<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 June 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
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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: 16
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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 June 30, 1998 and
December 31, 1997
Statements of Operations for the Three Months and
Six Months Ended June 30, 1998 and 1997
Statements of Cash Flows for the Six Months Ended
June 30, 1998 and 1997
Statements of Changes in Partners' Capital for the Six Months Ended
June 30, 1998 and 1997
<PAGE> 3
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
June 30, 1998 (Unaudited) and December 31, 1997 (Audited)
<TABLE>
<CAPTION>
June 30, December 31,
1998 1997
--------------- ---------------
<S> <C> <C>
ASSETS
Equity in broker trading accounts
Cash $ 5,877,349 $ 17,401,415
United States government securities 156,970,085 37,851,369
Unrealized gain on open futures contracts 5,192,150 8,567,066
--------------- ---------------
Deposits with broker 168,039,584 63,819,850
Cash and cash equivalents 12,134,380 27,976,771
United States government securities 94,181,587 127,278,890
Unrealized gain (loss) on open forward contracts (2,050,677) 1,328,130
--------------- ---------------
Total assets $272,304,874 $220,403,641
=============== ===============
LIABILITIES
Accounts payable $ 104,677 $ 165,183
Brokerage fee 1,686,487 1,354,551
Performance fee -0- 2,537,134
Offering costs payable 154,545 122,785
Redemptions payable 2,190,981 2,629,164
Subscription deposits 192,223 885,105
--------------- ---------------
Total liabilities 4,328,913 7,693,922
--------------- ---------------
PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner - 1,847.357 and 1,473.323 units
outstanding at June 30, 1998 and 2,753,361 2,135,788
December 31,1997
Limited Partners - 177,949.940 and 145,259.520 units
outstanding at June 30, 1998 and
December 31, 1997 265,222,600 210,573,931
--------------- ---------------
Total partners' capital
(Net Asset Value) 267,975,961 212,709,719
--------------- ---------------
$272,304,874 $220,403,641
=============== ===============
</TABLE>
See accompanying notes.
3
<PAGE> 4
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
For the Three Months and Six Months
Ended June 30, 1998 and 1997
(Unaudited)
<TABLE>
<CAPTION>
Three Months Ended Six Months Ended
June 30, June 30,
1998 1997 1998 1997
---- ---- ---- ----
<S> <C> <C> <C> <C>
INCOME
Trading gains (losses)
Realized $ 7,247,098 $ (3,515,401) $ 19,564,235 $ 5,189,644
Change in unrealized (8,480,205) (657,862) (6,753,723) (3,080,032)
----------- ------------- ----------- -----------
Gain from trading (1,233,107) (4,173,263) 12,810,512 2,109,612
Interest income 3,136,981 1,880,616 6,051,638 3,287,765
----------- ------------- ----------- -----------
Total income 1,903,874 (2,292,647) 18,862,150 5,397,377
----------- ------------- ------------ ---------
EXPENSES
Brokerage fee 4,813,804 2,719,362 9,212,899 5,137,465
Performance fee 0 0 1,831,739 816,384
Operating expenses 117,023 100,578 240,150 202,413
----------- ------------- ----------- -----------
Total expenses 4,930,827 2,819,940 11,284,788 6,156,262
----------- ----------- ---------- ----------
NET INCOME (LOSS) $(3,026,953) $(5,112,587) $ 7,577,362 $ (758,885)
============ ============ =========== ============
NET INCOME (LOSS) PER GENERAL
AND LIMITED PARTNER UNIT
(based on weighted average
number of units outstanding
during the period) $ (17.78) $ (47.57) $ 46.99 $ (7.71)
============ ============ =========== ============
INCREASE (DECREASE) IN NET
ASSET VALUE PER GENERAL
AND LIMITED PARTNER UNIT $ (24.77) $ (54.02) $ 40.79 $ (3.15)
=============== ============== ============= ==============
</TABLE>
See accompanying notes.
