<PAGE> 1
As Filed with the Securities Exchange Commission on January 20, 1997
Registration No. 333-19117
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SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
------------------
PRE-EFFECTIVE AMENDMENT NUMBER 1
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
-------- ---- ----------
(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|
Pursuant to Rule 429, the Prospectus contained herein also relates to
Registration Statement No. 333-5767 and this constitutes Post Effective
Amendment No. 2 to such Registration Statement.
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.
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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
Cross Reference Sheet
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<CAPTION>
Item
No. Prospectus Heading
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<S> <C> <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 Losses
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 . . . Conflicts of Interest
</TABLE>
2
<PAGE> 3
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
$105,447,641 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 by
establishing pre-defined loss levels on each trade and diversifying positions
across a broad spectrum of markets. Campbell & Company has been trading futures
contracts pursuant to technical trading systems for over 25 years and currently
has over $550 million under its management ($460 million in the Financial, Metal
& Energy Large Portfolio primarily utilized to trade the Fund's assets).
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. Because Units in the Fund
are offered at Net Asset Value on an ongoing, month-to-month basis, no maximum
number of units available can be calculated. There is no minimum amount that
must be sold. A total of $104,552,359 has been raised in the Initial and
Continuing Offering Period through January 16, 1997; redemptions over the same
time period total $16,089,467. Campbell & Company may terminate the Continuing
Offering Period in its discretion. The Unit value as of December 31, 1996 was
$1,268.16.
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 (the value of total assets of
the Fund less all liabilities of the Fund) 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. SEE
"PLAN OF DISTRIBUTION" AND "CONFLICTS OF INTEREST." SEE "RISK FACTORS" ON PAGE
11 FOR A MORE DETAILED DESCRIPTION OF THE FOLLOWING RISKS AND OTHER SIGNIFICANT
RISK FACTORS APPLICABLE TO AN INVESTMENT IN THE FUND. THERE IS NO ASSURANCE THAT
THE FUND WILL ACHIEVE ITS OBJECTIVES.
- Futures and forward trading is speculative and involves a high
degree of risk, including the possible loss of all or
substantially all of one's investment. See "Risk Factors."
- Past performance of managed futures in general and the Fund in
particular is not necessarily indicative of and may
significantly exceed future performance.
- 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."
--------------------------------
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.
<TABLE>
<CAPTION>
================================================================================================================
Proceeds to the
Price to Public (1)(5) Selling 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............................. $105,447,641 (2) $105,447,641
================================================================================================================
</TABLE>
*See Notes on the following page.
The date of this Prospectus is February 1, 1997.
<PAGE> 4
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. Such reports and information for registrants that file
electronically with the SEC are also available on the SEC's internet Web set at
http://www.sec.gov. 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, 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 SEC in Washington,
D.C., and copies of all or part thereof may be obtained from the SEC upon
payment of the prescribed fees. For further information about the Fund and the
Units offered hereby, reference is made to the Registration Statement and the
exhibits thereto.
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 December
31, 1996 totaled $2,536,207 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 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.
3
<PAGE> 6
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."
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 27 AND A
STATEMENT OF THE PERCENTAGE RETURN NECESSARY TO BREAK EVEN, THAT IS, TO RECOVER
THE AMOUNT OF YOUR INITIAL INVESTMENT, AT PAGE 27.
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 11.
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.
4
<PAGE> 7
TABLE OF CONTENTS
<TABLE>
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SECTION PAGE
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1. Summary.............................................................................................................. 7
2. Risk Factors......................................................................................................... 11
A. Market Risks................................................................................................... 11
(i) Futures and Forward Trading is Volatile................................................................. 11
(ii) Futures and Forward Trading is Highly Leveraged......................................................... 11
(iii) Futures and Forward Markets Can Be Illiquid or Disrupted................................................ 11
(iv) Forward Transactions Are Not Regulated and Are Subject to Credit Risk................................... 11
(v) Limited Ability to Liquidate Investment in Units........................................................ 11
(vi) Futures Trading is Highly Speculative................................................................... 11
(vii) Non-Correlated, Not Negatively Correlated, Performance Objective........................................ 11
B. Trading Risks.................................................................................................. 11
(i) Trading Methods Based Upon Technical Criteria Are Dependent on the Occurrence and Recognition of Price
Trends.................................................................................................. 12
(ii) Other Trend-Following Programs May Reduce the Effectiveness of Trend-Following Techniques............... 12
(iii) Speculative Position Limits May Alter Trading Decisions for the Fund.................................... 12
(iv) Trading Methods Involve Proprietary Methods............................................................. 12
C. Tax Risks...................................................................................................... 12
(i) Possibility of Taxation as a Corporation................................................................ 12
(ii) Limited Partners' Tax Liability May Exceed Distributions................................................ 12
(iii) Taxation of Interest Income Irrespective of Trading Losses.............................................. 12
(iv) Deductibility of Certain Expenses....................................................................... 12
D. Other Risks.................................................................................................... 12
(i) Fees and Commissions Are Charged Regardless of Profitability............................................ 12
(ii) Failure of Brokerage Firms; Disciplinary History of Commodity Broker.................................... 12
(iii) Past Results Not Necessarily Indicative of Future Performance........................................... 13
(iv) Conflicts of Interest................................................................................... 13
(v) Reliance on Campbell & Company.......................................................................... 13
(vi) Possibility of Termination of the Fund Before Expiration of its Stated Term............................. 13
(vii) Potential Lack of Statutory Regulation.................................................................. 13
(viii) Proposed Regulatory Change Is Impossible to Predict..................................................... 13
(ix) Swaps, Hybrids, and Other Derivatives Are Not Subject to CFTC Regulation................................ 13
(x) Foreign Futures Are Not Subject to U.S. Regulation...................................................... 13
(xi) Restrictions on Transferability......................................................................... 13
(xii) Restrictions on Investment by ERISA Accounts............................................................ 14
(xiii) A Single Advisor Fund May Be More Volatile Than a Multi-Advisor Fund.................................... 14
3. Selected Financial Data.............................................................................................. 14
4. Investment Factors 14
A. Professional Trading Management................................................................................ 14
B. Trading Diversification........................................................................................ 14
C. Trading Systems Diversification................................................................................ 14
D. Investment Diversification..................................................................................... 14
E. Limited Liability.............................................................................................. 15
F. Interest Income................................................................................................ 15
5. Campbell & Company, Inc.............................................................................................. 15
A. Description.................................................................................................... 15
B. The Advisory Agreement......................................................................................... 16
C. Management Discussion and Analysis of Financial Condition and Results of Operations............................ 16
D. The Trading Systems............................................................................................ 17
6. Past Performance of Campbell & Company, Inc......................................................................... 19
7. Conflicts of Interest 25
A. Campbell & Company, Inc........................................................................................ 25
B. The Commodity Broker and the Foreign Exchange Dealers.......................................................... 25
C. Selling Agents................................................................................................. 25
D. Fiduciary Duty and Remedies.................................................................................... 25
E. Indemnification and Standard of Liability...................................................................... 26
8. Charges to the Fund 27
A. Campbell & Company, Inc........................................................................................ 27
B. The Commodity Broker........................................................................................... 28
C. Selling Agents................................................................................................. 28
</TABLE>
5
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<TABLE>
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D. Foreign Exchange Dealers....................................................................................... 28
E. Offering Expenses.............................................................................................. 28
F. Cash Management................................................................................................ 28
G. Other.......................................................................................................... 29
H. Estimate of Breakeven Level.................................................................................... 29
9. Use of Proceeds 29
10. The Commodity Broker 30
11. Foreign Exchange Dealers............................................................................................. 33
12. Capitalization 33
13. Distributions and Redemptions........................................................................................ 34
