<PAGE> 1
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
[ X ] QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the quarterly period ended September 30, 1998
-------------------------------------------------
or
[ ] TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the transition period from to
-------------------- ---------------------
Commission File number: 0-22260
-----------------------------------------------------
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
Delaware 52-1823554
- ------------------------------------- ------------------------------------
(State of Organization) (IRS Employer Identification Number)
Court Towers Building,
210 West Pennsylvania Avenue,
Baltimore, Maryland 21204
- ------------------------------------------ -------------------------------
(Address of principal executive offices) (Zip Code)
(410) 296-3301
- ----------------------------------------------------
(Registrant's telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months, and (2) has been subject to such filing
requirements for the past 90 days.
Yes [ X ] No [ ]
Total number of Pages: 17
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<PAGE> 2
PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
The following unaudited financial statements of Campbell Strategic Allocation
Fund, L.P. are included in Item 1:
Statements of Financial Condition as of September 30, 1998 and
December 31, 1997
Statements of Operations for the Three Months and
Nine Months Ended September 30, 1998 and 1997
Statements of Cash Flows for the Nine Months Ended
September 30, 1998 and 1997
Statements of Changes in Partners' Capital for the Nine Months Ended
September 30, 1998 and 1997
2
<PAGE> 3
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
September 30, 1998 (Unaudited) and December 31, 1997 (Audited)
<TABLE>
<CAPTION>
September 30, December 31,
1998 1997
------------- ------------
<S> <C> <C>
ASSETS
Equity in broker trading accounts
Cash $ 13,587,364 $ 17,401,415
United States government securities 161,698,140 37,851,369
Unrealized gain on open futures contracts 31,001,809 8,567,066
------------ ------------
Deposits with broker 206,287,313 63,819,850
Cash and cash equivalents 42,937,986 27,976,771
United States government securities 61,431,244 127,278,890
Unrealized gain on open forward contracts 561,301 1,328,130
------------ ------------
Total assets $311,217,844 $220,403,641
============ ============
LIABILITIES
Accounts payable $ 151,885 $ 165,183
Brokerage fee 1,951,184 1,354,551
Performance fee 2,433,709 2,537,134
Offering costs payable 172,294 122,785
Redemptions payable 3,282,135 2,629,164
Subscription deposits 5,001 885,105
------------ ------------
Total liabilities 7,996,208 7,693,922
------------ ------------
PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner - 1,976.528 and 1,473.323 units
outstanding at September 30, 1998 and 3,172,426 2,135,788
December 31,1997
Limited Partners - 186,940.231 and 145,259.520 units
outstanding at September 30, 1998 and
December 31, 1997 300,049,210 210,573,931
------------ ------------
Total partners' capital
(Net Asset Value) 303,221,636 212,709,719
------------ ------------
$311,217,844 $220,403,641
============ ============
</TABLE>
See accompanying notes.
3
<PAGE> 4
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
For the Three Months and Nine Months
Ended September 30, 1998 and 1997
(Unaudited)
<TABLE>
<CAPTION>
Three Months Ended Nine Months Ended
September 30, September 30,
1998 1997 1998 1997
---- ---- ---- ----
<S> <C> <C> <C> <C>
INCOME
Futures trading gains (losses)
Realized $10,678,426 $ 7,681,453 $ 26,666,162 $ 6,601,257
Change in unrealized 25,809,659 5,578,925 22,434,743 7,394,147
----------- ----------- ------------ -----------
Gain from futures trading 36,488,085 13,260,378 49,100,905 13,995,404
Forward trading gains (losses)
Realized $(12,651,292) $(2,519,055) $(9,074,793) $3,750,785
Change in unrealized 2,611,978 2,512,167 (766,829) (2,383,087)
----------- ----------- ------------ -----------
Gain from forward trading (10,039,314) (6,888) (9,841,622) 1,367,698
Interest income 3,538,612 2,202,151 9,590,250 5,489,916
----------- ----------- ------------ -----------
Total income 29,987,383 15,455,641 48,849,533 20,853,018
----------- ----------- ------------ -----------
EXPENSES
Brokerage fee 5,478,314 3,334,265 14,691,213 8,471,730
Performance fee 2,440,760 190,283 4,272,499 1,006,667
Operating expenses 123,473 81,110 363,623 283,523
----------- ----------- ------------ -----------
Total expenses 8,042,547 3,605,658 19,327,335 9,761,920
----------- ----------- ------------ -----------
NET INCOME $21,944,836 $11,849,983 $ 29,522,198 $11,091,098
=========== =========== ============ ===========
NET INCOME (LOSS) PER GENERAL
AND LIMITED PARTNER UNIT
(based on weighted average
number of units outstanding
during the period) $ 119.62 $ 95.36 $ 116.69 $ 103.66
=========== =========== ============ ===========
INCREASE (DECREASE) IN NET
ASSET VALUE PER GENERAL
AND LIMITED PARTNER UNIT $ 114.62 $ 95.50 $ 95.50 $ 92.35
=========== =========== ============ ===========
</TABLE>
See accompanying notes.
