5.48% 1,492 6.86% 1,054 3.27% 992
August 7.61% 1,606 -3.63% 1,438 -1.34% 1,040 -1.47% 978
September -17.22% 1,329 -11.29% 1,276 8.32% 1,126 0.83% 986
October -11.74% 1,173 3.95% 1,326 2.79% 1,158 -4.18% 945
November -11.84% 1,034 10.45% 1,465 -3.12% 1,122 -1.93% 926
December 1.84% 1,053 3.40% 1,515 1.49% 1,138 -3.21% 897
Year -30.45% 33.05% 26.96% -10.34%
</TABLE>
See the notes on page __, which are an integral part of the performance
presentation.
27
<PAGE> 30
TABLE 6
GLOBAL DIVERSIFIED PORTFOLIO (4)
WORST MONTHLY PERCENTAGE DRAW-DOWN*: April 1986/14.41%
WORST PEAK-TO-VALLEY DRAW-DOWN: March - November, 1986 / 29.71%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
GROWTH OF A $1,000 INVESTMENT
FEBRUARY 1986-NOVEMBER 1996
[GRAPH]
<TABLE>
<CAPTION>
S&P Lehman Global Div.
Month VAMI VAMI VAMI
- ----- ---- ---- ----
<S> <C> <C> <C>
$1,000.00 $1,000.00 $1,000.00
Feb-86 1,000.00 1,040.10 998.90
Mar-86 1,141.10 $1,080.77 $1,040.25
Apr-86 1,141.10 $1,085.31 $ 890.35
May-86 1,141.10 $1,060.56 $ 922.05
Jun-86 1,208.31 $1,095.03 $ 869.68
Jul-86 1,208.31 $1,102.91 $ 926.47
Aug-86 1,208.31 $1,134.13 $ 973.53
Sep-86 1,124.09 $1,116.43 $ 876.96
Oct-86 1,124.09 $1,131.84 $ 781.11
Nov-86 1,124.09 $1,144.86 $ 731.04
Dec-86 1,186.70 $1,146.92 $ 734.47
Jan-87 1,346.55 $1,159.42 $ 822.98
Feb-87 1,399.74 $1,167.30 $ 814.01
Mar-87 1,440.19 $1,160.42 $ 840.38
Apr-87 1,427.38 $1,131.87 $ 979.55
May-87 1,439.79 $1,127.00 $ 967.01
Jun-87 1,512.50 $1,140.19 $ 952.21
Jul-87 1,589.19 $1,137.80 $1,002.21
Aug-87 1,648.46 $1,131.42 $ 963.32
Sep-87 1,612.36 $1,109.47 $ 946.75
Oct-87 1,265.06 $1,152.63 $ 850.56
Nov-87 1,160.82 $1,158.28 $ 920.14
Dec-87 1,249.16 $1,172.06 $ 977.46
Jan-88 1,301.75 $1,210.39 $ 921.75
Feb-88 1,362.41 $1,223.34 $ 937.32
Mar-88 1,320.31 $1,210.74 $ 908.92
Apr-88 1,334.97 $1,204.32 $ 855.93
May-88 1,346.58 $1,195.77 $ 940.33
Jun-88 1,408.39 $1,222.20 $1,184.72
Jul-88 1,403.04 $1,213.89 $1,160.91
Aug-88 1,355.33 $1,216.32 $1,168.45
Sep-88 1,413.07 $1,242.83 $1,171.72
Oct-88 1,452.35 $1,264.71 $1,170.55
Nov-88 1,431.58 $1,249.78 $1,182.84
Dec-88 1,456.64 $1,254.53 $1,164.98
Jan-89 1,563.26 $1,270.46 $1,120.01
Feb-89 1,509.80 $1,260.17 $1,105.68
Mar-89 1,544.98 $1,267.86 $1,223.87
Apr-89 1,625.16 $1,294.99 $1,211.51
May-89 1,690.98 $1,325.55 $1,349.02
Jun-89 1,681.34 $1,369.83 $1,358.73
Jul-89 1,833.17 $1,398.73 $1,421.78
Aug-89 1,869.10 $1,375.23 $1,358.22
Sep-89 1,861.43 $1,381.15 $1,321.82
Oct-89 1,818.25 $1,416.92 $1,281.11
Nov-89 1,855.34 $1,430.66 $1,333.25
Dec-89 1,899.87 $1,433.09 $1,469.78
Jan-90 1,772.39 $1,412.89 $1,552.53
Feb-90 1,795.25 $1,415.71 $1,590.56
Mar-90 1,842.83 $1,415.43 $1,680.91
Apr-90 1,796.76 $1,402.97 $1,821.10
May-90 1,971.94 $1,442.12 $1,600.92
Jun-90 1,958.53 $1,464.90 $1,673.77
Jul-90 1,952.26 $1,483.65 $1,746.07
Aug-90 1,775.78 $1,463.03 $1,902.87
Sep-90 1,689.30 $1,477.08 $1,916.57
Oct-90 1,682.03 $1,501.15 $1,957.39
Nov-90 1,790.69 $1,534.48 $1,958.76
Dec-90 1,840.65 $1,558.26 $1,942.70
Jan-91 1,920.91 $1,574.94 $1,795.25
Feb-91 2,058.25 $1,583.91 $1,748.93
Mar-91 2,108.06 $1,591.99 $2,029.46
Apr-91 2,113.12 $1,609.50 $1,995.77
May-91 2,204.20 $1,615.78 $2,048.86
Jun-91 2,103.24 $1,613.52 $2,160.12
Jul-91 2,201.25 $1,632.72 $1,975.64
Aug-91 2,253.42 $1,670.60 $1,917.95
Sep-91 2,215.79 $1,705.68 $1,958.42
Oct-91 2,245.48 $1,720.69 $1,964.49
Nov-91 2,154.99 $1,737.90 $1,923.43
Dec-91 2,401.52 $1,797.16 $2,231.38
Jan-92 2,356.85 $1,769.12 $2,107.54
Feb-92 2,387.49 $1,776.02 $2,001.32
Mar-92 2,340.94 $1,765.72 $1,949.08
Apr-92 2,409.76 $1,776.85 $1,905.81
May-92 2,421.57 $1,809.72 $1,862.74
Jun-92 2,385.49 $1,835.60 $2,060.94
Jul-92 2,483.05 $1,881.85 $2,290.52
Aug-92 2,432.15 $1,899.36 $2,394.28
Sep-92 2,403.45 $1,926.14 $2,383.99
Oct-92 2,411.86 $1,898.40 $2,307.46
Nov-92 2,494.11 $1,895.17 $2,405.30
Dec-92 2,529.02 $1,927.01 $2,402.65
Jan-93 2,546.73 $1,968.06 $2,410.10
Feb-93 2,586.46 $2,007.42 $2,709.68
Mar-93 2,641.03 $2,014.04 $2,625.95
Apr-93 2,577.12 $2,029.55 $2,625.69
May-93 2,646.19 $2,027.32 $2,698.94
Jun-93 2,653.86 $2,072.32 $2,801.77
Jul-93 2,643.19 $2,084.97 $2,930.65
Aug-93 2,743.47 $2,131.46 $2,751.30
Sep-93 2,722.43 $2,139.56 $2,556.78
Oct-93 2,778.76 $2,147.69 $2,417.44
Nov-93 2,752.28 $2,124.07 $2,361.59
Dec-93 2,785.55 $2,132.35 $2,460.07
Jan-94 2,880.26 $2,183.31 $2,367.33
Feb-94 2,802.06 $2,093.80 $2,167.29
Mar-94 2,679.89 $2,001.67 $2,304.91
Apr-94 2,714.25 $1,977.85 $2,218.71
May-94 2,758.79 $1,964.20 $2,296.14
Jun-94 2,691.20 $1,944.95 $2,638.27
Jul-94 2,779.47 $2,011.47 $2,705.01
Aug-94 2,893.43 $1,995.98 $2,614.40
Sep-94 2,822.54 $1,932.91 $2,705.38
Oct-94 2,886.05 $1,925.76 $2,718.90
Nov-94 2,780.99 $1,937.89 $2,796.12
Dec-94 2,822.15 $1,967.54 $2,696.58
Jan-95 2,895.33 $2,005.22 $2,619.19
Feb-95 3,008.16 $2,051.74 $2,746.22
Mar-95 3,096.93 $2,064.67 $2,856.61
Apr-95 3,188.14 $2,094.81 $2,896.61
May-95 3,315.57 $2,179.23 $2,858.95
Jun-95 3,392.59 $2,196.01 $2,861.24
Jul-95 3,505.09 $2,187.89 $2,704.16
Aug-95 3,513.88 $2,213.48 $2,773.65
Sep-95 3,662.17 $2,234.73 $2,697.38
Oct-95 3,675.24 $2,268.70 $2,677.15
Nov-95 3,836.59 $2,304.09 $2,697.76
Dec-95 3,910.63 $2,336.81 $2,872.31
Jan-96 4,043.59 $2,351.07 $2,980.59
Feb-96 4,079.99 $2,237.51 $2,765.39
Mar-96 4,119.15 $2,218.94 $2,859.69
Apr-96 4,179.71 $2,204.74 $3,006.97
May-96 4,287.54 $2,200.99 $2,926.68
Jun-96 4,303.83 $2,229.38 $2,953.32
Jul-96 4,113.61 $2,234.95 $2,919.94
Aug-96 4,200.40 $2,217.30 $2,980.97
Sep-96 4,436.89 $2,254.11 $3,032.54
Oct-96 4,559.34 $2,303.70 $3,440.11
Nov-96 4,904.03 $2,369.35 $3,770.36
</TABLE>
<TABLE>
<CAPTION>
Month Return VAMI (2) Return VAMI (2) Return VAMI (2) Return VAMI (2)
- ----- ------ -------- ------ -------- ------ -------- ------ --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
January 3.77% $2,981 -2.87% $2,619 -3.77% $2,367 0.31% $2,410
February -7.22% 2,765 4.85% 2,746 -8.45% 2,167 12.43% 2,710
March 3.41% 2,860 4.02% 2,857 6.35% 2,305 -3.09% 2,626
April 5.15% 3,007 1.40% 2,897 -3.74% 2,219 -0.01% 2,626
May -2.67% 2,927 -1.30% 2,859 3.49% 2,296 2.79% 2,699
June 0.91% 2,953 0.08% 2,861 14.90% 2,638 3.81% 2,802
July -1.13% 2,920 -5.49% 2,704 2.53% 2,705 4.60% 2,931
August 2.09% 2,981 2.57% 2,774 -3.35% 2,614 -6.12% 2,751
September 1.73% 3,033 -2.75% 2,697 3.48% 2,705 -7.07% 2,557
October 13.44% 3,440 -0.75% 2,677 0.50% 2,719 -5.45% 2,417
November 9.60% 3,770 0.77% 2,698 2.84% 2,796 -2.31% 2,362
December 6.47% 2,872 -3.56% 2,697 4.17% 2,460
Year 31.27% 6.52% 9.61% 2.39%
</TABLE>
*Draw-down" means losses experienced by the portfolio over a specified period.
See the notes on page __, which are an integral part of the performance
presentation.
28
<PAGE> 31
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------
Rate of Return (1)
(Computed on a compounded monthly basis)
------------------------------------------------------------------------------------------------
Month 1992 1991 1990 1989
- ----- ---- ---- ---- ----
January Return VAMI (2) Return VAMI (2) Return VAMI (2) Return VAMI (2)
------ -------- ------ -------- ------ -------- ------ --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
February -5.55% 2,108 -7.5$% $1,795 5.63% $1,553 -3.86% $1,120
March -5.04% 2,001 -2.58% 1,749 2.45% 1,591 -1.28% 1,106
April -2.61% 1,949 16.04% 2,029 5.68% 1,681 10.69% 1,224
May -2.22% 1,906 -1.66% 1,996 8.34% 1,821 -1.01% 1,212
June -2.26% 1,863 2.66% 2,049 -12.09% 1,601 11.35% 1,349
July 10.64% 2,061 5.43% 2,160 4.55% 1,674 0.72% 1,359
August 11.14% 2,291 -8.54% 1,976 4.32% 1,746 4.64% 1,422
September 4.53% 2,394 -2.92% 1,918 8.98% 1,903 -4.47% 1,358
October -0.43% 2,384 2.11% 1,958 0.72% 1,917 -2.68% 1,322
November -3.21% 2,307 0.31% 1,964 2.13% 1,957 -3.08% 1,281
December 4.24% 2,405 -2.09% 1,923 0.07% 1,959 4.07% 1,333
Year -0.11% 2,403 16.01% 2,231 -0.82% 1,943 10.24% 1,470
7.68% 14.86% 32.18% 26.16%
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
Rate of Return (1)
(Computed on a compounded monthly basis)
--------------------------------------------------------------------------
1988 1987 1986
--------------------------------------------------------------------------
Month Return VAMI (2) Return VAMI (2) Return VAMI (2)
- ----- ------ -------- ------ -------- ------ --------
<S> <C> <C> <C> <C> <C> <C>
January -5.70% $ 922 12.05% $ 823 $ 1,000
February 1.69% 937 -1.09% 814 -0.11% 999
March -3.03% 909 3.24% 840 4.14% 1,040
April -5.83% 856 16.56% 980 -14.41% 890
May 9.86% 940 -1.28% 967 3.56% 922
June 25.99% 1,185 -1.53% 952 -5.68% 870
July -2.01% 1,161 5.25% 1,002 6.53% 926
August 0.65% 1,168 -3.88% 963 5.08% 974
September 0.28% 1,172 -1.72% 947 -9.92% 877
October -0.10% 1,171 -10.16% 851 -10.93% 781
November 1.05% 1,183 8.18% 920 -6.41% 731
December -1.51% 1,165 6.23% 977 0.47% 734
Year 19.18% 33.08% -26.55%
</TABLE>
See the notes on page__, which are an integral part of the performance
presentation.
29
<PAGE> 32
TABLE 7
COMPOSITE OF ALL ACCOUNTS TRADED BY CAMPBELL & COMPANY
INCEPTION OF TRADING: January, 1972
TOTAL CURRENT NET ASSETS: $574.3 million (Nominal Funds); $567.4
million (Actual Funds)
WORST MONTHLY PERCENTAGE DRAW-DOWN*: April, 1986/16.70%
WORST PEAK-TO-VALLEY DRAW-DOWN*: March - November, 1986 / 37.61%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
CAMPBELL COMPOSITE
JANUARY 1972 - November 1996
[GRAPH]
<TABLE>
<CAPTION>
S&P Lehman Composite
Month VAMI VAMI VAMI
- ----- ---- ---- ----
<S> <C> <C> <C>
$ 1,000.00 $ 1,000.00 $ 1,000
Jan-72 $ 1,000.00 $ 1,003.30 $ 1,000
Feb-72 1,000.00 $ 1,014.04 $ 1,000
Mar-72 1,057.50 $ 1,016.47 $ 935
Apr-72 1,057.50 $ 1,020.03 $ 935
May-72 1,057.50 $ 1,036.65 $ 935
Jun-72 1,064.59 $ 1,043.49 $ 1,118
Jul-72 1,064.59 $ 1,046.63 $ 1,118
Aug-72 1,064.59 $ 1,054.16 $ 1,118
Sep-72 1,106.32 $ 1,057.43 $ 1,299
Oct-72 1,106.32 $ 1,068.11 $ 1,299
Nov-72 1,106.32 $ 1,094.71 $ 1,299
Dec-72 1,189.95 $ 1,095.14 $ 1,767
Jan-73 1,189.95 $ 1,085.83 $ 1,767
Feb-73 1,189.95 $ 1,084.42 $ 1,767
Mar-73 1,131.77 $ 1,082.90 $ 2,286
Apr-73 1,131.77 $ 1,092.65 $ 2,286
May-73 1,131.77 $ 1,093.96 $ 2,286
Jun-73 1,066.58 $ 1,095.49 $ 4,476
Jul-73 1,066.58 $ 1,070.95 $ 4,476
Aug-73 1,066.58 $ 1,087.98 $ 4,476
Sep-73 1,117.77 $ 1,114.09 $ 5,403
Oct-73 1,117.77 $ 1,124.34 $ 5,403
Nov-73 1,117.77 $ 1,129.52 $ 5,403
Dec-73 1,015.16 $ 1,128.84 $ 5,043
Jan-74 1,015.16 $ 1,137.53 $ 5,043
Feb-74 1,015.16 $ 1,141.17 $ 5,043
Mar-74 986.43 $ 1,120.06 $ 5,499
Apr-74 986.43 $ 1,111.32 $ 5,499
May-74 986.43 $ 1,120.66 $ 5,499
Jun-74 911.86 $ 1,119.09 $ 6,132
Jul-74 911.86 $ 1,119.87 $ 6,132
Aug-74 911.86 $ 1,114.38 $ 6,132
Sep-74 682.52 $ 1,143.36 $ 7,566
Oct-74 682.52 $ 1,161.88 $ 7,566
Nov-74 682.52 $ 1,189.18 $ 7,566
Dec-74 746.48 $ 1,203.10 $ 6,554
Jan-75 746.48 $ 1,218.86 $ 6,554
Feb-75 746.48 $ 1,236.53 $ 6,554
Mar-75 917.79 $ 1,228.87 $ 6,578
Apr-75 917.79 $ 1,213.01 $ 6,578
May-75 917.79 $ 1,237.64 $ 6,578
Jun-75 1,058.77 $ 1,244.94 $ 5,760
Jul-75 1,058.77 $ 1,241.08 $ 5,760
Aug-75 1,058.77 $ 1,242.20 $ 5,760
Sep-75 942.83 $ 1,241.08 $ 7,046
Oct-75 942.83 $ 1,280.55 $ 7,046
Nov-75 942.83 $ 1,280.55 $ 7,046
Dec-75 1,024.39 $ 1,303.98 $ 7,201
Jan-76 1,024.39 $ 1,318.58 $ 7,201
Feb-76 1,024.39 $ 1,324.78 $ 7,201
Mar-76 1,177.84 $ 1,336.70 $ 5,336
Apr-76 1,177.84 $ 1,346.46 $ 5,336
May-76 1,177.84 $ 1,335.15 $ 5,336
Jun-76 1,205.87 $ 1,353.44 $ 8,661
Jul-76 1,205.87 $ 1,366.98 $ 8,661
Aug-76 1,205.87 $ 1,385.71 $ 8,661
Sep-76 1,228.91 $ 1,400.67 $ 8,222
Oct-76 1,228.91 $ 1,416.78 $ 8,222
Nov-76 1,228.91 $ 1,450.22 $ 8,222
Dec-76 1,268.48 $ 1,465.15 $ 8,478
Jan-77 1,268.48 $ 1,440.39 $ 8,478
Feb-77 1,268.48 $ 1,448.17 $ 8,478
Mar-77 1,174.36 $ 1,458.16 $ 9,212
Apr-77 1,174.36 $ 1,468.66 $ 9,212
May-77 1,174.36 $ 1,475.86 $ 9,212
Jun-77 1,213.23 $ 1,493.86 $ 11,043
Jul-77 1,213.23 $ 1,487.59 $ 11,043
Aug-77 1,213.23 $ 1,499.49 $ 11,043
Sep-77 1,179.26 $ 1,500.54 $ 10,730
Oct-77 1,179.26 $ 1,494.39 $ 10,730
Nov-77 1,179.26 $ 1,507.54 $ 10,730
Dec-77 1,177.84 $ 1,506.33 $ 11,203
Jan-78 1,177.84 $ 1,505.73 $ 11,203
Feb-78 1,177.84 $ 1,510.25 $ 11,203
Mar-78 1,119.77 $ 1,515.23 $ 13,198
Apr-78 1,119.77 $ 1,518.41 $ 13,198
May-78 1,119.77 $ 1,518.26 $ 13,198
Jun-78 1,215.07 $ 1,515.37 $ 12,074
Jul-78 1,215.07 $ 1,529.32 $ 12,074
Aug-78 1,215.07 $ 1,545.83 $ 12,074
Sep-78 1,320.41 $ 1,548.62 $ 12,973
Oct-78 1,320.41 $ 1,532.51 $ 12,973
Nov-78 1,320.41 $ 1,544.16 $ 12,973
Dec-78 1,255.58 $ 1,533.50 $ 10,840
Jan-79 1,255.58 $ 1,562.33 $ 10,840
Feb-79 1,255.58 $ 1,562.64 $ 10,840
Mar-79 1,344.60 $ 1,577.80 $ 11,654
Apr-79 1,344.60 $ 1,581.43 $ 11,654
May-79 1,344.60 $ 1,607.05 $ 11,654
Jun-79 1,381.31 $ 1,637.91 $ 12,698
Jul-79 1,381.31 $ 1,637.74 $ 12,698
Aug-79 1,381.31 $ 1,631.52 $ 12,698
Sep-79 1,486.98 $ 1,630.05 $ 13,338
Oct-79 1,486.98 $ 1,556.53 $ 13,338
Nov-79 1,486.98 $ 1,603.85 $ 13,338
Dec-79 1,489.80 $ 1,616.04 $ 9,797
Jan-80 1,489.80 $ 1,589.54 $ 12,275
Feb-80 1,489.80 $ 1,508.00 $ 12,364
Mar-80 1,427.83 $ 1,519.61 $ 13,656
Apr-80 1,427.83 $ 1,665.19 $ 13,600
May-80 1,427.83 $ 1,732.79 $ 14,604
Jun-80 1,620.44 $ 1,757.75 $ 14,619
Jul-80 1,620.44 $ 1,738.41 $ 15,958
Aug-80 1,620.44 $ 1,684.00 $ 15,150
Sep-80 1,802.26 $ 1,671.70 $ 14,962
Oct-80 1,802.26 $ 1,654.99 $ 13,905
Nov-80 1,802.26 $ 1,653.50 $ 13,942
Dec-80 1,973.29 $ 1,699.80 $ 15,997
Jan-81 1,973.29 $ 1,700.65 $ 16,410
Feb-81 1,973.29 $ 1,679.39 $ 16,306
Mar-81 2,000.52 $ 1,720.03 $ 15,186
Apr-81 2,000.52 $ 1,681.50 $ 14,134
May-81 2,000.52 $ 1,725.22 $ 13,858
Jun-81 1,955.11 $ 1,730.05 $ 14,311
Jul-81 1,955.11 $ 1,703.58 $ 12,809
Aug-81 1,955.11 $ 1,682.29 $ 13,131
Sep-81 1,754.51 $ 1,695.91 $ 12,667
Oct-81 1,754.51 $ 1,785.12 $ 11,748
Nov-81 1,754.51 $ 1,906.86 $ 14,116
Dec-81 1,876.98 $ 1,859.00 $ 12,896
Jan-82 1,876.98 $ 1,870.90 $ 13,260
Feb-82 1,876.98 $ 1,899.71 $ 13,856
Mar-82 1,739.77 $ 1,920.99 $ 14,641
Apr-82 1,739.77 $ 1,966.32 $ 15,261
May-82 1,739.77 $ 1,994.83 $ 15,789
Jun-82 1,730.03 $ 1,971.49 $ 17,169
Jul-82 1,730.03 $ 2,050.55 $ 15,712
Aug-82 1,730.03 $ 2,138.93 $ 17,669
Sep-82 1,929.33 $ 2,210.58 $ 19,590
Oct-82 1,929.33 $ 2,310.28 $ 18,099
Nov-82 1,929.33 $ 2,330.15 $ 16,431
Dec-82 2,281.82 $ 2,374.65 $ 15,402
Jan-83 2,281.82 $ 2,375.60 $ 17,153
Feb-83 2,281.82 $ 2,430.96 $ 16,999
Mar-83 2,510.46 $ 2,428.04 $ 16,484
Apr-83 2,510.46 $ 2,480.73 $ 16,190
May-83 2,510.46 $ 2,456.66 $ 17,350
Jun-83 2,789.12 $ 2,463.30 $ 15,738
Jul-83 2,789.12 $ 2,424.87 $ 15,177
Aug-83 2,789.12 $ 2,438.93 $ 16,984
Sep-83 2,785.49 $ 2,507.96 $ 15,842
Oct-83 2,785.49 $ 2,516.48 $ 16,051
Nov-83 2,785.49 $ 2,543.91 $ 15,512
Dec-83 2,796.63 $ 2,550.53 $ 15,570
Jan-84 2,796.63 $ 2,593.38 $ 16,160
Feb-84 2,796.63 $ 2,584.04 $ 15,967
Mar-84 2,729.51 $ 2,565.43 $ 15,956
Apr-84 2,729.51 $ 2,566.72 $ 15,824
May-84 2,729.51 $ 2,508.97 $ 16,889
Jun-84 2,659.64 $ 2,535.31 $ 16,046
Jul-84 2,659.64 $ 2,631.40 $ 18,129
Aug-84 2,659.64 $ 2,670.61 $ 17,603
Sep-84 2,917.36 $ 2,724.82 $ 18,536
Oct-84 2,917.36 $ 2,828.91 $ 18,330
Nov-84 2,917.36 $ 2,877.85 $ 18,134
Dec-84 2,972.20 $ 2,920.15 $ 18,527
Jan-85 2,972.20 $ 2,977.39 $ 18,800
Feb-85 2,972.20 $ 2,926.47 $ 20,576
Mar-85 3,245.94 $ 2,982.08 $ 20,879
Apr-85 3,245.94 $ 3,041.42 $ 21,482
May-85 3,245.94 $ 3,181.63 $ 20,958
Jun-85 3,484.52 $ 3,214.40 $ 19,344
Jul-85 3,484.52 $ 3,205.08 $ 21,743
Aug-85 3,484.52 $ 3,257.32 $ 21,500
Sep-85 3,341.65 $ 3,278.49 $ 19,603
Oct-85 3,341.65 $ 3,340.13 $ 22,003
Nov-85 3,341.65 $ 3,413.28 $ 22,826
Dec-85 3,916.75 $ 3,516.70 $ 24,236
Jan-86 3,916.75 $ 3,535.69 $ 24,086
Feb-86 3,916.75 $ 3,677.47 $ 26,714
Mar-86 4,469.41 $ 3,821.26 $ 27,833
Apr-86 4,469.41 $ 3,837.31 $ 23,185
May-86 4,469.41 $ 3,749.82 $ 23,498
Jun-86 4,732.66 $ 3,871.69 $ 21,879
Jul-86 4,732.66 $ 3,899.56 $ 23,185
Aug-86 4,732.66 $ 4,009.92 $ 24,279
Sep-86 4,402.79 $ 3,947.37 $ 21,662
Oct-86 4,402.79 $ 4,001.84 $ 18,777
Nov-86 4,402.79 $ 4,047.86 $ 17,367
Dec-86 4,648.02 $ 4,055.15 $ 17,400
Jan-87 5,274.11 $ 4,099.35 $ 19,439
Feb-87 5,482.44 $ 4,127.23 $ 18,982
Mar-87 5,640.88 $ 4,102.87 $ 19,462
Apr-87 5,590.68 $ 4,001.94 $ 22,874
May-87 5,639.32 $ 3,984.74 $ 22,476
Jun-87 5,924.10 $ 4,031.36 $ 21,847
Jul-87 6,224.46 $ 4,022.89 $ 22,876
Aug-87 6,456.63 $ 4,000.36 $ 21,675
Sep-87 6,315.23 $ 3,922.76 $ 21,020
Oct-87 4,954.93 $ 4,075.35 $ 18,201
Nov-87 4,546.64 $ 4,095.32 $ 19,617
Dec-87 4,892.64 $ 4,144.05 $ 20,926
Jan-88 5,098.62 $ 4,279.57 $ 19,536
Feb-88 5,336.22 $ 4,325.36 $ 19,784
Mar-88 5,171.33 $ 4,280.81 $ 18,983
Apr-88 5,228.73 $ 4,258.12 $ 17,504
May-88 5,274.22 $ 4,227.88 $ 18,726
Jun-88 5,516.31 $ 4,321.32 $ 22,728
Jul-88 5,495.34 $ 4,291.94 $ 22,164
Aug-88 5,308.50 $ 4,300.52 $ 22,120
Sep-88 5,534.65 $ 4,394.27 $ 22,363
Oct-88 5,688.51 $ 4,471.61 $ 22,149
Nov-88 5,607.16 $ 4,418.85 $ 22,195
Dec-88 5,705.29 $ 4,435.64 $ 21,862
Jan-89 6,122.92 $ 4,491.97 $ 22,131
Feb-89 5,913.51 $ 4,455.58 $ 21,691
Mar-89 6,051.30 $ 4,482.76 $ 24,018
Apr-89 6,365.36 $ 4,578.69 $ 24,047
May-89 6,623.16 $ 4,686.75 $ 27,255
Jun-89 6,585.40 $ 4,843.29 $ 27,563
Jul-89 7,180.07 $ 4,945.48 $ 28,155
Aug-89 7,320.79 $ 4,862.40 $ 27,395
Sep-89 7,290.78 $ 4,883.31 $ 26,275
Oct-89 7,121.63 $ 5,009.78 $ 24,627
Nov-89 7,266.91 $ 5,058.38 $ 25,233
Dec-89 7,441.32 $ 5,066.98 $ 28,054
Jan-90 6,942.01 $ 4,995.53 $ 29,092
Feb-90 7,031.56 $ 5,005.53 $ 29,220
Mar-90 7,217.90 $ 5,004.52 $ 30,348
Apr-90 7,037.45 $ 4,960.48 $ 31,999
May-90 7,723.60 $ 5,098.88 $ 28,258
Jun-90 7,671.08 $ 5,179.44 $ 30,259
Jul-90 7,646.53 $ 5,245.74 $ 32,855
Aug-90 6,955.29 $ 5,172.83 $ 36,578
Sep-90 6,616.56 $ 5,222.48 $ 37,379
Oct-90 6,588.11 $ 5,307.61 $ 37,992
Nov-90 7,013.70 $ 5,425.44 $ 37,517
Dec-90 7,209.39 $ 5,509.53 $ 37,213
Jan-91 7,523.72 $ 5,568.49 $ 34,217
Feb-91 8,061.66 $ 5,600.23 $ 33,437
Mar-91 8,256.75 $ 5,628.79 $ 40,051
Apr-91 8,276.57 $ 5,690.70 $ 39,254
May-91 8,633.29 $ 5,712.90 $ 40,334
Jun-91 8,237.89 $ 5,704.90 $ 41,269
Jul-91 8,621.77 $ 5,772.79 $ 37,778
Aug-91 8,826.11 $ 5,906.72 $ 38,745
Sep-91 8,678.71 $ 6,030.76 $ 40,880
Oct-91 8,795.01 $ 6,083.83 $ 41,101
Nov-91 8,440.57 $ 6,144.67 $ 40,229
Dec-91 9,406.17 $ 6,354.20 $ 47,097
Jan-92 9,231.21 $ 6,255.07 $ 44,492
Feb-92 9,351.22 $ 6,279.47 $ 42,766
Mar-92 9,168.87 $ 6,243.05 $ 42,988
Apr-92 9,438.43 $ 6,282.38 $ 41,823
May-92 9,484.68 $ 6,398.60 $ 42,158
Jun-92 9,343.36 $ 6,490.10 $ 46,677
Jul-92 9,725.50 $ 6,653.65 $ 51,452
Aug-92 9,526.13 $ 6,715.53 $ 53,989
Sep-92 9,413.72 $ 6,810.22 $ 52,682
Oct-92 9,446.67 $ 6,712.16 $ 50,754
Nov-92 9,768.80 $ 6,700.74 $ 53,784
Dec-92 9,905.57 $ 6,813.32 $ 53,273
Jan-93 9,974.91 $ 6,958.44 $ 52,618
Feb-93 10,130.51 $ 7,097.61 $ 59,932
Mar-93 10,344.27 $ 7,121.03 $ 56,492
Apr-93 10,093.94 $ 7,175.86 $ 58,164
May-93 10,364.45 $ 7,167.97 $ 59,769
Jun-93 10,394.51 $ 7,327.10 $ 61,449
Jul-93 10,352.93 $ 7,371.79 $ 64,810
Aug-93 10,745.31 $ 7,536.19 $ 61,667
Sep-93 10,662.57 $ 7,564.82 $ 58,546
Oct-93 10,883.29 $ 7,593.57 $ 54,688
Nov-93 10,779.89 $ 7,510.04 $ 54,590
Dec-93 10,910.33 $ 7,539.33 $ 54,431
Jan-94 11,281.28 $ 7,719.52 $ 51,933
Feb-94 10,974.43 $ 7,403.02 $ 48,370
Mar-94 10,495.95 $ 7,077.29 $ 51,282
Apr-94 10,630.29 $ 6,993.07 $ 50,154
May-94 10,804.63 $ 6,944.81 $ 48,750
Jun-94 10,539.92 $ 6,876.76 $ 51,636
Jul-94 10,885.63 $ 7,111.94 $ 49,963
Aug-94 11,331.94 $ 7,057.18 $ 47,894
Sep-94 11,054.31 $ 6,834.17 $ 51,089
Oct-94 11,303.03 $ 6,808.88 $ 51,380
Nov-94 10,891.60 $ 6,851.78 $ 48,015
Dec-94 11,052.79 $ 6,956.61 $ 45,599
Jan-95 11,339.06 $ 7,090.18 $ 43,557
Feb-95 11,781.28 $ 7,254.67 $ 46,013
Mar-95 12,128.83 $ 7,300.38 $ 50,361
Apr-95 12,486.63 $ 7,406.96 $ 51,268
May-95 12,986.10 $ 7,705.46 $ 51,355
Jun-95 13,287.37 $ 7,764.79 $ 50,806
Jul-95 13,728.51 $ 7,736.07 $ 48,860
Aug-95 13,762.84 $ 7,826.58 $ 51,811
Sep-95 14,343.63 $ 7,901.71 $ 49,935
Oct-95 14,395.26 $ 8,021.82 $ 50,485
Nov-95 15,027.22 $ 8,146.96 $ 50,404
Dec-95 15,317.24 $ 8,262.65 $ 53,831
Jan-96 15,838.03 $ 8,313.05 $ 56,921
Feb-96 15,980.57 $ 7,911.53 $ 53,682
Mar-96 16,133.98 $ 7,845.86 $ 56,533
Apr-96 16,371.15 $ 7,795.65 $ 58,529
May-96 16,793.53 $ 7,782.40 $ 57,469
Jun-96 16,857.35 $ 7,882.79 $ 58,193
Jul-96 16,112.46 $ 7,902.11 $ 58,083
Aug-96 16,452.44 $ 7,839.68 $ 59,204
Sep-96 17,378.71 $ 7,969.82 $ 60,607
Oct-96 17,858.36 $ 8,145.16 $ 68,001
Nov-96 19,208.45 $ 8,377.30 $ 76,195
</TABLE>
<TABLE>
<CAPTION>
Composite
-----------------------------------------------------------------------------------------------------------------------
Rate of Return (1)
(Computed on a compounded monthly basis)
-----------------------------------------------------------------------------------------------------------------------
1996 YTD 1995 1994 1993 1992 1991
- ------------------------------------------------------------------------------------------------------------------------------------
Month Return VAMI (2) Return VAMI (2) Return VAMI (2) Return VAMI (2) Return VAMI (2) Return VAMI(2)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
January 5.74% $56,916 -4.48% $43,552 -4.59% $51,933 -1.23% $52,618 -5.53% $44,492 -8.05% $34,217
February -5.69% 53,677 5.64% 46,009 -6.86% 48,370 13.90% 59,932 -3.88% 42,766 -2.28% 33,437
March 5.31% 56,528 9.45% 50,357 6.01% 51,277 -5.74% 56,492 0.52% 42,988 19.78% 40,051
April 3.53% 58,523 1.80% 51,263 -2.20% 50,149 2.96% 58,164 -2.71% 41,823 -1.99% 39,254
May -1.81% 57,464 0.17% 51,350 -2.80% 48,745 2.76% 59,769 0.80% 42,158 2.75% 40,334
June 1.26% 58,188 -1.07% 50,801 5.92% 51,631 2.81% 61,449 10.72% 46,677 2.32% 41,269
July -0.19% 58,077 -3.83% 48,855 -3.24% 49,958 5.47% 64,810 10.23% 51,452 -8.45% 37,778
August 1.93% 59,198 6.04% 51,806 -4.14% 47,890 -4.85% 61,667 4.93% 53,989 2.56% 38,745
September 2.37% 60,601 -3.62% 49,931 6.67% 51,084 -5.06% 58,546 -2.42% 52,682 5.51% 40,880
October 12.20% 67,994 1.10% 50,480 0.57% 51,375 -6.59% 54,688 -3.66% 50,754 0.54% 41,101
November 12.05% 76,188 -0.16% 50,399 -6.55% 48,010 -0.18% 54,590 5.97% 53,784 -2.12% 40,229
December 6.80% 53,828 -5.03% 45,595 -0.29% 54,431 -0.95% 59,273 17.07% 47,097
Year 41.53% 18.05% -16.23% 2.17% 13.11% 26.58%
</TABLE>
*"Draw-down" means losses experienced by the composite over a specified period.