14. The Futures and Forwards Markets..................................................................................... 34
A. Futures Contracts.............................................................................................. 34
B. Forward Contracts.............................................................................................. 34
C. Regulation..................................................................................................... 35
D. Margin......................................................................................................... 35
15. Agreement of Limited Partnership..................................................................................... 35
A. Organization and Liabilities................................................................................... 35
B. Management of Partnership Affairs.............................................................................. 35
C. Sharing of Profits and Losses.................................................................................. 36
D. Dispositions................................................................................................... 36
E. Dissolution and Termination of the Fund........................................................................ 36
F. Amendments and Meetings........................................................................................ 36
G. Indemnification................................................................................................ 37
H. Reports to Limited Partners.................................................................................... 37
16. Federal Income Tax Aspects........................................................................................... 37
A. Introduction................................................................................................... 37
B. Partnership Classification..................................................................................... 37
C. Publicly-Traded Partnership Status............................................................................. 38
D. Fund Allocations............................................................................................... 38
E. "At-Risk" Limitation and Basis Adjustments..................................................................... 38
F. Application of Passive Loss Rules.............................................................................. 39
G. Cash Distributions and Redemptions............................................................................. 39
H. Taxation of Transactions....................................................................................... 39
I. Limitation on Deductibility of Capital Losses.................................................................. 39
J. Alternative Minimum Tax........................................................................................ 39
K. Deductibility of Investment Interest........................................................................... 39
L. Tax Elections.................................................................................................. 40
M. Limited Deduction for Certain Expenses......................................................................... 40
N. Fund Audits.................................................................................................... 40
O. Syndication Costs.............................................................................................. 40
P. State and Local Taxes.......................................................................................... 40
Q. Laws Subject to Change......................................................................................... 40
17. Investment by ERISA Accounts......................................................................................... 40
18. Plan of Distribution 41
A. Subscription Procedure......................................................................................... 41
B. Minimum Investment............................................................................................. 42
C. Investor Suitability........................................................................................... 42
D. The Selling Agents............................................................................................. 42
19. Certain Legal Matters 43
20. Experts 43
21. Index to Financial Statements........................................................................................ 44
</TABLE>
APPENDICES
Appendix I Glossary
Appendix II Supplementary Performance Information
EXHIBITS
Exhibit A Agreement of Limited Partnership
Exhibit B Request for Redemption
Exhibit C Subscription Requirements
Exhibit D Subscription Agreement and Power of Attorney
6
<PAGE> 9
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 25 years. The Fund began
trading April 18, 1994 with approximately $9.7 million in assets. Through
December 31, 1996, a total of $104,552,359 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 December 31, 1996.
Also, see the "Glossary" in Appendix I for definitions of terms used in this
Prospectus.
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, and each section heading
corresponds to a section heading in the prospectus where a more complete
discussion is available. The intended effective date for use of this document is
February 1, 1997.
PLAN OF DISTRIBUTION
Subscription Procedures
- 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.
- Subscribers must complete, execute and deliver to their
Selling Agent a fully complete copy of the current
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."
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.
Investor 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.
RISK FACTORS
- The Fund is a highly volatile and 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.
- 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
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<PAGE> 10
Fund pays "bid-ask" spreads on its forward trades.
- 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.
INVESTMENT FACTORS
- The Fund is a leveraged investment fund managed by an
experienced, professional trading manager.
- The Fund trades in a wide range of markets, including
primarily financial instrument contracts, as well as metals,
energy, and agricultural markets.
- The Trading Manager utilizes several independent and different
trading systems for the Fund.
- If profitable, the Fund has the potential to provide a
valuable component of diversification to traditional
securities portfolios. 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.
"Non-correlation" means that there is no statistically valid
relationship on a historical basis between the returns
generated from managed futures and those generated by
investments in stocks or bonds. This term is often confused
with "negative correlation," which means that the returns
generated are in direct opposition to each other, i.e., when
one investment class performs poorly, the other investment
class tends to perform well, and vice versa. 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
8
<PAGE> 11
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 the
returns of Campbell & Company's portfolios have been
non-correlated with the returns of traditional stock and bond
investments. However, no assurance can be given that this
non-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.
- An investment in the Units offers the advantage of limited
liability in highly leveraged trading.
- 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. The
Fund receives all interest earned on its assets. (Maintenance
of the Fund's assets in U.S. government securities and banks
does not reduce the risk of loss from trading futures
contracts.)
CAMPBELL & COMPANY, INC.
- Description - 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 December 31, 1996, Campbell & Company was
managing approximately $550 million in the futures markets,
including approximately $460 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, such
as a given market's profitability and/or viability, and
Campbell & Company reserves the right to respond to these
changes by rebalancing the portfolio traded by changing
allocations and adding or deleting markets traded within the
given sectors.
- Trading Systems - Campbell & Company employs a computerized,
technical, trend-following approach combined with quantitative
portfolio management analysis and seeks to identify and profit
from sustained price trends. Two main trading systems are
utilized 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.
Campbell & Company utilizes a proprietary volatility-based
model for allocating capital to a portfolio's constituent
markets. Each market is assigned a dollar risk value based on
contract size and volatility, which forms the basis for
structuring a risk-balanced portfolio.
CHARGES TO THE FUND
- 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."
9
<PAGE> 12
<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)
----------
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>
- No upfront sales commissions are 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.
DISTRIBUTIONS AND REDEMPTIONS
- The Fund is intended to be 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.
FEDERAL INCOME TAX ASPECTS
- - In the opinion of counsel, the Fund will be classified as a partnership
(and not be considered a publicly-traded partnership taxable as a
corporation) for federal income tax purposes. As such, whether or not
Campbell & Company has distributed any cash to the Partners, each
Limited Partner will be required to report his or her allocable share
of items of taxable gain, loss, income and deduction of the Fund and is
individually liable for income tax on such share. The Fund invests in
futures and other commodity contracts, gain or loss on which will
generally be 60% long-term capital gain or loss and 40% short-term
capital gain or loss. Trading losses of the Fund, which will generally
be capital losses, will only be available to offset a limited amount of
interest income allocated to the Limited Partners. Although Campbell &
Company treats the Brokerage Fees and performance fees paid to Campbell
& Company as ordinary expenses, such expenses may be subject to
restrictions on deductibility for federal income tax purposes or be
treated as non-deductible costs by the IRS. Except for the opinion on
partnership status, the preceding is a general discussion that is not
covered by an opinion of counsel. See "Federal Income Tax Aspects" at
page 37.
10
<PAGE> 13
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, significant
amounts can be lost in a brief period of time, including all, or substantially
all of an investment.
(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 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 Are Not Regulated and Are Subject to Credit
Risk. 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.
(vi) Futures Trading is Highly Speculative. 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.
(vii) Non-Correlated, Not Negatively Correlated, Performance Objective.
Historically, managed futures have been generally non-correlated to the
performance of other asset classes such as stocks and bonds. Non-correlation
means that there is no statistically valid relationship between the past
performance of futures and stocks or bonds (as opposed to negative correlation,
where the performance would be exactly opposite between two asset classes).
Because of this non-correlation, the Fund cannot be expected to be automatically
profitable during unfavorable periods for the stock market, or vice versa. The
futures markets are fundamentally different from the securities markets in a
number of respects, and any comparison between them is subject to certain
inherent and material limitations. If the Fund does not perform in a manner
non-correlated with the general financial marekts or does not performs
successfully, investors will obtain no diversification benefits by investing in
the Units.
B. TRADING RISKS
(i) Trading Methods Based Upon Technical Criteria Are Dependent on the
Occurrence and Recognition of Price Trends. 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
11
<PAGE> 14
methods will be successful or that investment results of the Fund will be
similar to those achieved by Campbell & Company in the past.