4
<PAGE> 5
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
For the Nine Months Ended September 30, 1998 and 1997
(Unaudited)
<TABLE>
<CAPTION>
1998 1997
----- ----
<S> <C> <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
Net income $ 29,522,198 $11,091,098
Adjustments to reconcile net income to net cash from
operating activities
Net change in unrealized (21,667,914) (5,011,060)
Increase (decrease) in accounts payable and accrued expenses 479,910 (1,418,336)
Net (purchases) maturities of investments in United
States government and agency securities (57,999,125) (52,555,130)
----------- -----------
Net cash from (for) operating activities (49,664,931) (47,893,428)
----------- -----------
CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
Addition of units 79,121,049 71,473,031
Increase (decrease) in subscription deposits (880,104) 424,279
Redemption of units (16,737,755) (4,683,099)
Increase in redemptions payable 652,971 21,671
Offering costs charged (1,393,575) (804,095)
Increase in offering costs payable 49,509 47,944
----------- -----------
Net cash from financing activities 60,812,095 66,479,731
----------- -----------
Net increase in cash and cash equivalents 11,147,164 18,586,303
CASH AND CASH EQUIVALENTS
Beginning of period 45,378,186 62,885,065
----------- -----------
End of period $56,525,350 $81,471,368
=========== ===========
End of period cash & cash equivalents consist of:
Cash in broker trading accounts 13,587,364 15,174,547
Cash and cash equivalents 42,937,986 66,296,821
----------- -----------
Total end of period cash and cash equivalents. 56,525,350 81,471,368
=========== ===========
</TABLE>
See accompanying notes.
5
<PAGE> 6
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
For the Nine Months Ended September 30, 1998 and 1997
(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, 1998
Balances at
December 31, 1997 1,473.323 $2,135,788 145,259.520 $210,573,931 146,732.843 $212,709,719
Additions 503.205 750,000 52,812.331 78,371,049 53,315.536 79,121,049
Net income for the nine months
ended September 30, 1998 300,849 29,221,349 29,522,198
Redemptions 0.000 0 (11,131.62) (16,737,755) (11,131.62) (16,737,755)
Offering costs (14,211) (1,379,364) (1,393,575)
--------- ---------- ----------- ------------ ----------- ------------
Balances at
September 30, 1998 1,976.528 $3,172,426 186,940.231 $300,049,210 188,916.759 $303,221,636
========= ========== =========== ============ =========== ============
NINE MONTHS ENDED
SEPTEMBER 30, 1997
Balances at
December 31, 1996 885.938 $ 1,123,514 84,069.060 $106,613,289 84,954.998 $107,736,803
Additions 480.775 630,000 53,996.40 70,843,031 54,477.175 71,473,031
Net income for the nine months
ended September 30, 1997 114,114 10,976,984 11,091,098
Redemptions 0.000 0 (3,591.010) (4,683,099) (3,591.010) (4,683,099)
Offering costs (8,201) (795,894) (804,095)
--------- ---------- ----------- ------------ ----------- ------------
Balances at
September 30, 1997 1,366.713 $ 1,859,427 134,474.450 $182,954,311 135,841.163 $184,813,738
========= =========== =========== ============ =========== ============
</TABLE>
<TABLE>
<CAPTION>
Net Asset Value Per Unit
--------------------------------------------------------------------------
September 30, December 31, September 30, December 31,
1998 1997 1997 1996
------------ ----------- ----------- -----------
<S> <C> <C> <C>
$ 1,605.05 $ 1,449.64 $ 1,360.51 $ 1,268.16
============ =========== =========== ===========
</TABLE>
See accompanying notes.
