<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, 1999
--------------------------------------------------
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: 19
--
<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, 1999 and
December 31, 1998
Statements of Operations for the Three Months and
Six Months Ended June 30, 1999 and 1998
Statements of Cash Flows for the Six months Ended
June 30, 1999 and 1998
Statements of Changes in Partners' Capital for the Six Months Ended
June 30, 1999 and 1998
2
<PAGE> 3
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
June 30, 1999 (Unaudited) and December 31, 1998 (Audited)
<TABLE>
<CAPTION>
June 30, December 31,
1999 1998
------------- --------------
<S> <C> <C>
ASSETS
Equity in broker trading accounts
Cash $ 16,166,563 $ 88,830,060
United States government securities 233,980,529 114,491,286
Unrealized gain on open futures contracts 22,815,050 3,917,717
------------ -------------
Deposits with broker 272,962,142 207,239,063
Cash 33,778,164 44,879,656
United States government securities 126,279,139 99,677,514
Unrealized loss on open forward contracts (1,310,821) (1,005,425)
------------- --------------
Total assets $431,708,624 $350,790,808
============ =============
LIABILITIES
Accounts payable $ 137,906 $ 222,124
Brokerage fee 2,680,103 2,164,020
Performance fee 1,018,497 1,985,393
Offering costs payable 237,274 185,312
Redemptions payable 3,345,648 2,260,525
Subscription deposits 175,699 16,786
------------ -------------
Total liabilities 7,595,127 6,834,160
------------ -------------
PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner - 2,541.937 and 2,096.643 units
outstanding at June 30, 1999 and 4,355,965 3,483,174
December 31, 1998
Limited Partners - 244,950.700 and 204,942.359
units outstanding at June 30, 1999 and
December 31, 1998 419,757,532 340,473,474
------------ -------------
Total partners' capital
(Net Asset Value) 424,113,497 343,956,648
------------ -------------
$431,708,624 $ 350,790,808
============ =============
</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, 1999 and 1998
(Unaudited)
<TABLE>
<CAPTION>
Three Months Ended Six Months Ended
June 30, June 30,
1999 1998 1999 1998
---- ---- ---- ----
<S> <C> <C> <C> <C>
INCOME
Futures trading gains (losses)
Realized $12,008,887 $(5,651,457) $ 394,982 $15,987,736
Change in unrealized 12,115,832 1,206,602 18,897,333 (3,374,916)
----------- ------------ ----------- -----------
Gain (loss) from futures
trading 24,124,719 (4,444,855) 19,292,315 12,612,820
Forward trading gains (losses)
Realized 9,139,049 12,898,555 4,283,050 3,576,499
Change in unrealized (3,757,172) (9,686,807) (305,396) (3,378,807)
----------- ------------- ----------- -----------
Gain from forward
trading 5,381,877 3,211,748 3,977,654 197,692
Interest income 4,240,493 3,136,981 8,007,742 6,051,638
----------- ------------ ----------- -----------
Total income 33,747,089 1,903,874 31,277,711 18,862,150
----------- ------------ ----------- -----------
EXPENSES
Brokerage fee 7,700,321 4,813,804 14,366,452 9,212,899
Performance fee 1,024,532 0 1,024,532 1,831,739
Operating expenses 147,484 117,023 321,580 240,150
----------- ------------ ----------- -----------
Total expenses 8,872,337 4,930,827 15,712,564 11,284,788
----------- ------------ ----------- -----------
NET INCOME (LOSS) $24,874,752 $(3,026,953) $15,565,147 $ 7,577,362
=========== ============ =========== ===========
NET INCOME (LOSS) PER GENERAL
AND LIMITED PARTNER UNIT
(based on weighted average
number of units outstanding
during the period) $ 105.44 $ (17.78) $ 69.00 $ 46.99
=========== ============ =========== ===========
INCREASE (DECREASE) IN NET
ASSET VALUE PER GENERAL
AND LIMITED PARTNER UNIT $ 101.99 $ (24.77) $ 52.33 $ 40.79
=========== ============ =========== ===========
</TABLE>
See accompanying notes.