See the notes on page __, which are an integral part of the performance
presentation.
30
<PAGE> 33
COMPOSITE PERFORMANCE OF ALL ACCOUNTS (CONT.)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------------
Rate of Return (1)
(Computed on a compounded monthly basis)
-------------------------------------------------------------------------------------------------------------------------
1990 1989 1988 1987 1986 1985
-------------------------------------------------------------------------------------------------------------------------
Month Return VAMI (2) Return VAMI (2) Return VAMI (2) Return VAMI (2) Return VAMI (2) Return VAMI(2)
- ----- ------ -------- ------ -------- ------ -------- ------ -------- ------ -------- ------ -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
January 3.70% $29,092 1.23% $22,131 -6.64% $19,536 11.72% $19,439 -0.62% $24,086 1.47% $18,800
February 0.44% 29,220 1.99% 21,691 1.27% 19,784 -2.35% 18,982 10.91% 26,714 9.45% 20,576
March 3.86% 30,348 10.73% 24,018 -4.05% 18,983 2.53% 19,462 4.19% 27,833 1.47% 20,879
April 5.44% 31,999 0.12% 24,047 -7.79% 17,504 17.53% 22,874 -16.70% 23,165 2.89% 21,482
May -11.69% 28,258 13.34% 27,255 6.98% 18,726 -1.74% 22,476 1.35% 23,498 -2.44% 20,958
June 7.08% 30,259 1.13% 27,563 21.37% 22,728 -2.80% 21,847 -6.89% 21,879 -7.70% 19,344
July 8.58% 32,855 2.15% 28,155 -2.48% 22,164 4.71% 22,876 5.97% 23,185 12.40% 21,743
August 11.33% 36,578 -2.70% 27,395 -0.20% 22,120 -5.25% 21,674 4.72% 24,279 -1.12% 21,500
Septembe 2.19% 37,379 -4.09% 26,275 1.10% 22,363 -3.02% 21,020 -10.78% 21,662 -8.82% 19,603
October 1.64% 37,992 -6.27% 24,627 -0.96% 22,149 -13.41% 18,201 -13.32% 18,767 12.24% 22,003
November -1.25% 37,517 2.46% 25,233 0.21% 22,195 7.78% 19,617 -7.51% 17,367 3.74% 22,826
December -0.81% 37,213 11.18% 28,054 -1.50% 21,862 6.67% 20,926 0.19% 17,400 6.18% 24,236
Year 32.65% 28.32% 4.47% 20.27% 28.21% 30.81%
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------
Rate of Return (1)
(Computed on a compounded monthly basis)
----------------------------------------------------------------------------------------------------------------
1984 1983 1982 1981 1980
----------------------------------------------------------------------------------------------------------------
Month Return VAMI (2) Return VAMI (2) Return VAMI (2) Return VAMI (2) Return VAMI (2)
- ----- ------ -------- ------ -------- ------ -------- ------ -------- ------ --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
January 3.7% $16,160 11.3% $17,153 2.8% $13,260 2.5% $16,410 25.29% %12,275
February -1.19% 15,967 -0.90% 16,999 4.50% 13,856 -0.63% 16,306 0.73% 12,364
March -0.07% 15,956 -3.03% 16,484 5.66% 14,641 -6.87% 15,186 10.45% 13,656
April -0.83% 15,824 -1.78% 16,190 4.24% 15,261 -6.93% 14,134 -0.41% 13,600
May 6.73% 16,889 7.16% 17,350 3.46% 15,789 -1.95% 13,858 7.38% 14,604
June -4.99% 16,046 -9.29% 15,738 8.74% 17,169 3.27% 14,311 0.10% 14,619
July 12.98% 18,129 -3.56% 15,177 -8.49% 15,712 -10.50% 12,809 9.16% 15,958
August -2.90% 17,603 11.90% 16,984 12.46% 17,669 2.52% 13,131 -5.06% 15,150
September 5.30% 18,536 -6.72% 15,842 10.87% 19,590 -3.54% 12,667 -1.24% 14,962
October -1.11% 18,330 1.32% 16,051 -7.61% 18,099 -7.25% 11,748 -7.07% 13,905
November -1.07% 18,134 -3.36% 15,512 -9.22% 16,431 20.15% 14,116 0.27% 13,942
December 2.17% 18,527 0.37% 15,570 -6.26% 15,402 -8.64% 12,896 14.74% 15,997
Year 19.00% 1.09% 19.43% -19.39% 63.29%
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------
Rate of Return (1)
(Computed on a compounded quarterly basis)
----------------------------------------------------------------------------------------------------------
1979 1978 1977 1976
----------------------------------------------------------------------------------------------------------
Qtr Ending Return VAMI (2) Return VAMI (2) Return VAMI (2) Return VAMI (2)
- ---------- ------ -------- ------ -------- ------ -------- ------ --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
March 7.51% $11,654 17.80% $13,198 8.6$% 9,212 -25.9$% 5,336
June 8.96% 12,698 -8.51% 12,074 19.87% 11,043 62.33% 8,661
September 5.04% 13,338 7.44% 12,973 -2.83% 10,730 -5.07% 8,222
December -26.55% 9,797 -16.44% 10,840 4.41% 11,203 3.11% 8,478
Year -9.62% -3.24% 32.15% 17.74%
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------
Rate of Return (1)
(Computed on a compounded quarterly basis)
----------------------------------------------------------------------------------------------------------
1975 1974 1973 1972
----------------------------------------------------------------------------------------------------------
Qtr Ending Return VAMI (2) Return VAMI (2) Return VAMI (2) Return VAMI (2)
- ---------- ------ -------- ------ -------- ------ -------- ------ --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
March 0.37% $6,578 9.04% $5,499 29.37% 2,286 -6.52% $ 935
June -12.44% 5,760 11.50% 6,132 95.77% 4,476 19.62% 1,118
September 22.34% 7,046 23.39% 7,566 20.71% 5,403 16.18% 1,299
December 2.19% 7,201 -13.38% 6,554 -6.65% 5,043 36.03% 1,767
Year 9.87% 29.94% 185.39% 76.72%
</TABLE>
See the notes on page __, which are an integral part of the performance
presentation.
31
<PAGE> 34
NOTES TO SUPPLEMENTARY TABLES
1. The "RATE OF RETURN" for a period is calculated by dividing the net profit
or loss by the assets at the beginning of such period. Additions and
withdrawals occurring during the period are included as an addition to or
deduction from beginning net assets in the calculations of "Rates of Return",
except for accounts which close on the last day of a period in which case the
withdrawal is not subtracted from beginning net assets for purposes of this
calculation. Beginning in January, 1987, "Rate of Return" is calculated using
the Only Accounts Traded (OAT) method of computation. This computation method
is one of the methods approved by the CFTC to reduce the distortion caused by
significant additions or withdrawals of capital during a month. The records of
many of the accounts in the tables prior to 1987 do not document the exact
dates of capital additions and withdrawals. Accordingly, there is insufficient
data to calculate rate of return during such periods using the OAT method.
Campbell & Company has no reason to believe that the pre-1987 annual rates of
return would be materially different if the OAT method were used to calculate
such returns. The OAT method excludes from the calculation of rate of return
those accounts which had material intra-month additions or withdrawals and
accounts which were open for only part of the month. In this way, the composite
rate of return is based on only those accounts whose rate of return is not
distorted through intra-month capital changes.
2. The "VAMI" ("VALUE OF AN INITIAL $1,000 INVESTMENT") is calculated by
multiplying the "Rate of Return" times the prior period VAMI and then adding
this number to the prior period VAMI.
3. Table 5 contains the composite performance of accounts traded pursuant to
the Financial, Metal & Energy Large Portfolio, which is the portfolio primarily
utilized for the Fund. The data presented reflects the composite performance of
366 accounts traded according to the Financial, Metal & Energy Large Portfolio.
The data below is as of October 31, 1996. From inception of Campbell &
Company's Financial, Metal & Energy Large Portfolio in April 1983, 362 accounts
have been closed; 96 of the accounts closed transferred to the Financial, Metal
& Energy Small Portfolio. Of the remaining 266 closed accounts, 79 closed with
a profit and 187 closed with a loss. 4 accounts remained open, 3 of which were
profitable and 1 of which was unprofitable. The open accounts ranged in size
from $17,500,000 to in excess of $100,000,000, with an average account size of
approximately $105,200,000. The average composite monthly return for the
period from January, 1991 through October, 1996 was 1.13% compared to the
average of average monthly returns for all accounts of 0.64% over the same time
period. The data in this composite table do not reflect the performance of any
one account. Therefore, an individual account may have realized more or less
favorable results than the composite results indicate. The "Net Performance"
figures in the tables are net of management and incentive fees; these fees
range from 0% to 6% for management fees and 15% to 25% for incentive fees.
Prior to January 1988, most of the client equity traded pursuant to the
Financial, Metal & Energy Portfolio consisted of one large account. Due to
client-imposed restrictions on this account and the small amount of equity in
other accounts, certain markets were not traded, including stock indices,
precious metals and energies. These differences affected performance during
this period.
4. Table 6 reflects the composite performance of all accounts (a total of 20
accounts) traded according to the Global Diversified Portfolio. Of these
accounts, 9 had closed as of October 31, 1996, 7 with aggregate gains and 2
with net losses. All of the 11 open accounts are profitable. The open
accounts range in size from $460,000 to $18,500,000, with an average account
size of approximately $2,500,000. The average composite monthly return for the
period from January 1991 through October 1996 is 0.97% compared to the average
of average monthly returns for all accounts of 0.90% over the same time period.
The net assets under management in the Portfolio include "notional equity " in
one account which totaled $500,000 as of October 31, 1996. Such notional funds
represent less than 10% of ending net assets and do not materially distort
rates of return for the periods involved. The data in this composite table do
not reflect the performance of any one account. Therefore, an individual
account may have realized more or less favorable results than the composite
results indicate.
5. Table 7 reflects the composite performance results of all accounts advised
by Campbell & Company for all of its trading portfolios. A total of 547
accounts have been managed by Campbell & Company pursuant to all its trading
portfolios. On or prior to October 31, 1996, 483 accounts closed; 160 of which
closed with a profit and 323 of which closed with a loss. Of the 64 open
accounts, 58 accounts are profitable and 6 accounts are unprofitable. The open
accounts range in size from $104,000 to in excess of $100,000,000, with an
average account size of approximately $7,900,000. The net assets under
management include "notional equity" in 29 accounts which totaled approximately
$6,914,000 as of October 31, 1996. Such notional funds represent less than 10%
of ending net assets and do not materially distort rates of return for the
periods involved. The data in this composite table do not reflect the
performance of any one account, but rather is a combination of the historical
performance of multiple accounts and portfolios. Therefore, an individual
account and a particular trading portfolio may have realized more or less
favorable results than the composite indicates.
6. The "PRO FORMA RATE OF RETURN" for the month is calculated by dividing the
pro forma net profit or loss by the assets at the beginning of such period.
Additions and withdrawals occurring during the period are included as an
addition to or deduction from beginning net assets in the calculations of
"Rates of Return." In accordance with the OAT method (see Note 1), the pro
forma rate of return calculation for March 1990, December 1992 and January 1994
has been adjusted to take into account the significant additions made to the
portfolio in these time periods. Amortization of organization and offering
32
<PAGE> 35
expenses are not included in the pro forma net performance or in the
calculation of "Pro Forma Rate of Return."
Section 6. CONFLICTS OF INTEREST
A. Campbell & Company, Inc. A conflict exists between Campbell &
Company's interests and its responsibilities to the Fund. The conflicts are
inherent in Campbell & Company acting as general partner and advisor to the
Fund. The conflicts and the potential detriments to the Limited Partners are
described below.
Due to the fact that Campbell & Company is both general partner and
trading advisor, the selection of itself as trading advisor was not objective.
In addition, it has a disincentive to replace itself as advisor. The Advisory
Agreement between the Fund and Campbell & Company, including the fee
arrangement, was not negotiated at arm's length. Investors should note,
however, that Campbell & Company believes that the fee arrangements are fair to
the Fund and competitive with compensation arrangements in pools involving
independent general partners and advisors. Campbell & Company shall review its
compensation terms annually to determine whether such terms continue to be
competitive with other pools for similar services and to lower such fees if it
concludes, in good faith, that its fees are no longer competitive. Neither
Campbell & Company nor any advisor may receive per-trade compensation directly
or indirectly from the Fund.
Campbell & Company earns fees based upon the Fund's Net Asset Value. It is
unlikely, therefore, to make distributions to the Limited Partners of Fund
assets because it will earn larger fees if the Fund's assets are not reduced
through distributions. Limited Partners, however, have certain rights to redeem
their Units and receive their capital.
Campbell & Company (or its principals) acts as general partner to other
commodity pools (see Appendix II) and trading advisor to other accounts, which
may compete with the Fund for Campbell & Company's services. Thus, Campbell &
Company could have a conflict between its responsibilities to the Fund and to
those other pools and accounts. Campbell & Company believes it has sufficient
resources to discharge its responsibilities in this regard in a fair manner.
Campbell & Company may receive higher advisory fees from some of those
other accounts than it receives from the Fund. Campbell & Company, however,
trades all accounts of the Financial, Metals & Energy Large Portfolio
(including the Fund) in a substantially similar manner, given the differences
in size and timing of the capital additions and withdrawals. In addition,
Campbell & Company may find that futures positions established for the benefit
of the Fund, when aggregated with positions in other accounts of Campbell &
Company, approach the speculative position limits in a particular commodity.
Campbell & Company may decide to address this situation either by liquidating
the Fund's positions in that futures contract and reapportioning the portfolio
in other contracts or by trading contracts in other markets which do not have
restrictive limits.
Any principal of Campbell & Company may trade futures interests for their
own accounts. In addition, Campbell & Company manages proprietary accounts for
its deferred compensation plan and a principal. There are no written procedures
for proprietary trading. Trading records for all proprietary trading are
available for review by clients and investors upon reasonable notice. A
conflict of interest exists if proprietary trades are in the same markets and
at the same time, using the Commodity Broker to be used by the Fund. To the
extent executions are bundled and then allocated among accounts held at the
Commodity Broker, the Fund may receive less favorable executions than such
other accounts. It is Campbell & Company's policy to objectively allocate trade
executions that afford each account the same likelihood of receiving favorable
or unfavorable executions over time. A potential conflict also may occur when
Campbell & Company or its principals trade their proprietary accounts more
aggressively, take positions in proprietary accounts which are opposite, or
ahead of, the position taken by the Fund, or take any other actions that would
not constitute a violation of their fiduciary duties.
B. The Commodity Broker and the Foreign Exchange Dealers. The Commodity
Broker and the Foreign Exchange Dealers and their affiliates and personnel of
such entities, may trade futures and forward contracts for their own accounts.
This could give rise to conflicts of interest with the Fund. The Commodity
Broker also may serve as a broker for other commodity pools and the Foreign
Exchange Dealers act as dealers for other clients, which could give rise to
conflicts of interest between their responsibility to the Fund and to those
pools and clients.
C. The Selling Agents. The Selling Agents (or their assignees) which are
registered futures commission merchants or introducing brokers will receive,
beginning in the thirteenth month after the sale of the Units, ongoing
compensation based on the Net Asset Value of the Units which remain
outstanding. Consequently, in advising clients whether they should redeem their
Units or purchase additional Units, such Selling Agents will have a conflict of
interest between the Selling Agent's interest in maximizing the ongoing
compensation which they will receive and their interest in giving their client
the financial advice which is in such clients' best interests.
D. Fiduciary Duty and Remedies. In evaluating the foregoing conflicts of
interest, a prospective investor should be aware that Campbell & Company, as
general partner, has a responsibility to Limited Partners to exercise good
faith and fairness in all dealings affecting the Fund. In the event that a
Limited Partner believes Campbell & Company has violated its fiduciary duty to
the Limited Partners, he may seek legal relief individually or on behalf of the
Fund under applicable laws, including partnership and commodities laws, to
recover damages from or require an accounting by Campbell &
33
<PAGE> 36
Company. The Limited Partnership Agreement is governed by Delaware law and any
breach of Campbell & Company's fiduciary duty under the Limited Partnership
Agreement will generally be governed by Delaware law. The Limited Partnership
Agreement does not limit Campbell & Company's fiduciary obligations under
Delaware or common law, however, Campbell & Company may assert as a defense to
claims of breach of fiduciary duty that the conflicts of interest and fees
payable to Campbell & Company have been disclosed herein. Limited Partners
may also have the right, subject to applicable procedural and jurisdictional
requirements, to bring partnership class actions in federal court to enforce
their rights under the federal securities laws and the rules and regulations
promulgated thereunder by the Securities and Exchange Commission. Limited
Partners who have suffered losses in connection with the purchase or sale of
the Units may be able to recover such losses from Campbell & Company where the
losses result from a violation by Campbell & Company of the federal securities
laws. State securities laws may als provide certain remedies to Limited
Partners. Limited Partners should be aware that performance by Campbell &
Company of its fiduciary duty to the Partnership is measured by the terms of
the Limited Partnership Agreement as well as applicable law.
Limited Partners are afforded certain rights to institute reparations
proceedings under the Commodity Exchange Act for violations of the Commodity
Exchange Act or of any rule, regulation or order of the CFTC by Campbell &
Company.
E. Indemnification and Standard of Liability. Campbell & Company and its
controlling persons may not be liable to the Fund or any Limited Partner for
errors in judgment or other acts or omissions not amounting to misconduct or
negligence, as a consequence of the indemnification and exculpatory provisions
described in the following paragraph. Purchasers of Units may have more limited
rights of action than they would absent such provisions.
Campbell & Company and its controlling persons shall not have any
liability to the Fund or to any Limited Partner for any loss suffered by the
Fund which arises out of any action or inaction if Campbell & Company, in good
faith, determined that such course of conduct was in the best interests of the
Fund and such course of conduct did not constitute negligence or misconduct of
Campbell & Company. The Fund has agreed to indemnify Campbell & Company and its
controlling persons against claims, losses or liabilities based on their
conduct relating to the Fund, provided that the conduct resulting in the
claims, losses or liabilities for which indemnity is sought did not constitute
negligence or misconduct or breach any fiduciary obligation to the Fund and was
done in good faith and in a manner Campbell & Company, in good faith,
determined to be in the best interests of the Fund. Controlling persons of
Campbell & Company are entitled to indemnity only for losses resulting from
claims against such controlling persons due solely to their relationship with
Campbell & Company or for losses incurred in performing the duties of Campbell
& Company. See Article 15 of the Limited Partnership Agreement, included as
Exhibit A to the Prospectus.
The Fund will not indemnify Campbell & Company or its controlling persons
for any liability arising from securities law violations in connection with the
offering of the Units unless Campbell & Company or its controlling persons
prevails on the merits or obtains a court approved settlement which includes
court approved indemnification as described in Section 15 of the Limited
Partnership Agreement.
34
<PAGE> 37
Section 7. CHARGES TO THE FUND
Brokerage Fee
The Fund pays a single asset-based fee for all brokerage and management
services. This fee, which is equal to 8% per annum of month-end Net Assets of
the Fund (prior to accruals for such Brokerage Fee or performance fees), is
paid to Campbell & Company. Campbell & Company, in turn, remits a portion of
such Brokerage Fee to third parties as set forth below.
<TABLE>
<S> <C> <C> <C>
- 1% to Commodity Broker
- 4% to Selling Agents
Fund 8% Brokerage Fee Campbell & Company - 2% to Campbell & Company
(as trading advisor)
- 1% to Campbell & Company
(as general partner)
</TABLE>
The above fee is the complete compensation that will be received by Campbell &
Company, Inc. or its affiliates from the Fund (with the exception of redemption
fees which will be charged to some Limited Partners, if they redeem prior to
one year of ownership).
Other Fund Expenses
The Fund also will be subject to the following fees and expenses.
<TABLE>
<CAPTION>
RECIPIENT NATURE OF PAYMENT AMOUNT OF PAYMENT
- -------------------- ----------------------------------- ---------------------------------------
<S> <C> <C>
Campbell & Company Quarterly Performance Fee. 20% of cumulative appreciation in
Net Asset Value per Unit, excluding
interest income, after deduction for
Brokerage Fees.
Reimbursement of offering expenses. As incurred; to be reimbursed, up to
2.5% of aggregate subscriptions, in
30-month payment periods.
Dealers "Bid-ask" spreads. Indeterminable because imbedded in
price of forward contract.
Brown Brothers Harriman & Cash management fee. .125 of 1% per annum, payable
Co. monthly, of the assets in the Fund's
trust account, plus 25% of any
incremental return generated above
an index of the 90-day U.S. Treasury
Bill rate.
Others Legal, accounting, printing, As incurred, up to postage a maximum of
and administrative costs. 0.5% of average month-end Net
Assets per annum.
</TABLE>
A. Campbell & Company, Inc. As general partner, Campbell & Company
receives Brokerage Fees, payable monthly, equal to 8% of the Fund's month-end
Net Assets per year, calculated each month prior to accruals for such period's
Brokerage Fee and performance fee, if any. From such 8% Brokerage Fee, Campbell
& Company remits 1% to the Commodity Broker for execution and clearing costs
and 4% to the Selling Agents for ongoing services to the Limited Partners.
Campbell & Company will retain the remaining 3% as management fees (2% for
providing advisory services and 1% for acting as general partner). Campbell &
Company also receives a performance fee of 20% of the aggregate cumulative
appreciation (if any) in the Net Asset Value per Unit at the end of each
calendar quarter, exclusive of appreciation attributable to interest income.
See Section 7.4 of the Agreement of Limited Partnership for the definition of
Net Assets. The General Partner receives redemption fees on Units redeemed
during the 12 months following the purchase as follows: 4% of Net Asset Value
on Units redeemed in the first quarter following purchase, 3% during the second
quarter, 2% during the third quarter, and 1% in the fourth quarter. After the
fourth quarter, no redemption fees are charged.
The performance fee equals 20% of the aggregate cumulative appreciation in
the Net Asset Value of the Units calculated pursuant to the terms of the
Advisory Agreement and paid quarterly. "Aggregate cumulative appreciation"
means
35
<PAGE> 38
the total increase in Unit value from the commencement of trading, minus the
total increase in Unit value for all prior quarters, multiplied by the number
of Units outstanding. The performance fee is paid only on profits attributable
to Units outstanding, and no fee is paid with respect to interest income.
Units which are redeemed other than at the end of the quarter will pay a
performance fee, if any would otherwise be due, as of the end of the month in
which the redemption occurs.
In the event of a carryforward loss, redemptions of Units will
proportionately reduce such carryforward loss. If any payment is made by the
Fund in respect of a performance fee, and the Fund thereafter incurs a net
loss, Campbell & Company will retain the amount previously paid. Thus, Campbell
& Company may be paid a performance fee during a year in which the Fund overall
incurred net losses. Trading losses shall be carried forward and no further
performance fees may be paid until the prior losses have been recovered.
The Brokerage Fee and performance fee may be changed upon sixty days'
notice to the Limited Partners, which notice explains their redemption and
voting rights. See Section 8.1 (2) of the Amended Agreement of Limited
Partnership (attached as Exhibit A).
B. The Commodity Broker. As described in paragraph A. above, in return
for executing and clearing the Fund's futures trades, the Commodity Broker
receives from Campbell & Company (and not the Fund) a portion of the 8%
Brokerage Fee equal to 1% per annum of Net Assets of the Fund. The Commodity
Broker is responsible for pit brokerage, exchange and NFA fees, "give-up" and
transfer fees. The compensation to the Commodity Broker is competitive with
rates paid by other trading funds having assets and structure similar to the
Fund. The asset-based compensation to the Commodity Broker is equivalent to
approximately $10-$15 per round-turn trade per contract. The compensation to be
paid to the Commodity Broker will not exceed the guidelines established by the
North American Securities Administrators Association ("NASAA").
C. Selling Agents. The Selling Agents receive from Campbell & Company
(and not the Fund) selling commissions of up to 4% of the subscription amount.
In addition, commencing thirteen months after the sale of Units and in return
for ongoing services to the Limited Partners, Campbell & Company will pay those
Selling Agents (or their assignees) which are registered at such time as
futures commission merchants or introducing brokers, a portion of the 8%
Brokerage Fee of up to 4% per annum of average month-end Net Assets of all
Units which remain outstanding.
Selling Agents and registered representatives who are not registered with
the CFTC as described above may receive additional selling commissions from
Campbell & Company, paid on the same basis as the ongoing payments, provided
that the total of such additional selling commissions plus the initial 4%
selling commission, salaries, expenses and bonuses of employees of Campbell &
Company engaged in wholesaling activities and per Unit organization and
offering costs properly deemed to constitute costs allocable to the Selling
Agents (such as a selling brochure, seminar costs and travel expenses) do not
exceed 10% of such Units' initial sale price. Any such ongoing payments or
additional selling commissions will be paid by Campbell & Company and not by
the Fund but may be deemed to constitute underwriting compensation.
D. Foreign Exchange Dealers. The Fund engages in trading currency
forward contracts. Such contracts are traded among dealers which act as
"principals" or counterparties to each trade. The execution costs are included
in the price of the forward contract purchased or sold, and, accordingly, such
costs cannot be determined. Campbell & Company believes the bid/ask spreads
will be at the prevailing market prices.
E. Offering Expenses. The offering expenses during the Continuing
Offering Period as of September 30, 1996 totalled $1,992,210 and are estimated
at $600,000 for the nine months following the date of this Prospectus, all of
which will be advanced by Campbell & Company. Such expenses include all fees
and expenses in connection with the distribution of the Units including legal,
accounting, printing, mailing, filing fees, escrow fees, salaries and bonuses
of employees while engaged in sales activities and marketing expenses of
Campbell & Company and the Selling Agents which are paid by the Fund. Subject
to the limit described below, Campbell & Company will be reimbursed, without
interest, by the Fund in 30-month payment periods throughout the Continuing
Offering. In no event shall the reimbursement exceed 2.5% of the total
subscriptions accepted by Campbell & Company, which based on the 30-month
amortization period, represents a maximum of 1% of month-end Net Assets per
annum. Organization and offering expenses equal to $240,961 were incurred
during the Initial Offering Period and were advanced by Campbell & Company.
Such expenses are being reimbursed in the same manner and are subject to the
same 2.5% limit.
The Fund is required by certain state securities administrators to
disclose that the "organization and offering expenses" of the Fund, as defined
by the NASAA Guidelines (see Appendix III), will not exceed 15% of the total
subscriptions accepted. Campbell & Company, and not the Fund, shall be
responsible for any expenses in excess of such limitation. Since Campbell &
Company has agreed to limit its reimbursement of such expenses to 2.5% of total
subscriptions, the NASAA Guideline limit of 15% of total subscriptions (even
when added to the selling commissions) will not be reached.
F. Cash Management. The Fund pays Brown Brothers Harriman & Co. ("Brown
Brothers") an asset-based fee for providing cash management services to the
Fund. It is paid on a quarterly basis at the rate of .125 of 1% per annum of
the Fund's trust account balances, plus, beginning December 31, 1996, 25% of
any incremental return generated above an index
36
<PAGE> 39
of the 90-day U.S. Treasury Bill rate, paid on a quarterly basis. Brown
Brothers is not affiliated with Campbell & Company. The Fund may engage other
firms, unaffiliated with Campbell & Company, from time to time to provide cash
management services. Such services would be provided pursuant to similar terms
and fees as those that apply to Brown Brothers.
G. Other. The Fund bears its operating expenses, including but not
limited to, legal and accounting fees, and any taxes or extraordinary expenses
payable by the Fund. Such expenses are estimated to be 0.5% of Net Assets per
annum. Campbell & Company shall be responsible for any such expenses during any
year of operations which exceed such percentage estimate. For the nine months
ended September 30, 1996 and the year ended December 31, 1995, operating
expenses were 0.33% (annualized) and 0.35%, respectively, of the Fund's
period-end Net Assets. Indirect expenses in connection with the
administration of the Fund, such as salaries, rent, travel and other overhead
of Campbell & Company may not be charged to the Fund.
H. Estimate of Breakeven Level
In order for an investor to "break-even" on his investment in the first
year of trading (i.e. for ending net asset value to equal the initial amount
invested), assuming an initial investment of $1,000, the Fund must earn $45 per
unit, or 4.50%. No performance fees are included in the break-even analysis
because all expenses are deducted from the Fund prior to calculation of the
performance fee. Similarly, redemption fees are not included because the
analysis assumes the Units are held for one year, and at that point, there is
no redemption fee.
<TABLE>
<S> <C>
Assumed Initial Selling Price Per Unit $ 1,000.00
-----------
Brokerage Fee (8%) $ 80.00
Organization & Offering Expense Reimbursement (1%) 10.00
Operating Expenses (0.5%) 5.00
Less: Interest Income (estimated at 5%) (net of cash management fee) (50.00)
-----------
Amount of Trading Income Required for the Fund's Net Asset Value per Unit at
the End of One Year to Equal the Initial Selling Price per Unit $ 45.00
===========
Percentage of Assumed Initial Selling Price per Unit 4.50%
===========
</TABLE>
- -------------------
The maximum offering expense reimbursement is 2.5% of the total
subscription amount over 30 months. This represents a maximum during a
twelve-month period of 1% of average month-end Net Assets. Operating
expenses are subject to a maximum limit of 0.5% of Net Assets per annum.
The estimates also do not account for the bid/ask spreads in connection
with the Fund's foreign exchange forward contract trading.
Section 8. USE OF PROCEEDS
The entire offering proceeds, without deductions, will be credited to the
Fund's bank and brokerage accounts to engage in trading activities and as
reserves for that trading. The Fund meets its margin requirements by depositing
U.S. government securities with the Commodity Broker and the Foreign Exchange
Dealers. In this way, substantially all (i.e., 95% or more) of the Fund's
assets, whether used as margin for trading purposes or as reserves for such
trading, can be invested in U.S. government securities and time deposits with
U.S. banks. Investors should note that maintenance of the Fund's assets in U.S.
government securities and banks does not reduce the risk of loss from trading
futures contracts. The Fund receives all interest on its assets. No other
person shall receive any interest or other economic benefits from the deposit
of Fund assets.