(ii) Other Trend-Following Programs May Reduce the Effectiveness of
Trend-Following Techniques. 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) Speculative Position Limits May Alter Trading Decisions for the
Fund. 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 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 Are Charged Regardless of Profitability. 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
12
<PAGE> 15
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 Are Not Necessarily Indicative of Future Performance
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."
(vii) Potential Lack of 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 Is Impossible to Predict. 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) Swaps, Hybrids and Other Derivatives Are Not Subject to CFTC
Regulation. 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.
(x) Foreign Futures Are Not Subject to U.S. Regulation. 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.
(xi) 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."
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<PAGE> 16
(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".
(xiv) A Single Advisor Fund May Be More Volatile Than a Multi-Advisor
Fund. The Fund has one advisor, Campbell & Company, as opposed to other funds
which may allocate assets among several advisors. A single advisor fund may be
less diversified, and therefore possibly more volatile.
THE FOREGOING LIST OF RISK FACTORS DOES NOT PURPORT TO BE A COMPLETE
EXPLANATION OF RISKS INVOLVED IN THIS OFFERING. PROSPECTIVE INVESTORS SHOULD
READ THE ENTIRE PROSPECTUS BEFORE DECIDING TO INVEST IN THE FUND.
SECTION 3. SELECTED FINANCIAL DATA
Dollars in thousands, except per unit amounts
<TABLE>
<CAPTION>
Nine Months Ended Year Ended Period Ended
September 30, 1996 December 31, 1995 December 31, 1994
------------------ ----------------- -----------------
<S> <C> <C> <C>
Total Assets $ 71,584 $ 46,492 $ 21,066
-------- -------- --------
Total Partners' Capital 69,865 45,074 20,599
-------- -------- --------
Total Income (Loss) 8,834 6,201 (1,215)
-------- -------- --------
Net Income (Loss) 5,298 3,509 (2,236)
-------- -------- --------
Net Income (Loss) Per General and
Limited Partner Unit 98.05 103.74 (133.42)
-------- -------- --------
Increase (Decrease) in Net Asset
Value per General and Limited
Partner Unit 90.92 88.27 (116.23)
-------- -------- --------
</TABLE>
SECTION 4. 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. "Non-correlation"
means that there is no statistically valid relationship on a historical basis
between the returns generated from managed futures and those generated by
investments in stocks or bonds. This term is often confused with "negative
correlation," which means that the returns generated are in direct opposition to
each other, i.e., when one investment class performs poorly, the other
investment class tends to perform
14
<PAGE> 17
well, and vice versa. 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, the returns of Campbell & Company's portfolios have been
non-correlated with the returns of traditional stock and bond investments.
However, no assurance can be given that this non-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 5. 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 $550 million under management in the futures and forwards markets
(including $460 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 information for Campbell & Company and Mr. D. Keith Campbell
begins on page 21.
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,
15
<PAGE> 18
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 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 Advisory Agreement delegates to Campbell
& Company sole authority and responsibility for directing the investment and
reinvestment of the Fund's assets. The term of the Agreement is for successive
one year periods subject to each party's right to terminate on 60 days prior
written notice. The Advisory Agreement provides that Campbell & Company shall
not be liable to the Fund except by conduct constituting negligence, misconduct,
a material breach of the Advisory Agreement, or a misleading statement or
omission of a material fact relating to Campbell & Company in the prospectus.
Campbell & Company agrees to indemnify the Fund for liabilities incurred by it,
provided that Campbell & Company is liable to the Fund pursuant to the standard
set forth earlier in this paragraph. There are conflicts of interest inherent in
Campbell & Company acting as a general partner and advisor of the Fund. These
include (i) that the selection of itself as advisor was not objective., (ii) it
has a disincentive to replace itself as the advisor, and (iii) the fees were not
negotiated at arm's length. See "Conflicts of Interest." The Advisory Agreement
is not intended to alter any state-law fiduciary duty standards. 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 $94,859,920 have been accepted during the
Continuing Offering Period as ofJanuary 16, 1997. Redemptions over the same time
period total $16,089,467.
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
16
<PAGE> 19
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 years ended December 31, 1996
and 1995 were 30.46% and 9.99%, respectively. For 1996, the majority of the
increase occurred in the last quarter of the year, when approximately 70% of the
total trading gains for the year were posted. Upward trends in foreign and
domestic bonds, coupled with a strong U.S. Dollar and British Pound were the
star performers during this quarter, with bullish trends in Natural Gas and
Copper also providing profits on the Fund's long positions. The long position
maintained in the S&P 500 also proved profitable in this quarter, although
performance in this market was flat for the Fund for the year. Downside
volatility was well contained, and the largest draw-down for the year of 5.97%
occurred in February 1996, when long U.S. and Australian bond positions were
covered and reversed in sharply falling markets. The 30.46% increase was the
result of an approximate 37.38% increase due to trading gains (before
commissions) and an approximate 5.18% increase due to interest income, offset by
an approximate 12.10% decrease as the result of brokerage fees, performance fees
and operating costs borne by the Fund.
In 1995, the majority of the 9.99% increase occurred in the first
quarter of the year. Overall, 1995 performance was generally good, and the Fund
was able to benefit from the significant price movements that occurred
throughout the year in global currencies, interest rates, and energy. The 9.99%
increase was the result of an approximate 12.57% increase due to trading gains
(before commissions) and an approximate 5.09% increase due to interest income,
offset by an approximate 7.67% decrease as the result of brokerage fees and
operating costs borne by the Fund.
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 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
17
<PAGE> 20
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 JANUARY 1, 1997:
[PIE CHART GRAPH]
(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. Two additional systems, which are
merely variations on the two main systems with different parameters, have also
recently been implemented.
The differences between the two main 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 & 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
18
<PAGE> 21
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.
SECTION 6. PAST PERFORMANCE OF CAMPBELL & COMPANY, INC.
The tables set forth below reflect the actual performance through
December, 1996 of the Fund, and estimates through December, 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 December 31, 1996. Table 2 presents the performance data
required to be disclosed for the most recent five calendar years 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.
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.
19
<PAGE> 22
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.
INDEX TO PERFORMANCE RECORDS
<TABLE>
<CAPTION>
REQUIRED DISCLOSURES: PAGE
- --------------------- ----
<S> <C>
Table 1: Campbell Strategic Allocation Fund, L.P. (April 1994 (Inception) - December, 1996)...................21
Table 2: Performance of Trading Portfolios Utilized by the Fund (January 1991 - December, 1996)...............22
Table 3: Performance of Other Portfolios Traded by Campbell & Company (January 1991 -
December, 1996)...................................................................................23
Table 4: Performance of Pools Operated by Campbell & Company
and D. Keith Campbell (January 1991 - December, 1996)........................................24
Notes to Tables ...............................................................................................24
</TABLE>
20
<PAGE> 23
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: $104,552,359
CURRENT NET ASSET VALUE OF THE FUND: $107,736,803
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)
- ----------------------------------------------------------------
MONTH 1996 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 -4.41% 5.35% -4.98%
- ----------------------------------------------------------------
Total 30.46% 9.99% -11.62%
- ----------------------------------------------------------------
</TABLE>
*Draw-down" means losses experienced by the Fund over a specified period.