6
<PAGE> 7
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.
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. Transactions are accounted for on the trade date.
Gains or losses are realized when contracts are liquidated.
Unrealized gain or losses on open contracts (the difference
between contract purchase price and market price) are reported
in the statement of financial condition as a net gain or loss,
as there exists a right of offset of unrealized gains or losses
in accordance with Financial Accounting Standards Board
Interpretation No. 39 - "Offsetting of Amounts Related to
Certain Contracts." Any change in net unrealized gain or loss
from the preceding period is reported in the statement of
operations. United States government and agency securities are
stated at market value.
For purposes of both financial reporting and calculation of
redemption value, Net Asset Value per unit is calculated by
dividing Net Asset Value by the number of outstanding units.
D. Cash and Cash Equivalents
Cash and cash equivalents includes cash, other demand deposits
and short-term time deposits held at the financial institutions.
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.
7
<PAGE> 8
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
F. Offering Costs
The General Partner has incurred total costs in connection with
the initial and continuous offering of Units of the Partnership
(offering costs) of $6,924,926 through September 30, 1998,
$3,451,471 of which has already been reimbursed to the General
Partner by the Partnership. At September 30, 1998, the
Partnership reflects a liability in the statement of financial
condition for offering costs payable to the General Partner of
$172,294. The Partnership's liability for offering costs is
limited to the maximum of total offering costs incurred by the
General Partner or 2.5% of the aggregate subscriptions accepted
during the initial and continuous offerings; this maximum is
further limited by a pay-out schedule over 30 months. The
Partnership is only liable for payment of offering costs on a
monthly basis as calculated based on the limitations stated
above. If the Partnership terminates prior to completion of
payment of the calculated amounts to the General Partner, the
General Partner will not be entitled to any additional payments
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.
H. Reclassification
Certain amounts in the 1997 financial statements were
reclassified to conform with the 1998 presentation.
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.
8
<PAGE> 9
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 2. GENERAL PARTNER AND COMMODITY TRADING ADVISOR (CONTINUED)
The Partnership pays a monthly brokerage fee equal to 1/12 of 7.7%
(7.7% annualized) of month-end net assets. The General Partner
receives 7% of this 7.7% fee, a portion (4%) of which is used to
compensate selling agents for ongoing services rendered and a
portion (3%) of which is retained by the General Partner for
trading and management services rendered. The remainder of the
brokerage fee (0.7%) is paid directly to the broker. During
the nine months ended September 30, 1998 and 1997, the amounts
paid directly to the broker amounted to $1,335,565 and $1,019,762
respectively.
The General Partner is also paid a quarterly performance fee of
20% of the Partnership's aggregate cumulative appreciation in the
Net Assets 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 0.5% per year of the average
month-end Net Asset Value of the Partnership. Actual operating
expenses were less than 0.5% (annualized) for the nine months
ended September 30, 1998 and 1997.
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,
1998 and December 31, 1997 amounts received by the Partnership by
prospective limited partners who have not yet been admitted to the
Partnership by the General Partner amount to $5,001 and $885,105,
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.
Redemption fees apply through the first twelve month-ends
following purchase as follows: 4% of Net Asset Value per Unit
redeemed through the third month-end, 3% of Net Asset Value per
Unit redeemed through the sixth month-end, 2% of Net Asset Value
per Unit redeemed through the ninth month-end and 1% of Net Asset
Value per Unit redeemed through the twelfth month-end. After the
twelfth month-end following purchase of a Unit, no redemption fees
apply.
9
<PAGE> 10
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
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 10% to 30% of Net
Asset Value. The market value of securities held to satisfy such
requirements at September 30, 1998 and December 31, 1997 was
$223,129,384 and $110,574,485, respectively, which equals 74% and
52% of the Fund's Net Assets, respectively.