Approximately 15% to 30% of the Fund's assets normally are committed as
margin for futures contracts and held by the Commodity Broker, although the
amount committed may vary significantly. Such assets are maintained in
segregated accounts with the Commodity Broker pursuant to the Commodity
Exchange Act and regulations thereunder. Approximately 10% to 20% of the Fund's
assets are deposited with Foreign Exchange Dealers in order to initiate and
maintain currency forward contracts. Such assets are not held in segregation or
otherwise regulated under the Commodity Exchange Act, unless such Foreign
Exchange Dealer is registered as a futures commission merchant. These assets
are held either in U.S. government securities or short-term time deposits with
U.S.-regulated bank affiliates of the Foreign Exchange Dealers. See "Risk
Factors - Market Risks; Currency Forward Transactions."
A small percentage of the Fund's assets (estimated at less than 15%) are
utilized as margin for foreign futures. Such funds are held in omnibus accounts
with carrying brokers used by the Commodity Broker. These accounts are
non-regulated segregated accounts. These assets may be held in the appropriate
local currency or in U.S. dollars and will earn interest at rates equivalent to
the overnight deposit rate in such markets. For example, deposits held in
British Pounds will earn LIBOR (London Interbank Offering Rate). See "Risk
Factors - Foreign Futures and Foreign Options" and Risk Disclosure Statement in
the front of this Prospectus.
Campbell & Company deposits those assets of the Fund which are not
required to be deposited as margin with the
37
<PAGE> 40
Commodity Broker or Foreign Exchange Dealers in a trust account with Brown
Brothers. Such trust account constitutes approximately 50% to 75% of the
Fund's assets and is invested, directly or indirectly, by Brown Brothers.
Brown Brothers does not guarantee any interest or that profits will accrue on
the Fund's assets in the trust account. Brown Brothers directs the investment
of the Fund's trust account in U.S. Treasury and agency securities, Eurodollar
time deposits and/or repurchase agreements, all with a minimum investment
quality of A or better. The Fund may engage other firms, unaffiliated with
Campbell & Company, from time to time to provide cash management services.
Such services would be provided pursuant to similar terms and fees as those
that apply to Brown Brothers.
The Fund's assets are not and will not be, directly or indirectly,
commingled with the property of any other person in violation of law or
invested with or loaned to Campbell & Company or any affiliated entities.
Section 9. THE COMMODITY BROKER
PaineWebber Incorporated, a Delaware corporation (the "Commodity Broker"
or "PaineWebber"), is the Fund's commodity broker and one of the Selling
Agents. The Commodity Broker's principal office is located at 1200 Harbor
Boulevard, Weehawken, New Jersey 07087.
The Commodity Broker is a clearing member of all principal United States
futures exchanges. It is registered with the CFTC as a futures commission
merchant and is a member of the NFA.
All futures trades made on behalf of the Fund are cleared through the
Commodity Broker. The Commodity Broker is not affiliated with Campbell &
Company. The Commodity Broker did not sponsor the Fund and is not responsible
for the activities of Campbell & Company, it will act only as the commodity
broker and one of the Selling Agents.
Except as set forth below, neither the Commodity Broker nor any of its
principals have been involved in any administrative, civil or criminal
proceeding, whether pending, on appeal or concluded, within the past five years
that is material to a decision whether to invest in the Fund.
The Commodity Broker is involved in a number of proceedings concerning
matters arising in connection with the conduct of its business. Certain
actions, in which compensatory damages of $153 million or more appear to be
sought, are described below. PaineWebber is also involved in numerous
proceedings in which compensatory damages of less than $153 million appear to
be sought, or in which punitive or exemplary damages, together with the
apparent compensatory damages alleged, appear to exceed $153 million.
PaineWebber has denied, or believes it has legitimate defenses and will deny,
liability in all significant cases pending against it, including those
described below, and intends to defend actively each such case.
In March 1992, PaineWebber as well as other individuals and entities
including inter alia certain former officers and directors of Northview
Corporation ("Northview"), Calmark Holding Corporation and Calmark Financial
Corporation and their respective officers and directors, were named as
defendants in a purported class action filed by Northview in the Superior Court
of the State of California for the County of Los Angeles.
The Complaint sought to set aside as fraudulent and illegal certain
transfers of funds and distributions of cash, and to recover damages allegedly
caused by the defendants for breach of contract, impairment of capital, unjust
enrichment, breach of fiduciary duty, gross negligence and looting of corporate
assets.
As to PaineWebber, Plaintiff alleged that in November 1987, Northview
retained PaineWebber to render an opinion respecting the fair market value of
the common stock of Calmark Financial Corporation which Northview was to
receive in exchange for issuing its own stock to Calmark Holding Corporation,
the parent corporation of Calmark Financial Corporation. The complaint
asserted that PaineWebber issued a valuation opinion which allegedly overstated
the value of Calmark Financial Corporation's assets, which enabled the
transaction at issue in the form of a self-tender and merger to go forward.
Plaintiff contends that as a result of PaineWebber's allegedly overstating the
value of the assets of Calmark Financial Corporation, Northview's assets were
improperly transferred to Calmark, whose principals depleted the assets
subsequent to the merger. On March, 16, 1990, Northview filed for protection
under Chapter XI of the Bankruptcy Law.
The Complaint sought damages in an amount to be proven at trial, the
imposition of a constructive trust of at least $100 million punitive damages,
interest costs and attorneys' fees from all the defendants.
The Complaint was amended three times before January 12, 1994. On
February 8, 1994, Plaintiff filed a motion for leave to file a Fourth Amended
Complaint, which motion was granted on March 15, 1994. The Fourth Amended
Complaint added a new cause of action for negligent misrepresentation against
PaineWebber and claims for professional negligence and breach of fiduciary duty
against the law firm of Troy & Gould and certain of its principals who acted as
outside counsel to both Northview and Calmark in connection with their merger.
38
<PAGE> 41
At the time of the filing of the Fourth Amended Complaint, the caption of
said Complaint was amended to reflect that Northview Corporation is now known
as Vagabond Inns, Inc. and a new party plaintiff, Thomas Sydorick as Trustee
for the Northview/Vagabond Creditor Trust was added. On July 13, 1994, the
trial court overruled the demurrer filed by PaineWebber to Plaintiff's Fourth
Amended Complaint. On August 29, 1994, PaineWebber served its answer to
Plaintiff's latest pleading. The parties are currently engaged in discovery.
On or about June 10, 1991, PaineWebber was served with a "First Amended
Complaint" in an action captioned Rolo v. City Investing Liquidating Trust, et
al,, Civ. Action 90-4420 D.N.J. filed on or about May 13, 1991 naming it and
other entities and individuals as defendants. The First Amended Complaint
alleges conspiracy and aiding and abetting violations of: (1) one or more
provisions of the Racketeer Influenced and Corrupt Organizations Act ("RICO");
(2) one or more provisions of the Interstate Land Sales Full Disclosure Act;
and (3) the common law, on behalf of all persons (excluding defendants) who
purchased lots and/or houses from General Development Corporation ("GDC") or
one of its affiliates and who are members of an association known as the North
Port Out-of-State Lot Owners Association.
The secondary liability claims in the First Amended Complaint relating to
PaineWebber are premised on allegations that PaineWebber served as (1) the
co-lead underwriter in connection with the April 8, 1998 offering by GDC of
12-7/8% senior subordinated notes pursuant to a Registration Statement and
Prospectus and (2) the underwriter for a 1989 offering of Adjustable Rate
General Development Residential Mortgage Pass-Through Certificates, Series
1989-A, which Plaintiffs contend enabled GDC to acquire additional financial
resources for the perpetuation of (and/or aided and abetted) an alleged scheme
to defraud purchasers of GDC lots and/or houses. The First Amended Complaint
requests certain declaratory relief, equitable relief, compensatory damages of
not less than $500 million, punitive damages of not less than three times
compensatory damages, treble damages with respect to the RICO count,
pre-judgment and post-judgment interest on all sums awarded, and attorney's
fees, costs, disbursement and expert witness fees.
On December 27, 1993, the District Court entered an order dismissing
Plaintiff's First Amended Complaint against PaineWebber and the majority of the
other defendants for failure to state a claim upon which relief can be granted.
On November 8, 1994, the United States Court of Appeals for the Third
Circuit affirmed the District Court's order dismissing this action against
PaineWebber. On November 18, 1994, Plaintiffs filed a Petition for Rehearing
and Suggestion for Rehearing En Banc with the Third Circuit. This petition is
pending.
In July 1994, PaineWebber, together with numerous unrelated firms, were
named as defendants in a series of purported class action complaints that have
since been consolidated for pre-trial purposes in the United States District
Court for the Southern District of New York under the caption In Re NASDAQ
Market-Maker Antitrust and Securities Litigation, MDL Docket No. 1023. The
amended complaint in these actions alleges that the defendant firms engaged in
activities as market makers on the NASDAQ over-the-counter market that violated
the federal antitrust laws. The Plaintiffs seek declaratory and injunctive
relief, damages in an amount to be determined and subject to trebling and
additional relief. Defendants have filed motions to dismiss these complaints.
In addition, in November 1994, PaineWebber together with another
broker-dealer, were named as defendants in a purported class action complaint
filed in the United States District Court for the District of New Jersey under
the caption Newton, et al., v.Merril Lynch, et al. Civ. No. 94-5343 (DRD). The
complaint alleges that the defendants violated the securities laws in
connection with their actions as market makers on the NASDAQ over-the-counter
market. The Plaintiffs seek damages in an unspecified amount and injunctive,
declaratory and other relief. PaineWebber's time to answer or otherwise move
has not yet expired.
A series of purported class actions concerning PaineWebber's sale and
sponsorship of various limited partnership investments have been filed against
PaineWebber and PaineWebber Group Inc. (together "PaineWebber") among others,
by allegedly dissatisfied partnership investors since November 1994. Several
such actions (the "Federal Court Limited Partnership Actions") were filed in
the United States District Court for the Southern District of New York, one was
filed in the United States District Court for the Southern District of Florida
and one complaint (the "New York Limited Partnership Action") was filed in the
Supreme Court of the State of New York. The time to answer or otherwise move
with respect to these complaints has not yet expired.
The complaints in all these cases make substantially similar allegations
that, in connection with the sale of interests in approximately 50 limited
partnerships between 1980 and 1992, PaineWebber (1) failed to provide adequate
disclosure of the risks involved with each partnership; (2) made false and
misleading representations about the safety of the investments and the
anticipated performance of the partnerships; and (3) marketed the partnerships
to investors for whom such investments were not suitable. The plaintiffs who
purport to be suing on behalf of all persons who invested in limited
partnerships sold
39
<PAGE> 42
by PaineWebber between 1980 and 1992, also allege that, following the sale of
the partnerships' units, PaineWebber misrepresented financial information about
the partnerships' value and performance. The Federal Court Limited Partnership
Actions also allege that PaineWebber violated the Racketeer Influence and
Corrupt Organization Act ("RICO"), and certain of them also claim that
PaineWebber violated the federal securities laws. The plaintiffs seek
unspecified damages, including reimbursement of all sums invested by them in
the partnerships, as well as disgorgement of all fees and other income derived
by PaineWebber from the limited partnerships. In the Federal Court Limited
Partnership Actions, he plaintiffs also seek treble damages under RICO.
In addition, PaineWebber and several of its present or former officers
were sued in two other purported class actions (the "Geodyne Limited
Partnership Actions") filed in the state court in Harris County, Texas. Those
cases, Nedick v. Geodyne Resources, Inc. et al. and Wolff v. Geodyne Resources,
Inc. et al., are similar to the other Limited Partnership Actions except that
the plaintiffs purport to sue only on behalf of those investors who bought
interests in the Geodyne Energy Partnerships, which were a series of oil and
gas partnerships that PaineWebber sold over several years. The plaintiffs in
the Geodyne Limited Partnership Actions allege that PaineWebber committed fraud
and misrepresentation, breached its fiduciary obligations to its investors and
brokerage customers, and breached certain contractual obligations. The
complaints seek unspecified damages, including reimbursement for all sums
invested by them in the partnerships, as well as disgorgement of all fees and
other income derived by PaineWebber from the Geodyne partnerships. PaineWebber
has filed an answer denying the allegations in plaintiff's complaint.
Another purported class action was filed in the state court in Brazoria
County, Texas on behalf of investors in the Pegasus aircraft leasing
partnerships. In this case, Mallia, et. al v. PaineWebber Incorporated, et
al., the plaintiffs allege that PaineWebber committed fraud and
misrepresentation in connection with the sale of these limited partnership
interests. The complaint seeks unspecified damages.
In addition to the foregoing private litigation, the following
administrative and exchange proceedings may be considered material.
In June 1991, the NFA East Regional Business Conduct Committee (the
"Committee") issued a complaint against PaineWebber which alleged that it had
violated NFA By-law 1101 by transacting business with non-members of the NFA
who were required to be registered with the CFTC; further, that it had failed
to observe high standards of commercial honor and just and equitable principles
of trade, in violation of NFA Compliance Rule 2-4, in that it allegedly knew or
in the exercise of reasonable diligence should have known that it was
transacting customer business with unregistered persons who were required to be
registered but who were not so registered. Without admitting or denying the
allegations contained in the complaint, PaineWebber submitted an offer of
settlement. The settlement was accepted by the Committee on September 25,
1991, and in connection therewith the Committee imposed a $25,000 fine.
On November 15, 1991, based on a hearing by the New York Stock Exchange
("NYSE"), Panel Decision 91-192, PaineWebber stipulated that during the period
1984 to 1987 it violated various NYSE rules and federal regulations relating to
solicitations by its IEs of unsuitable transactions and margins violations.
During the period of 1984 to 1988 it violated NYSE rules relating to annual
audits of branch offices written tables of supervisory responsibility, a system
of follow-ups and review respecting sales practice events to the NYSE on a
timely basis. The NYSE imposed a $800,000 fine on PaineWebber and required a
payment of a contribution of $100,000 toward fines imposed upon the present and
former supervisory personnel also being fined.
In January 1992, PaineWebber, without admitting any of the allegations
against it and solely for the purpose of settling the proceeding, consented to
the issuance by the Securities and Exchange Commission of an order finding that
in connection with participation in primary distributions of certain unsecured
debt securities issued by certain government sponsored entities, it violated
SEC rules 17a-3 and 17a-4 by not accurately reflecting transactions in and
customer orders for such securities. The SEC's order and findings were
substantially similar to orders and findings by the SEC and other federal
regulations with respect to 97 other financial intermediaries involving the
same conduct. The SEC ordered PaineWebber to: (i) cease and desist from
further violations; (ii) pay a civil penalty of $100,000; and (iii) develop,
implement and maintain policies and procedures reasonably designed to ensure
its future compliance with the recordkeeping rules in connection with such
activities.
In March 1992, in connection with the SECs private investigation into the
government securities market, the SEC proposed a settlement of that part of the
inquiry that related to the sale of securities by government sponsored
enterprises (GSEs). In an administrative proceeding brought in January 1992 by
the SEC, together with the Comptroller of the Currency and the Federal Reserve,
98 government, securities dealers consented to the entry of an order relating
to the recordkeeping requirements of the federal securities laws, without
admitting or denying any violations but acknowledging
40
<PAGE> 43
the submission of inaccurate sales information to the GSEs. The dealers paid
an aggregate penalty of $5,165,000 with the approximately 40 largest dealers
including PaineWebber, each paying $100,000. The overall SEC investigation is
still in progress.
In May 1992, in connection with the SEC's private investigation into the
government securities market, the SEC proposed a settlement of that part of the
inquiry that related to the sale of securities by government sponsored
enterprises ("GSEs"). IN an administrative proceeding brought in January 1992,
by the SEC, together with the Comptroller of the Currency and the Federal
Reserve, 98 government securities dealers consented to the entry of an order
relating to the recordkeeping requirements of the federal securities laws,
without admitting any violations but acknowledging the submission of inaccurate
sales information to the GSEs. The dealers paid an aggregate penalty of
$5,165,000 with the approximately 40 largest dealers, including PaineWebber,
each paying $100,000. The overall SEC investigation is still in progress.
In May 1992, the Chicago Mercantile Exchange ("CME") Probable Cause
Committee issued a Notice of Charge against PaineWebber which alleged that it
accepted contemporaneous buy and sell orders for the same customer account in
S&P 500 Index Futures on trade dates October 3, October 30, and December 5,
1990, in violation of CME Rule 433b (Uncommercial Conduct). Without admitting
or denying the allegations, PaineWebber submitted an offer of settlement. The
settlement was accepted by the Floor Practices Committee of the CME on June 28,
1991, and in connection therewith, the Committee imposed a $7,500 fine.
On November 27, 1992, the CFTC filed a five count administrative complaint
against PaineWebber and a former employee. Simultaneous with the filing of the
complaint, the CFTC accepted an offer of settlement from PaineWebber. The
complaint alleged PaineWebber violated provisions of the Commodity Exchange Act
and CFTC regulations by failing to immediately make a written record of orders
placed, entering trades without account identification, failing to properly
time-stamp orders, failing to supervise diligently the handling of customers'
commodity futures accounts and failing to maintain and produce to CFTC staff
certain records relating to orders entered. Without admitting or denying the
allegations or the findings contained in the complaint, PaineWebber consented
to the entry of a CFTC order which: (i) found that it violated the provisions
of the ACT and CFTC regulations: (ii) directed it to cease and desist from
further violations of those provisions; and (iii) imposed a civil monetary
penalty of $150,000.
On December 11, 1992, based on a hearing by the New York Stock Exchange
("NYSE"), Panel Decision 92-187, the NYSE alleged that PaineWebber exercised
conversion rights of customer's expiring rights and warrants without the
customer's authorizations; in violation of Exchange Act Regulations `7 (a) (3).
Without admitting or denying the allegations, PaineWebber consented to a
censure, $65,000 fine and undertakings.
On February 4, 1994, the Alabama Securities Commission issued
Administrative Order CV-93-0020. PaineWebber consented, without admitting or
denying the allegations, to finding of violations of the Alabama Securities Act
to place on the branch order ticket or other record of a transaction before any
order for purchase or sale of securities through the block trading desk by
registered representatives in Birmingham, Alabama. The registered
representatives shall deliver a copy of the branch order ticket to the branch
office manager or to his or her designee prior to the time the order is placed
with a block desk. The Alabama Securities Commission will be provided with a
copy of the consultant's report concerning respondent's policies, practices and
procedures prepared attesting to the implementation of the recommendations
contained in the consultant's report. PaineWebber shall certify that all
supervisory and managerial personnel in its Birmingham office have attended the
two-day seminar required by the SEC order. PaineWebber will pay a fine of
$87,000 as partial reimbursement for the Alabama Security Commission's cost for
examining this matter.
In July 1994, PaineWebber Incorporated ("PaineWebber") together with
numerous unrelated firms, were named as defendants in a series of purported
class action complaints that have since been consolidated for pretrial purposes
in the United States District Court for the Southern District court of New York
under the caption In RE NASDAQ Market-Maker Antitrust and Securities Litigation
MDL Docket No. 1023. The refiled consolidated complaint in these actions
allege that the defendant firms engage in activities as market makers on the
NASDAQ over the counter market that violated the federal antitrust laws. The
plaintiffs seek declaratory and injunctive relief. On December 18, 1995,
PaineWebber filed its answer to plaintiffs' refiled consolidated complaint.
The parties are presently engaged in pre-trial discovery.
PaineWebber and two other broker-dealers are name as defendants in
litigation brought in November 1994 and subsequently styled In Re Merrill Lynch
et al. Securities Litigation Civ. No. 94-5343 (DRD). The amended complaint,
filed in March 1995, alleged that defendants violated federal securities laws
in connection with the execution of orders to buy and sell NASDAQ securities.
On December 13, 1995, the District Court granted defendants' motion for summary
judgment. On January 19, 1996, the plaintiffs filed a notice of appeal to the
United States Court of Appeals for the Third Circuit. The
41
<PAGE> 44
matter on appeal is Newton et al., v. Merrill Lynch et al., No. 96-5054.
On July 28, 1994 in Order File No. AO-94-22 in the Missouri Division of
Securities alleged PaineWebber ("PW") failed to reasonably supervise a former
investment executive. PaineWebber consented, without admitting or denying the
allegations to maintain and make available to the Division upon all request all
customer or regulatory complaints received by PW concerning any employee or
agent working in a PW Missouri branch office or concerning any security sold by
such an employee or agent working in a PW Missouri branch office or concerning
any security sold by such an employee or agent; to annually provide, for a
period of three years from the date of the order, a notice to all Missouri
residents who open a securities account with PW and all Missouri customers
detailing procedures for filing a complaint with PW or the Division; and to
include, for a period beginning thirty days form the date of the order and
continuing for three years, in all new customer account packages, mailed to
Missouri residents form any PW Missouri branch office, certain public
information pieces prepared by the Division. PaineWebber paid a $75,000 fine
and $25,000 as reimbursement for the costs of the investigation.
On September 27, 1995, in matter number 94-078-S, the state of Vermont
Department of Banking, Insurance and Securities, entered an Administrative
Consent Order alleging that between 1984 and 1988, PaineWebber Incorporated
("PW") did not reasonably supervise two former investment executives with
respect to certain outside activities and limited partnership investment
recommendations. Without admitting or denying the allegations, PW agrees,
among other things, to pay an administrative fine of $100,000.
On or about January 18, 1996, PaineWebber consented, without admitting or
denying the findings herein, to the entry of an Order by the Securities and
Exchange Commission which imposed a censure, a cease & desist order, a $5
million civil penalty and various remedial sanctions. The SEC alleged that PW
violated the antifraud and recordkeeping provision of the federal securities
laws in connection with the offer and sale of certain limited partnership
interests between 1986 and 1992 and failed reasonably to supervise certain
registered representatives and other employees involved in the dale of these
interests. PW must comply with its representation that it had paid and will
pay a total of $292.5 million to investors, including a payment of $40 million
for claims fund.
The Fund has entered into a Customer Agreement with the Commodity Broker
pursuant to terms which are standard for such arrangement. The Agreement
provides that: the Commodity Broker is authorized to purchase and sell futures
and other contracts in accordance with the instructions of Campbell & Company;
the Commodity Broker will act as custodian for all assets of the Fund on
deposit with it; the Fund shall promptly satisfy all margin requirements and
trading losses that may occur; and either party may terminate the Agreement on
seven days' notice to the other party. In the event of termination, the Fund
would enter into a similar agreement with another commodity broker. Although
unlikely, the selection of another commodity broker could result in higher fees
to the Fund and a brief delay in trading. The compensation to the Commodity
Broker is described in "Charges to the Fund." Other brokers may be used to
execute certain orders and then "give-up" such trade to the Commodity Broker to
be cleared. In addition, forward contracts and foreign futures contracts may be
executed through other brokers, dealers or banks selected by Campbell &
Company.
Section 10. FOREIGN EXCHANGE DEALERS
The Fund engages in trading foreign exchange and other forward contracts
through "dealers" in such contracts. Unlike futures contracts which are traded
through brokers such as the Commodity Broker, foreign exchange or currency
forward contracts are traded through a network of dealers. Campbell & Company
currently executes trades through Smith Barney Inc. but may use other dealers
in the future (collectively referred to as "Foreign Exchange Dealers").
Campbell & Company is not obligated to continue to use the Foreign Exchange
Dealer identified above and may select additional ones in the future provided
Campbell & Company believes that their service and pricing are competitive.
Section 11. CAPITALIZATION
The Fund was formed on May 11, 1993. The table below shows the
capitalization of the Fund as of December 1, 1996 and as adjusted for the sale
of the maximum amount of Units registered.
<TABLE>
<CAPTION>
AS ADJUSTED FOR
OUTSTANDING AS SALE OF MAXIMUM
OF DECEMBER 1, AMOUNT
TITLE OF CLASS 1996 (1)(2)
-------------- -------------- ---------------
<S> <C> <C>
Units of General Partnership Interest...................................... 791.313 1,644.899
Units of Limited Partnership Interest...................................... 75,463.496 162,845.002
Total Partners' Capital.................................................... $ 101,163,842 $ 218,221,809
-------------- ---------------
</TABLE>
42
<PAGE> 45
(See accompanying notes)
(1) This calculation assumes that the sale of all Units is made during the
Continuing Offering at the November 30, 1996 Net Asset Value per Unit of
$1,326.66. The maximum amount will vary depending on the Unit value and
number of Units sold during the Continuing Offering.
(2) To organize the Fund, the initial limited partner purchased one Unit for
$1,000 and Campbell & Company purchased one general partnership unit for
$1,000. Campbell & Company has agreed to make capital contributions to
the Fund equal to at least 1% of the net aggregate capital contributions
of all Partners. As of November 30, 1996, Campbell & Company owned
791.313 units of general partnership interest.
Section 12. DISTRIBUTIONS AND REDEMPTIONS
A. Distributions. Campbell & Company is not required to distribute any
profit or income realized by the Fund. While Campbell & Company has the
authority to make such distributions, it does not intend to do so in the
foreseeable future. Campbell & Company believes that distributions of Fund
assets serve no useful purpose since the Limited Partners may redeem any or all
of their Units on a periodic basis. The amount and timing of future
distributions is uncertain.
If the Fund realizes profits for any fiscal year, such profits will
constitute taxable income to the Partners in accordance with their respective
investments in the Fund whether or not such profits have been distributed to
Partners. Because the Limited Partnership Agreement grants Campbell & Company
discretion in determining the amount and timing of any distributions of profits
and income, if any, (1) losses incurred by the Fund after the end of the year
may offset undistributed income on which the Partners have been taxed, and (2)
any distributions, if made, may be inadequate to cover such taxes payable by
the Partners. Subject to the limitations on redemption of Units, a Limited
Partner may redeem a portion of his Units if he wishes to realize appreciation,
if any, in the value of his interest in the Fund.
B. Redemptions. A Limited Partner with the charges explained below, may
request any or all of his Units be redeemed by the Fund at the Net Asset Value
of a Unit as of the end of the month. Limited Partners must transmit written
request of such withdrawal to Campbell & Company not less than ten business
days prior to the end of the month (or such shorter period as permitted by
Campbell & Company). During the 12 months following the purchase, the General
Partner charges a redemption fee as follows: 4% of Net Asset Value on Units
redeemed in the first quarter following purchase, 3% during the second quarter,
2% during the third quarter, and 1% in the fourth quarter. After the fourth
quarter, no redemption fees are charged.
The Request for Redemption must specify the number of Units for which
redemption is sought. Redemptions will be paid within 20 days after the date of
redemption, contingent upon the Fund having assets sufficient to discharge all
of its liabilities on the requested date of redemption. In the event that
redemptions are requested with respect to more Units than Campbell & Company is
able to honor pursuant to the foregoing contingency, Campbell & Company will
honor requests for redemption in the order actually received and will hold
requests for redemption in such order. Limited Partners will be notified in the
event a request for redemption cannot be honored under the terms hereof, and
their requests will be honored thereafter at the first available opportunity.
The Net Asset Value of a Unit as of any date is the Limited Partners'
share of the sum of all cash, plus Treasury bills valued at cost plus accrued
interest, and other securities valued at market, plus the market value of all
open futures positions maintained by the Fund, less all liabilities of the Fund
and accrued performance fees, determined in accordance with the principles
specified in the Limited Partnership Agreement and, where no principle is
specified in the Limited Partnership Agreement, in accordance with generally
accepted accounting principles under the accrual basis of accounting, divided
by the number of Units then outstanding. Thus, if the Net Asset Value of a Unit
for purposes of redemption is determined as of a month-end which is not the end
of a quarter, any performance fees payable to Campbell & Company will be
determined and charged to such Unit as though such month-end were the end of
the quarter and such performance fees will be paid to Campbell & Company.
The federal income tax aspects of redemptions are described under "Federal
Income Tax Aspects."
Section 13. THE FUTURES AND FORWARDS MARKETS
A. Futures Contracts. Futures contracts are standardized agreements
traded on commodity exchanges that call for the future delivery of the
commodity or financial instrument at a specified time and place. A futures
trader that enters into a contract to take delivery of the underlying commodity
is "long" the contract, or has "bought" the contract. A trader that is
obligated to make delivery is "short" the contract or has "sold" the contract.
Actual delivery on the contract rarely occurs. Futures traders usually offset
(liquidate) their contract obligations by entering into equal but offsetting
futures positions. For example, a trader who is long one September Treasury
bond contract on the Chicago Board of Trade can offset the obligation by
entering into a short position in a September Treasury bond contract on that
exchange. Futures positions that have not yet been liquidated are known as
"open" contracts or positions.
Futures contracts are traded on a wide variety of commodities, including
agricultural products, metals, livestock
43
<PAGE> 46
products, government securities, currencies and stock market indices. Options
on futures contracts are also traded on U.S. commodity exchanges. The Fund
concentrates its futures trading in financial instruments such as interest
rate, foreign exchange and stock index contracts, and metal and energy
contracts.
B. Forward Contracts. Currencies and other commodities may be purchased
or sold for future delivery through banks or dealers pursuant to forward
contracts. Currencies also can be traded pursuant to futures contracts on
organized futures exchanges, however, Campbell & Company uses the dealer market
in foreign exchange contracts for most of the Fund's trading in currencies.
Such dealer acts as "principal" in the transaction and includes its profit in
the price it quotes on the contract. Unlike futures contracts, foreign
exchange contracts are not standardized. In addition, the forward market is
largely unregulated. See "Regulation" below. Forward contracts are not
"cleared" or guaranteed by a third party. Thus, the Fund is subject to the
creditworthiness of the dealer with whom the trade is done. There also is no
daily settlement of unrealized gains or losses on open foreign exchange
contracts as there is with futures contracts on U.S. exchanges. See "Risk
FactorsMarket Risks."
C. Regulation. The U.S. futures markets are regulated under the
Commodity Exchange Act, which is administered by the CFTC, a federal agency
created in 1974. The CFTC licenses and regulates commodity exchanges, commodity
brokerage firms (referred to in the futures industry as "futures commission
merchants"), commodity pool operators, commodity trading advisors and others.
Campbell & Company (the general partner and trading advisor) is licensed by the
CFTC as a commodity pool operator and commodity trading advisor. Futures
professionals are also regulated by the NFA, a self-regulatory organization for
the futures industry that supervises the dealings between futures professionals
and their customers. If the pertinent CFTC licenses or NFA memberships were to
lapse, be suspended or be revoked, Campbell & Company would be unable to act as
the Fund's commodity pool operator and commodity trading advisor.
The CFTC has adopted disclosure, reporting and recordkeeping requirements
for commodity pool operators and disclosure and recordkeeping requirements for
commodity trading advisors. The reporting rules require pool operators to
furnish to the participants in their pools a monthly statement of account,
showing the pool's income or loss and change in Net Asset Value, and an annual
financial report, audited by an independent certified public accountant.
The CFTC and the exchanges have pervasive powers over the futures markets,
including the emergency power to suspend trading and order trading for
liquidation only (i.e., traders may liquidate existing positions but not
establish new positions). The exercise of such powers could adversely affect
the Fund's trading.
The CFTC does not regulate forward contracts. Federal and state banking
authorities also do not regulate forward trading or forward dealers. The
Securities and Exchange Commission has indicated that it may consider foreign
exchange contracts to constitute securities for purposes of the Investment
Company Act of 1940 (which regulates mutual funds) and the Investment Advisers
Act of 1940 (which regulates advisers which render advice with respect to
securities). Were the SEC to require the Fund to register under the Investment
Company Act of 1940 or the CFTC to prohibit the Fund from trading foreign
currency forward contracts, Campbell & Company would likely trade foreign
currency futures contracts instead of forward contracts. Trading in foreign
currency futures contracts may be less liquid and the Fund's trading results
may be adversely affected.
D. Margin. In order to establish and maintain a futures position, a
trader must make a type of good-faith deposit with its broker, known as
"margin," of approximately 2%-10% of contract value. Minimum margins are
established for each futures contract by the exchange on which the contract is
traded. The exchanges alter their margin requirements from time to time,
sometimes significantly. For their protection, commodity brokers may require
higher margins from their customers than the exchange minimums. Margin also is
deposited in connection with forward contracts but is not required by any
applicable regulation.
There are two types of margins. "Initial" margin is the amount a trader is
required to deposit with its broker to open a futures position. The other type
of margin is "maintenance" margin. When the contract value of a trader's
futures position falls below a certain percentage (typically about 75%) of its
value when the trader established the position, the trader is required to
deposit additional margin in an amount equal to the loss in value.
Section 14. AGREEMENT OF LIMITED PARTNERSHIP
Set forth below is a description of certain terms and provisions, not
previously summarized in this Prospectus, of the Limited Partnership Agreement,
a form of which is attached as Exhibit A hereto and is incorporated herein by
reference. The following description is a summary only and is qualified in its
entirety by this reference.
A. Organization and Limited Liabilities. The Fund is organized under the
Delaware Revised Uniform Limited Partnership Act ("RULPA"). Interests in the
Fund other than those of Campbell & Company, are evidenced by Units of Limited
Partnership Interest. Each Unit, when issued, is fully paid and non-assessable.
In general, a Limited Partner's liability under RULPA is limited to the amount
of his capital contribution and his share of any undistributed profits.
However, if a Limited Partner receives a return of any part of his capital
contribution, (without violation of the Limited
44
<PAGE> 47
Partnership Agreement or RULPA), he is liable to the Fund for a period of one
year thereafter for the amount of the returned contribution, but only to the
extent necessary to discharge the Fund's liabilities to creditors who extended
credit to the Fund during the period the contribution was held by the Fund.