21
<PAGE> 24
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 240 accounts closed, 51 with profits and 189 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, 5 with profits and 4 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 CTA: $553.9 million (Nominal Funds) $553.9 million (Nominal Funds)
$547.0 million (Actual Funds) $547.0 million (Actual Funds)
- --------------------------------------------------------------------------------------------------------------------------------
Inception of Trading of the Portfolio: April, 1983 February, 1986
- --------------------------------------------------------------------------------------------------------------------------------
Total Assets/Accounts Currently
Traded in the Portfolio: $462.8 Million / 4 Accounts $31.7 Million / 11 Accounts
- --------------------------------------------------------------------------------------------------------------------------------
Worst Monthly Percentage Draw-down(2): November, 1994 / 7.02% February, 1994 / 8.45%
- --------------------------------------------------------------------------------------------------------------------------------
Worst Peak-to-Valley Draw-down(3): July 1993 - January 1995 / 31.72% July 1993 - February 1994 / 26.05%
- --------------------------------------------------------------------------------------------------------------------------------
Annual Returns(1):
- --------------------------------------------------------------------------------------------------------------------------------
1996 35.95% 27.15%
- --------------------------------------------------------------------------------------------------------------------------------
1995 19.46% 6.52%
- --------------------------------------------------------------------------------------------------------------------------------
1994 -16.73% 9.61%
- --------------------------------------------------------------------------------------------------------------------------------
1993 4.68% 2.39%
- --------------------------------------------------------------------------------------------------------------------------------
1992 13.47% 7.68%
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
22
<PAGE> 25
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, the Interest Rates, Stock Indices, &
Commodities Portfolio, and 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.
<TABLE>
<CAPTION>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
========================================================================================================================
FINANCIAL, FOREIGN INTEREST RATES, ARK
METAL & EXCHANGE STOCK INDICES PORTFOLIO
ENERGY SMALL PORTFOLIO &
PORTFOLIO COMMODITIES
("ISC")
- -----------------------------------------------------------------------------------------------------------------------
Commodity Trading Advisor: Campbell & Company, Inc.
- -----------------------------------------------------------------------------------------------------------------------
Inception of CTA's Trading: January, 1972
- -----------------------------------------------------------------------------------------------------------------------
Total Assets Under $553.9 million (Nominal Funds); $547.0 million (Actual Funds)
Management by CTA:
- -----------------------------------------------------------------------------------------------------------------------
Inception of Trading of the November, February, 1996 October, 1996
Portfolio: February, 1995 1990
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Total Assets/Accounts $43.4 Million $3.8 Million $11.6 Million $0.6
Currently 41 Accounts 1 Account 1 Account 2 Accounts
Traded in the Portfolio:
- -----------------------------------------------------------------------------------------------------------------------
Worst Monthly Percentage Sept. 1995 Nov., 1994 February, 1996 Dec., 1996
Draw-down(2): 5.78% 11.66% 5.56% 2.80%
- -----------------------------------------------------------------------------------------------------------------------
Worst Peak-to-Valley April 1995 - July 1993 - February, 1996 Dec., 1996
Draw-down(3): July 1995 January, 1995 5.56% 2.80%
6.50% 44.73%
- -----------------------------------------------------------------------------------------------------------------------
Accounts closed: 59 12 0 1
Accounts closed with profit 16 3 1
Accounts closed with loss 43 9 0
- -----------------------------------------------------------------------------------------------------------------------
Range of annual management fees: 2% to 6% 0% to 6% 2% 4%
- -----------------------------------------------------------------------------------------------------------------------
Range of incentive fees: 15% to 25% 15% to 20% 15% 20%
- -----------------------------------------------------------------------------------------------------------------------
Range of commissions: $10/RT to $0/RT to $10/RT to $7/RT to
$60/RT $60/RT $15/RT $45/RT
($37/RT avg.) ($19/RT avg.) ($30/RT avg.)
- -----------------------------------------------------------------------------------------------------------------------
Range of other expenses: 0% to 4% 0% to 2% 1.5% 0%
- -----------------------------------------------------------------------------------------------------------------------
Annual Returns1:
- -----------------------------------------------------------------------------------------------------------------------
1996 37.92% 40.95% 26.31% 13.85%
- -----------------------------------------------------------------------------------------------------------------------
1995 20.34% 26.36%
- -----------------------------------------------------------------------------------------------------------------------
1994 -21.19%
- -----------------------------------------------------------------------------------------------------------------------
1993 -8.49%
- -----------------------------------------------------------------------------------------------------------------------
1992 17.67%
- -----------------------------------------------------------------------------------------------------------------------
=======================================================================================================================
</TABLE>
<TABLE>
<CAPTION>
=======================================================================================
DIVERSIFIED GLOBAL
PORTFOLIO FINANCIAL
PORTFOLIO
- ---------------------------------------------------------------------------------------
<S> <C> <C>
Commodity Trading Advisor: Campbell & Company, Inc.
- ---------------------------------------------------------------------------------------
Inception of CTA's Trading: January, 1972
- ---------------------------------------------------------------------------------------
Total Assets Under $553.9 million (Nominal Funds); $547.0 million (Actual Funds)
Management by CTA:
- ---------------------------------------------------------------------------------------
Inception of Trading of the January, 1972 December,
Portfolio: 1993
- ---------------------------------------------------------------------------------------
Total Assets/Accounts $0 $0
Currently (closed 2/95) (closed 3/95)
Traded in the Portfolio:
- ---------------------------------------------------------------------------------------
Worst Monthly Percentage Feb., 1996 February, 1994
Draw-down(2): 10.44% 5.24%
- ---------------------------------------------------------------------------------------
Worst Peak-to-Valley July, 1993- December, 1993-
Draw-down(3): February, 1994 January, 1995
32.10% 19.20%
- ---------------------------------------------------------------------------------------
Accounts closed: 23 1
Accounts closed with profit 19 0
Accounts closed with loss 4 1
- ---------------------------------------------------------------------------------------
Range of annual management fees: 2% to 6% 0.5%
- ---------------------------------------------------------------------------------------
Range of incentive fees: 10% to 20% 20%
- ---------------------------------------------------------------------------------------
Range of commissions: $10/RT to $10/RT to
$60/RT $12/RT
- ---------------------------------------------------------------------------------------
Range of other expenses: 0% to 4% 2%
- ---------------------------------------------------------------------------------------
Annual Returns1:
- ---------------------------------------------------------------------------------------
1996 - -
- ---------------------------------------------------------------------------------------
1995 -4.21% 9.30%
- ---------------------------------------------------------------------------------------
1994 8.52% -13.16%
- ---------------------------------------------------------------------------------------
1993 -5.79 -2.64%
- ---------------------------------------------------------------------------------------
1992 -1.80%
- ---------------------------------------------------------------------------------------
=======================================================================================
</TABLE>
23
<PAGE> 26
TABLE 4
PERFORMANCE OF POOLS OPERATED BY CAMPBELL & COMPANY, INC. AND D. KEITH CAMPBELL
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
CAMPBELL CAMPBELL CAMPBELL INSTITUTIONAL THE ADVANTAGE
STRATEGIC FINANCIAL TRUST FUTURES FUTURES FUND,
NAME OF POOL ALLOCATION FUTURES FUND FUND A LIMITED
FUND, L.P. L.P. LIMITED PARTNERSHIP
PARTNERSHIP
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Type of Pool 1 2 2 2 1
- ------------------------------------------------------------------------------------------------------------------------------------
Inception of Trading Apr 1994 Aug 1992 Mar 1972 Feb 1986 Dec 1983
- ------------------------------------------------------------------------------------------------------------------------------------
Aggregate Subscription ($ x 1,000) 104,552 13,030 2,579 14,844 4,275
- ------------------------------------------------------------------------------------------------------------------------------------
Current Total NAV($ x 1,000) 107,737 5,871 1,380 15,343 1,012
- ------------------------------------------------------------------------------------------------------------------------------------
Worst Monthly % Drawdown* 6.67% 7.68% 9.49%2/94 8.55% 11.42%
11/94 2/94 2/94 2/94
- ------------------------------------------------------------------------------------------------------------------------------------
Worst Peak-to-Valley Drawdown* 17.99% 29.42% 29.59% 25.46% 33.13%
6/94-1/95 7/93-1/95 7/93-2/94 7/93-2/94 7/93-2/94
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Trading Portfolio Used FME Large/ FME Small Global Div. Foreign Ex./ Global Div.