4
<PAGE> 5
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
For the Six Months Ended June 30, 1999 and 1998
(Unaudited)
<TABLE>
<CAPTION>
1999 1998
---- ----
<S> <C> <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
Net income $ 15,565,147 $ 7,577,362
Adjustments to reconcile net income to net cash for
operating activities
Net change in unrealized (18,591,937) 6,753,723
Decrease in accounts payable and accrued expenses (535,031) (2,265,704)
Net purchases of investments in United States government
and agency securities (146,090,868) (86,021,413)
-------------- ------------
Net cash for operating activities (149,652,689) (73,956,032)
-------------- ------------
CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
Addition of units 79,843,496 57,786,355
Increase (decrease) in subscription deposits 158,913 (692,882)
Redemption of units (13,916,758) (9,220,782)
Increase (decrease) in redemptions payable 1,085,123 (438,183)
Offering costs charged (1,335,036) (876,693)
Increase in offering costs payable 51,962 31,760
-------------- ------------
Net cash from financing activities 65,887,700 46,589,575
-------------- ------------
Net decrease in cash (83,764,989) (27,366,457)
CASH
Beginning of period 133,709,716 45,378,186
-------------- ------------
End of period $ 49,944,727 $ 18,011,729
============== ============
End of period cash consists of:
Cash in broker trading accounts 16,166,563 5,877,349
Cash 33,778,164 12,134,380
-------------- ------------
Total end of period cash $ 49,944,727 $ 18,011,729
============== ============
</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, 1999 and 1998
(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, 1999
Balances at
December 31, 1998 2,096.643 $3,483,174 204,942.359 $340,473,474 207,039.002 $343,956,648
Net gain for the six months
ended June 30, 1999 156,241 15,408,906 15,565,147
Additions 445.294 730,000 48,430.419 79,113,496 48,875.713 79,843,496
Redemptions 0.000 0 (8,422.078) (13,916,758) (8,422.078) (13,916,758)
Offering costs (13,450) (1,321,586) (1,335,036)
--------- ---------- ----------- ------------ ----------- ------------
Balances at
June 30, 1999 2,541.937 $4,355,965 244,950.700 $419,757,532 247,492.637 $424,113,497
========= ========== =========== ============ =========== ============
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
Net income for the six months
ended June 30, 1998 76,477 7,500,885 7,577,362
Additions 374.034 550,000 38,951.755 57,236,355 39,325.789 57,786,355
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
========= ========== =========== ============ =========== ============
</TABLE>
<TABLE>
<CAPTION>
Net Asset Value Per Unit
----------------------------------------------------------------------
June 30, December 31, June 30, December 31,
1999 1998 1998 1997
------------- -------------- ------------ -------------
<S> <C> <C> <C>
$ 1,713.64 $ 1,661.31 $ 1,490.43 $ 1,449.64
============= ============== ============ =============
</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. The Partnership's objective is the appreciation
of its assets through speculative trading of futures contracts
and other financial instruments.
B. Regulation
As a registrant with the Securities and Exchange Commission, the
Partnership is subject to the regulatory requirements under the
Securities Act of 1933 and the Securities Exchange Act of 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 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 securities are stated cost plus accrued
interest which approximate 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.
7
<PAGE> 8
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(CONTINUED)
D. 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.
E. 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 $9,498,620 through June 30, 1999, $5,277,463
of which has already been reimbursed to the General Partner by
the Partnership. At June 30, 1999, the Partnership reflects a
liability in the statement of financial condition for offering
costs payable to the General Partner of $237,274. 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 30 month pay-out schedules. 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.
F. 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.
8
<PAGE> 9
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(CONTINUED)
G. Reclassification
Certain amounts in the 1998 financial statements were
reclassified to conform with the 1999 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.
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 six months ended
June 30, 1999 and 1998, the amounts paid directly to the broker
amounted to $1,273,345 and $837,536, 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.
9
<PAGE> 10
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 4. OPERATING EXPENSES
Operating expenses of the Partnership are limited by the Amended
Agreement of Limited Partnership to 0.5% per year of the average
month-end Net Asset Value of the Partnership. Actual operating
expenses were less than 0.5% of average month-end Net Asset Value for
six months ended June 30, 1999 and 1998.
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, 1999 and
December 31, 1998, amounts received by the Partnership from
prospective limited partners who have not yet been admitted to the
Partnership by the General Partner total $175,699 and $16,786,
respectively.
The Partnership is not required to make distributions, but may do so
at the sole discretion of the General Partner. A Limited Partner may
request and receive redemption of Units owned, subject to 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.
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.
10
<PAGE> 11
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
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 June 30, 1999 and December 31, 1998 was $360,259,668
and $214,168,800, respectively, which equals 85% and 62% 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.
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, 1999 and 1998 and the
related fair values as of June 30, 1999 and December 31, 1998 are as
follows:
<TABLE>
<CAPTION>
Average Fair Value
As of June 30, Fair Value as of
----------------------- ------------------------------------
1999 1998 June 30, 1999 December 31, 1998
---- ---- ------------- -----------------
<S> <C> <C> <C> <C>
Futures contracts $10,296,000 $6,237,000 $22,815,000 $ 3,918,000
Forward contracts 323,000 180,000 (1,311,000) (1,005,000)
</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 unrealized gain (loss) on open futures and forward contracts is
comprised of the following:
<TABLE>
<CAPTION>
Futures Contracts Forward Contracts
(exchange traded) (non-exchange traded)
----------------------------------- ---------------------------------
June 30, 1999 December 31, 1998 June 30, 1999 December 31, 1998
------------- ----------------- ------------- -----------------
<S> <C> <C> <C> <C>
Gross unrealized gains $28,201,474 $6,289,815 $ 5,127,972 $ 7,377,712
Gross unrealized losses (5,386,424) (2,372,098) (6,438,793) (8,383,137)
------------ ------------ ------------ ------------
Net unrealized gain (loss) $22,815,050 $3,917,717 $(1,310,821) $ (1,005,425)
=========== ========== ============ =============
</TABLE>
Net trading results from futures contracts are reflected in the
statement of operations and equal gain (loss) from futures 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 forward trading. Such trading results
reflect the net gain (loss) arising from the Partnership's speculative
trading of futures and forward contracts.