Under RULPA, a Limited Partner also is liable to the Fund for the amount of
any part of his capital contribution returned to him, for a period of six
years, but only if such return was in violation of the Limited Partnership
Agreement or RULPA. See Article 7 of the Limited Partnership Agreement. If a
Limited Partner exerts management control over the Fund, in contravention of
the Limited Partnership Agreement or RULPA, he may become liable as a general
partner. Campbell & Company, as general partner, is not personally liable for
the return of the capital or profits of any Limited Partner. Such return of
capital shall be solely from the assets of the Fund. See Article 14 of the
Limited Partnership Agreement.
B. Management of Partnership Affairs. Under the Limited Partnership
Agreement, responsibility for managing the Fund is vested solely in Campbell &
Company. Complete trading authority also is in the hands of Campbell & Company.
To facilitate the execution of various documents by Campbell & Company on
behalf of the Fund and the Limited Partners, the Limited Partners must execute
the attached Subscription Agreement and Power of Attorney (Exhibit D),
appointing Campbell & Company with power of substitution, as their
attorney-in-fact. The Limited Partners will take no part in the management of
the Fund. If any Limited Partner takes part in the control of the business of
the Fund, the limited liability of such Limited Partner may be jeopardized.
C. Sharing of Profits and Losses. (i) Fund Accounting. Each Partner has
a capital account, with an initial balance equal to the amount he paid for the
Units. The Net Assets of the Fund are determined monthly, and any increase or
decrease from the end of the preceding month is added to or subtracted from the
accounts of the Partners in the ratio that each account bears to all accounts.
(ii) Federal Tax Allocation. At the end of each fiscal year, the Fund's
realized capital gain or loss, realized ordinary income or loss, and capital
gain or loss to be taken into account after marking-to-market at year-end, are
allocated among the Partners in proportion to their capital accounts and each
Partner is required to include in his income tax return his share of such
items. See Article 7 of the Limited Partnership Agreement, and "Federal Income
Tax Aspects."
Net capital gain is allocated first to each Partner who has redeemed Units
during the year to the extent that the amount he receives on redemption exceeds
the tax basis of the Units. Remaining profit is allocated among all Partners in
proportion to each Partner's capital account.
Net capital loss is allocated first to each Partner who has redeemed Units
during the year to the extent that the tax basis of the Units redeemed exceeds
the amount he receives on redemption. Remaining loss is allocated among all
Partners in proportion to each Partner's capital account.
The allocations described above will be recognized for Federal income tax
purposes provided they have "substantial economic effect." For purposes of
these allocations, the amount each Partner paid for his or her Units will be
deemed to have increased by the amount of taxable income allocated to him and
reduced by any distributions he has received and the amount of losses allocated
to him.
Upon liquidation of the Fund, the assets of the Fund will be distributed
to each Partner in the ratio that his capital account bears to the accounts of
all Partners.
D. Dispositions. A Limited Partner may, subject to compliance with
applicable federal and state securities laws, assign his Units in the Fund upon
30 days' notice to the Fund and Campbell & Company, as described in Article 10
of the Limited Partnership Agreement. Insofar as the Fund tax allocations
discussed under "Sharing of Profits and Losses," above, are concerned,
assignees receive "carry-over" tax basis accounts and capital accounts from
their assignors, irrespective of the amount paid for the assigned Units.
There are no certificates for the Units. Any transfers of Units will be
reflected on the books and records of the Fund. Transferors and transferees of
Units will each receive notification from Campbell & Company to the effect that
transfers have been duly so reflected. No person who is assigned Units shall
become a substituted Limited Partner without the consent of Campbell & Company.
Unless such person shall have been admitted to the Fund as a Limited Partner,
he shall not have any of the rights of a Limited Partner except to receive that
share of capital and profits and right of redemption possessed by the person
who assigned him the Units. Campbell & Company has complete discretion to
withhold consent to a transferee becoming a substituted Limited Partner but
only intends to do so in order to prevent or minimize potential adverse legal
or tax consequences to the Fund. See Article 10 of the Limited Partnership
Agreement.
E. Dissolution and Termination of the Fund. The Fund will be terminated
and dissolved promptly thereafter upon the happening of the earlier of: (i) the
expiration of the Fund's stated term on December 31, 2023; (ii) an election to
dissolve the Fund at any time by Limited Partners owning more than 50% of the
Units then outstanding; (iii) the withdrawal of Campbell & Company unless one
or more new general partners have been elected or appointed pursuant to the
Partnership Agreement; or (iv) any event which shall make unlawful the
continued existence of the Fund. The Fund can be dissolved by
45
<PAGE> 48
operation of law under certain circumstances such as the judicial dissolution
of Campbell & Company or the Fund. Such dissolution could occur if it were not
reasonably practicable to carry on the business of the Fund in conformity with
the Limited Partnership Agreement such as the bankruptcy of Campbell & Company.
Any distribution to Limited Partners upon termination or liquidation shall be in
cash. See Article 4 of the Limited Partnership Agreement.
F. Amendments and Meetings. The Limited Partnership Agreement may be
amended by an instrument signed by Campbell & Company provided that it be
approved by the Limited Partners owning more than a majority of the Units then
owned by the Limited Partners.
Any Limited Partner, upon request to Campbell & Company, may obtain from
Campbell & Company (subject to confirmation that the information will not be
used for commercial purposes) a list of the names and addresses of record of
all Limited Partners and the number of Units held by each. Upon receipt of a
written request signed by the Limited Partners owning at least 10% of the Units
then owned by Limited Partners that a meeting of the Fund be called to consider
any matter upon which Limited Partners may vote pursuant to the Limited
Partnership Agreement, Campbell & Company shall by written notice to each
Limited Partner of record, mailed within 15 days after receipt of such request,
call a meeting of the Fund. Such meeting shall be held at least 30 days but not
more than 60 days after the mailing of such notice, and such notice shall
specify the date, a reasonable time and place, and the purpose of such meeting.
At any such meeting, upon the affirmative vote of Limited Partners owning
a majority of the Units, the following actions may be taken: (i) the Limited
Partnership Agreement may, with certain exceptions, be amended without the
consent of Campbell & Company; (ii) the Fund may be dissolved; (iii) contracts
with Campbell & Company may be terminated; (iv) Campbell & Company may be
removed and replaced as general partner; and (v) the sale of all assets of the
Fund may be approved. See Article 16 of the Limited Partnership Agreement.
Campbell & Company may make certain minor changes to the Limited
Partnership Agreement without approval of the Limited Partners. Such changes
include (i) clarifying any inconsistencies including between the Agreement and
the Prospectus, (ii) amendments which would benefit the Limited Partners and
are required by federal or state regulators, and (iii) other amendments which
are not materially adverse to the Limited Partners.
G. Indemnification. The Fund has agreed to indemnify Campbell & Company,
as general partner, under certain circumstances. Indemnification by the Fund is
permitted only if (i) Campbell & Company's conduct was in the best interests
and on behalf of the Fund and (ii) the conduct was not the result of negligence
or misconduct on the part of Campbell & Company. Indemnification by the Fund
for alleged violation of securities laws is more restricted, i.e., requiring
successful adjudication of the underlying claims or affirmative court approval
of the indemnification payment. See Article 15 of the Limited Partnership
Agreement.
H. Reports to Limited Partners. The books and records of the Fund are
maintained at its principal office and the Limited Partners have the right, at
all times during reasonable business hours, to have access to and copy the
Fund's books and records in person or by authorized attorney or agent. In
addition, a Limited Partner may obtain from Campbell & Company a list of all
Limited Partners together with the number of Units owned by each Limited
Partner provided such request is not for commercial purposes. Each month
Campbell & Company will report to the Limited Partners an unaudited balance
sheet and income statement of the prior month's activities as required by the
CFTC. Additionally, audited financial statements will be distributed to the
Limited Partners not more than 90 days after the close of the Fund's fiscal
year. The annual audited financial statements will be accompanied by a fiscal
year-end summary of the information contained in the monthly reports described
above and any other information required by the CFTC. Campbell & Company will
distribute, not more than 75 days after the close of such fiscal year, tax
information necessary for the preparation of the Limited Partners' annual
Federal income tax returns. See Article 9 of the Limited Partnership Agreement.
In the event Net Asset Value per Unit as of the end of any business day
declines by 50% or more from either the initial Unit value prior to trading or
the prior month-end Unit value, Campbell & Company will suspend trading
activities, notify all Limited Partners of the relevant facts within seven
business days and declare a special redemption period.
Section 15. FEDERAL INCOME TAX ASPECTS
A. Introduction. Campbell & Company has received an opinion from its
counsel, Foley & Lardner, that the following section correctly describes
(subject to the uncertainties referred to below) the material federal income
tax consequences, as of the date hereof, of an investment in the Fund to an
investor who is an individual citizen or resident of the United States and who
holds the Units as a capital asset.
The following description is based upon the Internal Revenue Code of 1986,
as amended (the "Code"), and rules, regulations and existing interpretations
relating thereto, any of which could be changed at any time. A complete
discussion of all federal, state and other tax aspects of an investment in the
Fund is beyond the scope of the following summary and prospective investors
must consult their own tax advisers on such matters. Moreover, this discussion
does not address all possible categories of investors, some of whom may be
subject to special rules. The tax and other matters described in this
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Prospectus do not constitute and should not be considered as, legal or tax
advice to prospective investors.
Administrative controversy or litigation may result over tax aspects of
the Fund. Such controversy or litigation could be time-consuming and costly for
the Limited Partners. Further, the likelihood of such controversy or the
outcome thereof cannot be predicted.
If Fund operations are not conducted in conformity with the description
contained herein due to changes in circumstances or otherwise, or if such
operations are continued by a successor or amended Fund following the removal
or resignation of Campbell & Company, the tax consequences of such operations
may differ from those discussed herein.
B. Partnership Classification. For federal income tax purposes, a
partnership is not a taxable entity, but rather is a conduit through which tax
deductions and taxable income are passed to the partners. Each partner in a
partnership is separately liable for income tax on his share of partnership
items and is required to report separately his share of any item of income,
gain, deduction, loss or credit of the partnership. A partner must report and
pay tax on his share of partnership income whether or not cash is actually
distributed to him to pay such a tax.
Under the Code and applicable Treasury regulations, an organization is
generally classified for federal income tax purposes as a partnership and not
as an association taxable as a corporation if the organization (i) does not
elect to be taxed as a corporation and (ii) did not have a preponderance of
the corporate characteristics described in the Treasury regulations under Code
Section 7701 in years prior to 1997. Campbell & Company has received an opinion
from Foley & Lardner to the effect that the Fund will be classified for federal
income tax purposes as a partnership and not as an association taxable as a
corporation because the Fund did not have a preponderance of those corporate
characteristics set forth in the applicable Treasury regulations under Code
Section 7701 in years prior to 1997. The fund does not intend to be taxed as a
corporation. A ruling with respect to partnership classification has not been
requested from the IRS and Campbell & Company does not intend to request such a
ruling but will rely on the opinion referred to above.
Should the Fund be classified under the Code Section 7701 Treasury
regulations as an association taxable as a corporation for federal income tax
purposes (or be considered to be a publicly-traded partnership that is treated
as a corporation under Code Section 7704, as discussed in C below), the income
and expense of the Fund would be reported by the Fund and the Fund would be
required to pay income taxes upon its net income, if any, at the rates
generally applicable to corporations. Limited Partners would not be liable for
income tax on the Fund's net income in their individual capacities and would
not be entitled to claim the Fund's losses on their individual returns.
Distributions to Limited Partners would be treated as taxable dividends to the
extent of current or accumulated earnings and profits of the Fund.
Distributions in excess of current or accumulated earnings and profits would be
treated first as a reduction of basis, and then as capital gain.
C. Publicly-Traded Partnership Status. Under Code Section 7704, certain
"publicly-traded partnerships" ("PTPs") are treated as corporations for federal
income tax purposes. Thus, even though the Fund is expected to be classified as
a partnership under the Code Section 7701 Treasury regulations discussed above,
the Fund will be taxed as a corporation if it is a PTP and it does not satisfy
the gross income requirements specified in Code Section 7704(c). A PTP is any
partnership whose interests are (i) "traded on an established securities
market," or (ii) "readily tradeable on a secondary market (or the substantial
equivalent thereof)." Treasury regulations were recently promulgated under Code
Section 7704. It is likely that the Fund will be treated as a PTP under these
regulations. However, Campbell & Company intends to operate the Fund so that it
will continue to satisfy the gross income requirements of Code Section 7704(c).
Accordingly, even if the Fund is considered to be a PTP, the Fund should not be
treated as a corporation under Code Section 7704(a) provided that the Fund
satisfies the gross income requirements of Code Section 7704(c). However, a
ruling with respect to these PTP issues has not been and will not be requested
from the IRS and there is no assurance that the IRS will not assert that the
Fund is a PTP that is treated as a corporation.
D. Fund Allocations. For federal income tax purposes, a Limited
Partner's distributive share of items of Fund income, gain, loss, deduction or
credit generally is determined by the Limited Partnership Agreement. The
Limited Partnership Agreement contains a description of the method of
allocation of such items. Under this method of allocation, appreciation or
depreciation of Fund assets which economically occurs prior to or subsequent to
a Partner's ownership of his Units is not allocated to that Partner, and thus,
in a given year the Fund may recognize an overall gain but some Partners may be
allocated a gain for tax purposes greater than the Fund's overall gain, while
other Partners may be allocated a loss for tax purposes. Campbell & Company
believes that such allocations will be respected for tax purposes, and the
Treasury regulations under Code Section 704 appear to support that belief.
If the allocation contained in the Limited Partnership Agreement were
determined to lack "substantial economic effect," each Limited Partner's
distributive share of items of Fund income, gain, loss, deduction or credit
would be determined in accordance with his interest in the Fund (taking into
account all the facts and circumstances). Alternatively, if the allocation were
determined to constitute a retroactive allocation of Fund items to Limited
Partners who have had some or all of their Units redeemed, each Limited
Partner's distributive share would be determined strictly in accordance with
his varying interests in the Fund during its taxable year. In either case, such
a reallocation of Fund items might result in Limited Partners who have not
redeemed Units during the taxable year being required to include a larger share
of Fund income or loss for such taxable year than would be allocated to them by
the Limited Partnership Agreement.
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E. "At-Risk" Limitation and Basis Adjustments. The amount of Fund loss
(including capital loss) which a Limited Partner is entitled to include on his
personal income tax return is limited to the lesser of the tax basis or the
"at-risk" basis of his Units as of the end of the Fund's taxable year in which
such loss occurs.
Generally, a Limited Partner's initial tax basis in his Units will be the
amount paid for his Units. A Limited Partner's initial "at-risk" basis in his
Units will generally also equal the amount paid for such Units. However, a
Limited Partner who borrows funds to purchase all or a portion of his Units can
include this amount in his at-risk basis only if such Limited Partner is
personally liable to repay the debt or has pledged property other than his
Units with respect to the borrowed funds. A Limited Partner's "at-risk" basis
does not include amounts borrowed from persons who have a proprietary interest
in the Fund or from certain related persons or amounts borrowed for which he is
protected against loss through guarantees or similar arrangements. A Limited
Partner's at-risk basis also includes his share of liabilities incurred by the
Fund to the extent he is personally liable
therefor, but it is not anticipated that any Limited Partner will be personally
liable to creditors of the Fund, except to the limited extent described in
"Agreement of Limited Partnership." A Limited Partner's tax basis and "at-risk"
basis for his Units generally are reduced by his share of Fund distributions,
losses and expenses allocated to him and increased by his share of Fund income,
including gains.
F. Application of Passive Loss Rules. Code Section 469 contains rules
("Passive Loss Rules") designed to prevent investors from deducting losses
related to "passive activities" except to the extent of income resulting from
such activities. However, temporary Treasury regulations provide that a
partnership engaged in trading personal property (e.g., commodity futures) will
not be treated as engaged in a passive activity, even if the partnership is
engaged in a trade or business. Accordingly, Fund income allocable to the
Limited Partners may not be offset by passive losses separately incurred by the
Limited Partners, and Fund losses will not be subject to limitation under the
Passive Loss Rules.
G. Cash Distributions and Redemptions. Cash distributions to a Limited
Partner by the Fund (whether or not in redemption of the Limited Partner's
interest) are treated first as a nontaxable reduction of basis and then as
capital gain. A Limited Partner will recognize a loss upon a complete
redemption of his interest in the Fund in which no property other than cash is
distributed to such Limited Partner to the extent the Limited Partner's tax
basis exceeds the amount of cash received. If the Limited Partner has held his
Units for more than one year, such gain or loss is generally long-term capital
gain or loss.
H. Taxation of Transactions. (i) Section 1256 Contracts. Any Section
1256 contracts held by the Fund as capital assets at the end of the taxable
year generally are "marked to market" (i.e., the net unrealized gain or loss
from each such contract is treated as if such gain or loss were realized on
such date). Section 1256 contracts include futures contracts (a) with respect
to which the amount required to be deposited and the amount which may be
withdrawn is required to be adjusted according to a system of
"marking-to-market," and (b) which are traded on a United States exchange
regulated by the CFTC (or on any other exchange determined by the Secretary of
the Treasury to have rules adequate for purposes of the "mark-to-market" rules
of the Code).
Any gain or loss recognized by the Fund on Section 1256 contracts (as a
result of the mark-to-market rules on unrealized appreciation or otherwise) is
deemed to consist of 60% long-term capital gain or loss and 40% short-term
capital gain or loss. Currently, the maximum stated tax rate on net capital
gains (the excess of net long-term capital gains over net short-term capital
losses) is 28% while the maximum stated tax rate on all other income is 39.6%.
Each Limited Partner will be required to take into account his distributive
share of the gain or loss on the Section 1256 contracts held by the Fund in
computing his federal income tax liability.
The amount of such unrealized gain or loss recognized with respect to a
Section 1256 contract generally is determined by reference to the prices quoted
for such Section 1256 contract on the exchange on the last business day of the
Fund's taxable year. (Appropriate adjustments are made to the gain or loss
subsequently realized on disposition or closing out of Section 1256 contracts
to reflect the fact that unrealized gain or loss was reported at the close of a
prior taxable year.) Moreover, taking or making delivery of the underlying
property on a Section 1256 contract also results in recognition of gain or
loss.
(ii) Foreign Currency Contracts and Futures Options. Section 1256
contracts also include (a) certain foreign currency forward contracts which are
traded on the interbank market and entered into at an arm's-length price
determined by reference to the price in the interbank market, and with respect
to which there is trading in Section 1256 contracts on the underlying currency,
and (b) nonequity options, including options on Section 1256 contracts
("futures options"). In addition, exercise or assignment of a futures option
constitutes a taxable event requiring recognition of gain or loss. Foreign
currency contracts may be affected by Section 988 of the Code. Section 988
provides that gains or losses related to foreign currency contracts generally
will be treated as ordinary gain or loss. Section 988 also provides the ability
for a taxpayer to make certain elections including an election to be treated as
a "qualified fund" provided the Fund meets certain ownership, activity, and
income tests. Such elections generally allow the gain or loss on Section 988
transactions to be treated as capital gain or loss. The Fund has not made such
elections and has not determined whether such elections will be made. If such
an election is made for a taxable year, the election will be effective for such
year and all succeeding taxable years unless
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revoked with the consent of the IRS. Dealer equity options are also Section
1256 contracts, but limited partners of option dealers do not receive 60/40
treatment on such options but rather treat all gains or losses on such options
as short-term capital gains or losses. An "equity option" is any option to buy
or sell stock, or any option the value of which is determined by reference to
any stock or stock index, except for any option with respect to a group of
stocks or stock index for which there is a qualified CFTC-designated contract
market.
(iii) Treasury Bills. The accrued discount on Treasury bills is included
in income on a pro rata basis.
I. Limitation on Deductibility of Capital Losses. The excess of capital
losses over capital gains is deductible by an individual against ordinary
income, subject to an annual limitation of $3,000. If a taxpayer other than a
corporation has a net loss on Section 1256 contracts for a taxable year, the
taxpayer may elect to carry such loss back three taxable years and deduct it
against net gains on Section 1256 contracts included in the taxpayer's income
for such years (as described above). Losses so carried back are deemed to
consist of 60% long-term capital loss and 40% short-term capital loss, and, to
the extent not used to offset gains on Section 1256 contracts in a carryback
year, carry forward as losses on Section 1256 contracts to future years.
Capital losses of a taxpayer other than a corporation which are not
attributable to a Section 1256 contract may not be carried back.
J. Alternative Minimum Tax. In certain circumstances, taxpayers may be
subject to an alternative minimum tax in addition to regular taxable income.
Long-term capital gains and gains on Section 1256 contracts no longer result in
tax preference items for purposes of the alternative minimum tax.
K. Deductibility of Investment Interest. The deduction of interest on
funds borrowed to acquire or carry investment assets is limited to net
investment income (as defined in Code Section 163(d)). Net long-term capital
gains no longer constitute investment income for purposes of Code Section
163(d), except to the extent the taxpayer elects to treat such gains as
ordinary income.
L. Tax Elections. The Code provides for optional adjustments to the
basis of Fund property upon distributions of Fund property to a Limited Partner
(Code Section 734) and transfers of Units, including by reason of death (Code
Section 743), provided that an election has been made pursuant to Code Section
754. The general effect of such an election is that transferees of Units are
treated as though they had acquired a direct interest in the Fund property and
the Fund is treated upon certain distributions to the Limited Partners as
thought it had acquired a new cost basis for such property. Any such election,
once made, is irrevocable without the consent of the IRS. Because all
redemptions are at Net Asset Value per Unit and, for both federal income tax
and financial statement purposes, the Fund has adopted the accrual method of
accounting and allocates gains, losses and other items (including for federal
income tax purposes) to the Limited Partners who economically realize them, it
is not clear whether adoption of a Code Section 754 election significantly
changes the tax consequences to the Limited Partners. Accordingly, Campbell &
Company has not made such an election and reserves the right not to make such
an election, particularly in view of the additional complexity and the
administrative costs that would be incurred by the Fund.
M. Limited Deduction For Certain Expenses. For individual taxpayers,
expenses of producing income, including investment adviser fees, are aggregated
with employee business expenses and other expenses of producing income
(collectively, "Miscellaneous Itemized Deductions"), and the aggregate amount
of such expenses is deductible only to the extent such amount exceeds 2% of the
taxpayer's adjusted gross income. Unless the Fund is treated as engaged in a
"trade or business" (see discussion below), any Brokerage Fees or performance
fees payable to Campbell & Company will likely be treated as Miscellaneous
Itemized Deductions for this purpose. In addition, the treatment of such fees
as Miscellaneous Itemized Deductions may create or increase the liability of a
non-corporate Limited Partner for the alternative minimum tax.
Individual taxpayers are subject to further limitations on the use of
certain itemized deductions (including Miscellaneous Itemized Deductions). The
aggregate amount of such deductions is allowable only to the extent that they
exceed 3% of the amount by which the adjusted gross income exceeds specified
levels (in 1995, $114,700 for married individuals filing joint returns and
single individuals).
It is Campbell & Company's position that the Fund may be deemed to be
engaged in a trade or business. If this position is sustained, the Brokerage
Fees and performance fees would be deductible as ordinary and necessary
business expenses for both regular and alternative minimum tax purposes and
would not be subject to the 2% rule or the 3% rule described above. However, it
is uncertain whether the IRS, upon audit, will agree that the Fund is engaged
in a trade or business.
N. Fund Audits. Any IRS examination relating to the tax treatment of
items of the Fund would be conducted in a single unified proceeding at the Fund
level, and not in separate proceedings with each individual Partner. The tax
matters partner responsible for handling an IRS audit of the Fund is Campbell &
Company. Any such Fund audit may lead to adjustments, in which event the
Limited Partners may be required to file amended personal federal income tax
returns. In addition, any such audit could lead to an audit of a Limited
Partner's individual tax return, which may in turn, lead to adjustments other
than those relating to items of the Fund. In certain circumstances, a Limited
Partner may be bound by any settlement of disputed tax issues reached between
the IRS and the Fund. The Fund (and, in some cases, a Limited Partner) may also
appeal any disputed issues to an appropriate judicial tribunal for review.
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O. Syndication Costs. The Fund's organization and offering expenses
generally will not be deductible or amortizable by the Fund or its Partners. It
is possible that the IRS could take the position that all or a portion of the
selling commission or Brokerage Fee may constitute a non-deductible syndication
cost.
P. State and Local Taxes. In addition to the federal income tax
consequences described above, the Fund and the Limited Partners may incur tax
liabilities under the state and local income tax laws of various jurisdictions,
including the jurisdiction of a Partner's residence, and the jurisdiction where
the Fund is organized, whether or not a Partner is a resident thereof. The
state and local laws vary from one locale to another and like the federal
income tax laws, are both complex and subject to change. A Limited Partner's
distributive share of the realized profits of the Fund may be required to be
included in determining his reportable income for state tax purposes. Each
Limited Partner is advised to consult his own tax advisers concerning these
matters.
Q. Laws Subject to Change. The various statutory provisions and
regulations discussed herein are subject to interpretation by the courts and to
amendment by legislative or administrative action. No prediction can be made as
to what new legislation or regulations will be proposed or considered in the
future, nor can any predictions be made as to whether any currently proposed
legislation or regulations will be adopted and, if adopted, whether there will
be any retroactive application resulting in adverse tax consequences to the
Fund or any Limited Partners.
Section 16. INVESTMENT BY ERISA ACCOUNTS
The purchase of Units by an employee benefit plan is subject to certain
additional considerations because investments by such plans are subject to the
Employee Retirement Income Security Act of 1974, as amended ("ERISA"), as well
as certain restrictions imposed by Section 4975 of the Code. Persons investing
on behalf of any employee benefit plan (as such term is defined in Section 3(3)
of ERISA) or any plan described in Section 4975(e)(1) of the Code (all such
employee benefits plans and plans are collectively referred to herein as
"employee benefit plan investors" or "plans," and individually as an "employee
benefit plan investor," or "plan") are required to determine whether such
investments will satisfy the prudence, diversification, prohibited transaction
and other standards set forth in ERISA or the Code, as the case may be. Any
such person must also evaluate the risk (as discussed more fully below) that
unintended ERISA or Code prohibited transaction questions or fiduciary duty
delegation questions may arise if the underlying assets of the Fund are treated
under ERISA or the Code as assets of the employee benefit plan investors. The
person with investment discretion on behalf of an employee benefit plan
investor should consult his or her attorney or other adviser with regard to
whether the purchase of Units is a proper investment for such plan.
For investment by employee benefit plans pursuant to which participants
exercise control over the assets in their account (so called "self-directed
plans"), investor suitability requirements must be met by the plan participant,
as opposed to the trustee or custodian of the account under the plan.
The Department of Labor ("DOL") has issued regulations, which describe the
circumstances under which an employee benefit plan investor may invest in a
partnership without the underlying assets of such partnership being considered
"plan assets." Under these regulations, if the Fund's Units qualify as
"publicly-offered securities," the assets of the Fund will not constitute
assets of the employee benefit plans that purchase Units. Campbell & Company
believes that the Units are publicly-offered securities. In the event Campbell
& Company reaches a different conclusion in the future, it may be compelled to
redeem some or all of such Units.
Campbell & Company believes that the Fund's income will not constitute
"unrelated business taxable income" under Section 511 of the Code.
Unless certain precautions are undertaken to ensure that no prohibited
transactions or other fiduciary self-dealing results from an employee benefit
plan's purchase of Units, Units may not be purchased with the assets of an
employee benefit plan if Campbell & Company, the Commodity Broker, the Foreign
Exchange Dealers or any of their respective affiliates either: (a) has
investment discretion with respect to the investment of such plan assets; (b)
has authority or responsibility to, or regularly gives investment advice with
respect to such plan assets, for a fee, and pursuant to an agreement or
understanding that such advice will serve as a primary basis for investment
decisions with respect to such plan assets and that such advice will be based
on the particular investment needs of the plan; or (c) is an employer
maintaining or contributing to such plan.
ACCEPTANCE OF SUBSCRIPTIONS ON BEHALF OF AN EMPLOYEE BENEFIT PLAN IS IN NO
RESPECT A REPRESENTATION BY THE FUND, CAMPBELL & COMPANY, THE COMMODITY BROKER,
OR SELLING AGENTS THAT THIS INVESTMENT MEETS ALL RELEVANT LEGAL REQUIREMENTS
WITH RESPECT TO INVESTMENTS BY ANY PARTICULAR PLAN, OR THAT THIS INVESTMENT IS
APPROPRIATE FOR ANY PARTICULAR PLAN. THE PERSON WITH INVESTMENT DISCRETION
SHOULD CONSULT WITH HIS ATTORNEY AS TO THE PROPRIETY OF SUCH AN INVESTMENT IN
LIGHT OF THE CIRCUMSTANCES OF THE PARTICULAR PLAN.
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Section 17. PLAN OF DISTRIBUTION
A. Subscription Procedure
The Fund is offering $117,057,967of Units to the public during the
Continuing Offering Period at the Net Asset Value per Unit as of the last day
of the month in which the subscription is accepted. Subscriptions will be
accepted as of the first business day of the month immediately following the
month-end in which the subscription and cleared payment therefor are received,
provided such subscription is received at least ten business days prior to such
month-end. The Continuing Offering Period may be terminated by Campbell &
Company at any time.
Any purchases of Units by Campbell & Company will be for investment
purposes only and not with a view toward resale.
An investor who meets the suitability standards set forth below must
complete, execute and deliver to the relevant Selling Agent a copy of the
Subscription Agreement and Power of Attorney attached as Exhibit D hereto.
Subscription payments may be made by means of a check accompanying the executed
signature page and made payable to "Mercantile Safe & Deposit Trust Company, as
Escrow Agent for Campbell Strategic Allocation Fund, L. P., Escrow Account No.
66127-09." All subscriptions will be forwarded to the Escrow Agent by noon of
the next business day following their receipt. The determination of whether to
accept or reject the subscription will be made by Campbell & Company within
five business days of receipt of the subscription.
Subscription payments also may be made by authorizing the subscriber's
Selling Agent to debit his customer securities
account for the amount of his subscription. The account will be debited on a
settlement date specified by the Selling Agent and the amounts so debited will
be transmitted directly to the Escrow Agent. The check or wire transfer should
be made payable as described in the previous paragraph. The settlement date
shall be no later than five business days following notification of acceptance
of the subscription and in no event later than the termination of the
Continuing Offering Period. All subscriptions are irrevocable once subscription
payments have been deposited in escrow.
Subscribers will earn interest while such subscription funds are held in
escrow whether or not the subscription is accepted. Subscribers whose
subscriptions are rejected will be refunded their subscription with interest
actually earned within five business days. Subscribers whose subscriptions are
accepted will be issued fractional Units (to three decimal places) in an amount
equal to the interest earned on their subscription. Subscription funds will be
invested in short-term United States Treasury bills or comparable authorized
instruments while held in escrow pending investment in the Units and,
accordingly, will earn interest at the prevailing rates on such instruments. No
fees will be charged on any subscriptions while held in escrow.
B. Investor Suitability
There can be no assurance that the Fund will achieve its objectives or
avoid substantial losses. An investment in the Fund is suitable only for a
limited segment of the risk portion of an investor's portfolio and no one
should invest more in the Fund than he can afford to lose. The subscriber's
Selling Agent is responsible for determining if the Units are a suitable
investment for the investor.
At an absolute minimum, investors contemplating even a $10,000 investment
in the Fund must have (i) a net worth of at least $150,000 (exclusive of home,
furnishings and automobiles) or (ii) an annual gross income of at least $45,000
and a net worth (as calculated above) of at least $45,000. No one may invest
more than 10% of his net worth (as calculated above) in the Fund.
THE FOREGOING STANDARDS (AND THE ADDITIONAL STANDARDS APPLICABLE TO
RESIDENTS OF CERTAIN STATES AS SET FORTH UNDER "EXHIBIT CSUBSCRIPTION
REQUIREMENTS" HEREIN) ARE REGULATORY MINIMUMS ONLY. QUALIFICATION UNDER SUCH
STANDARDS BY NO MEANS NECESSARILY IMPLIES THAT AN INVESTMENT IN THE FUND IS
SUITABLE FOR A PARTICULAR INVESTOR. PROSPECTIVE SUBSCRIBERS SHOULD REVIEW
EXHIBIT C AND CONSIDER THE HIGHLY SPECULATIVE AND ILLIQUID NATURE OF AN
INVESTMENT IN THE FUND AS WELL AS THE HIGH RISK AND HIGHLY LEVERAGED NATURE OF
THE FINANCIAL INSTRUMENT MARKETS IN DETERMINING WHETHER AN INVESTMENT IN THE
FUND IS CONSISTENT WITH THEIR OVERALL PORTFOLIO OBJECTIVES AND BEFORE
DETERMINING WHETHER TO SUBSCRIBE FOR UNITS.
C. The Selling Agents
The Units are offered for sale through broker-dealers, referred to herein
as Selling Agents, on a best efforts basis without any firm underwriting
commitment. The offering is made in accordance with the Selling Agreements
between the Fund and each Selling Agent. Certain foreign dealers may elect to
participate in the offering as Selling Agents. Campbell & Company may terminate
the offering at any time.
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Selling commissions will not be paid from the proceeds of this offering.
Rather, the Selling Agents will receive from Campbell & Company, as general
partner, an amount up to 4% of the subscription amount as to any Units sold.
Campbell & Company also will pay ongoing payments to the Selling Agents (or
their assignees) which are registered as "futures commission merchants" or
"introducing brokers" (or obtain such registration prior to commencement of
such ongoing payments) in return for continuing services to the Limited
Partners of up to 4% per annum of the month-end Net Asset Value of Units which
remain outstanding beginning at the end of the thirteenth full month after the
Units were sold. Such Selling Agents may pay all or a portion of such ongoing
payments to account executives who are also registered with the CFTC and have
passed all applicable proficiency requirements.