Global Div. ISC
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Rates of Return(1) (computed on a compounded monthly basis)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1996 30.46% 42.07% 32.91% 32.22% 25.70%
- ------------------------------------------------------------------------------------------------------------------------------------
1995 9.99% 17.12% 4.83% 7.11% 3.23%
- ------------------------------------------------------------------------------------------------------------------------------------
1994 -11.62% -15.84% 11.05% 9.49% 9.48%
- ------------------------------------------------------------------------------------------------------------------------------------
1993 5.29% -1.84% 2.94% -6.53%
- ------------------------------------------------------------------------------------------------------------------------------------
1992 -0.56% -0.36% 8.56% -4.36%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------
THE CAPITAL
FUND II, A
NAME OF POOL LIMITED
PARTNERSHIP
- ------------------------------------------------------------------
<S> <C>
Type of Pool 1,3
- ------------------------------------------------------------------
Inception of Trading Dec 1983
- ------------------------------------------------------------------
Aggregate Subscription ($ x 1,000) 9,457
- ------------------------------------------------------------------
Current Total NAV($ x 1,000) 1,669
- ------------------------------------------------------------------
Worst Monthly % Drawdown* 6.69%2/96
- ------------------------------------------------------------------
Worst Peak-to-Valley Drawdown* 26.10%
7/93-4/94
- ------------------------------------------------------------------
Trading Portfolio Used Global Div.
- ------------------------------------------------------------------
Rates of Return(1) (computed on a compounded monthly basis)
- ------------------------------------------------------------------
1996 18.30%
- ------------------------------------------------------------------
1995 5.45%
- ------------------------------------------------------------------
1994 -1.92%
- ------------------------------------------------------------------
1993 -7.59%
- ------------------------------------------------------------------
1992 -3.29%
- ------------------------------------------------------------------
- ------------------------------------------------------------------
</TABLE>
Key to Type Of Pool 1- publicly offered pool
2- privately offered pool 3- multi-advisor pool
- -------------------
*"Draw-down" means losses experienced by the Fund 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" for the
Portfolios 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.
2. "Worst Monthly Percentage Draw-down" is the largest monthly loss
experienced by the Portfolio on a composite basis in any calendar month
expressed as a percentage of the total equity in the Portfolio and
includes the month and year of such drawdown. A small number of
accounts in the portfolio composites have experienced monthly drawdowns
which are materially larger than the largest composite monthly
drawdown. These variances result from such factors as small account
size (i.e., accounts with net assets of less than the $500,000
prescribed portfolio minimum, which therefore trade fewer contracts
than the standard portfolio), intra-month account opening or closing,
significant intra-month additions or withdrawals, trading commissions
in excess of the stated average and investment restrictions imposed by
the client.
3. "Worst Peak-to-Valley Draw-down" is the largest cumulative loss
experienced by the Portfolio on a composite basis in any consecutive
monthly period on a compounded basis and includes the time frame of
such drawdown. A small number of accounts in the portfolio composites
have experienced peak-to-valley drawdowns which are materially larger
than the largest composite peak-to-valley drawdown. These variances
result from such factors as small account size (i.e., accounts with net
assets of less than the $500,000 prescribed portfolio minimum, which
therefore trade fewer contracts than the standard portfolio),
intra-month account opening or closing, significant intra-month
additions or withdrawals, trading commissions in excess of the stated
average and investment restrictions imposed by the client.
24
<PAGE> 27
SECTION 7. 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 & 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
25
<PAGE> 28
herein. Having disclosed such conflicts and fees, Campbell & Company may have
obtained the Limited Partners' informed consent. Such informed consent may be a
defense asserted by Campbell & Company in an action or claim brought by a
Limited Partner alleging breach of fiduciary duty. 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 also 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.
In the case of most public companies, the management is required to
make numerous decisions in the course of the day-to-day operations of the
company and is protected in doing so by the so-called "business judgment rule."
This rule protects management from liability for decisions made in the course of
operating a business if the decisions are made on an informed basis and with the
honest belief that the decision is in the best interest of the company. Campbell
& Company believes that similar principles apply to it with respect to its
management of the Fund.
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 provided,
in accordance with Section 15.2 of the Limited Partnership Agreement. The
position of the Securities and Exchange Commission is that any such
indemnification is contrary to the federal securities laws and therefore
unenforceable.
26
<PAGE> 29
SECTION 8. 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>
(right arrow) 1% to Commodity Broker
(right arrow) 4% to Selling Agents
Fund (right arrow) 8% Brokerage Fee (right arrow) Campbell & Company (right arrow) 2% to Campbell & Company
(as trading advisor)
(right arrow) 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 & Co. Cash management fee. .125 of 1% per annum, payable
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, postage and As incurred, up to a maximum of 0.5%
administrative costs. 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
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
27
<PAGE> 30
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 December 31, 1996 totalled $2,536,207 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 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.
28
<PAGE> 31
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 years ended
December 31, 1996 and 1995, operating expenses were 0.22% and 0.35%,
respectively, of the Fund's year-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 9. 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 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
29
<PAGE> 32
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 10. 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 busineSection 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.
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.
In 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.
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
30
<PAGE> 33
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 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
31
<PAGE> 34
(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 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 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
32
<PAGE> 35
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 11. 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 12. CAPITALIZATION
The Fund was formed on May 11, 1993. The table below shows the
capitalization of the Fund as of January 1, 1997 and as adjusted for the sale of
the maximum amount of Units registered.
<TABLE>
<CAPTION>
AS ADJUSTED FOR
OUTSTANDING AS OF SALE OF MAXIMUM
TITLE OF CLASS JANUARY 1, 1997 AMOUNT (1)(2)
-------------- --------------- -------------
<S> <C> <C>
Units of General Partnership Interest.......... 885.938 1,681.051
Units of Limited Partnership Interest.......... 84,069.043 166,424.038
Total Partners' Capital........................ 107,736,803 $213,184,444
----------- ------------
</TABLE>
(See accompanying notes)
(1) This calculation assumes that the sale of all Units is made during the
Continuing Offering at the December 31, 1996 Net Asset Value per Unit
of $1,268.16. 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 December 31, 1996,
Campbell & Company owned 885.938 units of general partnership interest.
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SECTION 13. 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. Because of the potential volatility of futures
funds, especially in the short-term, the Fund is recommended for those seeking a
medium-to long-term investment (i.e.2-3 years).
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 14. 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 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
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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
Factors--Market 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 15. 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 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
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<PAGE> 38
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 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
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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 16. 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. This entire section is a discussion and is not
specifically covered by an opinion of counsel, other than the opinion from Foley
& Lardner relating to partnership classification set forth below in Subsection
B.
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
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
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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.
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
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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 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.
39
<PAGE> 42
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 busineSection 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.
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 17. 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
40
<PAGE> 43
(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.
SECTION 18. PLAN OF DISTRIBUTION
A. Subscription Procedure
The Fund is offering $105,447,641 of 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.
41
<PAGE> 44
B. Minimum Investment
The minimum investment in the Fund is $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.
C. 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 C--SUBSCRIPTION
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.
D. 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.
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.
42
<PAGE> 45
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 19. 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 20. 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.
43
<PAGE> 46
SECTION 21 INDEX TO FINANCIAL STATEMENTS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
Most Recent Monthly Reports of Partnership Activities (unaudited)....................................................... 45
Unaudited Financial Statements for the Periods Ended September 30, 1996 and 1995, including Audited
Statement of Financial Condition as of December 31, 1995............................................................. 48
Notes to Unaudited Financial Statements................................................................................. 51
Independent Auditor's Report............................................................................................ 55
Audited Statements of Financial Condition as of December 31, 1995 and 1994.............................................. 56
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........................................................................ 57
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........................................................................ 58
Notes to Audited Financial Statements................................................................................... 59
CAMPBELL & COMPANY, INC.