4
<PAGE> 5
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
For the Six Months Ended June 30, 1998 and 1997
(Unaudited)
<TABLE>
<CAPTION>
1998 1997
----- -----
<S> <C> <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
Net income (loss) $ 7,577,362 $ (758,885)
Adjustments to reconcile net income (loss) to net cash from
operating activities
Net change in unrealized 6,753,723 3,080,032
Increase (decrease) in accounts payable and accrued expenses (2,265,704) (1,814,925)
------------ -------------
Net cash from (for) operating activities (86,021,413) 506,222
------------ -------------
CASH FLOWS FROM (FOR) INVESTING ACTIVITIES
Net (purchases) maturities of investments in United States government
and agency securities (86,021,413) (54,748,059)
------------ -------------
Net cash from (for) investing activities (86,021,413) (54,748,059)
------------ -------------
CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
Addition of units 57,786,355 45,338,293
Increase (decrease) in subscription deposits (692,882) 373,414
Redemption of units (9,220,782) (2,603,329)
Decrease in redemptions payable (438,183) (190,834)
Offering costs charged (876,693) (490,382)
Increase in offering costs payable 31,760 32,570
------------- --------------
Net cash from financing activities 46,589,575 42,459,732
------------- --------------
Net decrease in cash and cash equivalents (27,366,457) (11,782,105)
CASH AND CASH EQUIVALENTS
Beginning of period 45,378,186 62,885,065
------------- --------------
End of period $18,011,729 $51,102,960
=========== ===========
End of period cash & cash equivalents consist of:
Cash in broker trading accounts 5,877,349 5,525,641
Cash and cash equivalents 12,134,380 45,577,319
------------ ----------
Total end of period cash and cash equivalents. 18,011,729 51,102,960
=========== ===========
</TABLE>
See accompanying notes.
5
<PAGE> 6
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
For the Six Months Ended June 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>
SIX MONTHS ENDED
JUNE 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 374.034 550,000 38,951.755 57,236,355 39,325.789 57,786,355
Net income for the six months
ended June 30, 1998 76,477 7,500,885 7,577,362
Redemptions 0.000 0 (6,261.335) (9,220,782) (6,261.335) (9,220,782)
Offering costs (8,904) (867,789) (876,693)
--------- ------------ ------------- ------------ ----------- ------------
Balances at
June 30, 1998 1,847.357 $2,753,361 177,949.940 $265,222,600 179,797.297 $267,975,961
========= ============ ============= ============ =========== ============
SIX MONTHS ENDED
JUNE 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 333.167 430,000 34,718.090 44,908,293 35,051.257 45,338,293
Net loss for the six months
ended June 30, 1997 (6,367) (752,518) (758,885)
Redemptions 0.000 0 (2,044.735) (2,603,329) (2,044.735) (2,603,329)
Offering costs (4,968) (485,414) (490,382)
--------- ------------ ------------- ------------ ----------- ------------
Balances at
June 30, 1997 1,219.105 $ 1,542,179 1,116,742.415 $147,680,321 117,961.520 $149,222,500
========= ============ ============= ============ =========== ============
</TABLE>
<TABLE>
<CAPTION>
Net Asset Value Per Unit
----------------------------------------------------------------
June 30, December 31, June 30, December 31,
1998 1997 1997 1996
---------- -------- ------- -----------
<S> <C> <C> <C>
$ 1,490.43 $ 1,449.64 $ 1,265.01 $ 1,268.16
========== ========== ========== ==========
</TABLE>
6
<PAGE> 7
See accompanying notes.
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.
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.
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 $6,336,817 through June 30, 1998, $2,952,338 of
which has already been reimbursed to the General Partner by the
Partnership. At June 30, 1998, the Partnership reflects a liability
in the statement of financial condition for offering costs payable
to the General Partner of $154,545. 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.
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 remainer of the
brokerage fee (0.7%) is paid directly to the broker. During the six
months ended June 30, 1998 and 1997, the amounts paid directly to
the broker amounted to $837,536 and $642,183 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 six months ended
June 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 June 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 $192,223 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 twelth month-end. After the twelth 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 June 30, 1998 and December 31, 1997 was
$251,151,672 and $110,574,485, respectively, which equals 94% 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 six months ended June 30,1998 and
1997 was approximately $6,417,438 and $1,532,091, respectively and
the related fair
10
<PAGE> 11
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
values as of June 30, 1998 and December 31, 1997 are approximately
$3,141,000 and $9,895,000, respectively.
Net trading results from derivatives are reflected in the statement
of operations and equal gain from trading less the portion of the
brokerage fee paid directly to the broker. 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; the latest
maturity date for open contracts as of June 30, 1998 is September
1998. However, the Partnership intends to close all contracts prior
to maturity. At June 30, 1998 and December 31, 1997, the notional
amount of open contracts is as follows:
<TABLE>
<CAPTION>
June 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:
- Long-term interest rates $ 963,300,000 $ 79,400,000 $ 759,600,000 $ 0
- Short-term interest rates 0 454,500,000 485,700,000 437,100,000
- Stock indices 61,900,000 29,300,000 21,000,000 13,000,000
- Softs/Fibers 4,400,000 2,300,000 2,500,000 1,000,000
- Grains 33,000,000 2,800,000 0 2,200,000
- Meats 900,000 0 0 400,000
- Metals 0 28,400,000 2,800,000 32,400,000
- Energy 10,400,000 46,400,000 0 49,600,000
Forward contracts:
- Currencies 694,100,000 877,800,000 284,900,000 472,800,000
--------------- --------------- --------------- ---------------
$1,768,000,000 $ 1,520,900,000 $ 1,556,500,000 $1,008,500,000
============== ================ ================ ==============
</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.