The Partnership trades forward contracts in unregulated markets
between principals and assumes the risk of loss from counterparty
nonperformance. Accordingly, the risks associated with forward
contracts are generally greater than those associated with
exchange traded contracts because of the greater risk of
counterparty default. Additionally, the trading of forward
contracts typically involves delayed cash settlement.
The Partnership has a substantial portion of its assets on
deposit with financial institutions. In the event of a financial
institution's insolvency, recovery of Partnership assets on
deposit may be limited to account insurance or other protection
afforded such deposits. In the normal course of business, the
Partnership requires collateral for repurchase agreements.
For derivatives, risks arise from changes in the market value of
the contracts. Theoretically, the Partnership is exposed to a
market risk equal to the value of futures and forward contracts
purchased and unlimited liability on such contracts sold short.
The fair value of derivatives represents unrealized gains and
losses on open futures and forward contracts. The average fair
value of derivatives during the nine months ended September 30,1998
and 1997 and the related fair values as of September 30, 1998 and
December 31, 1997 are as follows:
10
<PAGE> 11
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
<TABLE>
<CAPTION>
Average Fair Value For Fair Value as of
------------------------------------ ------------------------------------
Nine Months Ended September 30, September 30, December 31,
------------------------------------ ------------------------------------
1998 1997 1998 1997
-------------- -------------- --------------- --------------
<S> <C> <C> <C> <C>
Futures Contracts $10,357,000 $3,391,000 $31,002,000 $8,567,000
Forward Contract (757,000) (265,000) 561,300 1,328,000
</TABLE>
Net trading results from futures contracts are reflected in the
statement of operations and equal gain from commodities trading
less the portion of the brokerage fee paid directly to the broker
net trading results from forward contracts are reflected in the
statement of operations as gain from other trading. Such trading
results reflect the net gain arising from the Partnership's
speculative trading of futures and forward contracts.
Open contracts generally mature within three months; as of
September 30, 1998 the latest maturity date for both open futures
and forward contracts is February 1999. However, the Partnership
intends to close all contracts prior to maturity. At September
30, 1998 and December 31, 1997, the notional amount of open
contracts is as follows:
<TABLE>
<CAPTION>
September 30, 1998 December 31, 1997
--------------------------------- ----------------------------------
Contracts to Contracts to Contracts to Contracts to
Purchase Sell Purchase Sell
--------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C>
Derivatives:
Futures contracts (exchange traded):
- Long-term interest rates $1,133,800,000 $ 0 $ 759,600,000 $ 0
- Short-term interest rates 356,100,000 0 485,700,000 437,100,000
- Stock indices 0 70,200,000 21,000,000 13,000,000
- Softs/Fibers 0 3,400,000 2,500,000 1,000,000
- Grains 20,000 34,500,000 0 2,200,000
- Meats 0 200,000 0 400,000
- Metals 21,800,000 33,000,000 2,800,000 32,400,000
- Energy 48,700,000 0 0 49,600,000
Forward contracts
(non-exchange traded):
- Currencies 1,184,600,000 889,100,000 284,900,000 472,800,000
-------------- --------------- --------------- --------------
$2,745,020,000 $ 1,030,400,000 $ 1,556,500,000 $1,008,500,000
============== =============== =============== ==============
</TABLE>
11
<PAGE> 12
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
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, 1998,
the Statements of Operations for the three months and nine
months ended September 30, 1998 and 1997, the Statements of Cash
Flows for the nine months ended September 30, 1998 and 1997 and
the Statements of Changes in Partners' Capital (Net Asset Value)
for the nine months ended September 30, 1998 and 1997 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, 1998 and the results of
operations for the three months and nine months ended September
30, 1998 and 1997.
12
<PAGE> 13
Item 2. Management's Discussion and Analysis of Financial Condition and
Results of Operations
Introduction
The offering of the Campbell Strategic Allocation Fund's (the "Fund") Units of
Limited Partnership Interests commenced on January 12, 1994, and the initial
offering terminated on April 15, 1994 with proceeds of $9,692,439. The
continuing offering period commenced immediately after the termination of the
initial offering period; additional subscriptions totaling $269,981,254 have
been accepted during the continuing offering period as of October 1, 1998.