Unaudited Balance Sheet as of September 30, 1996........................................................................ 63
Notes to Unaudited Financial Statement.................................................................................. 64
Independent Auditor's Report............................................................................................ 68
Audited Balance Sheet as of December 31, 1995........................................................................... 69
Notes to Audited Financial Statement.................................................................................... 70
</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.
44
<PAGE> 47
================================================================================
MONTHLY REPORT - OCTOBER, 1996 FOR PARTNER #XXXX
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
<TABLE>
<S> <C>
NAV per unit on 31-Oct-1996 $ 1,195.19
NAV per unit on 30-Sep-1996 $ 1,062.96
Monthly Gain (Loss) 12.44%
Number of units you own XXXX
Total value of units you own $ XXXXX
</TABLE>
STATEMENT OF CHANGES IN NET ASSET VALUE
<TABLE>
<S> <C>
Net Asset Value (65,727.150 units) at September 30, 1996 $ 69,865,055
------------
Additions of 6,396.934 units on October 31, 1996 7,645,544
Redemptions of 994.601 units on October 31, 1996 (1,188,738)
Offering Costs (64,649)
Net Income (Loss) - October, 1996 8,756,212
------------
Net Asset Value (71,129.483 units) at October 31, 1996 $ 85,013,424
============
Net Asset Value per Unit at October 31, 1996 $ 1,195.19
============
</TABLE>
STATEMENT OF INCOME (LOSS)
<TABLE>
<S> <C>
Income:
Gains (losses) on futures contracts:
Realized $ 2,897,524
Change in unrealized 4,466,094
Gains (losses) on forward contracts:
Realized 0
Change in unrealized 2,390,057
Interest income 329,823
------------
10,083,498
Expenses:
Brokerage fee 532,403
Performance fee 771,505
Operating expenses 23,378
------------
1,327,286
------------
Net Income (Loss) - October, 1996 $ 8,756,212
============
</TABLE>
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
<PAGE> 48
================================================================================
MONTHLY REPORT - NOVEMBER, 1996 FOR PARTNER #XXXX
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
<TABLE>
<S> <C>
NAV per unit on 30-Nov1996 $ 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
</TABLE>
STATEMENT OF CHANGES IN NET ASSET VALUE
<TABLE>
<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
============
</TABLE>
STATEMENT OF INCOME (LOSS)
<TABLE>
<S> <C>
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
============
</TABLE>
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
46
<PAGE> 49
================================================================================
MONTHLY REPORT - DECEMBER, 1996 FOR PARTNER #XXXX
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
<TABLE>
<S> <C>
NAV per unit on 31-Dec-1996 $ 1,268.16
NAV per unit on 30-Nov-1996 $ 1,326.66
Monthly Gain (Loss) (4.41)%
Number of units you own XXXX
Total value of units you own $ XXXXX
</TABLE>
STATEMENT OF CHANGES IN NET ASSET VALUE
<TABLE>
<S> <C>
Net Asset Value (76,254.809 units) at November 30, 1996 $101,163,842
Additions of 9,155.270 units on December 31, 1996 11,610,326
Redemptions of 455.081 units on December 31, 1996 (577,116)
Offering Costs (56,627)
Net Income (Loss) - December, 1996 (4,403,622)
Net Asset Value (84,954.998 units) at December 31, 1996 $107,736,803
============
Net Asset Value per Unit at December 31, 1996 $ 1,268.16
============
</TABLE>
STATEMENT OF INCOME (LOSS)
<TABLE>
<S> <C>
Income:
Gains (losses) on futures contracts:
Realized $ 7,280,792
Change in unrealized (12,770,203)
Gains (losses) on forward contracts:
Realized 4,352,487
Change in unrealized (3,966,883)
Interest income 403,269
------------
(4,700,538)
Expenses:
Brokerage fee 662,993
Performance fee (967,469)
Operating expenses 7,560
------------
(296,916)
------------
Net Income (Loss) - December, 1996 $ (4,403,622)
============
</TABLE>
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
47
<PAGE> 50
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
------------ ------------
ASSETS
<S> <C> <C>
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.
48
<PAGE> 51
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.
49
<PAGE> 52
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>
<CAPTION>
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 $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> <C>
$ 1,062.96 $ 972.04 $ 916.80 $ 883.77
============== ============= ============== =============
</TABLE>
See accompanying notes.
50
<PAGE> 53
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).
51
<PAGE> 54
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 business of the Partnership. The General
Partner is also the commodity trading advisor of the Partnership. The
Amended Agreement of Limited Partnership provides that the General
Partner may make withdrawals of its Units, provided that such
withdrawals do not reduce the General Partner's aggregate percentage
interest in the Partnership to less than 1% of the net aggregate
contributions.
The General Partner is required by the Amended Agreement of Limited
Partnership to maintain a net worth equal to the lesser of 5% of the
capital contributed by all the limited partnerships for which it acts
as general partner, including the Partnership. The minimum net worth
shall in no case be less than $50,000 nor shall net worth in excess of
$1,000,000 be required.
The Partnership pays a monthly brokerage fee equal to 1/12 of 8% (8%
annualized) of month-end net assets. The General Partner receives 7/8
of this fee, a portion (4/8 of the total brokerage fee) of which is
used to compensate selling agents for ongoing services render 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.
52
<PAGE> 55
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.
53
<PAGE> 56
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.
54
<PAGE> 57
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
55
<PAGE> 58
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.
56
<PAGE> 59
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.
57
<PAGE> 60
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>
<CAPTION>
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> <C>
$972.04 $883.77 $1,000.00
======= ======= =========
</TABLE>
See accompanying notes.
58
<PAGE> 61
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.
59
<PAGE> 62
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.
60
<PAGE> 63
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.
61
<PAGE> 64
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.
62
<PAGE> 65
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.
63
<PAGE> 66
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>
64
<PAGE> 67
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> <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>
65
<PAGE> 68
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.
66
<PAGE> 69
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.
67
<PAGE> 70
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
68
<PAGE> 71
CAMPBELL & COMPANY, INC.
BALANCE SHEET
December 31, 1995
<TABLE>
<S> <C>
ASSETS
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.
69
<PAGE> 72
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.
70
<PAGE> 73
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.
71
<PAGE> 74
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.
72
<PAGE> 75
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.
73
<PAGE> 76
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.
74
<PAGE> 77
(This page has been left blank intentionally.)
<PAGE> 78
APPENDIX I
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 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
APP-I-1
<PAGE> 79
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-I-2
<PAGE> 80
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 Association fees, and exchange fees.
APP-I-3
<PAGE> 81
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
APP-I-4
<PAGE> 82
APPENDIX II
SUPPLEMENTARY PERFORMANCE INFORMATION
The following tables present the performance of the two
portfolios in which the Fund trades, and the overall composite returns of all
accounts managed by Campbell & Company over its 25 year history.
THESE TABLES DO NOT REPRESENT THE ACTUAL PERFORMANCE OF THE
FUND, WHICH WAS NOT IN EXISTENCE DURING MUCH OF THE TIME FRAME COVERED BY THESE
TABLES. PLEASE SEE TABLE 1 ON PAGE 21 FOR THE FUND'S ACTUAL PERFORMANCE.
The following tables are presented to demonstrate the overall
performance of Campbell & Company's management and trading systems during their
entire history. Campbell & Company is a highly systematic trader, which uses
essentially the same systematic approach in each market traded. These systems
and models have evolved over time, but Campbell & Company applies the same basic
trading policies now as it did when it began in 1972. Investors should note that
on both an individual and a composite basis, accounts and other funds managed by
Campbell & Company have at times incurred significant losses, greater than any
losses sustained to date by the Fund. These tables are not representative of how
the Fund has or will perform.