Selling Agents and registered representatives who are not registered with
the CFTC as described above may receive additional selling commissions from
Campbell & Company, paid on the same basis as the ongoing payments, provided
that the total of such additional selling commissions plus the initial 4%
selling commission, salaries, expenses and bonuses of employees of Campbell &
Company engaged in wholesaling activities and per Unit offering costs properly
deemed to constitute costs allocable to the Selling Agents (such as a selling
brochure, seminar costs and travel expenses) do not exceed 10% of such Units'
initial sale price. Such ongoing payments, salaries and bonuses and additional
selling commissions may be deemed to constitute underwriting compensation.
H. Beck, Inc., a registered broker-dealer, solicits other broker-dealers
to become Selling Agents of the Fund, i.e., it acts as a wholesaler. As such,
H. Beck, Inc. does not act as an "underwriter" or "promoter" as defined in the
Securities Act of 1933 and the regulations thereunder. The Selling Agents, and
not H. Beck, Inc., have responsibility with respect to the solicitation of
prospective investors, including determination of suitability of such
investors. As compensation for its activities, H. Beck, Inc. receives up to
one-fourth of the selling commissions otherwise payable to the Selling Agents.
In the future, other broker-dealers may be engaged by the Fund to conduct
wholesaling activities. Certain employees of Campbell & Company will provide
wholesaling services as well and will receive compensation therefor. The
maximum annual aggregate amount of such compensation is estimated at $350,000.
Certain of the offering expenses paid by Campbell & Company might be
deemed to constitute costs properly allocated to the accounts of the Selling
Agents. Such costs will, for example, cover the expenses of producing a selling
brochure, organizing certain seminars and related travel expenses. Such costs
are estimated at approximately $50,000, and in no event shall the aggregate
amount of (i) such costs and (ii) the selling commission exceed 10% of the
gross proceeds of the offering of the Units, plus an additional 0.5% of such
proceeds in respect of reimbursement of bona fide due diligence expenses.
Other than as described above, no person is paid or will be paid any
commissions or other fees by the Fund, Campbell & Company or any affiliate of
the foregoing in connection with the solicitation of purchases for Units.
Campbell & Company will pay the Fund's offering expenses related to the
Continuing Offering and will be reimbursed, without interest, by the Fund in
30-month installment periods throughout the Continuing Offering Period. Such
reimbursement, however, will not exceed 2.5% of the aggregate subscriptions
accepted by Campbell & Company as general partner. Organization and offering
expenses related to the Initial Offering are being reimbursed in the same
manner. See "Charges to the Fund Offering Expenses".
In the Selling Agreement with each Selling Agent, Campbell & Company has
agreed to indemnify the Selling Agents against certain liabilities that the
Selling Agents may incur in connection with the offering and sale of the Units,
including liabilities under the Securities Act of 1933, as amended.
Section 18. CERTAIN LEGAL MATTERS
Legal matters in connection with the Units being offered hereby will be
passed upon for Campbell & Company and the Fund by Foley & Lardner, Chicago,
Illinois. In the future, Foley & Lardner may advise Campbell & Company (and its
affiliates) with respect to its responsibilities as general partner and trading
advisor of, and with respect to, matters relating to the Fund. The statements
under "Federal Income Tax Aspects" have been reviewed by Foley & Lardner.
Section 19. EXPERTS
The financial statements of the Fund as of and for the years ended
December 31, 1995 and 1994 and for the period May 11, 1993 (inception) to
December 31, 1993 and the balance sheet of Campbell & Company, Inc. as of
December 31, 1995, included in this Prospectus, have been audited by Arthur F.
Bell, Jr. & Associates, L.L.C., independent auditors, as stated in their
reports appearing herein. Such audited statements have been so included in
reliance upon such reports respectively, given upon the authority of that firm
as experts in auditing and accounting.
The financial statements of the Fund as of September 30, 1996 and for the
three months and nine months ended September 30, 1996 and 1995 and the balance
sheet of Campbell & Company, Inc. as of September 30, 1996 are unaudited. In
the opinion of Campbell & Company, Inc., such unaudited statements reflect all
adjustments, which were of a normal and recurring nature, necessary for a fair
presentation of financial position and results of operations.
52
<PAGE> 55
Section 20. ADDITIONAL INFORMATION
This Prospectus constitutes part of the Registration Statement filed by
the Fund with the Securities and Exchange Commission in Washington, D.C. This
Prospectus does not contain all of the information set forth in such
Registration Statement, certain portions of which have been omitted pursuant to
the rules and regulations of the Securities and Exchange Commission including,
without limitation, certain exhibits thereto (for example, the forms of the
Selling Agreement, the Advisory Agreement and the Customer Agreement). The
descriptions contained herein of agreements included as exhibits to the
Registration Statement are necessarily summaries, and the exhibits themselves
may be inspected without charge at the public reference facilities maintained
by the Commission in Washington, D.C., and copies of all or part thereof may be
obtained from the Commission upon payment of the prescribed fees.
53
<PAGE> 56
Section 21 INDEX TO FINANCIAL STATEMENTS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
Monthly Report of Partnership Activities (unaudited).............................................. 52
Unaudited Financial Statements for the Periods Ended September 30, 1996
and 1995, including Audited Statement of Financial Condition as of
December 31, 1995.............................................................................. 53
Notes to Unaudited Financial Statements........................................................... 56
Independent Auditor's Report...................................................................... 60
Audited Statements of Financial Condition as of December 31, 1995 and 1994........................ 61
Audited Statements of Operations for the Years Ended December 31, 1995
and 1994 and for the period May 11, 1993 (inception) to December 31, 1993...................... 62
Audited Statements of Changes in Partners' Capital for the Years Ended
December 31, 1995 and 1994 and for the period May 11, 1993 (inception) to
December 31, 1993.............................................................................. 63
Notes to Audited Financial Statements............................................................. 64
CAMPBELL & COMPANY, INC.
Unaudited Balance Sheet as of September 30, 1996.................................................. 68
Notes to Unaudited Financial Statement............................................................ 69
Independent Auditor's Report...................................................................... 74
Audited Balance Sheet as of December 31, 1995..................................................... 75
Notes to Audited Financial Statement.............................................................. 76
</TABLE>
Schedules are omitted for the reason that they are not required or are not
applicable or that equivalent information has been included in the financial
statements or notes thereto.
54
<PAGE> 57
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------
MONTHLY REPORT - NOVEMBER, 1996 FOR PARTNER #XXXX
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
<S> <C>
NAV per unit on 30-Nov-1996 $ 1,326.66
NAV per unit on 31-Oct-1996 $ 1,195.19
Monthly Gain (Loss) 11.00%
Number of units you own XXXX
Total value of units you own $ XXXXX
<CAPTION>
STATEMENT OF CHANGES IN NET ASSET VALUE
<S> <C>
Net Asset Value (71,129.483 units) at October 31, 1996 $ 85,013,424
Additions of 5,767.458 units on November 30, 1996 7,651,443
Redemptions of 642.132 units on November 30, 1996 (851,892)
Offering Costs (56,616)
Net Income (Loss) - November, 1996 9,407,483
Net Asset Value (76,254.809 units) at November 30, 1996 $101,163,842
============
Net Asset Value per Unit at November 30, 1996 $ 1,326.66
============
STATEMENT OF INCOME (LOSS)
Income:
Gains (losses) on futures contracts:
Realized $ 4,933,821
Change in unrealized 4,729,101
Gains (losses) on forward contracts:
Realized 0
Change in unrealized 2,372,515
Interest income 371,488
------------
12,406,925
Expenses:
Brokerage fee 653,973
Performance fee 2,317,944
Operating expenses 27,525
------------
2,999,442
------------
Net Income (Loss) - November, 1996 $ 9,407,483
============
To the best of my knowledge and belief, the information
contained herein is accurate and complete.
/s/ Theresa D. Livesey
----------------------------------------
Theresa D. Livesey, Chief Financial
Officer Campbell & Company, Inc.
General Partner
Campbell Strategic Allocation Fund, L.P.
Prepared without audit
- ------------------------------------------------------------------------------------------------------------------
Campbell & Company, Inc. 210 W Pennsylvania Ave Baltimore, Maryland 21204 Phone: (410) 296-3301
</TABLE>
55
<PAGE> 58
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
September 30, 1996 (Unaudited) and December 31, 1995 (Audited)
<TABLE>
<CAPTION>
September 30, December 31,
1996 1995
------------- ------------
<S> <C> <C>
ASSETS
Equity in broker trading accounts
Cash $ 4,484,905 $ 1,238,207
United States government securities 7,486,450 7,205,197
Unrealized gain on open futures contracts 3,879,914 2,798,738
------------- ------------
Deposits with broker 15,851,269 11,242,142
Cash and cash equivalents 51,880,159 32,491,237
United States government securities 2,980,265 2,985,505
Unrealized gain (loss) on open forward contracts 872,185 (227,297)
------------- ------------
Total assets $ 71,583,878 $ 46,491,587
============= ============
LIABILITIES
Accounts payable $ 93,792 $ 31,699
Brokerage fee 456,321 301,006
Redemptions payable 894,096 1,018,007
Offering costs payable 57,170 37,187
Subscription deposits 217,444 30,154
------------- ------------
Total liabilities 1,718,823 1,418,053
------------- ------------
PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner - 664.076 and 472.222 units outstanding
at September 30, 1996 and December 31,1995 705,886 459,018
Limited Partners - 65,063.074 and 45,897.894 units
outstanding at September 30, 1996 and
December 31, 1995 69,159,169 44,614,516
------------- ------------
Total partners' capital
(Net Asset Value) 69,865,055 45,073,534
------------- ------------
$ 71,583,878 $ 46,491,587
============= ============
</TABLE>
See accompanying notes.
56
<PAGE> 59
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
For the Three Months Ended September 30, 1996 and 1995 and
For the Nine Months Ended September 30, 1996 and 1995
(Unaudited)
<TABLE>
<CAPTION>
Three Months Ended Nine Months Ended
September 30, September 30,
1996 1995 1996 1995
---- ---- ---- ----
<S> <C> <C> <C> <C>
INCOME
Trading gains (losses)
Realized $ (1,670,524) $ 24,849 $ 4,519,403 $ 1,924,201
Change in unrealized 4,204,433 (496,100) 2,180,657 (411,742)
------------ --------- ----------- -----------
Gain (loss) from trading 2,533,909 (471,251) 6,700,060 1,512,459
Interest income 857,708 508,559 2,133,906 1,196,304
------------ --------- ----------- -----------
Total income 3,391,617 37,308 8,833,966 2,708,763
------------ --------- ----------- -----------
EXPENSES
Brokerage fee 1,298,071 704,349 3,360,357 1,704,754
Operating expenses 69,181 44,729 175,627 124,080
------------ --------- ----------- -----------
Total expenses 1,367,252 749,078 3,535,984 1,828,834
------------ --------- ----------- -----------
NET INCOME(LOSS) $ 2,024,365 $(711,770) $ 5,297,982 $ 879,929
============ ========= =========== ===========
NET INCOME (LOSS) PER
GENERAL AND LIMITED
PARTNER UNIT
(based on weighted average
number of units outstanding
during the period) $ 32.81 $ (19.11) $ 98.05 $ 29.07
============ ========= =========== ===========
INCREASE (DECREASE)
IN NET ASSET VALUE PER
GENERAL AND LIMITED
PARTNER UNIT $ 29.19 $ (23.93) $ 90.92 $ 33.03
============ ========= =========== ===========
</TABLE>
See accompanying notes.
57
<PAGE> 60
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
For the Nine Months Ended September 30, 1996 and 1995
(Unaudited)
<TABLE>
<Captiopn>
Partners' Capital
-----------------------------------------------------------------------------
General Limited Total
-------------------- ------------------- ------------------
Units Amount Units Amount Units Amount
----- ------ ----- ------ ----- ------
<S> <C> <C> <C> <C> <C> <C>
NINE MONTHS ENDED
SEPTEMBER 30, 1996
Balances at
December 31, 1995 472.222 $459,018 45,897.894 $44,614,516 46,370.116 $45,073,534
Additions 191.854 200,000 25,107.296 25,862,237 25,299.150 26,062,237
Net income for the nine months
ended September 30, 1996 51,316 5,246,666 5,297,982
Redemptions 0.000 0 (5,942.116) (6,125,322) (5,942.116) (6,125,322)
Offering costs (4,448) (438,928) (443,376)
------- -------- ---------- ----------- ---------- -----------
Balances at
September 30, 1996 664.076 $705,886 65,063.074 $69,159,169 65,727.150 $69,865,055
======= ======== ========== =========== ========== ===========
SIX MONTHS ENDED
SEPTEMBER 30, 1995
Balances at
December 31, 1994 253.300 $223,859 23,055.320 $20,375,537 23,308.620 $20,599,396
Additions 193.203 180,000 21,777.039 20,108,793 21,970.242 20,288,793
Net income for the nine months
ended September 30, 1995 7,786 872,143 879,929
Redemptions 0.000 0 (3,487.522) (3,233,135) (3,487.522) (3,233,135)
Offering costs (2,289) (218,244) (220,533)
------- -------- ---------- ----------- ---------- -----------
Balances at
September 30, 1995 446.503 $409,356 41,344.837 $37,905,094 41,791.340 $38,314,450
======= ======== ========== =========== ========== ===========
<CAPTION>
Net Asset Value Per Unit
------------------------------------------------------------------
September 30, December 31, September 30, December 31,
1996 1995 1995 1994
------------- ------------ ------------- ------------
<S> <C> <C> <C>
$ 1,062.96 $ 972.04 $ 916.80 $ 883.77
============= ============ ============= ============
</TABLE>
See accompanying notes.
58
<PAGE> 61
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
September 30, 1996 in connection with the subsequent offering of
Units (continuous offering costs) of $1,992,210. 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).
59
<PAGE> 62
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
F. Offering Costs (Continued)
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 advisor of the the General Partner
not reduce the business of the Partnership. The may make General
Partner's Partnership. The Amended Agreement withdrawals of its
aggregate General Partner is of Limited Units, provided percentage
interest also the commodity Partnership that such in the Partnership
trading provides that withdrawals do 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 nine months ended September 30, 1996 and 1995, the amounts
paid directly to the broker amounted to $420,045 and $211,703,
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.
60
<PAGE> 63
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
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 nine months ended
September 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 September 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 $217,444 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 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 30% of Net Asset
Value. The market value of securities held to satisfy such
requirements at September 30, 1996 and December 31, 1995 was
$10,466,715 and $10,190,702, respectively, which equals 15% 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 September 30, 1996, the Partnership has approximately $2,920,000 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.
61
<PAGE> 64
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
The fair value of derivatives represents unrealized gains and losses
on open futures and forward contracts. The average fair value of
derivatives during the nine months ended September 30, 1996 was
approximately $2,873,000 and the related period end fair value is
approximately $4,752,000.
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 September 30, 1996 is December
1996. However, the Partnership intends to close all contracts prior
to maturity. At September 30, 1996 and December 31, 1995, the
notional amount of open contracts is as follows:
<TABLE>
<CAPTION>
September 30, 1996 December 31, 1995
----------------------------- ------------------------------
Contracts to Contracts to Contracts to Contracts to
Purchase Sell Purchase Sell
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Derivatives:
Futures contracts:
- Long-term interest rates $250,700,000 $ 0 $148,500,000 $ 0
- Short-term interest rates 322,900,000 0 105,700,000 34,800,000
- Currencies 11,000,000 22,700,000 700,000 11,900,000
- Stock indices 18,900,000 0 10,500,000 0
- Softs/Fibers 500,000 0 0 3,900,000
- Grains 0 1,200,000 1,300,000 400,000
- Meats 300,000 0 400,000 0
- Metals 11,000,000 22,600,000 9,700,000 10,800,000
- Energy 13,100,000 3,500,000 10,400,000 0
Forward contracts:
- Currencies 125,400,000 151,100,000 42,600,000 84,900,000
------------ ------------ ------------ ------------
$753,800,000 $201,100,000 $329,800,000 $146,700,000
============ ============ ============ ============
</TABLE>
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 September 30, 1996, the
Statements of Operations for the three months and nine months ended
September 30, 1996 and 1995 and the Statements of Changes in
Partners' Capital (Net Asset Value) for the nine months ended
September 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 September 30, 1996 and the
results of operations for the three months and nine months ended
September 30, 1996 and 1995.
62
<PAGE> 65
INDEPENDENT AUDITOR'S REPORT
To the Partners
Campbell Strategic Allocation Fund, L.P.
We have audited the accompanying statements of financial condition of Campbell
Strategic Allocation Fund, L.P. as of December 31, 1995 and 1994, and the
related statements of operations and changes in partners' capital (net asset
value) for the years ended December 31, 1995 and 1994 and for the period May
11, 1993 (inception) to December 31, 1993. These financial statements are the
responsibility of the Partnership's management. Our responsibility is to
express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of Campbell Strategic Allocation
Fund, L.P. as of December 31, 1995 and 1994, and the results of its operations
and the changes in its net asset values for the years ended December 31, 1995
and 1994 and for the period May 11, 1993 (inception) to December 31, 1993, in
conformity with generally accepted accounting principles.
ARTHUR F. BELL, JR. & ASSOCIATES, L.L.C.
Lutherville, Maryland
January 29, 1996
63
<PAGE> 66
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
December 31, 1995 and 1994
----------
<TABLE>
<CAPTION>
1995 1994
---- ----
<S> <C> <C>
ASSETS
Equity in broker trading accounts
Cash $ 1,238,207 $ 1,431,616
United States government securities 7,205,197 13,213,659
Unrealized gain on open futures contracts 2,798,738 125,445
----------- -----------
Deposits with broker 11,242,142 14,770,720
Cash and cash equivalents 32,491,237 1,413,579
United States government securities 2,985,505 5,089,458
Unrealized (loss) on open forward contracts (227,297) (208,117)
----------- -----------
Total assets $46,491,587 $21,065,640
=========== ===========
LIABILITIES
Accounts payable $ 31,699 $ 11,672
Brokerage fee 301,006 130,882
Redemptions payable 1,018,007 54,835
Offering costs payable 37,187 16,630
Subscription deposits 30,154 252,225
----------- -----------
Total liabilities 1,418,053 466,244
----------- -----------
PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner - 472.222 and 253.300 units
outstanding at December 31, 1995 and 1994 459,018 223,859
Limited Partners - 45,897.894 and 23,055.320 units
outstanding at December 31, 1995 and 1994 44,614,516 20,375,537
----------- -----------
Total partners' capital
(Net Asset Value) 45,073,534 20,599,396
----------- -----------
$46,491,587 $21,065,640
=========== ===========
</TABLE>
See accompanying notes.
64
<PAGE> 67
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
For the Years Ended December 31, 1995 and 1994 and
For the Period May 11, 1993 (inception) to December 31, 1993
----------
<TABLE>
<CAPTION>
1995 1994 1993
---- ---- ----
<S> <C> <C> <C>
INCOME
Trading gains (losses)
Realized $ 1,760,402 $(1,642,526) $ 0
Change in unrealized 2,654,113 (82,672) 0
----------- ----------- --------
Gain (loss) from trading 4,414,515 (1,725,198) 0
Interest income 1,786,353 509,876 0
----------- ----------- --------
Total income (loss) 6,200,868 (1,215,322) 0
----------- ----------- --------
EXPENSES
Brokerage fee 2,536,004 922,580 0
Performance fee 0 69,386 0
Operating expenses 155,631 28,349 0
----------- ----------- --------
Total expenses 2,691,635 1,020,315 0
----------- ----------- --------
NET INCOME (LOSS) $ 3,509,233 $(2,235,637) $ 0
=========== =========== ========
NET INCOME (LOSS) PER GENERAL
AND LIMITED PARTNER UNIT
(based on weighted average number
of units outstanding during the period) $ 103.74 $ (133.42) $ 0
=========== =========== ========
INCREASE (DECREASE) IN NET
ASSET VALUE PER GENERAL
AND LIMITED PARTNER UNIT $ 88.27 $ (116.23) $ 0
=========== =========== ========
</TABLE>
See accompanying notes.
65
<PAGE> 68
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
For the Years Ended December 31, 1995 and 1994 and
For the Period May 11, 1993 (inception) to December 31, 1993
----------
<TABLE>
<Captiopn>
Partners' Capital
-----------------------------------------------------------------------------
General Limited Total
-------------------- ------------------- ------------------
Units Amount Units Amount Units Amount
----- ------ ----- ------ ----- ------
<S> <C> <C> <C> <C> <C> <C>
Balances at
May 11, 1993 (inception) 0.000 $ 0 0.000 $ 0 0.000 $ 0
Additions 1.000 1,000 1.000 1,000 2.000 2,000
------- -------- ---------- ----------- ---------- -----------
Balances at
December 31, 1993 1.000 1,000 1.000 1,000 2.000 2,000
Additions 252.300 251,000 24,571.582 24,147,383 24,823.882 24,398,383
Net (loss) for the year
ended December 31, 1994 (26,836) (2,208,801) (2,235,637)
Redemptions 0.000 0 (1,517.262) (1,460,972) (1,517.262) (1,460,972)
Offering costs (1,305) (103,073) (104,378)
------- -------- ---------- ----------- ---------- -----------
Balances at
December 31, 1994 253.300 223,859 23,055.320 20,375,537 23,308.620 20,599,396
Net income for the year
ended December 31, 1995 33,569 3,475,664 3,509,233
Additions 218.922 205,000 29,148.037 26,977,425 29,366.959 27,182,425
Redemptions 0.000 0 (6,305.463) (5,885,426) (6,305.463) (5,885,426)
Offering costs (3,410) (328,684) (332,094)
------- -------- ---------- ----------- ---------- -----------
Balances at
December 31, 1995 472.222 $459,018 45,897.894 $44,614,516 46,370.116 $45,073,534
======= ======== ========== =========== ========== ===========
<CAPTION>
Net Asset Value Per General and Limited Partner Unit
December 31,
----------------------------------------------------
1995 1994 1993
---- ---- ----
<S> <C> <C>
$972.04 $883.77 $1,000.00
======= ======= =========
</TABLE>
See accompanying notes.
66
<PAGE> 69
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
----------
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 December
31, 1995 in connection with the subsequent offering of Units
(continuous offering costs) of $1,466,397. 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
67
<PAGE> 70
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
----------
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(CONTINUED)
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 at least 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 1995 and 1994, the amounts paid directly to the broker amounted
to $317,000 and $115,323, 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 year ended December
31, 1995 and for the period April 18, 1994 (commencement of
operations) to December 31, 1994.
68
<PAGE> 71
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
----------
Note 5. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
Investments in the Partnership are made by subscription agreement,
subject to acceptance by the General Partner. As of December 31, 1995
and 1994, amounts received by the Partnership by prospective limited
partners who have not yet been admitted to the Partnership by the
General Partner total $30,154 and $252,225, 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 after the sixth full
month 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 December 31, 1995 was $10,190,702, which equals 23% of
Net Asset Value.
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 December 31, 1995, the Partnership has approximately $1,300,000 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.
69
<PAGE> 72
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
----------
Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
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 1995 was approximately $831,000 and the related
year end fair value is approximately $2,571,000.
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 December 31, 1995 is March
1996. However, the Partnership intends to close all contracts prior
to maturity. At December 31, 1995 and 1994, the notional amount of
open contracts is as follows:
<TABLE>
<CAPTION>
1995 1994
---- ----
Contracts to Contracts to Contracts to Contracts to
Purchase Sell Purchase Sell
-------- ---- -------- ----
<S> <C> <C> <C> <C>
Derivatives:
Futures contracts:
- Long-term interest rates $148,500,000 $ 0 $ 7,700,000 $ 11,500,000
- Short-term interest rates 105,700,000 34,800,000 0 71,200,000
- Currencies 700,000 11,900,000 0 0
- Stock indices 10,500,000 0 0 0
- Softs/Fibers 0 3,900,000 0 0
- Grains 1,300,000 400,000 0 0
- Meats 400,000 0 0 0
- Metals 9,700,000 10,800,000 1,400,000 3,000,000
- Energy 10,400,000 0 300,000 2,700,000
Forward contracts:
- Currencies 42,600,000 84,900,000 19,800,000 62,900,000
------------ ------------ ----------- ------------
$329,800,000 $146,700,000 $29,200,000 $151,300,000
============ ============ =========== ============
</TABLE>
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.
70
<PAGE> 73
CAMPBELL & COMPANY, INC.
BALANCE SHEET
September 30, 1996
<TABLE>
<CAPTION>
Unaudited
---------
<S> <C>
ASSETS
Current assets
Cash and cash equivalents $ 213,221
Accounts receivable
Advisory and performance fees 634,015
Receivable from Campbell Strategic Allocation Fund, L.P. 1,279,100
Other receivables 11,986
----------
Total current assets 2,138,322
----------
Property and equipment
Furniture and office equipment 1,073,339
Leasehold improvements 85,434
----------
1,158,773
Less accumulated depreciation and amortization (710,880)
----------
Total property and equipment 447,893
----------
Other assets
Receivable from Campbell Strategic Allocation Fund, L.P. 799,926
Cash surrender value of life insurance, net of policy loan of $119,832 48,239
General Partner interests in Limited Partnerships 839,608
Other 56,970
----------
Total assets $4,330,958
==========
LIABILITIES
Accounts payable and accrued expenses $ 404,142
Demand notes payable, including $535,055 payable to stockholder 1,296,604
----------
Total liabilities 1,700,746
----------
STOCKHOLDERS' EQUITY
Capital stock
Class A voting, no par, $100 stated value;
2,500 shares authorized; 100 shares outstanding 10,000
Class B nonvoting, no par, $150 stated value;
2,500 shares authorized; 5 shares outstanding 750
Additional paid-in capital 46,418
Retained earnings 2,573,044
----------
2,630,212
----------
Total liabilities and stockholders' equity $4,330,958
==========
</TABLE>
THE INVESTOR WILL NOT RECEIVE ANY INTEREST IN THIS COMPANY.
See accompanying notes.
71
<PAGE> 74
CAMPBELL & COMPANY, INC.
NOTES TO FINANCIAL STATEMENT
(Unaudited)
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
A. General
Campbell and Company, Inc. (the Company) earns fees as a
Commodity Trading Advisor registered with and 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. It is also
subject to the rules of the National Futures Association, an
industry self-regulatory organization.
The Company's balance sheet is presented in accordance with
generally accepted accounting principles, which require the
use of certain estimates made by the Company's management.
B. Revenue Recognition
Advisory and management fees accrue monthly based on a
percentage of assets under management. Performance fees may be
earned by achieving defined performance objectives.
Performance fees, if any, are recognized as revenue when the
conditions of the performance fee agreement are satisfied.
C. Cash and Cash Equivalents
Cash and cash equivalents consist of cash and investments
readily convertible into cash.
D. Property and Equipment
Property and equipment are stated at cost. Depreciation and
amortization is provided for over the estimated useful lives
of the assets using straight-line and accelerated methods.
Such lives range from 5 to 39 years.
E. Income Taxes
The Company has elected S corporation status, pursuant to
which the Company does not pay U.S. or Maryland income taxes.
All income earned by the Company will be taxable to the
stockholders on an individual basis.
Note 2. GENERAL PARTNER INTERESTS IN LIMITED PARTNERSHIPS
Campbell Strategic Allocation Fund, L.P.
The Company is the General Partner and trading manager of
Campbell Strategic Allocation Fund, L.P. (Strategic). The
General Partner interest is reported at net asset value of
$705,886 as of the balance sheet date.
Summarized financial information with respect to Strategic as of and
for the nine months ended September 30, 1996 is as follows:
<TABLE>
<S> <C>
Balance Sheet Data
Assets $ 71,583,878
Liabilities (1,718,823)
------------
Net Asset Value $ 69,865,055
============
Operating Data
Total income $ 8,833,966
Total expense (3,535,984)
------------
Net income $ 5,297,982
============
General Partner income allocation $ 46,868
============
</TABLE>
72
<PAGE> 75
CAMPBELL & COMPANY, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 2. GENERAL PARTNER INTERESTS IN LIMITED PARTNERSHIPS (CONTINUED)
Campbell Strategic Allocation Fund, L.P. (Continued)
The Company has committed to maintaining an investment in Strategic
equal to at least 1% of the net aggregate capital contributions of
all partners. The extent of this commitment is dependent on the
subscriptions Strategic receives during the continuing offering
period provided for in Strategic's prospectus. The Company, as
General Partner, has contributed capital of $657,000 to Strategic.
The Company is further bound by Strategic's Amended Agreement of
Limited Partnership to maintain net worth equal to at least 5% of the
capital contributed to all limited partnerships for which the Company
acts as General Partner. 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.
As General Partner, the Company has agreed to advance funds to
Strategic necessary to pay organization and offering costs related to
Strategic's initial and continuous offerings. The Company is
reimbursed such advanced amounts by Strategic in 30 equal monthly
installments commencing after the closing of the initial offering and
monthly during the continuous offering. Reimbursements for such
advanced costs are limited to 2.5% of the aggregate subscriptions
accepted. As of September 30, 1996, the Company has advanced
$2,233,171 to Strategic for initial and continuing offering costs
incurred for which it has been reimbursed $822,678 through September
30, 1996.
The Company also pays, up-front, a 4% commission to selling agents
for Strategic. The Company is reimbursed by Strategic for this cost,
over twelve months, through a brokerage fee which is based on the
monthly net asset value of Strategic. As of September 30, 1996,
$668,533 in selling agent commissions are subject to future
reimbursement and are included in Receivable from Campbell Strategic
Allocation Fund, L.P. in the balance sheet.
In the event Strategic terminates prior to the completion of any
reimbursement of the above costs, the Company will not be entitled to
any additional reimbursement from Strategic.
Campbell Financial Futures Fund Limited Partnership
The Company has a General Partner interest in Campbell Financial
Futures Fund Limited Partnership (Financial Futures), reported at net
asset value of $133,722 as of September 30, 1996.
Summarized financial information with respect to Financial Futures as
of and for the nine months ended September 30, 1996 is as follows:
<TABLE>
<S> <C>
Balance Sheet Data
Assets $ 4,741,630
Liabilities (44,174)
-----------
Net Asset Value $ 4,697,456
===========
Operating Data
Total income $ 954,163
Total expense (181,297)
-----------
Net income $ 772,866
===========
General Partner income allocation $ 18,503
===========
</TABLE>
73
<PAGE> 76
CAMPBELL & COMPANY, INC.
NOTES TO FINANCIAL STATEMENT (CONTINUED)
(Unaudited)
Note 3. TRADING ACTIVITIES AND RELATED RISKS
The Limited Partnerships for which the Company is either the sole
General Partner or Co-General Partner engage in the speculative
trading of U.S. and foreign futures contracts, options on U.S.
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 partnerships are 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 and options on futures contracts
requires margin deposits with a broker. Additional deposits may be
necessary for any loss on contract value. 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
partnerships also trade forward contracts in unregulated markets
between principals and assume the risk of loss from counterparty
nonperformance.
For derivatives, risks arise from changes in the market value of the
contracts. Theoretically, the partnerships and the Company, as
General Partner, are exposed to a market risk equal to the value of
derivatives purchased and unlimited liability on derivatives sold
short.
The average fair value of derivatives held by the partnerships during
the nine months ended September 30, 1996 was approximately $3,021,000
and the related period end fair value is approximately $5,078,000.
The fair value of derivatives represents unrealized gains and losses
on open futures and forward contracts and long and short options at
market value.
At September 30, 1996, the notional amount of contracts acquired by
the partnerships to purchase totaled approximately $809,235,000 and
the notional amount of such contracts to sell totaled approximately
$210,136,000. These amounts do not represent the partnerships' risk
of loss due to market and credit risk, but rather represent the
partnerships' extent of involvement in derivatives at the balance
sheet date.
The Company has established procedures to actively monitor and
minimize market and credit risks.
Note 4. DEMAND NOTES PAYABLE
The Company entered into a general security agreement with a
financial institution in April, 1994 under which secured demand notes
may be executed to fund various costs incurred by the Company as
General Partner of Campbell Strategic Allocation Fund, L.P. The
agreement is continuous until either party provides notice otherwise.
Subject to the lender's demand, the notes executed under the
agreement are payable in twelve equal monthly installments beginning
on the last day of the month of origination. Interest, also subject
to demand, is payable monthly beginning on the last day of the month
of the respective origination dates at various floating rates based
on the London Interbank Offered Rate (LIBOR), as specified in the
agreement. The weighted average interest rate is approximately 7.91%
as September 30, 1996 for all notes outstanding.
Amounts outstanding under the agreement are secured by all personal
property, other than equipment and fixtures, of the Company and are
guaranteed by a stockholder of the Company. The agreement also
contains certain covenants, including minimum monthly cash flow
requirements, which, if not met, could subject amounts outstanding
under the agreement to accelerated repayment.
At September 30, 1996, $761,549, including accrued interest, was
outstanding under this agreement.
74
<PAGE> 77
CAMPBELL & COMPANY, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 4. DEMAND NOTES PAYABLE (CONTINUED)
The Company has also entered into a demand note agreement with a
stockholder of the Company. The agreement is continuous until either
party provides notice otherwise. Interest is payable quarterly at an
annual rate of 8.5%; there is no payment schedule for the principal
balance. At September 30, 1996, $535,055, including accrued interest,
was outstanding under this agreement.
Note 5. LEASE OBLIGATION
The Company leases office facilities under an agreement which
provides for minimum base annual rentals as outlined below, plus a
proportionate share of operating expenses. The lease expires August
31, 1998. The Company has the option to renew the lease for an
additional 60 months. Effective July 5, 1995, the Company is
subleasing a portion of its office space through the remainder of the
lease term.
