<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 March 31, 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: 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 March 31, 1998 and
December 31, 1997
Statements of Operations for the Three Months Ended
March 31, 1998 and 1997
Statements of Cash Flows for the Three Months Ended
March 31, 1998 and 1997
Statements of Changes in Partners' Capital for the Three Months Ended
March 31, 1998 and 1997
2
<PAGE> 3
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
March 31, 1998 (Unaudited) and December 31, 1997 (Audited)
<TABLE>
<CAPTION>
March 31, December 31,
1998 1997
------------ ------------
<S> <C> <C>
ASSETS
Equity in broker trading accounts
Cash $ 80,519,160 $ 17,401,415
United States government securities 68,233,193 37,851,369
Unrealized gain on open futures contracts 3,985,548 8,567,066
------------ ------------
Deposits with broker 152,737,901 63,819,850
Cash and cash equivalents 12,872,477 27,976,771
United States government securities 81,523,634 127,278,890
Unrealized gain (loss) on open forward contracts 7,636,130 1,328,130
------------ ------------
Total assets $254,770,142 $220,403,641
============ ============
LIABILITIES
Accounts payable $ 69,427 $ 165,183
Brokerage fee 1,560,869 1,354,551
Performance fee 1,826,845 2,537,134
Offering costs payable 137,686 122,785
Redemptions payable 1,643,651 2,629,164
Subscription deposits 317,654 885,105
------------ ------------
Total liabilities 5,556,132 7,693,922
------------ ------------
PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner - 1,675.553 and 1,473.323 units
outstanding at March 31, 1998 and 2,538,798 2,135,788
December 31,1997
Limited Partners - 162,800.326 and 145,259.520
units outstanding at March 31, 1998 and
December 31, 1997 246,675,212 210,573,931
------------ ------------
Total partners' capital
(Net Asset Value) 249,214,010 212,709,719
------------ ------------
$254,770,142 $220,403,641
============ ============
</TABLE>
See accompanying notes.
3
<PAGE> 4
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
For the Three Months Ended March 31, 1998 and 1997
(Unaudited)
<TABLE>
<CAPTION>
1998 1997
---- ----
<S> <C> <C>
INCOME
Trading gains (losses)
Realized $12,317,137 $ 8,705,045
Change in unrealized 1,726,482 (2,422,170)
----------- -----------
Gain from trading 14,043,619 6,282,875
Interest income 2,914,657 1,407,149
----------- -----------
Total income 16,958,276 7,690,024
----------- -----------
EXPENSES
Brokerage fee 4,399,095 2,418,103
Performance fee 1,831,739 816,384
Operating expenses 123,127 101,835
----------- -----------
Total expenses 6,353,961 3,336,322
----------- -----------
NET INCOME $10,604,315 $ 4,353,702
=========== ===========
NET INCOME PER GENERAL
AND LIMITED PARTNER UNIT
(based on weighted average
number of units outstanding
during the period) $ 69.63 $ 48.77
=========== ===========
INCREASE IN NET ASSET
VALUE PER GENERAL
AND LIMITED PARTNER UNIT $ 65.56 $ 50.87
=========== ===========
</TABLE>
See accompanying notes.