Redemptions over the same time period total $46,693,302. The Fund commenced
operations on April 18, 1994.
Capital Resources
The Fund will raise additional capital only through the sale of Units offered
pursuant to the continuing offering, and does not intend to raise any capital
through borrowing. Due to the nature of the Fund's business, it will make no
capital expenditures and will have no capital assets which are not operating
capital or assets.
Liquidity
Most United States commodity exchanges limit fluctuations in commodity futures
contracts prices during a single day by regulations referred to as "daily price
fluctuation limits" or "daily limits". During a single trading day, no trades
may be executed at prices beyond the daily limit. Once the price of a futures
contract has reached the daily limit for that day, positions in that contract
can neither be taken nor liquidated. Commodity futures prices have
occasionally moved to the daily limit for several consecutive days with little
or no trading. Similar occurrences could prevent the Fund from promptly
liquidating unfavorable positions and subject the Fund to substantial losses
which could exceed the margin initially committed to such trades. In addition,
even if commodity futures prices have not moved the daily limit, the Fund may
not be able to execute futures trades at favorable prices, if little trading in
such contracts is taking place. Other than these limitations on liquidity,
which are inherent in the Fund's commodity futures trading operations, the
Fund's assets are expected to be highly liquid.
Results of Operations
The return for the nine months ending September 30, 1998 and 1997 was 10.72%
and 7.28%, respectively. The 10.72% increase was the result of an approximate
15.39% increase due to
13
<PAGE> 14
trading gains (before commissions) and an approximate 3.47% increase was due to
interest income, offset by an approximate 8.14% decrease as the result of
brokerage fees, performance fees and operating costs borne by the Fund. An
analysis of the components of the 15.39% trading gains by sector is as
follows:
<TABLE>
<CAPTION>
Sector % Gain (Loss)
- -------------- ----------------
<S> <C>
Interest Rates 19.36%
Stock Indices 3.05
Currencies (4.10)
Metals (1.87)
Agriculturals (0.66)
Energy (0.39)
------
15.39%
======
</TABLE>
1998 began with positive performance being achieved in the interest rates,
stock indices, and energy sectors. In January the interest rates were the most
profitable sector, with the deflationary implications of the Asian financial
crisis continuing to push U.S. and European yields lower. February was a
month of major trend transition. The significant losses in the currencies and
cross rates pulled returns down, most of which was attributable to the
positions held outright in Japanese Yen and Yen cross positions held against
the other major currencies. Currencies bounced back in March, and left us with
respectable results for the first quarter 1998. Stock indices were also
positive in March, as world equity markets continued their seemingly endless
ascent.
April was a month in which most market sectors performed poorly. The only
sector to finish on a positive note was the stock indices sector, where
continued strong economic growth and the perception of low or non-existent
inflation pushed U.S. and European stock indices to new highs. May resulted in
a continuing decline in Yen against the U.S. and European currencies. Long
term interest rate instruments moved higher, as Japan tried to re-float its
economy by lowering interest rates even further. The winning sector for the
month of June was foreign exchange, with profits being realized in Japanese
Yen, Malaysian Ringgitt, and South African Rand. A combination of excess
production, and declining Asian demand for crude oil pushed crude prices lower
during the first half of June, but the announcement of further cuts by OPEC
producers caused a sharp short covering rally in the middle of the month. On
balance we were modestly short the energy sector during June, and realized
small gains overall.
14
<PAGE> 15
July was an unusual month in that the moderate negative result was broadly
dispersed over almost every market sector. Stock Indices such as the S&P and
Nikkei had substantial negative results in July. With the situations in Asia
and Russia worsening, many global capital markets experienced a "flight to
safety" during August, as investors sold equities and bought government bonds.
In August virtually all of our returns for the month came from global interest
rates sector. All other sectors showed small gains and losses, which were
largely offsetting. In September the interest rates sector returns dominated
again. Our global bond positions did very well, and our shorter-term interest
rate positions also contributed.