THE FOLLOWING TABLES INCLUDE THE PERFORMANCE OF PROGRAMS AND
ACCOUNTS WHICH HAVE TRADED PURSUANT TO THE SAME SYSTEMS AS THE FUND, BUT WHICH
HAVE MATERIAL DIFFERENCES FROM THE FUND. 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.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURES RESULTS.
FUTURES TRADING IS SPECULATIVE. INVESTORS MAY LOSE ALL OR
SUBSTANTIALLY ALL OF THEIR INVESTMENT.
APP-II-1
<PAGE> 83
TABLE 5
FINANCIAL, METAL & ENERGY LARGE PORTFOLIO (5)
WORST MONTHLY PERCENTAGE DRAW-DOWN(3): June, 1986/17.68% WORST
PEAK-TO-VALLEY DRAW-DOWN(4): March - November, 1986 / 41.94%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
[GRAPHIC]
<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 12.22% 7,914 -0.24% 5,215 -7.02% 4,912 0.59% 5,605 6.26% 5,424
- -----------------------------------------------------------------------------------------------------------------------------------
December -4.30% 7,574 6.82% 5,571 -5.07% 4,663 -0.08% 5,600 -1.36% 5,350
- -----------------------------------------------------------------------------------------------------------------------------------
Year 35.95% 19.46% -16.73% 4.68% 13.47%
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*SEE TABLE 1 ON PAGE 21 FOR ACTUAL PERFORMANCE OF THE FUND.
See the notes on page APP-II-8 which are an integral part of the performance
presentation.
APP-II-2
<PAGE> 84
<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 APP-II-8 which are an integral part of the performance
presentation.
APP-II-3
<PAGE> 85
TABLE 6
GLOBAL DIVERSIFIED PORTFOLIO (6)
WORST MONTHLY PERCENTAGE DRAW-DOWN(3): April, 1986/14.41%
WORST PEAK-TO-VALLEY DRAW-DOWN(4): March - November, 1986 / 29.71%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
[GRAPHIC]
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------
Rate of Return (1)
(Computed on a compounded monthly basis)
--------------------------------------------------------------------------------------------
1996 YTD 1995 1994 1993
- -----------------------------------------------------------------------------------------------------------
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 10.47% 3,800 0.77% 2,698 2.84% 2,796 -2.31% 2,362
- -----------------------------------------------------------------------------------------------------------
December -3.90% 3,652 6.47% 2,872 -3.56% 2,697 4.17% 2,460
- -----------------------------------------------------------------------------------------------------------
Year 27.15% 6.52% 9.61% 2.39%
- -----------------------------------------------------------------------------------------------------------
</TABLE>
*SEE TABLE 1 ON PAGE 21 FOR ACTUAL PERFORMANCE OF THE FUND.
See the notes on page APP-II-8 which are an integral part of the performance
presentation.
APP-II-4
<PAGE> 86
<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 -7.59% $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 -6.68% 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 App-II-8 which are an integral part of the performance
presentation.
APP-II-5
<PAGE> 87
TABLE 7
COMPOSITE OF ALL ACCOUNTS TRADED BY CAMPBELL & COMPANY(7)
INCEPTION OF TRADING: January, 1972
TOTAL CURRENT NET ASSETS: $553.9 million (Nominal Funds); $547.0 million (Actual
Funds)
WORST MONTHLY PERCENTAGE DRAW-DOWN(3): April, 1986/16.70%
WORST PEAK-TO-VALLEY DRAW-DOWN(4): March - November, 1986 / 37.61%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
[GRAPHIC]
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------
Rate of Return (1)
(Computed on a compounded monthly basis)
---------------------------------------------------------------------------------------------------------------------
1995 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 -5.530% $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% 41.2691
- ----------------------------------------------------------------------------------------------------------------------------------
July -0.19% 58.077 -3.83% 48.855 -3.24% 49.958 5.47% 64.810 10.23% 51.452 -8.46% 37.778
- ----------------------------------------------------------------------------------------------------------------------------------
Auaust 1.93% 59.198 6.04% 51.806 -4.14% 47.890 -4.85% 61.667 4.93% 53.989 2.561% 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 12.08% 76.208 -0.16% 50.399 -6.55% 48.010 -0.18% 54.590 5.97% 53.784 -2.12% 40.229
- ----------------------------------------------------------------------------------------------------------------------------------
December -4.23% 72.985 6.80% 53.826 -5.03% 45.595 -0.29% 54.4311 -0.95% 53.273 17.07% 47.097
- ----------------------------------------------------------------------------------------------------------------------------------
Year 35.57% 18.05% -16.23% 2.17% 13.111 26.560
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*SEE TABLE 1 ON PAGE 21 FOR ACTUAL PERFORMANCE OF THE FUND.
See the notes on page APP-II-8 which are an integral part of the performance
presentation.
APP-II-6
<PAGE> 88
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
- ------------------------------------------------------------------------------------------------------------------------------
Month Return VAMI(2) Return VAMI(2) Return VAMI(2) Return VAMI (2)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <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
- ------------------------------------------------------------------------------------------------------------------------------
February 0.44% 29,220 -1.99% 21,691 1.27% 19,784 -2.35% 18,982
- ------------------------------------------------------------------------------------------------------------------------------
March 3.86% 30,348 10.73% 24,018 -4.05% 18,983 2.53% 19,462
- ------------------------------------------------------------------------------------------------------------------------------
April 5.44% 31,999 0.12% 24,047 -7.79% 17,504 17.53% 22,874
- ------------------------------------------------------------------------------------------------------------------------------
May -11.69% 28,258 13.34% 27,255 6.98% 18,726 -1.74% 22,476
- ------------------------------------------------------------------------------------------------------------------------------
June 7.08% 30,259 1.13% 27,563 21.37% 22,728 -2.80% 21,847
- ------------------------------------------------------------------------------------------------------------------------------
July 8.58% 32,855 2.15% 28,155 -2.48% 22,164 4.71% 22,876
- ------------------------------------------------------------------------------------------------------------------------------
August 11.33% 36,578 -2.70% 27,396 -0.20% 22,120 -5.25% 21,675
- ------------------------------------------------------------------------------------------------------------------------------
September 2.19% 37,379 -4.09% 26,275 1.10% 22,363 -3.02% 21,020
- ------------------------------------------------------------------------------------------------------------------------------
October 1.64% 37,992 -6.27% 24,627 -0.96% 22,149 -13.41% 18,201
- ------------------------------------------------------------------------------------------------------------------------------
November -1.25% 37,517 2.46% 25,233 0.21% 22,195 7,78% 19,617
- ------------------------------------------------------------------------------------------------------------------------------
December -0.81% 37,213 11.18% 28,054 .50% 21,862 6.67% 20,926
- ------------------------------------------------------------------------------------------------------------------------------
Year 32.65% 28.32% 4.47% 20.27%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------
Rate of Return (1)
(Computed on a compounded monthly basis)
---------------------------------------------------------
1986 1985
- --------------------------------------------------------------------------
Month Return VAMI (2) Return VAMI (2)
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
January -0.62% $24,086 1.47% $18,800
- --------------------------------------------------------------------------
February 10.91% 26,714 9.45% 20,576
- --------------------------------------------------------------------------
March 4.19% 27,833 1.47% 20,879
- --------------------------------------------------------------------------
April -16.70% 23,185 2.89% 21,482
- --------------------------------------------------------------------------
May 1.35% 23,498 -2.44% 20,958
- --------------------------------------------------------------------------
June -6.89% 21,879 -7.70% 19,344
- --------------------------------------------------------------------------
July 5.97% 23,185 12.40% 21,743
- --------------------------------------------------------------------------
August 4.72% 24,279 -1.12% 21,500
- --------------------------------------------------------------------------
September -10.78% 21,662 -8.82% 19,603
- --------------------------------------------------------------------------
October -13.32% 18,777 12.24% 22,003
- --------------------------------------------------------------------------
November -7.51% 17,367 3.74% 22,826
- --------------------------------------------------------------------------
December 0.19% 17,400 6.18% 24,236
- --------------------------------------------------------------------------
Year -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 3.79% $16,160 11.37% $17,153 2.82% $13,260 2.58% $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 -1.071% 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 8.66% $ 9,212 -25.90% $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
- -----------------------------------------------------------------------------------------------------------------------------------
9.87% 29.94% 185.39% 76.72%
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See the notes on page APP-II-8 which are an integral part of the performance
presentation.