4
<PAGE> 5
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
For the Three Months Ended March 31, 1998 and 1997
(Unaudited)
<TABLE>
<CAPTION>
1998 1997
----- ----
<S> <C> <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
Net income $10,604,315 $ 4,353,702
Adjustments to reconcile net income to net cash from
operating activities
Net change in unrealized (1,726,482) 2,422,170
(Increase) decrease in accounts payable and accrued expenses (599,727) (1,152,722)
----------- -----------
Net cash from operating activities 8,278,106 5,623,150
----------- -----------
CASH FLOWS FROM (FOR) INVESTING ACTIVITIES
Net (purchases) maturities of investments in United States government
and agency securities 15,373,432 9,597,218
----------- -----------
Net cash from (for) investing activities 15,373,432 9,597,218
----------- -----------
CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
Addition of units 29,594,615 22,508,396
Increase in subscription deposits (567,451) 85,247
Redemption of units (3,281,581) (717,508)
Decrease in redemptions payable (985,513) (290,639)
Offering costs charged (413,058) (222,791)
Increase in offering costs payable 14,901 17,640
----------- -----------
Net cash from financing activities 24,361,913 21,380,345
----------- -----------
Net increase (decrease) in cash and cash equivalents 48,013,451 36,600,713
CASH AND CASH EQUIVALENTS
Beginning of period 45,378,186 62,885,065
----------- -----------
End of period $93,391,637 $99,485,778
=========== ===========
Three months ended cash & cash equivalents consist of:
Cash in broker trading accounts 80,519,160 14,027,589
Cash and cash equivalents 12,872,477 85,458,189
----------- -----------
Total end of period cash and cash equivalents $93,391,637 $99,485,778
=========== ===========
</TABLE>
See accompanying notes.
5
<PAGE> 6
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
For the Three Months Ended March 31, 1998 and 1997
(Unaudited)
<TABLE>
<CAPTION>
Partners' Capital
---------------------------------------------------------------------------------
General Limited Total
--------------------- -------------------- --------------------
Units Amount Units Amount Units Amount
----- ------ ----- ------ ----- ------
<S> <C> <C> <C> <C> <C> <C>
THREE MONTHS ENDED
MARCH 31, 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 202.230 300,000 19,739.937 29,294,615 19,942.167 29,594,615
Net income for the three months
ended March 31, 1998 107,191 10,497,124 10,604,315
Redemptions 0.000 0 (2,199.131) (3,281,581) (2,199.131) (3,281,581)
Offering costs (4,181) (408,877) (413,058)
----------- ----------- ------------ ------------ ------------ ------------
Balances at
March 31, 1998 1,675.553 $ 2,538,798 162,800.326 $246,675,212 164,475.879 $249,214,010
=========== =========== ============ ============ ============ ============
THREE MONTHS ENDED
MARCH 31, 1997
Balances at
December 31, 1996 885.938 $ 1,123,514 84,069.060 $106,613,289 84,954.998 $107,736,803
Additions 134.967 180,000 16,778.890 22,328,396 16,913.857 22,508,396
Net income for the three months
ended March 31, 1997 45,356 4,308,346 4,353,702
Redemptions 0.000 0 (538.203) (717,508) (538.203) (717,508)
Offering costs (2,262) (220,529) (222,791)
----------- ----------- ------------ ------------ ------------ ------------
Balances at
March 31, 1997 1,020.905 $ 1,346,608 100,309.747 $132,311,994 101,330.652 $133,658,602
=========== =========== ============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
Net Asset Value Per Unit
---------------------------------------------------------
March 31, December 31, March 31, December 31,
1998 1997 1997 1996
----------- ------------ ----------- -----------
<S> <C> <C> <C>
$ 1,515.20 $ 1,449.64 $ 1,319.03 $ 1,268.16
=========== ============ =========== ===========
</TABLE>
See accompanying notes.
6
<PAGE> 7
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.
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 gains and 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 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 $5,660,631 through March 31,
1998, $2,505,562 of which has already been reimbursed to the
General Partner by the Partnership. At March 31, 1998, the
Partnership reflects a liability in the statement of financial
condition offering costs payable to the General Partner of
$137,686. 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
8
<PAGE> 9
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 2. GENERAL PARTNER AND COMMODITY TRADING ADVISOR (CONTINUED)
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 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 General Partner for trading and
management services rendered. The remainder of the brokerage fee
(0.7%) is paid directly to the broker. During the three months ended
March 31, 1998 and 1997, the amounts paid directly to the broker
amounted to $399,918 and $302,263 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 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 three months ended
March 31, 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 March 31, 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 $317,654 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
9
<PAGE> 10
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 5. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS (CONTINUED)
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.