<TABLE>
<CAPTION>
Period ending September 30,
---------------------------
<S> <C>
1997 $198,515
1998 184,589
--------
Total base annual rentals 383,104
Less: Sublease income (63,843)
--------
Total net base annual rentals $319,261
========
</TABLE>
The Company advanced $23,000 as a security deposit relating to this
lease.
Note 6. PROFIT SHARING PLAN
The Company has established a qualified 401(k) savings and profit
sharing plan (the Plan) for the benefit of its employees. The Company
is the plan administrator and certain Company employees are trustees
of the Plan. Under terms of the Plan, employees may elect to defer a
portion of their compensation. The Company matches employee
contributions up to a maximum of 3.75% of the employees'
compensation. The Company may also make optional additional
contributions to the Plan.
Note 7. INTERIM BALANCE SHEET
The balance sheet as of September 30, 1996 is unaudited. In the
opinion of management, it reflects all adjustments, which were of a
normal and recurring nature, necessary for a fair presentation of
financial position as of September 30, 1996.
75
<PAGE> 78
INDEPENDENT AUDITOR'S REPORT
To the Stockholders and Board of Directors
Campbell & Company, Inc.
We have audited the accompanying balance sheet of Campbell & Company, Inc. as of
December 31, 1995. This financial statement is the responsibility of the
Company's management. Our responsibility is to express an opinion on this
financial statement based on our audit.
We conducted our audit in accordance with generally accepted auditing standards.
Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the balance sheet is free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the balance sheet. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall balance sheet presentation. We believe that our audit
provides a reasonable basis for our opinion.
In our opinion, the balance sheet referred to above presents fairly, in all
material respects, the financial position of Campbell & Company, Inc. as of
December 31, 1995, in conformity with generally accepted accounting principles.
ARTHUR F. BELL, JR. & ASSOCIATES, L.L.C.
Lutherville, Maryland
March 1, 1996
76
<PAGE> 79
CAMPBELL & COMPANY, INC.
BALANCE SHEET
December 31, 1995
<TABLE>
<CAPTION>
ASSETS
<S> <C>
Current assets
Cash and cash equivalents $ 133,845
Accounts receivable
Advisory and performance fees 417,137
Receivable from Campbell Strategic
Allocation Fund, L.P. 1,306,273
Other receivables 19,798
-----------
Total current assets 1,877,053
-----------
Property and equipment
Furniture and office equipment 975,174
Leasehold improvements 85,434
-----------
1,060,608
Less accumulated depreciation and amortization (581,137)
-----------
Total property and equipment 479,471
-----------
Other assets
Receivable from Campbell Strategic
Allocation Fund, L.P. 808,968
Cash surrender value of life insurance,
net of policy loans of $119,832 48,239
General Partner interests in Limited Partnerships 574,237
Condominium held for sale 59,738
Other 58,370
-----------
Total assets $ 3,906,076
-----------
LIABILITIES
Accounts payable and accrued expenses $ 554,692
Demand notes payable, including $497,000 payable
to stockholder 1,286,389
-----------
Total liabilities 1,841,081
-----------
STOCKHOLDERS' EQUITY
Capital stock
Class A voting, no par, $100 stated value;
2,500 shares authorized; 100 shares outstanding 10,000
Class B nonvoting, no par, $150 stated value;
2,500 shares authorized; 5 shares outstanding 750
Additional paid-in capital 46,418
Retained earnings 2,007,827
-----------
2,064,995
-----------
Total liabilities and stockholders' equity $ 3,906,076
===========
</TABLE>
See accompanying notes.
THE INVESTOR WILL NOT RECEIVE ANY INTEREST IN THIS COMPANY.
77
<PAGE> 80
CAMPBELL & COMPANY, INC.
NOTES TO FINANCIAL STATEMENT
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
A. General
Campbell and Company, Inc. (the Company) earns fees as a
Commodity Trading Advisor registered with and 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. It is also
subject to the rules of the National Futures Association, an
industry self-regulatory organization.
The Company's balance sheet is presented in accordance with
generally accepted accounting principles, which require the
use of certain estimates made by the Company's management.
B. Revenue Recognition
Advisory and management fees accrue monthly based on a
percentage of assets under management. Performance fees may be
earned by achieving defined performance objectives.
Performance fees, if any, are recognized as revenue when the
conditions of the performance fee agreement are satisfied.
C. Cash and Cash Equivalents
Cash and cash equivalents consist of cash and investments
readily convertible into cash.
D. Property and Equipment
Property and equipment are stated at cost. Depreciation and
amortization is provided for over the estimated useful lives
of the assets using straight-line and accelerated methods.
Such lives range from 5 to 39 years.
E. Income Taxes
The Company has elected S corporation status, pursuant to
which the Company does not pay U.S. or Maryland income taxes.
All income earned by the Company will be taxable to the
stockholders on an individual basis.
78
<PAGE> 81
CAMPBELL & COMPANY, INC.
NOTES TO FINANCIAL STATEMENT (CONTINUED)
Note 2. GENERAL PARTNER INTERESTS IN LIMITED PARTNERSHIPS
Campbell Strategic Allocation Fund, L.P.
The Company is the General Partner and trading manager of Campbell
Strategic Allocation Fund, L.P. (Strategic). The General Partner
interest is reported at net asset value of $459,019 as of December
31, 1995.
Summarized financial information with respect to Strategic as of and
for the year ended December 31, 1995 is as follows:
<TABLE>
<S> <C>
Balance Sheet Data
Assets $46,491,587
Liabilities (1,418,053)
-----------
Net Asset Value $45,073,534
===========
Operating Data
Total income $ 6,200,868
Total expense (2,691,635)
-----------
Net income $ 3,509,233
===========
General Partner income allocation $ 30,160
===========
</TABLE>
The Company has committed to maintaining an investment in Strategic
equal to at least 1% of the net aggregate capital contributions of
all partners. The extent of this commitment is dependent on the
subscriptions Strategic receives during the continuing offering
period provided for in Strategic's prospectus. The Company, as
General Partner, has contributed capital of $457,000 to Strategic.
The Company is further bound by Strategic's Amended Agreement of
Limited Partnership to maintain net worth equal to at least 5% of the
capital contributed to all limited partnerships for which the Company
acts as General Partner. 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.
As General Partner, the Company has agreed to advance funds to
Strategic necessary to pay organization and offering costs related to
Strategic's initial and continuous offerings. The Company is
reimbursed such advanced amounts by Strategic in 30 equal monthly
installments commencing after the closing of the initial offering and
monthly during the continuous offering. Reimbursements for such
advanced costs are limited to 2.5% of the aggregate subscriptions
accepted. As of December 31, 1995, the Company has advanced
$1,707,358 to Strategic for initial and continuing offering costs
incurred for which it has been reimbursed $399,285 through December
31, 1995.
The Company also pays, up-front, a 4% commission to selling agents
for Strategic. The Company is reimbursed by Strategic for this cost,
over twelve months, through a brokerage fee which is based on the
monthly net asset value of Strategic. As of December 31, 1995,
$807,168 in selling agent commissions are subject to future
reimbursement and are included in Receivable from Campbell Strategic
Allocation Fund, L.P. in the balance sheet.
In the event Strategic terminates prior to the completion of any
reimbursement of the above costs, the Company will not be entitled to
any additional reimbursement from Strategic.
79
<PAGE> 82
CAMPBELL & COMPANY, INC.
NOTES TO FINANCIAL STATEMENT (CONTINUED)
Note 2. GENERAL PARTNER INTERESTS IN LIMITED PARTNERSHIPS (CONTINUED)
Campbell Financial Futures Fund Limited Partnership
The Company has a General Partner interest in Campbell Financial
Futures Fund Limited Partnership (Financial Futures), reported at net
asset value of $115,218 as of December 31, 1995.
Summarized financial information with respect to Financial Futures as
of and for the year ended December 31, 1995 is as follows:
<TABLE>
<S> <C>
Balance Sheet Data
Assets $ 5,814,814
Liabilities (25,681)
-----------
Net Asset Value $ 5,789,133
===========
Operating Data
Total income $ 1,181,586
Total expense (282,942)
-----------
Net income $ 898,644
===========
General Partner income allocation $ 16,843
===========
</TABLE>
Note 3. TRADING ACTIVITIES AND RELATED RISKS
The Limited Partnerships for which the Company is either the sole
General Partner or Co-General Partner engage in the speculative
trading of U.S. and foreign futures contracts, options on U.S.
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 partnerships are 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 and options on futures contracts
requires margin deposits with a broker. Additional deposits may be
necessary for any loss on contract value. 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
partnerships also trade forward contracts in unregulated markets
between principals and assume the risk of loss from counterparty
nonperformance.
For derivatives, risks arise from changes in the market value of the
contracts. Theoretically, the partnerships and the Company, as
General Partner, are exposed to a market risk equal to the value of
derivatives purchased and unlimited liability on derivatives sold
short.
The average fair value of derivatives held by the partnerships during
1995 was approximately $964,000 and the related year end fair value
is approximately $3,001,000. The fair value of derivatives represents
unrealized gains and losses on open futures and forward contracts and
long and short options at market value.
80
<PAGE> 83
CAMPBELL & COMPANY, INC.
NOTES TO FINANCIAL STATEMENT (CONTINUED)
Note 3. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
At December 31, 1995, the notional amount of contracts acquired by
the partnerships to purchase totaled approximately $379,100,000, and
the notional amount of such contracts to sell totaled approximately
$163,700,000. These amounts do not represent the partnerships' risk
of loss due to market and credit risk, but rather represent the
partnerships' extent of involvement in derivatives at the balance
sheet date.
The Company has established procedures to actively monitor and
minimize market and credit risks.
Note 4. DEMAND NOTES PAYABLE
The Company entered into a general security agreement with a
financial institution in April, 1994 under which secured demand notes
may be executed to fund various costs incurred by the Company as
General Partner of Campbell Strategic Allocation Fund, L.P. The
agreement is continuous until either party provides notice otherwise.
Subject to the lender's demand, the notes executed under the
agreement are payable in twelve equal monthly installments beginning
on the last day of the month of origination. Interest, also subject
to demand, is payable monthly beginning on the last day of the month
of the respective origination dates at various floating rates based
on the London Interbank Offered Rate (LIBOR), as specified in the
agreement (currently a weighted average rate of approximately 7.99%
for all notes outstanding).
Amounts outstanding under the agreement are secured by all personal
property, other than equipment and fixtures, of the Company and are
guaranteed by a stockholder of the Company. The agreement also
contains certain covenants, including minimum monthly cash flow
requirements, which, if not met, could subject amounts outstanding
under the agreement to accelerated repayment.
At December 31, 1995, $789,389, including accrued interest, was
outstanding under this agreement.
The Company has also entered into a demand note agreement with a
stockholder of the Company. The agreement is continuous until either
party provides notice otherwise. Interest is payable quarterly at an
annual rate of 8.5%; there is no payment schedule for the principal
balance. At December 31, 1995, $497,000 was outstanding under this
agreement.
Note 5. LEASE OBLIGATION
The Company leases office facilities under an agreement which
provides for minimum base annual rentals as outlined below, plus a
proportionate share of operating expenses. The lease expires August
31, 1998. The Company has the option to renew the lease for an
additional 60 months. Effective July 5, 1995, the Company is
subleasing a portion of its office space through the remainder of the
lease term.
<TABLE>
<CAPTION>
Year ending December 31
-----------------------
<S> <C>
1996 $ 198,119
1997 199,293
1998 134,246
-----------
Total base annual rentals 531,658
Less: Sublease income (88,825)
-----------
Total net base annual rentals $ 442,833
===========
</TABLE>
The Company advanced $23,000 as a security deposit relating to this
lease.
81
<PAGE> 84
CAMPBELL & COMPANY, INC.
NOTES TO FINANCIAL STATEMENT (CONTINUED)
Note 6. PROFIT SHARING PLAN
The Company has established a qualified 401(k) savings and profit
sharing plan (the Plan) for the benefit of its employees. The Company
is the plan administrator and certain Company employees are trustees
of the Plan. Under terms of the Plan, employees may elect to defer a
portion of their compensation. The Company matches employee
contributions up to a maximum of 3.75% of the employees'
compensation. The Company may also make optional additional
contributions to the Plan. For the year ended December 31, 1995, the
Company provided $149,438 in matching and optional contributions to
the Plan.
82
<PAGE> 85
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<PAGE> 86
APPENDIX I
CAMPBELL & COMPANY, INC.
FINANCIAL, METAL & ENERGY LARGE PORTFOLIO PROFORMA
The following table is a pro forma presentation that reflects the actual
performance results from Campbell & Company, Inc.'s Financial, Metal & Energy
Large Portfolio for the period January 1989 through March 31, 1994, adjusted for
various fees applicable to the Fund. (This table ends in March, 1994 because
actual trading for the Fund began in April, 1994. See Table 1 for the Fund's
actual performance results.) The actual management and performance fees and
brokerage commissions which were incurred by the accounts have been adjusted to
reflect the management and performance fees, brokerage fees and estimated
operating expenses that will be incurred by the Fund. Organization and offering
expenses of the Fund will be amortized over 30-month installment periods, not to
exceed 1% of Net Assets per annum. Due to the fact that such expenses are
subject to such 1% per annum limitation, the table has not been adjusted for
organization and offering expenses to be incurred by the Fund. The bid-ask
spreads charged by banks and dealers in forward contracts are included in the
price of the contract and cannot be determined. However, net performance in the
table is net of the actual bid-ask spreads. Accordingly, the table has not been
adjusted for pro forma bid-ask spread expenses. The notes to the tables included
in "Past Performance of Campbell & Company, Inc." should be read as integral to
this Appendix. Although the table represents an estimate of how the Fund would
have performed during the period shown, the Fund did not exist during such
period and no representation is made that the Fund will generate returns similar
to those shown in the table. The pro forma calculations are made on a
month-to-month basis and do not carryover to succeeding months. Accordingly, the
table does not reflect on a cumulative basis the effect of the differences
between the fees to be charged to the Fund and the fees actually charged to the
accounts in Table 4.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
------------------------------------------------------
Pro Forma Rate of Return (6)
(Computed on a compounded monthly basis)
------------------------------------------------------
1994 1993 1992 1991
---- ---- ---- ----
Month Return VAMI(2) Return VAMI(2) Return VAMI(2) Return VAMI(2)
----- ------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
January -5.08% $2,085 -1.07% $2,184 -5.81% $1,917 -8.57% $1,510
February -7.50% 1,928 14.50% 2,501 -4.00% 1,841 -2.13% 1,478
March 6.66% 2,057 -7.14% 2,323 0.66% 1,853 20.15% 1,776
April 2.82% 2,388 -3.16% 1,794 -2.38% 1,734
May 2.88% 2,457 0.72% 1,807 2.32% 1,774
June 1.41% 2,492 10.41% 1,995 1.25% 1,796
July 5.75% 2,635 11.12% 2,217 -8.46% 1,644
August -5.24% 2,497 5.09% 2,330 3.27% 1,698
September -5.32% 2,364 -4.07% 2,235 5.54% 1,792
October -6.82% 2,203 -5.05% 2,122 0.13% 1,794
November 0.21% 2,207 5.75% 2,244 -2.57% 1,748
December -0.50% 2,196 -1.62% 2,208 16.44% 2,036
Year -6.35% -0.53% 8.47% 23.23%
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------
Pro Forma Rate of Return (6)
(Computed on a compounded monthly basis)
----------------------------------------
1990 1989
---- ----
Month Return VAMI(2) Return VAMI(2)
----- ------ ------ ------ ------
<S> <C> <C> <C> <C>
January 2.63% $1,341 8.29% $1,083
February 0.04% 1,341 -3.21% 1,048
March 3.32% 1,386 9.04% 1,143
April 4.73% 1,451 1.51% 1,160
May -12.81% 1,266 15.32% 1,338
June 7.69% 1,363 -1.39% 1,319
July 10.71% 1,509 -0.04% 1,319
August 13.73% 1,716 -1.47% 1,299
September -1.42% 1,692 -4.90% 1,236
October 0.84% 1,706 -7.51% 1,143
November -2.03% 1,671 1.82% 1,164
December -1.15% 1,652 12.27% 1,306
</TABLE> Year 26.44% 30.65%
APP-I-1
<PAGE> 87
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<PAGE> 88
APPENDIX II
GLOSSARY
The following glossary may assist prospective investors in understanding
the terms used in this Prospectus.
Commodity. Goods, wares, merchandise, produce and in general everything
that is bought and sold in commerce. Out of this large class, certain
commodities, because of their wide distribution, universal acceptance and
marketability in commercial channels, have become the subject of trading on
various national and international exchanges located in principal marketing and
commercial areas. Traded commodities include: grains, such as wheat, corn, oats
and rice; oilseed products, such as soybeans and soybean products (meal and
oil); foods, such as livestock and meat, sugar, cocoa and coffee; fibers, such
as cotton, lumber and plywood; metals, such as copper, silver, gold, palladium
and platinum; financial instruments, such as U.S. Treasury bonds, Eurodollars,
German Bund, Euromark deposit rates, and Short Sterling rates; foreign
currencies, such as British pounds, Canadian dollars, Deutsche marks, Japanese
yen and Swiss francs; energy supplies, such as petroleum and petroleum products
(heating oil); and stock indices, such as the Standard & Poor's Composite Index,
the New York Stock Exchange Composite Index and the Nikkei Stock Index Average.
Traded commodities are sold according to uniform established grade standards, in
convenient predetermined lots and quantities such as bushels, pounds or bales,
are fungible and, with a few exceptions, are storable over periods of time.
Commodity Exchange Act. The statute providing the regulatory scheme for
trading in commodity futures and options contracts in the United States under
the administration of the Commodity Futures Trading Commission.
Commodity exchanges. Centralized market facilities, sometimes referred to
as contract markets, for trading in futures contracts relating to specified
commodities. Principal exchanges in the United States include the Board of Trade
of the City of Chicago, the Chicago Mercantile Exchange (including the
International Monetary Market), and the Commodity Exchange, Inc.
Commodity Futures Trading Commission ("CFTC"). An independent regulatory
commission of the United States government empowered to regulate commodity
futures transactions and other commodity transactions under the Commodity
Exchange Act.
Commodity Pool Operator. A person engaged in the business of operating an
organization that raises capital through the sale of interests in an investment
trust, syndicate or similar form of enterprise, and uses that capital to invest
either entirely or partially in commodity contracts.
Commodity Trading Advisor. A person who renders advice about
commodities or about the trading of commodities, as part of a regular
business, for profit.
Daily price fluctuation limit. The maximum permitted fluctuation (imposed
by an exchange and approved by the CFTC) in the price of a commodity futures
contract for a given commodity that can occur on a commodity exchange on a given
day in relation to the previous day's settlement price, which maximum permitted
fluctuation is subject to change from time to time by the exchange (with CFTC
approval).
Delivery. The process of satisfying a commodity futures contract by
transferring ownership of a specified quantity and grade of a cash commodity to
the purchaser thereof.
Forward contract. A cash market transaction in which buyer and seller agree
to the purchase and sale of a specific quantity of a commodity for delivery at
some future time under such terms and conditions as the two may agree upon.
Futures Commission Merchant. The person or organization that solicits or
accepts orders for the purchase or sale of any commodity for future delivery
subject to the rules of any contract market and in connection with such
solicitation or acceptance of orders, accepts money or other assets to margin,
guarantee, or secure any trades or contracts that result from such orders.
Futures contract. A contract providing for (i) the delivery or receipt at a
future date of a specified amount and grade of a traded commodity at a specified
price and delivery point, or (ii) cash settlement of the change in the value of
the contract. The terms of these contracts are standardized for each commodity
traded on each exchange and vary only with respect to price and delivery months.
A commodity futures contract should be distinguished from the actual physical
commodity, which is termed a "cash commodity." Trading in commodity futures
contracts involves trading in contracts for future delivery of commodities and
not the buying and selling of particular lots of
APP-II-1
<PAGE> 89
commodities. A contract to buy or sell may be satisfied either by making or
taking delivery of the commodity and payment or acceptance of the entire
purchase price therefor, or by offsetting the contractual obligation with a
countervailing contract on the same exchange prior to delivery.
Limit order. A trading order which sets a limit on price of execution.
Limit orders (as contrasted with stop orders) do not become market orders.
Long contract. A commodity futures contract to accept delivery of (buy) a
specified amount and grade of a commodity at a future date at a specified price.
Market order. A trading order to execute a trade at the most favorable
price as soon as possible.
Margin. A good faith deposit with a broker to assure fulfillment of the
terms of a commodity futures contract. Commodity margins do not usually involve
the payment of interest.
Margin call. A demand for additional monies after depletion of the initial
good faith deposit required to maintain a customer's account in compliance with
the requirements of a particular commodity exchange or of a commodity broker.
Open position. A contractual commitment arising under a long contract or a
short contract that has not been extinguished by an offsetting trade or by
delivery.
Option contract. An option contract gives the purchaser of the option
contract the right (as opposed to the obligation) to acquire (call) or sell
(put) a given quantity of a commodity or a futures contract for a specified
period of time at a specified price.
Position limit. The maximum number of speculative futures contracts in any
one commodity (on one contract market) imposed by the CFTC or an exchange that
can be held or controlled at one time, by one person or a group of persons
acting together.
Round-turn trade. The initial purchase or sale of a commodity futures
contract and the subsequent offsetting sale or purchase of a contract.
Short contract. A futures contract to make delivery of (sell) a specified
amount and trade of a commodity at a future date at a specified price.
Spot contract. A cash market transaction in which buyer and seller agree to
the purchase and sale of a specified commodity lot for immediate delivery.
Spreads. A commodity futures trading transaction involving the simultaneous
holding of commodity futures contracts dealing with the same commodity but
involving different delivery dates or delivery markets, and in which the trader
expects to earn profits from a widening or narrowing movement of the prices of
the different commodity futures contracts.
Stop order. An order given to a broker to execute a trade in a futures
contract when the market price for the contract reaches the specified stop order
price. Stop orders are utilized to protect gains or losses on open positions.
Stop orders become market orders when the stop order price is reached.
Unrealized profit or loss. The profit or loss which would be realized on an
open position if it were closed at the current settlement price or the most
recent appropriate quotation as supplied by the broker or bank through which the
transaction is effected.
APP-II-2
<PAGE> 90
BLUE SKY GLOSSARY
The following definitions are included in this Appendix III in compliance
with the requirements of various state securities administrators who review
public futures fund offerings for compliance with the "Guidelines for the
Registration of Commodity Pool Programs" Statement of Policy promulgated by the
North American Securities Administrators Association, Inc. The following
definitions are reprinted verbatim from such Guidelines and may, accordingly,
not in all cases be relevant to an investment in the Fund.
Definitions - As used in the Guidelines, the following terms have the
following meanings:
Administrator - The official or agency administering the security laws of a
state.
Advisor - Any person who for any consideration engages in the business of
advising others, either directly or indirectly, as to the value, purchase, or
sale of commodity contracts or commodity options.
Affiliate - An Affiliate of a Person means: (a) any Person directly or
indirectly owning, controlling or holding with power to vote 10% or more of the
outstanding voting securities of such Person; (b) any Person 10% or more of
whose outstanding voting securities are directly or indirectly owned, controlled
or held with power to vote, by such Person; (c) any Person, directly or
indirectly, controlling, controlled by, or under common control of such Person;
(d) any officer, director or partner of such Person; or (e) if such Person is an
officer, director or partner, any Person for which such Person acts in any such
capacity.
Capital Contributions - The total investment in a Program by a Participant
or by all Participants, as the case may be.
Commodity Broker - Any Person who engages in the business of effecting
transactions in commodity contracts for the account of others or for his own
account.
Commodity Contract - A contract or option thereon providing for the
delivery or receipt at a future date of a specified amount and grade of a traded
commodity at a specified price and delivery point.
Cross Reference Sheet - A compilation of the Guideline sections, referenced
to the page of the prospectus, Program agreement, or other exhibits, and
justification of any deviation from the Guidelines.
Net Assets - The total assets, less total liabilities, of the Program
determined on the basis of generally accepted accounting principles. Net Assets
shall include any unrealized profits or losses on open positions, and any fee or
expense including Net Asset fees accruing to the Program.
Net Asset Value Per Program Interest - The Net Assets divided by the number
of Program Interests outstanding.
Net Worth - The excess of total assets over total liabilities are
determined by generally accepted accounting principles. Net Worth shall be
determined exclusive of home, home furnishings and automobiles.
New Trading Profits - The excess, if any, of Net Assets at the end of the
period over Net Assets at the end of the highest previous period or Net Assets
at the date trading commences, whichever is higher, and as further adjusted to
eliminate the effect on Net Assets resulting from new Capital Contributions,
redemptions, or capital distributions, if any, made during the period decreased
by interest or other income, not directly related to trading activity, earned on
Program assets during the period, whether the assets are held separately or in a
margin account.
Organizational and Offering Expenses - All expenses incurred by the Program
in connection with and in preparing a Program for registration and subsequently
offering and distributing it to the public, including, but not limited to, total
underwriting and brokerage discounts and commissions (including fees of the
underwriter's attorneys), expenses for printing, engraving, mailing, salaries of
employees while engaged in sales activity, charges of transfer agents,
registrars, trustees, escrow holders, depositories, experts, expenses of
qualification of the sale of its Program Interest under federal and state law,
including taxes and fees, accountants' and attorneys' fees.
Participant - The holder of a Program Interest.
Person - Any natural Person, partnership, corporation, association or other
legal entity.
Pit Brokerage Fee - Pit Brokerage Fee shall include floor brokerage,
clearing fees, National Futures
APP-II-3
<PAGE> 91
Association fees, and exchange fees.
Program - A limited partnership, joint venture, corporation, trust or other
entity formed and operated for the purpose of investing in Commodity Contracts.
Program Broker - A Commodity Broker that effects trades in Commodity
Contracts for the account of a Program.
Program Interest - A limited partnership interest or other security
representing ownership in a program.
Pyramiding - A method of using all or a part of an unrealized profit in a
Commodity Contract position to provide margin for any additional Commodity
Contracts of the same or related commodities.
Sponsor - Any Person directly or indirectly instrumental in organizing a
Program or any Person who will manage or participate in the management of a
Program, including a Commodity Broker who pays any portion of the Organizational
Expenses of the Program, and the general partner(s) and any other Person who
regularly performs or selects the Persons who perform services for the Program.
Sponsor does not include wholly independent third parties such as attorneys,
accountants, and underwriters whose only compensation is for professional
services rendered in connection with the offering of the Units. The term
"Sponsor" shall be deemed to include its Affiliates.
Valuation Date - The date as of which the Net Assets of the Program are
determined.
Valuation Period - A regular period of time between Valuation Dates.
APP-II-4
<PAGE> 92
EXHIBIT A
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
AMENDED AGREEMENT OF LIMITED PARTNERSHIP
ARTICLE 1.
FORMATION AND NAME
The parties to this Amended Agreement of Limited Partnership (the
"Agreement") have formed Campbell Strategic Allocation Fund, L.P. (the
"Partnership") under the Delaware Revised Uniform Limited Partnership Act in
effect on the date thereof (the "Act") and do hereby continue the Partnership
pursuant to the terms herein as of September 23, 1993. Each Limited Partner
hereby undertakes to furnish to the General Partner a power of attorney which
may be filed with this Agreement and any amendment hereto and such additional
information as is required from him to complete such documents and to execute
and cooperate in the filing, recording or publishing of such documents at the
request of the General Partner.
ARTICLE 2.
PRINCIPAL OFFICE AND REGISTERED AGENT
The principal office of the Partnership shall be 210 West Pennsylvania
Avenue, Baltimore, Maryland 21204, or such other place as the General Partner
may designate from time to time. The Registered Agent for the Limited
Partnership is D. Keith Campbell, 210 West Pennsylvania Avenue, Baltimore,
Maryland 21204. The Tax Matters Partner for the Limited Partnership is Campbell
& Company, Inc.
ARTICLE 3.
BUSINESS AND PURPOSE OF THE PARTNERSHIP
The Partnership's business and purpose is to trade, buy, sell or otherwise
acquire, hold or dispose of futures and other related investment interests and
any activities incidental or related thereto. The objective of the Partnership
business is appreciation of its assets through speculative trading.
ARTICLE 4.
TERM, DISSOLUTION AND FISCAL YEAR
4.1 Term. The term of the Partnership commenced upon the execution and
filing of the Certificate of Limited Partnership, as amended, and shall end upon
the first to occur of the following: (i) December 31, 2023; (ii) an election to
dissolve the Partnership in accordance with the provisions of Article 4.2 by
Limited Partners owning more than 50% of the Units then outstanding; (iii) the
withdrawal of the General Partner, as defined in, and subject to the limitations
of Article 13; (iv) a determination by the General Partner that the purpose of
the Partnership cannot be fulfilled; or (v) any event which constitutes a
dissolution of a limited partnership under the Act or otherwise makes it
unlawful for the existence of the Partnership to be continued.
4.2 Dissolution. Upon the occurrence of an event causing the dissolution of
the Partnership, the Partnership shall be wound up and terminated. Upon
dissolution and termination of the Partnership, the General Partner shall
contribute to the Partnership an amount equal in the aggregate to the lesser of
(a) the deficit balance in their capital accounts, or (b) the excess of 1.01% of
the total capital contributions paid in by the Limited Partners over any capital
previously contributed by the General Partner. Payment of creditors, and
distribution of the Partnership's assets shall be effected as soon as
practicable in accordance with the Act, and the General Partner and each Limited
Partner (and any assignee) shall share in the assets of the Partnership pro rata
in accordance with such Partner's respective capital account, less any amount
owing by such Partner (or assignee) to the Partnership.
4.3 Fiscal Year. The fiscal year of the Partnership shall end on December
31, unless the General Partner elects, with the approval of the Internal Revenue
Service and the CFTC, a different fiscal year.
ARTICLE 5.
GENERAL PARTNER
The General Partner is Campbell & Company, Inc., a Maryland corporation,
210 West Pennsylvania Avenue, Baltimore, Maryland 21204.
A-1
<PAGE> 93
ARTICLE 6.
CAPITAL CONTRIBUTIONS AND
UNITS OF LIMITED PARTNERSHIP INTEREST
6.1 Units and Capital Contributions of Limited Partners. Interests in the
Partnership other than the General Partner's interests, shall be evidenced by
Units (individually a "Unit").
6.2 Capital Contributions by General Partner; Net Worth. The General
Partner has contributed cash to the capital of the Partnership in an amount
equal to at least 1% of the net aggregate contributions of all Partners
including the General Partner. The General Partner's contribution shall be
evidenced by Units of General Partnership Interest. 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. If additional Limited Partners are
admitted during any Continuing Offering pursuant to the provisions of Article 11
herein, the General Partner shall make such additional capital contributions as
may be required to maintain its interest at the required level in the
Partnership at all times during the term of the Partnership. The General Partner
shall maintain a net worth so long as it acts as general partner equal to at
least 5% of the capital contributed by all the limited partnerships for which it
acts as general partner, including the Partnership. The minimum required net
worth shall in no case be less than $50,000 nor shall net worth in excess of
$1,000,000 be required.
6.3 Availability of Contributions. The aggregate of all Partnership
contributions shall be available to the Partnership to carry on its business and
purpose, and no interest shall be paid to any Partner on any such contributions.
ARTICLE 7.
ALLOCATION OF PROFITS AND LOSSES
7.1 Capital Accounts. A capital account shall be established for each
Partner, including the General Partner. The initial balance of each Partner's
capital account shall be the amount of his initial capital contribution to the
Partnership.
7.2 Monthly Allocations. As of the close of business (as determined by the
General Partner) of the last day of each month, the following determinations and
allocations shall be made:
(1) The Net Assets of the Partnership (as defined in Article 7.4) before
the General Partner's Brokerage Fee, the direct administrative expenses and the
General Partner's performance fees payable shall be determined.
(2) Brokerage Fees payable by the Partnership and the direct administrative
expenses shall then be charged against the Net Assets.
(3) Accrued performance fees, if any, shall then be charged against the Net
Assets.
(4) Any increase or decrease in the Net Assets as of the end of the month
(after the adjustments in subparagraphs (2) and (3)) shall then be credited or
charged to the capital accounts of each Partner in the ratio that the balance of
each account bears to the balance of all accounts.
(5) The amount of any distribution to a Partner, any amount paid to a
Limited Partner on redemption of Units, and any amount paid to the General
Partner by way of distribution or redemption of Units of General Partnership
Interest, shall be charged to such Partner's capital account.
7.3 Allocation of Profit and Loss for Federal Income Tax Purposes. At the
end of each taxable year, each item of Partnership taxable income, gain, loss,
deduction, or credit will be allocated among the Partners in accordance with the
following provisions:
(1) Capital gain shall be allocated first to each Partner who has redeemed
Units (Units of General Partnership Interest in the case of the General Partner)
during the year to the extent that the amount the Partner received on redemption
exceeds the amount paid for the redeemed Units (as set forth in subparagraph
(5));
(2) Capital gain remaining after the allocation in subparagraph (1) shall
be allocated among all Partners in the ratio that each Partner's capital account
bears to all Partner's capital accounts;
(3) Capital losses shall be allocated first to each Partner who has
redeemed Units (Units of General Partnership Interest in the case of the General
Partner) during the year to the extent that the amount the Partner
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paid for the redeemed Units (as set forth in subparagraph (5)) exceeds the
amount the Partner received on redemption;
(4) Capital losses remaining after the allocation in subparagraph (3) shall
be allocated among all Partners in the ratio that each Partner's capital account
bears to all Partners' capital accounts;
(5) For the purpose of the allocations of capital gain and loss in
subparagraphs (1) and (3), the amount each Partner paid for each of his Units
shall be deemed to have increased by the amount of capital gain allocated to him
with respect to such Unit pursuant to subparagraph (2); decreased by the amount
of any capital loss allocated to him with respect to such Unit pursuant to
subparagraph (4); and decreased by the amount of any distributions to him with
respect to such Unit pursuant to Article 7.8;
(6) Items of ordinary income and expense will be allocated pro rata among
the Partners based upon their respective capital accounts as of the end of each
month in which the items of ordinary income or expense accrue;
(7) Notwithstanding subparagraphs (4) and (6), if the allocation of such
loss would cause a Limited Partner to have a capital account deficit, then such
loss shall be allocated to the General Partner, according to its capital
account, to the extent of such losses; and
(8) Allocations of capital gain or loss will be made pro rata from
short-term capital gain or loss and long-term capital gain or loss.