11
<PAGE> 12
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 7. INTERIM FINANCIAL STATEMENTS
The Statement of Financial Condition as of June 30, 1998, the
Statements of Operations for the three months and six months ended
June 30, 1998 and 1997, the Statements of Cash Flows for the six
months ended June 30, 1998 and 1997 and the Statements of Changes
in Partners' Capital (Net Asset Value) for the six months ended
June 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 June 30, 1998 and the results of
operations for the three months and six months ended June 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 $248,646,560 have
been accepted during the continuing offering period as of July 1, 1998.
Redemptions over the same time period total $39,176,329. The Fund commenced
operations on April 18, 1994.
Capital Resources
The Fund will raise additional capital only through the sale of Units offered
pursuant to the continuing offering, and does not intend to raise any capital
through borrowing. Due to the nature of the Fund's business, it will make no
capital expenditures and will have no capital assets which are not operating
capital or assets.
Liquidity
Most United States commodity exchanges limit fluctuations in commodity futures
contracts prices during a single day by regulations referred to as "daily price
fluctuation limits" or "daily limits". During a single trading day, no trades
may be executed at prices beyond the daily limit. Once the price of a futures
contract has reached the daily limit for that day, positions in that contract
can neither be taken nor liquidated. Commodity futures prices have occasionally
moved to the daily limit for several consecutive days with little or no trading.
Similar occurrences could prevent the Fund from promptly liquidating unfavorable
positions and subject the Fund to substantial losses which could exceed the
margin initially committed to such trades. In addition, even if commodity
futures prices have not moved the daily limit, the Fund may not be able to
execute futures trades at favorable prices, if little trading in such contracts
is taking place. Other than these limitations on liquidity, which are inherent
in the Fund's commodity futures trading operations, the Fund's assets are
expected to be highly liquid.
Results of Operations
The return for the six months ending June 30, 1998 and 1997 was 2.81% and
(.25)%, respectively. The 2.81% increase was the result of an approximate 4.91%
increase due to
13
<PAGE> 14
trading gains (before commissions) and an approximate 2.29%
increase due to interest income, offset by an approximate 4.39% decrease as the
result of brokerage fees, performance fees and operating costs borne by the
Fund.
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.
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
14
<PAGE> 15
The Fund trades in futures and forward contracts and is therefore a party to
financial instruments with elements of off-balance sheet market and credit risk.
In entering into these contracts there exists a risk to the Fund (market risk)
that such contracts may be significantly influenced by market conditions, such
as interest rate volatility, resulting in such contracts being less valuable. If
the markets should move against all of the futures interests positions of the
Fund at the same time, and if the Fund's trading advisor was unable to offset
futures interests positions of the Fund, the Fund could lose all of its assets
and the Limited Partners would realize a 100% loss. Campbell & Company, Inc.,
the General Partner (who also acts as trading advisor), minimizes market risk
through real-time monitoring of open positions, diversification of the portfolio
and maintenance of a margin-to-equity ratio that rarely exceeds 30%.
In addition to market risk, in entering into futures and forward contracts there
is a risk to the Fund (credit risk) that a counterparty will not be able to meet
its obligations to the Fund. The counterparty of the Fund for futures contracts
traded in the United States and most foreign exchanges on which the Fund trades
is the clearinghouse associated with such exchange. In general, clearinghouses
are backed by the membership of the exchange and will act in the event of
non-performance by one of its members or one of its members' customers, and as
such, should significantly reduce this credit risk. In cases where the Fund
trades on exchanges where the clearinghouse is not backed by the membership
(i.e. some foreign exchanges) or when the Fund enters into off-exchange
contracts (i.e. forward contracts) with a counterparty, the sole recourse of the
Fund will be the clearinghouse or the counterparty as the case may be. Campbell
& Company, Inc., in its business as a commodity trading advisor and through its
many relationships with brokers, monitors the creditworthiness of the exchanges
and the clearing members of the foreign exchanges with which it does business
for the Fund and other clients. With respect to forward contract trading, the
Fund trades with only those counterparties which the General Partner has
determined to be creditworthy. All positions of the Fund are valued each day on
a mark-to-market basis. While the General Partner monitors the creditworthiness
and risks involved in dealing on the various exchanges and with counterparties,
there can be no assurance that an exchange or counterparty will be able to meet
its obligations to the Fund.
15
<PAGE> 16
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.
16
<PAGE> 17
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Registrant)
By: Campbell & Company, Inc.
General Partner
Date: August 3, 1998 By: /s/Theresa D. Livesey
-----------------------
Theresa D. Livesey
Chief Financial Officer/Treasurer/Director
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