APP-II-7
<PAGE> 89
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. "Worst Monthly Percentage Draw-down" is the largest monthly loss experienced
by the Portfolio on a composite basis in any calendar month expressed as a
percentage of the total equity in the Portfolio and includes the month and year
of such drawdown. A small number of accounts in the Portfolio composites have
experienced monthly drawdowns which are materially larger than the largest
composite monthly drawdown. These variances result from such factors as small
account size (i.e., accounts with net assets of less than the prescribed
Portfolio minimum, which therefore trade fewer contracts than the standard
Portfolio), intra-month account opening or closing, significant intra-month
additions or withdrawals, trading commissions in excess of the stated average
and investment restrictions imposed by the client.
4. "Worst Peak-to-Valley Draw-down" is the largest cumulative loss experienced
by the Portfolio on a composite basis in any consecutive monthly period on a
compounded basis and includes the time frame of such drawdown. A small number of
accounts in the Portfolio composites have experienced peak-to-valley drawdowns
which are materially larger than the largest composite peak-to-valley drawdown.
These variances result from such factors as small account size (i.e., accounts
with net assets of less than the prescribed Portfolio minimum, which therefore
trade fewer contracts than the standard Portfolio), intra-month account opening
or closing, significant intra-month additions or withdrawals, trading
commissions in excess of the stated average and investment restrictions imposed
by the client.
5. 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 November 30, 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, all of which were
profitable. The open accounts ranged in size from $19,000,000 to in excess of
$100,000,000, with an average account size of approximately$119,500,000. The
average composite monthly return for the period from January, 1991 through
November, 1996 was 1.29% compared to the average of average monthly returns for
all accounts of 0.80% 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.
6. 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 November 30, 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 $530,000 to $21,600,000, with an average account size of
approximately $2,900,000. The average composite monthly return for the period
from January 1991 through November 1996 is 1.11% compared to the average of
average monthly returns for all accounts of
APP-II-8
<PAGE> 90
1.06% 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
November 30, 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.
7. Table 7 reflects the composite performance results of all accounts
advised by Campbell & Company for all of its trading portfolios. A
total of 548 accounts have been managed by Campbell & Company pursuant
to all its trading portfolios. On or prior to November 30, 1996, 485
accounts closed; 162 of which closed with a profit and 323 of which
closed with a loss. Of the 63 open accounts, 60 accounts are profitable
and 3 accounts are unprofitable. The open accounts range in size from
$117,000 to in excess of $100,000,000, with an average account size of
approximately $9,100,000. The net assets under management include
"notional equity" in 29 accounts which totaled approximately $6,914,000
as of November 30, 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.
APP-II-9
<PAGE> 91
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> 92
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 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;
A-2
<PAGE> 93
(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 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
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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 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
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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
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
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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 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
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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. 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
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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 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
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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 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
A-9
<PAGE> 100
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.
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-10
<PAGE> 101
EXHIBIT B
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
REQUEST FOR REDEMPTION
Campbell & Company, Inc.
Court Towers Building ------------------------
210 West Pennsylvania Avenue Social Security Numbers
Baltimore, Maryland 21204 Taxpayer ID Number
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, (Signature of Limited Partner)
partner, custodian or trustee)
-----------------------------------
Title
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<PAGE> 102
(This page has been left blank intentionally.)
<PAGE> 103
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
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.
C-1
<PAGE> 104
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> 105
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> 106
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
c D-1 ase 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 $ Amount ______________________________________ 2) Account # _____________________ (must be completed)
(minimum of $10,000, except $5,000 minimum for IRA's [ ] if payment is made by debit to investor's securities
and other qualified accounts; $1,000 increments) account, check box
- ----------------------------------------------------------------------------------------------------------------------------
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
</TABLE>
<TABLE>
<CAPTION>
Non-Taxable Investors
(check one): Selling Agent Plan Non-Selling Agent Plan
<S> <C> <C> <C> <C>
[ ] 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
</TABLE>
Custodian
4) LIMITED PARTNER NAME --------------------------------------------------------
5)
-----------------------------------------------------------------------------
ADDITIONAL INFORMATION (FOR ESTATES, PARTNERSHIPS, TRUSTS AND CORPORATIONS)
<TABLE>
<S> <C> <C> <C> <C>
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
</TABLE>
- --------------------------------------------------------------------------------
9) INVESTOR(S) MUST SIGN
<TABLE>
<S> <C>
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>
<S> <C>
X X
------------------------------------------------------- --------------------------------------------------------
ACCOUNT EXECUTIVE SIGNATURE DATE OFFICE MANAGER SIGNATURE DATE
(if required by Selling Agent, as the case may be, procedures)
</TABLE>
<TABLE>
<S> <C> <C>
11) SELLING AGENT
ACCOUNT EXECUTIVE ---------------------------------------------------------------------------------------------
NAME (please print)
---------------------------------------------------------------------------------------------
FIRST M.I. LAST PHONE NUMBER A.E. NUMBER
ACCOUNT EXECUTIVE
ADDRESS
---------------------------------------------------------------------------------------------
(for confirmations) STREET (P.O. Box not acceptable) CITY STATE ZIP CODE
</TABLE>
<PAGE> 107
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> 108
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 ******
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> 109
*** 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.
****** This exhibit is included in the exhibits filed by the Registrant as
part of its Registration Statement on Form S-1 (No. 333-19117) on December 31,
1997 and is hereby incorporated herein by reference.
(b) Financial Statement Schedules.
No Financial Schedules are required to be filed herewith.
<PAGE> 110
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.
(2) 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.
(3) 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:
(1) 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.
(2) 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.
(c) 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> 111
SIGNATURES
Pursuant to the requirements of the Securities Act of 1933, the General
Partner of the Registrant has duly caused this Pre-Effective Amendment Number 1
to the 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 20th day of January, 1997.
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
D. Keith Campbell (Principal Executive Officer) January 20, 1997
/s/ Bruce L. Cleland President January 20, 1997
- ------------------------------------
Bruce L. Cleland
/s/ Theresa D. Livesey Chief Financial Officer, Secretary,
- ------------------------------------ Treasurer and Director
Theresa D. Livesey (Principal Financial Officer) January 20, 1997
/s/ William C. Clarke, III Executive Vice President and Director January 20, 1997
- ------------------------------------
William C. Clarke, III
/s/ James M. Little Senior Vice President and Director January 20, 1997
- ------------------------------------
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 January 20, 1997
of Registrant
By: /s/ D. Keith Campbell
---------------------------------
D. Keith Campbell
Chief Executive Officer
<PAGE> 112
INDEX TO EXHIBITS
<TABLE>
<CAPTION>
Exhibit
Number Description of Document
- ------ -----------------------
<S> <C>
23.02 Consent of Arther F. Bell, Jr. & Associates
</TABLE>
<PAGE> 1
(Exhibit 23.02)
CONSENT OF INDEPENDENT ACCOUNTANTS
We consent to the use in the Prospectus constituting part of this Pre-Effective
Amendment Number 1 to the 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
January 17, 1997