7.4 Definitions; Accounting.
(1) Net Assets. "Net Assets" of the Partnership shall mean the total assets
of the Partnership, including all cash and cash equivalents (valued at cost),
plus accrued interest thereon, and the market value of all open commodity
positions and other assets of the Partnership, less all liabilities of the
Partnership, including accrued performance fees determined in accordance with
the principles specified in this subparagraph and, where no principle is
specified, in accordance with generally accepted accounting principles
consistently applied under the accrual basis of accounting. The market value of
a commodity or commodity futures contract traded on an exchange, or through a
clearing firm or through a bank, shall mean the most recent available settlement
price or closing quotation, as appropriate on the exchange, or of the clearing
firm or bank on or through which the commodity or contract is traded by the
Partnership on the day with respect to which Net Assets are being determined. If
such contract cannot be liquidated, due to the operation of daily limits or
otherwise, on a day as of which Net Assets are determined, the liquidating value
on the first subsequent day on which the contract would be liquidated may be
used or such other value as the General Partner may deem fair and reasonable.
The market value of a commodity forward contract or a commodity futures contract
traded on a foreign exchange shall mean its market value as determined by the
General Partner on a basis consistently applied.
(2) Net Asset Value. The "Net Asset Value" of the Partnership shall mean
the total capital accounts of all Partners. The "Net Asset Value" of a Unit
shall be the total capital accounts of all Partners, divided by the number of
Units owned by all Partners.
(3) Blue Sky Glossary. The definitions in the Blue Sky Glossary
in Appendix III to the Partnerships Prospectus are hereby incorporated
herein by reference.
7.5 Expenses.
(1) The General Partner shall advance the organization and offering
expenses of the initial and continuous offerings of the Units, and no such
expenses shall be deducted from the proceeds of the offerings. Subject to the
limitation described below, the General Partner shall be reimbursed such
advanced amounts by the Partnership in approximately 30 equal installments
commencing after the closing of the initial offering and monthly during the
continuous offering. The General Partner shall have discretion to adopt
reasonable procedures to implement the amortization of such expenses, including
grouping expenses related to the same offering period and expensing de minimis
amounts as they are incurred. In no event shall the General Partner be entitled
to receive reimbursement in an amount greater than 2.5% of the aggregate
subscriptions accepted during the initial and continuous offerings, as the case
may be. In the event the Partnership terminates prior to completion of the
reimbursement, the General Partner will not be entitled to receive additional
reimbursement and the Partnership will have no obligation to make further
reimbursement payments to the General Partner. For purposes of this Agreement,
organization and offering expenses shall mean all costs paid or incurred by the
General Partner or the Partnership in organizing the Partnership and offering
the Units, including legal and accounting fees incurred, bank account charges,
all blue
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sky filing fees, filing fees payable upon formation and activation of the
Partnership, and expenses of preparing, printing and distributing the prospectus
and registration statement, but in no event shall exceed limits set forth in
Article 8 herein or guidelines imposed by appropriate regulatory bodies.
(2) The Partnership shall be obligated to pay all liabilities incurred by
it, including without limitation, (i) Brokerage Fees; (ii) operating expenses
and performance fees; (iii) legal and accounting fees; and (iv) taxes and other
extraordinary expenses incurred by the Partnership. During any year of
operations, the General Partner shall be responsible for payment of operating
expenses in excess of 0.5% of the Partnership's month-end Net Asset Value during
that year. Indirect expenses of the General Partner, such as salaries, rent and
other overhead expenses, shall not be liabilities of the Partnership. The
Partnership shall receive all interest earned on its assets.
(3) Compensation to any party, including the General Partner (or any
advisor which may be retained in the future), shall not exceed the limitations
imposed as of the date hereof by the North American Securities Administrators
Association ("NASAA"). In the event the compensation exceeds such limitations,
the General Partner shall promptly reimburse the Partnership for such excess.
NASAA limitations on fees are as follows: Management fees, advisory fees and all
other fees, except for incentive fees and commodity brokerage commissions, when
added to the customary and routine administrative expenses, shall not exceed 6%
annually of net asset value. The aggregate incentive fees shall not exceed 15%
of new trading profits. The sponsor or advisor will be entitled to an additional
2% incentive fee for each 1% by which the net asset value fee is reduced below
6%. Commodity brokerage rates will be presumptively reasonable if they satisfy
either 80% of the published retail rate plus pit brokerage fees or 14% annually
of average net assets, including pit brokerage fees. The Partnership will pay an
8% per annum Brokerage Fee, of which 3% will be for management services,
allowing the incentive fee to be 20%, as discussed above. The remaining 5% from
the Brokerage Fee will be paid for brokerage services (including the initial
distribution of the Units, execution of commodity transactions, and ongoing
services to the Limited Partners), which is less than the 14% limit imposed by
NASAA.
(4) The Partnership shall also be obligated to pay any costs of
indemnification to the extent permitted under Article 15 of this Agreement.
7.6 Limited Liability of Limited Partners. Each Unit purchased by a Limited
Partner is fully paid and non-assessable. A Limited Partner shall be liable for
the Partnership's obligations to the extent of the capital contributed by him
plus his share of profits remaining in the Partnership, if any.
In addition, if a Limited Partner receives a return of any part of his
capital contribution, he shall be liable to the Partnership for a period of one
year thereafter for the amount of the returned contribution, but only to the
extent necessary to discharge the Partnership's liabilities to creditors who
extended credit to the Partnership during the period the contribution was held
by the Partnership.
A Limited Partner shall also be liable to the Partnership for return of any
part of his capital contribution returned to him, for a period of six years, if
such return was in violation of this Agreement or the Act.
7.7 Return of Limited Partner's Capital Contribution. Except to the extent
that a Limited Partner shall have the right to redeem Units, no Limited Partner
shall have any right to demand the return of his capital contribution or any
profits added thereto, except upon dissolution and termination of the
Partnership. In no event shall a Limited Partner be entitled to demand or
receive property other than cash.
7.8 Distributions. The General Partner shall have sole discretion in
determining what distributions (other than on redemption of Units or
dissolution), if any, the Partnership will make to its Partners (or any assignee
thereof). Distributions shall be made pro rata in accordance with the respective
capital accounts of the Partners.
ARTICLE 8.
MANAGEMENT
8.1 General.
(1) The General Partner, to the exclusion of the Limited Partners, shall
conduct and manage the business of the Partnership including, without
limitation, all functions necessary for administration of the Partnership. The
General Partner shall have the fiduciary responsibility for the safekeeping and
use of all assets of the Partnership, whether or not in its immediate possession
or control, shall not contract away such duty and shall not employ or permit
another to employ such assets in any manner except for the exclusive benefit of
the Partnership. The General Partner, on behalf of the Partnership, shall make
all investment decisions regarding the Partnership and
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shall have complete trading discretion. The General Partner shall seek the best
price and services available in its futures brokerage transactions, and all
brokerage transactions for the Partnership's futures trades will be effected at
competitive rates.
(2) The General Partner shall receive from the Partnership: (i) Brokerage
Fees of 8% per annum of the month-end Net Assets; and (ii) a quarterly
"performance fee" of 20% of the Partnership's aggregate cumulative appreciation
in the Net Asset Value per Unit, exclusive of interest income. The performance
fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit
over the highest previous cumulative Unit value or Unit value as of the
commencement of trading, whichever is higher. In determining the fees in this
paragraph, adjustments shall be made for capital additions and withdrawals and
Net Assets shall not be reduced by the fees being calculated for such current
period. Such fees may be changed upon sixty days' notice to the Limited
Partners, provided that prior to the imposition of the revised fees, Limited
Partners have an opportunity to redeem (and there are no delays in receiving
payment therefor) and the notice explains their redemption and voting rights.
Further, any new contract with any advisor, including the General Partner, shall
carryforward all losses attributable to such advisor or General Partner, as the
case may be.
(3) The General Partner may take such other actions as it deems necessary
or desirable to manage the business of the Partnership including, but not
limited to, the following: entering into commercially reasonable contracts,
opening bank accounts, paying or authorizing the payment of distributions to the
Partners and expenses of the Partnership including fees to the General Partner,
taxes and other fees of governmental agencies.
(4) The General Partner shall keep and retain for at least six years, at
the principal office of the Partnership, such books and records relating to the
business of the Partnership as it deems necessary to substantiate that Units
were sold only to purchasers for whom such securities were suitable and which
are required by the Commodity Exchange Act, and the rules and regulations
thereunder. Such books and records shall be available to any Limited Partner or
his authorized attorney or agent for inspection and copying during normal
business hours of the Partnership.
(5) The General Partner may engage in other business activities and shall
not refrain from any other activity nor disgorge any profits from any such
activity, whether as general partner of additional partnerships for investment
in commodity futures or forward contracts or otherwise. Subject to the terms and
conditions set forth in this Agreement, the General Partner may engage and
compensate on behalf of the Partnership, from funds of the Partnership, such
persons, firms or corporations, as the General Partner in its sole judgment
shall deem advisable for the conduct and operation of the business of the
Partnership. The General Partner may develop and implement a cash management
facility. In such event, the General Partner may cause the Partnership to
participate in such facility if doing so would be in the best interests of the
Partnership. Competitive management fees may be paid to the General Partner or
an affiliate thereof.
(6) No person dealing with the General Partner shall be required to
determine its authority to make any undertaking on behalf of the Partnership,
nor to determine any fact or circumstance bearing upon the existence of such
authority.
(7) Except as provided by Article 13, the General Partner may not sell,
assign, or otherwise dispose of all or substantially all of its General
Partnership Interest in the Partnership except for a sale or transfer of all
Partnership interests of all Partners or a sale of all or substantially all of
its interest to a corporation controlled by such General Partner. The foregoing
restriction shall not be applicable to the General Partner mortgaging, pledging,
hypothecating or granting a security interest in its General Partnership
Interest as collateral for a loan or loans and any such assignment of all or any
portion of the General Partner's Interest shall not cause an event of withdrawal
with respect to the General Partner pursuant to Article 13 of this Agreement.
(8) The maximum period covered by any contract entered into by the
Partnership, except for certain provisions which survive the stated term, shall
be one year. Agreements between the Partnership and the General Partner or any
affiliate shall be terminable by the Partnership without penalty on 60 days'
written notice. All sales of Units in the United States shall be made by
registered brokers. No sales will be made by the General Partner or an
affiliate.
8.2 Prohibitions. The Partnership shall not: (i) engage in pyramiding; (ii)
commingle its assets with the assets of any other person, except as permitted by
law; (iii) make loans to the General Partner or any affiliate thereof or to any
person; (iv) pay per-trade compensation to the General Partner or any advisor or
any affiliate thereof or to any person who receives any other form of
compensation from the Partnership; or (v) permit rebates or give-ups to be
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received by the General Partner or affiliates thereof nor shall the General
Partner participate in any reciprocal business arrangements which would
circumvent the foregoing or any other provision of this Agreement; or (vi)
borrow cash or other assets from the General Partner.
ARTICLE 9.
REPORTS TO LIMITED PARTNERS
The books and records of the Partnership shall be audited annually by an
independent certified public accountant. Net Assets and Net Asset Value per Unit
shall be determined daily and will be supplied in writing to any Limited Partner
who requests such information. The General Partner will cause each Partner to
receive (i) within ninety (90) days after the close of each fiscal year an
annual report with audited financial statements (including a balance sheet and
income statement) for the fiscal year then ended, and (ii) within seventy-five
(75) days after the close of each fiscal year such tax information as is
necessary for the Partner to complete his federal income tax return. In
addition, the General Partner will report within 30 days after the end of each
month to the Limited Partners the information required by the CFTC to be
reported, which information currently includes the following: the total amount
of realized net gain or loss on commodity interest positions liquidated during
the month; the change in unrealized net gain or loss on commodity interest
positions during the month; the total amount of net gain or loss from all other
transactions engaged in by the Partnership during the month, including interest
earned; the total amount of all Brokerage Fees and performance fees, and all
other expenses incurred or accrued by the Partnership during the month; the Net
Asset Value of a Unit as of the end of the month and as of the end of the
previous month; the total amount of additions to the Net Assets of the
Partnership made during the month; the total amount of withdrawals from and
redemptions of Units for the month; and the total net income or loss of the
Partnership during the month. In the event either Net Asset Value per Unit as of
the end of any business day declines by more than 50% of the previous month's
Net Asset Value per Unit, or there is a material change in the advisory
agreement with the General Partner or otherwise affecting the compensation to
any party, including the General Partner, the General Partner will notify each
Limited Partner of such information, their redemption and voting rights and any
material effect on the Units within seven business days. In the event of the 50%
decline in Net Asset Value per Unit referred to in the previous sentence, the
General Partner will declare a special redemption period and temporarily suspend
the Partnership's trading during such period.
ARTICLE 10.
DISPOSITIONS AND REDEMPTIONS OF PARTNERSHIP UNITS
10.1 Permissible Dispositions. A Limited Partner may transfer, assign,
pledge, or encumber his Units only as provided in this Article 10.1. No such
transferee, pledgee, assignee, or secured creditor shall become a substituted
Limited Partner unless the General Partner consents in writing to such
substitution. The General Partner has complete discretion to withhold consent
but only intends to do in order to prevent or minimize potential adverse legal
or tax consequences to the Partnership. Any transfer or assignment of Units
which is permitted hereunder shall be effective as of the beginning of the month
following the month in which such transfer or assignment is made; provided,
however, that the Partnership need not recognize any transfer, assignment, or
pledge until it has received at least 30 days' prior written notice thereof from
the transferor, assignor, or pledgor, which notice shall include (i) the name,
signature, address and social security or taxpayer identification number of the
transferee, assignee, or pledgee, (ii) the number of Units transferred, assigned
or pledged, and (iii) the signature of the transferor, assignor, or pledgor. The
General Partner may, in its discretion, waive receipt of the above described
written notice or waive any defect therein. No transfer or assignment shall be
permitted unless the General Partner is satisfied that (i) such transfer or
assignment would not be in violation of the Act; (ii) the amount of the transfer
is at least the minimum subscription amount except for transfers by gift,
inheritance, or to affiliates, including family members of the person
transferring the Units; and (iii) notwithstanding such transfer or assignment,
the Partnership shall continue to be classified as a partnership rather than as
a corporation or an association under the Internal Revenue Code, as amended. No
transfer or assignment of Units shall be effective or recognized by the
Partnership if following such transfer or assignment there would result a
termination of the Partnership for federal income tax purposes as provided in
Code 708(b) and any attempted transfer or assignment in violation hereof shall
be ineffective to transfer or assign any such Units. Any transferee or assignee
of Units who has not been admitted to the Partnership as a substituted Limited
Partner shall not have any of the rights of a Limited Partner, except that the
assignee shall receive that share of capital and profits and shall have that
right of redemption to which his assignor would otherwise have been entitled and
shall remain subject to the other terms of this Agreement binding upon Limited
Partners. The transfer or assignment of Units shall be subject to all applicable
securities laws. The
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transferor or assignor shall bear all costs (including any attorneys' fees)
related to such transfer or assignment.
10.2 Redemptions.
(1) A Limited Partner (or any assignee thereof) may withdraw all or part of
his capital contribution and undistributed profits, if any, by requiring the
Partnership to redeem all or part of his Units at the Net Asset Value per Unit,
reduced as hereinafter described (such withdrawal being herein referred to as a
"Redemption").
(2) Redemptions shall be effective as of the end of any month ending after
a Request for Redemption in proper form has been timely received by the General
Partner (the "Redemption Date"). During the 12 months following the purchase,
the General Partner charges a redemption fee as follows: 4% of Net Asset Value
on Units redeemed in the first quarter following purchase, 3% during the second
quarter, 2% during the third quarter, and 1% in the fourth quarter. After the
fourth quarter, no redemption fees are charged. As used herein, "Request for
Redemption" shall mean a written request of such withdrawal transmitted by the
Limited Partner (or any assignee thereof) to the General Partner not less than
ten business days prior to the end of the month or such shorter period as
established by the General Partner. Upon Redemption, a Limited Partner (or any
assignee thereof) shall receive, per Unit redeemed, an amount equal to the Net
Asset Value per Unit as of the Redemption Date, less any amount owing by such
Limited Partner (and his assignee, if any) to the Partnership pursuant to
Article 15.3, and less any applicable redemption fees due to the General
Partner. If redemption is requested by an assignee, all amounts owed to the
Partnership under Article 15.3 by the Partner to whom such Unit was sold, as
well as all amounts owed by the assignees of such Unit, shall be deducted from
the amount payable upon Redemption by any assignee. All Requests for Redemption
in proper form shall be honored and payment will be made within twenty (20)
business days following the Redemption Date, except that under special
circumstances, including, but not limited to, the inability on the part of the
Partnership to liquidate commodity positions or the default or delay in payments
due the Partnership from commodity brokers, banks, or other persons, the
Partnership may delay payment to Partners requesting Redemption of Units. In the
event that Redemptions are requested for more Units than the General Partner is
able to honor due to the foregoing contingencies, the General Partner will honor
Requests for Redemption in the order actually received and will hold Requests
for Redemption in such order. Limited Partners will be notified within 10 days
after month-end if any Redemption cannot be honored under the terms hereof and
their Requests thereafter will be honored at the first available opportunity.
The Partnership shall not be obligated to redeem Units that are subject to a
pledge or otherwise encumbered in any fashion.
(3) Subparagraph (2) notwithstanding, if the Net Asset Value per Unit is
determined for purposes of Redemption as of a month-end which is not the end of
a quarter, any performance fees payable and applicable to such Unit, will be
determined and charged to such Unit as though such month-end were the end of a
quarter and such performance fees were payable and such performance fees will be
paid.
ARTICLE 11.
OFFERING OF UNITS; ADMISSION OF ADDITIONAL LIMITED PARTNERS
The General Partner shall, from time to time, (i) cause the Partnership to
file a Registration Statement and such amendments as the General Partner deems
advisable, with the Securities and Exchange Commission for the registration and
public offering of the Units; (ii) seek to qualify the Units for sale in various
jurisdictions as the General Partner deems advisable; and (iii) take such other
actions as the General Partner deems advisable.
The General Partner, at its option, may admit additional Limited Partners
to the Partnership without the consent of the Limited Partners at any time. Such
additional Limited Partners shall contribute capital to the Partnership, and
shall be admitted as Limited Partners as of the first business day of the month
immediately following the month-end as of which their subscriptions were
accepted by the General Partner at no less than the Net Asset Value per Unit as
of such month-end.
ARTICLE 12.
SPECIAL POWER OF ATTORNEY
By execution of this Agreement, each Limited Partner irrevocably
constitutes and appoints the General Partner with full power of substitution, as
his true and lawful attorney-in-fact, in his name, place and stead, to execute,
acknowledge, swear to, file and record in his behalf in the appropriate public
offices and publish (i) this Agreement and any amendments thereto; (ii) all
instruments which the General Partner deems necessary or appropriate to reflect
any amendment, change, or modification of the Limited Partnership Agreement or
Certificate of Limited Partnership in accordance with the terms of this
Agreement; and (iii) Certificates of Fictitious or Assumed Name.
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The Power of Attorney granted herein shall be irrevocable and deemed to be a
power coupled with an interest and shall survive the incapacity or death of a
Limited Partner. Each Limited Partner hereby agrees to be bound by any
representation made by the General Partner and by any successor thereto, acting
in good faith pursuant to such Power of Attorney.
ARTICLE 13.
WITHDRAWAL OF A PARTNER
The Partnership shall terminate and be dissolved upon the withdrawal, or
insolvency of the General Partner (unless in the case of the withdrawal of the
General Partner, the actions necessary to continue the Partnership are taken
pursuant to Article 16). The General Partner shall cease to be a general partner
of the Partnership upon the occurrence of any of the following events of
withdrawal: (i) the General Partner's bankruptcy or insolvency; (ii) any event
prescribed in the Act that is not encompassed in this Article 13; or (iii) 120
days' prior written notice to the Limited Partners of the General Partner's
intent to withdraw as a General Partner. If the General Partner withdraws as
general partner, it can redeem its interests in the Partnership at Net Asset
Value as of the next month-end in which it is calculated. If the Limited
Partners elect to continue the Partnership, the withdrawing General Partner
shall pay all Partnership expenses incurred as a result of its withdrawal. The
death, incompetency, incapacity, withdrawal, insolvency, or dissolution of a
Limited Partner shall not dissolve or terminate the Partnership, and said
Limited Partner, his estate, custodian, or personal representative shall have no
right to withdraw or value such Limited Partner's Units except as provided in
Article 10 hereof. Each Limited Partner (and any assignee of such Limited
Partner) expressly agrees that in the event of his death, he waives on behalf of
himself and his estate, and he directs the legal representative of his estate
and any person interested therein to waive the furnishing of any inventory,
accounting, or appraisal of the assets of the Partnership and any right to a
special audit of the books and records of the Partnership, provided that the
waiver shall not relieve the General Partner from its reporting obligations set
forth in Article 9.
ARTICLE 14.
NO PERSONAL LIABILITY FOR RETURN OF CAPITAL
Subject to the provisions of Article 15 below, the General Partner shall
not be personally liable for the return or repayment of all or any portion of
the capital or profits of any Partner (or assignee), it being expressly agreed
that any such return of capital or profits made pursuant to this Agreement shall
be made solely from the assets (which shall not include any right of
contribution from the General Partner) of the Partnership.
ARTICLE 15.
STANDARD OF LIABILITY; INDEMNIFICATION
15.1 Standard of Liability. The General Partner and its controlling persons
shall have no liability to the Partnership or any Limited Partner for any loss
suffered by the Partnership which arises out of any action of the General
Partner if the General Partner, in good faith, determined that such course of
conduct was in the best interests of the Partnership and such course of conduct
did not constitute negligence or misconduct of the General Partner.
15.2 Indemnification by the Partnership. The Partnership shall indemnify,
defend, and hold harmless the General Partner (including controlling persons and
a former General Partner who has withdrawn from the Partnership) from and
against any loss, liability, damage, cost or expense (including attorneys' fees,
and expenses incurred in defense of any demands, claims or lawsuit) arising from
actions or omissions concerning the business or activities undertaken by or on
behalf of the Partnership, from any source only if all of the following
conditions are satisfied: (i) the General Partner has determined, in good faith,
that the course of conduct which caused the loss or liability was in the best
interests of the Partnership, (ii) the General Partner was acting on behalf of
or performing services for the Partnership, (iii) such liability or loss was not
the result of negligence or misconduct by the General Partner, and (iv) such
indemnification is recoverable only out of the Partnership's assets and not from
the Limited Partners. In no event shall the General Partner or any of the
selling agents receive indemnification from the Partnership arising out of
alleged violations of federal or state securities laws unless the following
conditions are satisfied; (a) there has been a successful adjudication on the
merits of each count involving alleged securities law violations, or (b) such
claims have been dismissed with prejudice on the merits by a court of competent
jurisdiction, or (c) a court of competent jurisdiction approves a settlement of
the claims and finds that indemnification of the settlement and related costs
should be made, and (d) in the case of subparagraph (c), the
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court considering the request has been advised of the position of the Securities
and Exchange Commission and the states in which Units were offered and sold as
to indemnification for violations of securities laws; provided that the court
need only be advised and consider the positions of the securities regulatory
authorities in those states in which plaintiffs claim they were offered or sold
Units. The Partnership shall not incur the cost of that portion of liability
insurance which insures the General Partner for any liability as to which the
General Partner is prohibited from being indemnified herein.
15.3 Advance Payment. Expenses incurred in defending a threatened or
pending civil, administrative or criminal action, suit or proceeding against the
General Partner may be paid by the Partnership in advance of the final
disposition of such action, suit or proceeding, if and to the extent that (i)
the legal action relates to acts or omissions with respect to the performance of
duties or services on behalf of the Partnership, (ii) the legal action is
initiated by a party who is not a Limited Partner, or if by a Limited Partner,
then a court of competent jurisdiction specifically approves such advancement,
and (iii) the General Partner shall agree to reimburse the Partnership, together
with the applicable legal rate of interest thereon, in the event indemnification
is not permitted under this Article 15 upon final disposition.
ARTICLE 16.
AMENDMENTS; MEETINGS
16.1 Amendments with Consent of the General Partner. If at any time during
the term of the Partnership the General Partner shall deem it necessary or
desirable to amend this Agreement, such amendment shall be effective only if
embodied in an instrument signed by the General Partner and by the holders of
more than fifty percent (50%) of the Units then owned by the Limited Partners.
Any such supplemental or amendatory agreement shall be adhered to and have the
same effect from and after its effective date as if the same had originally been
embodied in and formed a part of this Limited Partnership Agreement, provided,
however, that no such supplemental or amendatory agreement shall, without the
consent of all Limited Partners, change or alter this Section 16, extend the
term of the Partnership, reduce the capital account of any Partner or modify the
percentage of profits, losses or distributions to which any Partner is entitled.
In addition, reduction of the capital account of any assignee or modifications
of the percentage of profits, losses or distributions to which an assignee is
entitled hereunder shall not be effected by any amendment or supplement to this
Limited Partnership Agreement without such assignee's written consent. No
meeting procedure or specified notice period is required in the case of
amendments made with the consent of the General Partner, mere receipt of an
adequate number of unrevoked written consents being sufficient. The General
Partner may amend this Limited Partnership Agreement without the consent of the
Limited Partners in order (i) to clarify any clerical inaccuracy or ambiguity or
reconcile any inconsistency (including any inconsistency between this Agreement
and the Prospectus), (ii) to effect the intent of the tax allocations proposed
herein (including, without limitation, allocating capital gain and capital loss
on a net rather than a gross basis) to the maximum extent possible in the event
of a change in the Code or the interpretations thereof affecting such
allocations, (iii) to attempt to ensure that the Partnership is not taxed as an
association taxable as a corporation for federal income tax purposes, (iv) to
delete or add any provision of or to this Limited Partnership Agreement required
to be deleted or added by the staff of the Securities and Exchange Commission or
any other federal agency or any state "Blue Sky" official or similar official or
in order to opt to be governed by any amendment or successor statute to the Act,
(v) to change the name of the Partnership and to make any modifications to this
Limited Partnership Agreement to reflect the admission of an additional or
substitute general partner, (vi) to make any amendment to this Limited
Partnership Agreement which the General Partner deems advisable, provided that
such amendment is not adverse to the Limited Partners and does not alter the
basic investment policies or structure of the Partnership, or that is required
by law, or (vii) to make any amendment that is appropriate or necessary, in the
opinion of the General Partner, to prevent the Partnership or the General
Partner or their respective directors, officers or controlling persons from in
any manner being subject to the provisions of the Investment Company Act of
1940, as amended, or "plan asset" regulations adopted under ERISA as a result of
their association with the Partnership.
16.2 Meetings. The General Partner will maintain at the office a list of the
names and addresses of all Limited Partners and the Units owned by them. Upon
request of any Limited Partner or his representative, the General Partner shall
make such list available for review by any Limited Partner or his
representative, and upon request, either in person or by mail, the General
Partner shall furnish a copy of such list by mail to any Limited Partner or his
representative, for the cost of duplication and postage. Upon receipt of a
written request, signed by Limited Partners owning at least 10% of the Units
then owned by Limited Partners, that a meeting of the Partnership be
A-9
<PAGE> 101
called to vote upon any matter which the Limited Partners may vote upon pursuant
to this Agreement, the General Partner shall, by written notice, either in
person or by certified mail, to each Limited Partner of record mailed within 15
days after such receipt, call a meeting of the Partnership. Such meeting shall
be held at least 30 days but not more than 60 days after the mailing of such
notice, and such notice shall specify the date, a reasonable place and time, and
the purpose of such meeting.
16.3 Amendments and Actions Without Consent of the General Partner. At any
meeting called pursuant to Article 16.2, upon the affirmative vote (which may be
in person or by proxy) of Limited Partners owning more than a majority of the
Units then owned by the Limited Partners (any Units held by the General Partner
or it affiliates, shall be disregarded in calculating the percentage of
outstanding Units and the General Partner shall be prohibited from voting as a
Limited Partner) the following actions may be taken: (i) this Agreement may be
amended in accordance with and only to the extent permissible under the Act,
provided, however, that consent of all Limited Partners shall be required in the
case of amendments requiring the consent of all Limited Partners under the Act;
(ii) the Partnership may be dissolved; (iii) the General Partner may be removed
and replaced; (iv) a new general partner may be elected if the General Partner
withdraws from the Partnership; (v) any contracts with the General Partner may
be terminated on 60 days written notice; and (vi) the sale of all the assets of
the Partnership may be approved; provided, however, that none of the said
actions may be taken unless the action is permitted under the Act. In the event
of the occurrence of an event described in (iii) or (iv) above, the interest of
the General Partner shall be redeemed and paid to the General Partner on the
basis of the Net Assets allocable thereto on the date of such event.
ARTICLE 17.
GOVERNING LAW
The General Partner and Limited Partners expressly agree that all the terms
and provisions hereof shall be construed under the Delaware Revised Uniform
Limited Partnership Act as now adopted or as may be hereafter amended and shall
govern the partnership aspects of this Agreement absent contrary terms contained
in this Agreement.
ARTICLE 18.
MISCELLANEOUS
18.1 Priority Among Limited Partners. No Limited Partner shall be entitled
to any priority or preference over any other Limited Partner in regard to the
affairs of the Partnership.
18.2 Notices. All notices under this Agreement, other than Requests for
Redemption of Units, notices of assignment, transfer or pledge of Units, and
reports by the General Partner to the Limited Partners, shall be in writing and
shall be effective upon personal delivery, or if sent by first class mail,
postage prepaid, addressed to the last known address of the party to whom such
notice is to be given, then, upon the deposit of such notice in the United
States mails. Reports by the General Partner to the Limited Partners shall be in
writing and shall be sent by first class mail to the last known address of each
Limited Partner. Requests for Redemption and notices of assignment, transfer, or
pledge of Units shall be effective upon receipt by the Partnership.
18.3 Binding Effect. This Agreement shall inure to and be binding upon all
of the parties, their successors, assigns as permitted herein, custodians,
estates, heirs and personal representatives. For purposes of determining the
rights of any Partner or assignee hereunder, the Partnership and the General
Partner may rely upon the Partnership records as to who are Partners and
assignees, and all Partners and assignees agree that their rights shall be
determined and that they shall be bound hereby, including all rights which they
may have under Article 16 hereof.
18.4 Captions. Captions in no way define, limit, extend or describe the
scope of this Agreement nor the effect of any of its provisions.
18.5 Counterparts. This Agreement may be executed in any number of
counterparts, each of which shall be deemed to be an original, and all of such
counterparts together shall constitute one and the same instrument.
A-10
<PAGE> 102
IN WITNESS WHEREOF, the parties hereto have executed this Agreement on the
date first appearing above.
CAMPBELL & COMPANY, INC.
By: /s/ D. KEITH CAMPBELL
--------------------------------------
Name: D. Keith Campbell
Title: President
LIMITED PARTNERS
D. Keith Campbell as attorney-in-fact
for the Limited Partners who have agreed by
separate instrument to be a party hereto.
/s/ D. KEITH CAMPBELL
-------------------------------------------
D. Keith Campbell
A-11
<PAGE> 103
EXHIBIT B
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
REQUEST FOR REDEMPTION
Campbell & Company, Inc. ------------------------------
Court Towers Building Social Security Numbers/
210 West Pennsylvania Avenue Baltimore, Taxpayer ID Number
Maryland 21204
Dear Sirs:
The undersigned hereby requests redemption, as defined in and subject to
all the terms and conditions of the Limited Partnership Agreement of CAMPBELL
STRATEGIC ALLOCATION FUND, L.P. ("Fund"), of (insert number of Units to be
redeemed; IF NO NUMBER OF UNITS IS ENTERED HERE, IT WILL BE ASSUMED THAT THE
LIMITED PARTNER WISHES TO REDEEM ALL UNITS) of the undersigned's Limited
Partnership Units ("Units") in the Fund at the Net Asset Value per Unit, as
described in the Prospectus, as of the close of business at the end of the
current month. Redemption shall be effective as of the month-end immediately
following receipt by you of this Request for Redemption, provided that this
Request for Redemption is received ten (10) business days prior to the end of
such month. During the 12 months following the purchase, the General Partner
charges a redemption fee as follows: 4% of Net Asset Value on Units redeemed in
the first quarter following purchase, 3% during the second quarter, 2% during
the third quarter, and 1% in the fourth quarter. After the fourth quarter, no
redemption fees are charged.
The undersigned hereby represents and warrants that the undersigned is the
true, lawful and beneficial owner of the Units to which this Request relates
with full power and authority to request redemption of such Units.
Such Units are not subject to any pledge or otherwise encumbered in any fashion.