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 the broker
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 March 31, 1998 and December 31, 1997 was $149,756,827
and $110,574,485, respectively, which equals 60% and 52% of Net Asset
Value, 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.
10
<PAGE> 11
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
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 the
three months ended March 31, 1998 and 1997 was approximately
$7,073,000 and $5,912,000, respectively and the related period end
fair values are approximately $11,622,000 and $(449,000),
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 March 31, 1998 is June 1998.
However, the Partnership intends to close all contracts prior to
maturity. At March 31, 1998 and December 31, 1997, the notional
amount of open contracts is as follows:
<TABLE>
<CAPTION>
March 31, 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 $ 695,400,000 $129,600,000 $ 759,600,000 $ 0
- Short-term interest rates 568,200,000 0 485,700,000 437,100,000
- Currencies 0 0 0 0
- Stock indices 1,296,900,000 0 21,000,000 13,000,000
- Softs/Fibers 5,000,000 1,500,000 2,500,000 1,000,000
- Grains 0 1,600,000 0 2,200,000
- Meats 0 200,000 0 400,000
- Metals 25,600,000 28,900,000 2,800,000 32,400,000
- Energy 9,000,000 7,200,000 0 49,600,000
Forward contracts:
- Currencies 507,800,000 737,900,000 284,900,000 472,800,000
--------------- ------------- --------------- --------------
$ 3,107,900,000 $ 906,900,000 $ 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.
11
<PAGE> 12
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
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 March 31, 1998, the
Statements of Operations for the three months ended March 31,1998 and
1997, the Statements of Cash Flows for the three months ended March
31, 1998 and 1997 and the Statements of Changes in Partners' Capital
(Net Asset Value) for the three months ended March 31, 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 March 31, 1998 and the results of operations for the
three months ended March 31, 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 $220,454,819 have
been accepted during the continuing offering period as of April 1, 1998.
Redemptions over the same time period total $33,237,127. 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 three months ending March 31, 1998 and 1997 was 4.52% and
4.01%, respectively. The 4.52% increase was the result of an approximate 6.22%
increase due to
12
<PAGE> 14
trading gains (before commissions) and an approximate 1.22% increase due to
interest income, offset by an approximate 2.92% 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 the 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 tansition. The significant losses in the currencies
and cross rates pulled returns down, most of which was attributable to the
Japanese yen outrights, and the crosses of the yen against the other major
currencies. Currencies bounced back in March, and left us with respectable
results for the first quarter 1998. As long as the economy drifts, Japanese
interest rates will remain low, and these low rates, combined with the
deregulation of the financial markets have finally pushed the yen decisively
lower. Stock indices were also positive in March, as world equity markets
continued their seemingly endless ascent.
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%.
13
<PAGE> 15
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.
14
<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.
15
<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: May 7, 1998 By: /s/Theresa D. Livesey
------------------------------------------
Theresa D. Livesey
Chief Financial Officer/Treasurer/Director
16
<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 THREE MONTHS ENDED MARCH 31, 1998 AND IS QUALIFIED IN ITS ENTIRETY BY
REFERENCE TO SUCH FINANCIAL STATEMENTS.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> DEC-31-1998
<PERIOD-START> JAN-01-1998
<PERIOD-END> MAR-31-1998
<CASH> 93,392
<SECURITIES> 161,378
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 254,770
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 254,770
<CURRENT-LIABILITIES> 5,556
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 249,214
<TOTAL-LIABILITY-AND-EQUITY> 254,770
<SALES> 0
<TOTAL-REVENUES> 16,958
<CGS> 0
<TOTAL-COSTS> 6,354
<OTHER-EXPENSES> 0
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 10,604
<INCOME-TAX> 0
<INCOME-CONTINUING> 10,604
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 10,604
<EPS-PRIMARY> 69.63
<EPS-DILUTED> 69.63
</TABLE>