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 for margin, the Fund does
not believe that any increase in margin requirements, if adopted as proposed,
will have a material effect on the Fund's operations. Management cannot
predict whether the Fund's Net Asset Value per Unit will increase or decrease.
Inflation is not a significant factor in the Fund's operations, except to the
extent that inflation may affect futures' prices.
Off-Balance Sheet Risk
The Fund trades in futures and forward contracts and is therefore a party to
financial instruments with elements of off-balance sheet market and credit
risk. In entering into these contracts there exists a risk to the Fund (market
risk) that such contracts may be significantly influenced by market conditions,
such as interest rate volatility, resulting in such contracts being less
valuable. If the markets should move against all of the futures interests
positions of the Fund at the same time, and if the Fund's trading advisor was
unable to offset futures interests positions of the Fund, the Fund could lose
all of its assets and the Limited Partners would realize a 100% loss. Campbell
& Company, Inc., the General Partner (who also acts as trading advisor),
minimizes market risk through real-time monitoring of open positions,
diversification of the portfolio and maintenance of a margin-to-equity ratio
that rarely exceeds 30%.
In addition to market risk, in entering into futures and forward contracts
there is a risk to the Fund (credit risk) that a counterparty will not be able
to meet its obligations to the Fund. The counterparty of the Fund for futures
contracts traded in the United States and most foreign exchanges on which the
Fund trades is the clearinghouse associated with such exchange. In general,
clearinghouses are backed by the membership of the exchange and will act in
the event of non-performance by one of its members or one of its members'
customers, and as
15
<PAGE> 16
such, should significantly reduce this credit risk. In cases where the
Fund trades on exchanges where the clearinghouse is not backed by the
membership (i.e. some foreign exchanges) or when the Fund enters into
off-exchange contracts (i.e. forward contracts) with a counterparty, the sole
recourse of the Fund will be the clearinghouse or the counterparty as the case
may be. Campbell & Company, Inc., in its business as a commodity-trading
advisor and through its many relationships with brokers, monitors the
creditworthiness of the exchanges and the clearing members of the foreign
exchanges with which it does business for the Fund and other clients. With
respect to forward contract trading, the Fund trades with only those
counterparties which the General Partner has determined to be creditworthy. All
positions of the Fund are valued each day on a mark-to-market basis. While the
General Partner monitors the creditworthiness and risks involved in dealing on
the various exchanges and with counterparties, there can be no assurance that
an exchange or counterparty will be able to meet its obligations to the Fund.
16
<PAGE> 17
PART II-OTHER INFORMATION
Item 1. Legal Proceedings.
None
Item 2. Changes in Securities
None
Item 3. Defaults Upon Senior Securities
Not applicable.
Item 4. Submissions of Matters to a vote of Security Holders.
None
Item 5. Other Information
None
Item 6. Exhibits and Reports on Form 8-K.
None
There are no exhibits to this Form 10-Q.
17
<PAGE> 18
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Registrant)
By: Campbell & Company, Inc.
General Partner
Date:November 10, 1998 By: /s/Theresa D. Livesey
-------------------------------------------
Theresa D. Livesey
Chief Financial Officer/Treasurer/Director
18
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>
THE SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE
FINANCIAL STATEMENTS OF CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
AS OF AND FOR THE 9 ENDED 9/30/98 AND IS QUALIFIED IN ITS ENTIRETY BY REFERENCE
TO SUCH FINANCIAL STATEMENTS.
</LEGEND>
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> DEC-31-1998
<PERIOD-START> JAN-01-1998
<PERIOD-END> SEP-30-1998
<CASH> 13,587
<SECURITIES> 297,631
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 311,218
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 311,218
<CURRENT-LIABILITIES> 7,996
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 303,222
<TOTAL-LIABILITY-AND-EQUITY> 311,218
<SALES> 0
<TOTAL-REVENUES> 48,850
<CGS> 0
<TOTAL-COSTS> 19,327
<OTHER-EXPENSES> 0
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 29,522
<INCOME-TAX> 0
<INCOME-CONTINUING> 29,522
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 29,522
<EPS-PRIMARY> 95.50
<EPS-DILUTED> 95.50
</TABLE>