UNITED STATES TAXABLE LIMITED PARTNERS ONLY
Under penalty of perjury, the undersigned hereby certifies that the Social
Security Number or Taxpayer ID Number indicated on this Request for Redemption
is the undersigned's true, correct and complete Social Security Number or
Taxpayer ID Number and that the undersigned is not subject to backup withholding
under the provisions of section 3406(a)(1)(C) of the Internal Revenue Code.
NON-UNITED STATES LIMITED PARTNERS ONLY
Under penalty of perjury, the undersigned hereby certifies that (a) the
undersigned is not a citizen or resident of the United States or (b) (in the
case of an investor which is not an individual) the investor is not a United
States corporation, partnership, estate or trust.
SIGNATURE(S) MUST BE IDENTICAL TO NAME(S)
IN WHICH UNITS ARE REGISTERED
Please forward redemption funds by mail to the
undersigned at:
- --------------------------------------------------------------------------------
Name Street City, State and Zip Code
Entity Limited Partner Individual Limited Partners(s)
------------------------------------ -----------------------------------
(Name of Entity) (Signature of Limited Partner)
By:
------------------------------------ -----------------------------------
(Authorized corporate officer, partner, (Signature of Limited Partner)
custodian or trustee)
------------------------------------
Title
B-1
<PAGE> 104
(This page has been left blank intentionally.)
B-1
<PAGE> 105
EXHIBIT C
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
-----------------------------------
SUBSCRIPTION REQUIREMENTS
By executing the Subscription Agreement and Power of Attorney for Campbell
Strategic Allocation Fund, L.P. (the "Partnership"), each purchaser
("Purchaser") of Limited Partnership Units in the Partnership ("Units")
irrevocably subscribes for Units at a price equal to the Net Asset Value per
Unit as of the end of the month in which the subscription is accepted provided
such subscription is received at least ten business days prior to such month
end, as described in the Partnership's Prospectus dated February 1, 1997 (the
"Prospectus"). The minimum subscription is $10,000 ($5,000 for eligible employee
benefit plans and individual retirement accounts); additional Units may be
purchased with a minimum investment of $1,000. Subscriptions must be accompanied
by a check in the full amount of the subscription and made payable to
"Mercantile Safe Deposit & Trust Company, as Escrow Agent for Campbell Strategic
Allocation Fund, L.P. Escrow Account No. 66127-09." Purchaser is also delivering
to the Selling Agent an executed Subscription Agreement and Power of Attorney
(Exhibit D to the Prospectus). If Purchaser's Subscription Agreement and Power
of Attorney is accepted, Purchaser agrees to contribute Purchaser's subscription
to the Partnership and to be bound by the terms of the Partnership's Limited
Partnership Agreement, attached as Exhibit A to the Prospectus. Purchaser agrees
to reimburse the Partnership and Campbell & Company, Inc. (the "General
Partner") for any expense or loss incurred as a result of the cancellation of
Purchaser's Units due to a failure of Purchaser to deliver good funds in the
amount of the subscription price. By execution of the Subscription Agreement and
Power of Attorney, Purchaser shall be deemed to have executed the Limited
Partnership Agreement.
As an inducement to the General Partner to accept this subscription,
Purchaser (for the Purchaser and, if Purchaser is an entity, on behalf of and
with respect to each of Purchaser's shareholders, partners or beneficiaries), by
executing and delivering Purchaser's Subscription Agreement and Power of
Attorney, represents and warrants to the General Partner, the Commodity Broker
and the Selling Agent who solicited Purchaser's subscription and the Fund, as
follows:
(a) Purchaser is of legal age to execute the Subscription Agreement and
Power of Attorney and is legally competent to do so. Purchaser acknowledges that
Purchaser has received a copy of the Prospectus, including the Limited
Partnership Agreement.
(b) All information that Purchaser has furnished to the General Partner or
that is set forth in the Subscription Agreement and Power of Attorney submitted
by Purchaser is correct and complete as of the date of such Subscription
Agreement and Power of Attorney, and if there should be any change in such
information prior to acceptance of Purchaser's subscription, Purchaser will
immediately furnish such revised or corrected information to the General
Partner.
(c) Unless (d) or (e) below is applicable, Purchaser's subscription is made
with Purchaser's funds for Purchaser's own account and not as trustee, custodian
or nominee for another.
(d) The subscription, if made as custodian for a minor, is a gift Purchaser
has made to such minor and is not made with such minor's funds or, if not a
gift, the representations as to net worth and annual income set forth below
apply only to such minor.
(e) If Purchaser is subscribing in a representative capacity, Purchaser has
full power and authority to purchase the Units and enter into and be bound by
the Subscription Agreement and Power of Attorney on behalf of the entity for
which he is purchasing the Units, and such entity has full right and power to
purchase such Units and enter into and be bound by the Subscription Agreement
and Power of Attorney and become a Limited Partner pursuant to the Limited
Partnership Agreement which is attached to the Prospectus as Exhibit A.
(f) Purchaser either is not required to be registered with the Commodity
Futures Trading Commission ("CFTC") or to be a member of the National Futures
Association ("NFA") or if required to be so registered is duly registered with
the CFTC and is a member in good standing of the NFA.
(g) Purchaser represents and warrants that Purchaser has (i) a net worth of
at least $150,000 (exclusive of home, furnishings and automobiles) or (ii) an
annual gross income of at least $45,000 and a net worth (similarly
C-1
<PAGE> 106
calculated) of at least $45,000. Residents of the following states must meet the
requirements set forth below (net worth in all cases is exclusive of home,
furnishings and automobiles). In addition, Purchaser may not invest more than
10% of his net worth (exclusive of home, furnishings and automobiles) in the
Partnership.
1. Arizona - Net worth of at least $225,000 or a net worth of at least
$60,000 and an annual taxable income of at least $60,000.
2. California - Net worth of at least $100,000 and an annual income of at
least $50,000.
3. Iowa - Net worth of at least $225,000 or a net worth of at least $60,000
and an annual income of at least $60,000.
4. Maine - Net worth of at least $200,000, or net worth of $50,000 and an
annual income of $50,000. Net worth is calculated exclusive of home, home
furnishings, and automobiles.
5. Massachusetts - Net worth of at least $225,000 or a net worth of at
least $60,000 and an annual income of at least $60,000.
6. Michigan - Net worth of at least $225,000 or a net worth of at least
$60,000 and a taxable income during the preceding year of at least $60,000 and
the expectation of a taxable income during the current year of at least $60,000.
7. Minnesota - Net worth of at least $225,000 or a net worth of at least
$60,000 and an annual taxable income of $60,000.
8. Missouri - Net worth of at least $225,000 or a net worth of at least
$60,000 and an annual taxable income of $60,000.
9. North Carolina - Net worth of at least $225,000 or a net worth of at
least $60,000 and an annual taxable income of $60,000.
10. New Hampshire - Net worth of at least $225,000 or a net worth of at
least $60,000 and an annual income of at least $60,000.
11. Oklahoma - Net worth of at least $225,000 or a net worth of at least
$60,000 and an annual taxable income of $60,000.
12. Oregon - Net worth of at least $225,000 or a net worth of at least
$60,000 and an annual taxable income of $60,000.
13. Pennsylvania - Net worth of at least $175,000 or a net worth of at
least $100,000 and an annual taxable income of $50,000.
14. Tennessee - Net worth of at least $225,000 or a net worth of at least
$60,000 and an annual taxable income during the past two years and anticipated
taxable income in the current year of at least $60,000.
15. Texas - Net worth of at least $225,000 or a net worth of at least
$60,000 and an annual taxable income of at least $60,000.
C-2
<PAGE> 107
EXHIBIT D
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
LIMITED PARTNERSHIP UNITS
--------------------------
SUBSCRIPTION AGREEMENT AND
POWER OF ATTORNEY
Campbell Strategic Allocation Fund, L.P.
c/o Campbell & Company, Inc.
Court Towers Building
210 West Pennsylvania Avenue
Baltimore, Maryland 21204
Dear Sirs:
1. Subscription for Units. I hereby subscribe for the number of Limited
Partnership Units ("Units") in Campbell Strategic Allocation Fund, L.P. (the
"Partnership") set forth below (minimum $10,000; $5,000 in the case of trustees
or custodians of employee benefit plans or individual retirement accounts) in
the Subscription Agreement and Power of Attorney Signature Page, at Net Asset
Value per Unit as set forth in the Prospectus of the Partnership dated February
1, 1997 (the "Prospectus"). The undersigned's check payable to "Mercantile Safe
Deposit & Trust Company, as Escrow Agent for Campbell Strategic Allocation Fund,
L.P., Escrow Account No. 66127-09," in the full amount of the undersigned's
subscription (additional investments in excess of the required minimum
investment may be made in increments of $1,000, as described in the Prospectus),
accompanies the Subscription Agreement and Power of Attorney Signature Page. If
this subscription is rejected, or if no Units are sold, all funds remitted by
the undersigned herewith will be returned, together with any interest actually
earned thereon. If this subscription is accepted, subscribers will earn
additional Units in lieu of interest earned on the undersigned's subscription
while held in escrow. The General Partner may, in its sole and absolute
discretion, accept or reject this subscription in whole or in part. All
subscriptions once submitted are irrevocable. All Units are offered subject to
prior sale.
2. Representations and Warranties of Subscriber. I have received the
Prospectus. By submitting this Subscription Agreement and Power of Attorney I am
making the representations and warranties set forth in "Exhibit C _ Subscription
Requirements" contained in the Prospectus, including, without limitation, those
representations and warranties relating to my net worth and annual income set
forth therein.
3. Power of Attorney. In connection with my acceptance of an interest in
the Partnership, I do hereby irrevocably constitute and appoint the General
Partner, and its successors and assigns, as my true and lawful Attorney-in-Fact,
with full power of substitution, in my name, place and stead, to (i) file,
prosecute, defend, settle or compromise litigation, claims or arbitrations on
behalf of the Partnership and (ii) make, execute, sign, acknowledge, swear to,
deliver, record and file any documents or instruments which may be considered
necessary or desirable by the General Partner to carry out fully the provisions
of the Limited Partnership Agreement of the Partnership, which is attached as
Exhibit A to the Prospectus, including, without limitation, the execution of the
said Agreement itself and by effecting all amendments permitted by the terms
thereof. The Power of Attorney granted hereby shall be deemed to be coupled with
an interest and shall be irrevocable and shall survive, and shall not be
affected by, my subsequent death, incapacity, disability, insolvency or
dissolution or any delivery by me of an assignment of the whole or any portion
of my interest in the Partnership.
4. Irrevocability; Governing Law. I hereby acknowledge and agree that I am
not entitled to cancel, terminate or revoke this subscription or any of my
agreements hereunder after the Subscription Agreement and Power of Attorney has
been submitted (and not rejected) and that this subscription and such agreements
shall survive my death or disability. This Subscription Agreement and Power of
Attorney shall be governed by and interpreted in accordance with the laws of the
State of Delaware.
READ AND COMPLETE REVERSE SIDE
D-1
<PAGE> 108
EXHIBIT D
SIGNATURE PAGE
SUBSCRIPTION AGREEMENT
IMPORTANT: READ REVERSE SIDE BEFORE SIGNING
The investor named below, by execution and delivery of this Subscription
Agreement and Power of Attorney, by payment of the purchase price for Limited
Partnership Units in Campbell Strategic Allocation Fund, L.P. and by either (i)
enclosing a check payable to "MERCANTILE SAFE DEPOSIT & TRUST COMPANY, AS ESCROW
AGENT FOR CAMPBELL STRATEGIC ALLOCATION FUND, L.P., ESCROW ACCOUNT NO.
66127-09," or (ii) authorizing the Selling Agent (or Additional Seller, as the
case may be) to debit investor's customer securities account in the amount set
forth below, hereby subscribes for the purchase of Units at Net Asset Value per
Unit.
The named investor further acknowledges receipt of the Prospectus of the Fund
dated February 1, 1997, including the Fund's Limited Partnership Agreement, the
Subscription Requirements and the Subscription Agreement and Power of Attorney
set forth therein, the terms of which govern the investment in the Units being
subscribed for hereby.
<TABLE>
<S> <C>
1) Total $ 2) Amount ___________________________ 2) Account___________________ completed)(must be
(minimum of $10,000, except $5,000 minimum for |_| if payment is made by debit to investor's
IRA's and other qualified accounts; $1,000 securities account, check box
increments)
- -----------------------------------------------------------------------------------------------------------------------------------
3) Social Security - - Taxpayer ID - -
-------- -------- -------- --------- --------- --------
Taxable Investors |_| Trust other than a Grantor or Revocable Trust
(check one): |_| Individual Ownership |_| Estate |_| UGMA/UTMA (Minor)
|_| Joint Tenants with Right of Survivorship |_| Partnership |_| Corporation
|_| Tenants in Common |_| Community Property
|_| Grantor or Other Revocable Trust
Non-Taxable Investors
(check one) Selling Agent Plan Non-Selling Agent Plan
|_| IRA |_| Profit Sharing |_| IRA |_| Profit Sharing
|_| IRA Rollover |_| Defined Benefit |_| IRA Rollover |_| Defined Benefit
|_| Pension |_| Other (specify) |_| Pension |_| Other (specify)
|_| SEP |_| SEP |_| check box if Selling Agent in No. 11
is Custodian
- -----------------------------------------------------------------------------------------------------------------------------------
4) LIMITED PARTNER NAME
------------------------------------------------------------------------------------------------------
5)
--------------------------------------------------------------------------------------------------------------------------------
ADDITIONAL INFORMATION (FOR ESTATES, PARTNERSHIPS, TRUSTS AND CORPORATIONS)
6) RESIDENT ADDRESS
OF LIMITED PARTNER
------------------------------------------------------------------------------------------
STREET (P.O. BOX NOT ACCEPTABLE) CITY STATE
ZIP CODE
7) MAILING ADDRESS
(IF DIFFERENT)
------------------------------------------------------------------------------------------
STREET CITY
STATE ZIP CODE
8) CUSTODIAN NAME
AND MAILING ADDRESS
------------------------------------------------------------------------------------------
NAME STREET CITY STATE
ZIP CODE
- --------------------------------------------------------------------------------------------------------------------
9) INVESTOR(S) MUST SIGN
X X
------------------------------------------------ ------------------------------------------------
SIGNATURE OF INVESTOR DATE TELEPHONE NO. SIGNATURE OF JOINT INVESTOR (IF ANY) DATE
</TABLE>
EXECUTING AND DELIVERING THIS SUBSCRIPTION AGREEMENT AND POWER OF ATTORNEY SHALL
IN NO RESPECT BE DEEMED TO CONSTITUTE A WAIVER OF ANY RIGHTS UNDER THE
SECURITIES EXCHANGE ACT OF 1933 OR UNDER THE SECURITIES EXCHANGE ACT OF 1934.
UNITED STATES INVESTORS ONLY
I have checked the following box if I am subject to backup withholding under the
provisions of Section 3406(a)(1)(C) of the Internal Revenue Code: |_|. Under
penalties of perjury, by signature above I hereby certify that the Social
Security Number or Taxpayer ID Number next to my name is my true, correct and
complete Social Security Number or Taxpayer ID Number and that the information
given in the immediately preceding sentence is true, correct and complete.
NON-UNITED STATES INVESTORS ONLY
Under penalties of perjury, by signature above I hereby certify that (a) I am
not a citizen or resident of the United States or (b) (in the case of an
investor which is not an individual) the investor is not a United States
corporation, partnership, estate or trust.
- --------------------------------------------------------------------------------
10) ACCOUNT EXECUTIVE MUST SIGN
I hereby certify that I have informed the investor of all pertinent facts
relating to the risks, tax consequences, liquidity, marketability, management
and control of the General Partner with respect to an investment in the Units,
as set forth in the Prospectus dated February 1, 1997 I have also informed the
investor of the unlikelihood of a public trading market developing of the Units.
I have reasonable grounds to believe, based on information obtained from this
investor concerning his/her investment objectives, other investments, financial
situation and needs and any other information known by me, that investment in
the Fund is suitable for such investor in light of his/her financial position,
net worth and other suitability characteristics.
The Account Executive MUST sign below in order to substantiate compliance with
Article III, Section 34 of the NASD's Rules of Fair Practice.
<TABLE>
<CAPTION>
<S> <C>
X X
------------------------------------------------------- ----------------------------------------
ACCOUNT EXECUTIVE SIGNATURE DATE OFFICE MANAGER SIGNATURE DATE
(if required by Selling Agent, as the case may
be, procedures)
11) SELLING AGENT
------------------------------------------------------------------------------------------
ACCOUNT EXECUTIVE
NAME (please
print)
------------------------------------------------------------------------------------------
FIRST M.I. LAST PHONE NUMBER A.E. NUMBER
ACCOUNT EXECUTIVE
ADDRESS
------------------------------------------------------------------------------------------
(for confirmation) STREET (P.O. Box not acceptable) CITY STATE ZIP CODE
</TABLE>
<PAGE> 109
PART II
INFORMATION NOT REQUIRED IN PROSPECTUS
Item 13. Other Expenses of Issuance and Distribution.
Campbell & Company will continue to advance certain of the offering
expenses, as described in the Prospectus, for which it shall be reimbursed by
the Registrant in monthly installments throughout the offering period up to the
lesser of the actual amount of offering expenses advanced by Campbell & Company,
Inc. or 2.5% of the aggregate subscriptions accepted by Campbell & Company.
Offering expenses related to the initial offering and the continuing offering
prior to the date of the Prospectus included in this Registration Statement have
been incurred. Such expenses are included in the 2.5% maximum described above
but are not reflected in the figures below. The following is an estimate of the
expenses for the next nine-month period:
<TABLE>
<CAPTION>
Approximate
Amount
<S> <C>
Securities and Exchange Commission Registration Fee............................... $ 30,303
National Association of Securities Dealers, Inc. Filing Fee....................... $ 10,500
Printing Expenses................................................................. $ 75,000
Fees of Certified Public Accountants.............................................. $ 10,000
Blue Sky Expenses (Excluding Legal Fees).......................................... $ 30,000
Fees of Counsel................................................................... $ 25,000
Escrow Fees....................................................................... $ 1,000
Salaries of Employees Engaged in Sales Activity................................... $250,000
Miscellaneous Offering Costs...................................................... $168,197
--------
Total $600,000
</TABLE>
Item 14. Indemnification of Directors and Officers.
Section 15 of the Amendment of Limited Partnership (attached as Exhibit
A to the Prospectus which forms a part of this Registration Statement) provides
for the indemnification of the General Partner and certain of its controlling
persons by the Registrant in certain circumstances. Such indemnification is
limited to claims sustained by such persons in connection with the Registrant;
provided that such claims were not the result of negligence or misconduct on the
part of Campbell & Company or such controlling persons. The Registrant is
prohibited from incurring the cost of any insurance covering any broader
indemnification than that provided above. Advances of Registrant funds to cover
legal expenses and other costs incurred as a result of any legal action
initiated against Campbell & Company by a Limited Partner are prohibited unless
specific court approval is obtained.
Item 15. Recent Sales of Unregistered Securities.
On May 11, 1993, one Unit of limited partnership interest were sold to
an individual affiliated with Campbell & Company in order to permit the filing
of a Certificate of Limited Partnership for the Registrant. The sale of these
Units were exempt from registration under the Securities Act of 1933 pursuant to
Section 4(2) thereof. No discounts or commissions were paid in connection with
the sale, and no other offeree or purchaser was solicited. There have been no
other unregistered sales of Units.
<PAGE> 110
Item 16. Exhibits and Financial Statement Schedules.
The following documents (unless indicated) are filed herewith and
made a part of this Registration Statement.
(a) Exhibits
<TABLE>
<CAPTION>
Exhibit
Number Description of Document
<S> <C>
1.01 Form of Selling Agreement among the Partnership, the General Partner, PaineWebber Incorporated
and the Selling Agent.**
1.02 Form of Auxiliary Selling Agreement.**
1.03 Form of Service Agreement among Steben Asset Management, Inc. the Registrant and the General
Partner.**
3.01 Agreement of Limited Partnership of the Registrant dated May 11, 1993.*
3.02 Certificate of Limited Partnership of the Registrant.*
3.03 Amended Agreement of Limited Partnership of the Registrant (included as Exhibit A to the
Prospectus).
5.01 Opinion of Foley & Lardner relating to the legality of the Units.
8.01 Opinion of Foley & Larnder with respect to federal income tax consequences.
10.01 Advisory Agreement between the Partnership and Campbell & Company, Inc.*
10.02 Customer Agreement between the Partnership and PaineWebber Incorporated.*
10.03 Subscription Agreement and Power of Attorney (included as Exhibit D to Prospectus)
10.04 Escrow Agreement between the Partnership and PaineWebber Incorporated.*
10.05 Commodity Client Agreement between Smith Barney, Inc. and the Partnership.****
10.06 Investment Management Agreement between the Partnership and Brown Brothers Harriman & Co.****
10.07 Agreement between Brown Brothers Harriman & Co. and the Partnership****
23.01 Consent of Foley & Lardner (included in their opinions in Exhibits 5.01 and 8.01)
23.02 Consent of Arthur F. Bell, Jr. & Associates
</TABLE>
- - This exhibit is included in exhibits filed by the Registrant as part of
its Registration Statement on Form S-1 (No. 33-67164) on August 9, 1993
and is hereby incorporated herein by reference.
** This exhibit is included in exhibits filed by the Registrant as part of
its Amendment No. 2 to the Registration Statement on Form S-1 (No. 33-67164) on
December 30, 1993 and is hereby incorporated herein by reference.
<PAGE> 111
*** This exhibit is included in the exhibits filed by the Registrant as part
of its Post-Effective Amendment No. 1 to the Registration Statement on Form S-1
(No. 33-84126) on May 22, 1995 and is hereby incorporated herein by reference.
**** This exhibit is included in the exhibits filed by the Registrant as part
of its Registration Statement on Form S-1 (No. 33-98056) on October 12, 1995 and
is hereby incorporated herein by reference.
***** This exhibit is included in the exhibits filed by the Registrant as
part of its Registration Statement on Form S-1 (No. 333-5767) on June 12, 1996
and is hereby incorporated herein by reference.
(b) Financial Statement Schedules.
No Financial Schedules are required to be filed herewith.
<PAGE> 112
Item 17. Undertakings.
(a) (1) The undersigned registrant hereby undertakes to file, during
any period in which offers or sales are being made, a post-effective amendment
to this registration statement:
(i) To include any prospectus required by section 10a(a)(3) of the
Securities Act of 1933;
(ii) To reflect in the prospectus any facts or events arising after
the effective date of the registration statement (or the most recent
post-effective amendment thereof) which, individually or in the aggregate,
represents a fundamental change in the information set forth in the
registration statement;
(iii) To include any material information with respect to the plan of
distribution not previously disclosed in the registration statement or any
material change to such information in the registration statement.
(1) That, for the purpose of determining any liability under the
Securities Act of 1933, each such post-effective amendment shall be deemed to be
a new registration statement relating to the securities offered therein, and the
offering of such securities at that time shall be deemed to be the initial bona
fide offering thereof.
(2) To remove from registration by means of a post-effective
amendment any of the securities being registered which remain unsold at the
termination of the offering.
(b) The undersigned registrant hereby undertakes that:
(2) For purposes of determining any liability under the Securities
Act of 1933, the information omitted from the form of prospectus filed as part
of this registration statement in reliance upon Rule 430A and contained in a
form of prospectus filed by the registrant pursuant to Rule 424(b)(1) or (4),
or 497(h) under the Securities Act shall be deemed to be part of this
registration statement as of the time it was declared effective.
(3) For the purpose of determining any liability under the
Securities Act of 1933, each post-effective amendment that contains a form of
prospectus shall be deemed to be a new registration statement relating to the
securities offered therein, and the offering of such securities at that time
shall be deemed to be the initial bona fide offering thereof.
(a) Insofar as indemnification for liabilities under the Securities
Act of 1933 may be permitted to directors, officers and controlling persons of
the registrant pursuant to the provisions described in Item 14 above, or
otherwise, the registrant had been advised that in the opinion of the
Securities and Exchange Commission such indemnification is against public
policy as expressed in the Securities Act of 1933 and is, therefore,
unenforceable. In the event that a claim for indemnification against such
liabilities (other than the payment by the registrant of expenses incurred or
paid by a director, officer or controlling person of the registrant in the
successful defense of any such action, suit or proceeding) is asserted by such
director, officer or controlling person in connection with the securities being
registered, the registrant will, unless in the opinion of its counsel the
matter has been settled by controlling precedent, submit to a court of
appropriate jurisdiction the question whether such indemnification by it is
against public policy as expressed in the Act and will be governed by the final
adjudication of such issue.
<PAGE> 113
SIGNATURES
Pursuant to the requirements of the Securities Act of 1933, the General
Partner of the Registrant has duly caused this Registration Statement to be
signed on its behalf by the undersigned, thereunto duly authorized, in the City
of Baltimore in the State of Maryland on the 30th day of December, 1996.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
By: Campbell & Company, Inc.
General Partner
By: /s/ D. Keith Campbell
-----------------------------------
D. Keith Campbell
Chief Executive Officer
Pursuant to the requirements of the Securities Act of 1933, this
Registration Statement has been signed below by the following persons on behalf
of the General Partner of the Registrant in the capacities and on the date
indicated.
<TABLE>
<CAPTION>
SIGNATURES TITLE WITH REGISTRANT DATE
<S> <C> <C>
/s/ D. Keith Campbell Chief Executive Officer and Director December 30, 1996
- ---------------------------------- (Principal Executive Officer)
D. Keith Campbell
/s/ Bruce L. Cleland President December 30, 1996
- ----------------------------------
Bruce L. Cleland
/s/ Theresa D. Livesey Chief Financial Officer, Secretary, December 30, 1996
- ---------------------------------- Treasurer and Director
Theresa D. Livesey Principal Financial Officer)
/s/ William C. Clarke, III Executive Vice President and Director December 30, 1996
- ----------------------------------
William C. Clarke, III
/s/ James M. Little Senior Vice President and Director December 30, 1996
- ----------------------------------
James M. Little
</TABLE>
(Being the principal executive officer, the principal financial and
accounting officer and a majority of the directors of Campbell & Company, Inc.)
CAMPBELL & COMPANY, INC. General Partner December 30, 1996
of Registrant
By: /s/ D. Keith Campbell
------------------------------
D. Keith Campbell
Chief Executive Officer
<PAGE> 114
<TABLE>
<CAPTION>
INDEX TO EXHIBITS
Exhibit
Number Description of Document
<S> <C>
5.01 Opinion of Foley & Lardner relating to the legality of the Units.
8.01 Opinion of Foley & Lardner with respect to federal income tax consequences.
23.01 Consent of Foley & Lardner (included in their opinions in Exhibits 5.01 and 8.01)
23.02 Consent of Arther F. Bell, Jr. & Associates
</TABLE>
<PAGE> 1
EXHIBIT 5.01
December 30, 1996
Campbell & Company, Inc.
Court Towers Building
210 West Pennsylvania Avenue
Baltimore, Maryland 21204
Dear Sir:
We have acted as your counsel in connection with the preparation of the
Registration Statement on Form S-1, filed with the Securities and Exchange
Commission ("SEC") on December 31, 1996 (the "registration Statement"),
relating to the registration under the Securities Act of 1933, as amended, of
$100,000,000 of Limited Partnership Units ("Units") in Campbell Strategic
Allocation Fund, L.P., a Delaware limited partnership (the "Partnership").
Based upon our familiarity with the Partnership, we are of the opinion that the
Units to be offered for sale as described in the Registration Statement, when
sold in the manner and under the conditions set forth therein, will be legally
issued and fully paid and non-assessable. We are also of the opinion that
purchasers of the Units will become limited partners in the Partnership and
that their liability for the losses and obligations of the Partnership will be
limited to the extent provided by the Delaware Revised Uniform Limited
Partnership Act and the Limited Partnership Agreement of the Partnership.
We consent to the filing of this opinion with the SEC as an exhibit to the
Registration Statement, and to the statements regarding us and to the use of
our name in the Prospectus. In giving our consent, we do not admit that we are
"experts" within the meaning of Section 11 of the 1933 Act, or within the
category of persons whose consent is required by Section 7 of the 1933 Act.
Very truly yours,
FOLEY & LARNDER
<PAGE> 1
EXHIBIT 8.01
December 30, 1996
Campbell & Company, Inc.
Court Towers Building
210 West Pennsylvania Avenue
Baltimore, Maryland 21204
Re: Registration Statement on Form S-1
Ladies and Gentlemen:
We have acted as your counsel in connection with the preparation and filing
with the Securities and Exchange Commission (the "SEC") under the Securities
Act of 1933, as amended (the "1933 Act"), of the Registration Statement on Form
S-1, filed with the SEC on December 31, 1996 (the "Registration Statement")
relating to the Limited Partnership Units ("Units") of Campbell Strategic
Allocation Fund, L.P. (the "Fund"), a limited partnership organized under the
Delaware Revised Uniform Limited Partnership Act.
In preparing this opinion, we have reviewed the Registration Statement and such
other documents as we deemed necessary. We have assumed, without independent
verification, the accuracy of all of the facts set forth in the Prospectus
constituting a part of the Registration Statement (the "Prospectus"), including
the statements contained therein concerning the future operations of the Fund.
Without limiting the foregoing, we have assumed, without independent
verification, that (a) Campbell & Company, Inc. will, when the Fund's Units are
sold to the public, have a capitalization not materially less than that
indicated in the audited financial statements included in the Registration
Statement and will both maintain such capitalization throughout the term of the
Fund and increase such capitalization as required by the terms of the Limited
Partnership Agreement; (b) Campbell & Company, Inc. has made and will continue
to make capital contributions to the Fund from time to time in at least the
amounts set forth in the Prospectus; (c) the Fund has been and will continue to
be operated so that it will satisfy the gross income requirements described in
"Federal Income Tax Aspects" in the Prospectus; and (d) the Fund will not elect
to be taxed as a corporation under the Treasury Regulations prescribing the
classification of partnerships and other entities for federal tax purposes or
otherwise.
We hereby confirm our opinion expressed under the caption "Federal Income Tax
Aspects" in the Prospectus that, as of the date hereof, the Fund will be
classified as a partnership (and not as an association taxable as a
corporation) for federal income tax purposes.
We also advise that, in our opinion, the description set forth under the
caption "Federal Income Tax Aspects" in the Prospectus correctly describes
(subject to the uncertainties referred to therein) the material aspects of the
federal income tax consequences, as of the date hereof, of an investment in the
Fund to an investor who is an individual citizen or resident of the United
States and who holds the Units as a capital asset.
<PAGE> 2
The opinions set forth above are based upon the applicable provisions of the
Internal Revenue Code of 1986, as amended; the Treasury Regulations promulgated
or proposed thereunder; current positions of the Internal Revenue Service (the
"IRS") contained in published revenue rulings, revenue procedures, and
announcements; existing judicial decisions; and other applicable authorities.
No tax rulings have been sought from the IRS with respect to any of the matters
discussed herein.
As explained above, our opinions as set forth herein are based upon the factual
statements contained in the Prospectus and the representations set forth in the
certificate of even date herewith executed by an authorized officer of Campbell
& Company, Inc., whether or not specifically referred to herein, and the
assumptions set forth herein. If any such factual statement or assumption is
inaccurate or incorrect in any material respect on the date hereof or on any
subsequent date, any or all of the opinions expressed herein with respect to
the Fund may become inapplicable.
We consent to the filing of this opinion with the SEC as an exhibit to the
Registration Statement, and to the statements regarding us and to the use of
our name in the Prospectus. In giving our consent, we do not admit that we are
"experts" within the meaning of Section 11 of the 1933 Act, or within the
category of persons whose consent is required by Section 7 of the 1933 Act.
Very truly yours,
FOLEY & LARDNER
<PAGE> 1
EXHIBIT 23.02
CONSENT OF INDEPENDENT ACCOUNTANTS
We consent to the use in the Prospectus constituting part of this Registration
Statement on Form S-1 of our report dated January 29, 1996 on the financial
statements of Campbell Strategic Allocation Fund, L.P. as of December 31, 1995
and 1994 and for the years ended December 31, 1995 and 1994 and for the period
May 11, 1993 (inception) to December 31, 1993 and our report dated March 1,
1996 on the balance sheet of Campbell & Company, Inc. as of December 31, 1995,
which appear in such Prospectus. We also consent to the statements with respect
to us as appearing under the heading "Experts" in the Prospectus.
ARTHUR F. BELL, JR. & ASSOCIATES, L.L.C.
CERTIFIED PUBLIC ACCOUNTANTS
Lutherville, Maryland
December 30, 1996
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>
THE SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE FINANCIAL
STATEMENTS OF CAMPBELL STRATEGIC ALLOCATION FUND, L.F. AS OF AND FOR THE NINE
MONTHS ENDED SEPTEMBER 30 AND IS QUALIFIED IN ITS ENTIRETY BY REFERENCE TO SUCH
FINANCIAL STATEMENTS.
</LEGEND>
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> SEP-30-1996
<CASH> 56,365
<SECURITIES> 15,219
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 71,584
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 71,584
<CURRENT-LIABILITIES> 1,719
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 69,865
<TOTAL-LIABILITY-AND-EQUITY> 71,584
<SALES> 0
<TOTAL-REVENUES> 8,834
<CGS> 0
<TOTAL-COSTS> 3,536
<OTHER-EXPENSES> 0
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 5,298
<INCOME-TAX> 0
<INCOME-CONTINUING> 5,298
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 5,298
<EPS-PRIMARY> 98.05
<EPS-DILUTED> 0
</TABLE>