Open contracts generally mature within three months; as of June 30,
1999 the latest maturity date for open futures contracts is March
2000, and the latest maturity date for open forward contracts is
September 1999. However, the Partnership intends to close all
contracts prior to maturity. At June 30, 1999 and December 31, 1998,
the notional amount of open contracts is as follows:
<TABLE>
<CAPTION>
June 30, 1999 December 31, 1998
------------- -----------------
Contracts to Contracts to Contracts to Contracts to
Purchase Sell Purchase Sell
-------- ---- -------- ----
<S> <C> <C> <C> <C>
Futures contracts (exchange traded):
- Long-term interest rates $ 0 $1,343,400,000 $ 460,500,000 $ 148,700,000
- Short-term interest rates 0 2,314,100,000 305,900,000 307,900,000
- Stock indices 169,600,000 4,400,000 67,900,000 11,200,000
- Agricultural 0 9,800,000 2,000,000 8,700,000
- Metals 61,400,000 26,200,000 6,500,000 47,500,000
- Energy 72,900,000 0 0 17,100,000
Forward contracts (non-exchange traded):
- Currencies 506,900,000 779,200,000 435,100,000 386,200,000
------------- -------------- -------------- -------------
$ 810,800,000 $4,477,100,000 $1,277,900,000 $ 927,300,000
============= ============== ============== =============
</TABLE>
12
<PAGE> 13
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, although there can be no assurance
that they will, in fact, succeed in doing so. The General Partner's
basic market risk control procedures consist of continuously
monitoring open positions, diversification of the portfolio and
maintenance of a margin-to-equity ratio that rarely exceeds 30%. The
General Partner seeks to minimize credit risk primarily by depositing
and maintaining the Partnership's assets at financial institutions and
brokers which the General Partner believes to be creditworthy. 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 June 30, 1999, the
Statements of Operations for the three months and six months ended
June 30, 1999 and 1998, the Statements of Cash Flows for the six
months ended June 30, 1999 and 1998 and the Statements of Changes in
Partners' Capital (Net Asset Value) for the six months ended June 30,
1999 and 1998 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, 1999 and the results of operations for the
three months and six months ended June 30, 1999 and 1998.
13
<PAGE> 14
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 Interest 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 $388,111,845 have
been accepted during the continuing offering period as of July 1, 1999.
Redemptions over the same time period total $68,778,565. 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.
14
<PAGE> 15
Results of Operations
The returns for the six months ending June 30, 1999 and 1998 were 3.15% and
2.81%, respectively. Of the 3.15% increase, approximately 5.14% was due to
trading gains (before commissions) and approximately 2.18% was due to interest
income, offset by approximately 4.17% in brokerage fees, performance fees,
operating costs and offering costs borne by the Fund. An analysis of the 5.14%
trading losses by sector is as follows:
<TABLE>
<CAPTION>
SECTOR % GAIN (LOSS)
- ------ -------------
<S> <C>
Interest Rates 2.39%
Stock Indices .15
Currencies .77
Metals (.69)
Agriculturals (.24)
Energy 2.76
----
5.14%
====
</TABLE>
In January 1999, most markets the Fund trades in were trendless, yet volatile
enough to move it in and out of positions, incurring a string of relatively
small losses. The gain for February was earned primarily in the currency and
interest rate sectors. Short positions in U.S. treasury notes and bonds yielded
enough profits to compensate for the losses incurred in European interest rates,
which have been slower to turn from long to short. The yen was volatile, trading
both sharply higher and sharply lower against the U.S. dollar during February,
but it ended the month on a slide which appeared to have some momentum. On
balance the Fund's yen positions lost money during February, but short positions
in the European currencies, primarily the Swiss franc and the Euro, were very
profitable. In March, the currency and energy sectors provided positive returns.
The U.S. dollar continued to appreciate against the Euro and the Swiss franc,
while weaker yen was profitable against sterling, the Swiss franc, and the Euro.
All other portfolio sectors showed small losses for the month.
April produced profitable results for the Fund with gains in the currencies,
stock indicies, energy and metals sectors. The U.S. dollar continued its strong
upward trend against the Euro and Swiss franc which lead to the Fund's gains in
the currency sector. The Fund incurred losses in global interest rates where the
markets were too trendless to offer any real opportunity. In May, the energy and
metal sectors were down sharply causing losses on the Fund's long positions in
these two sectors contributing to our loss for the month. Profits on short
interest rate positions were offset by losses on long U.S. dollar and foreign
equity index positions. Interest rate positions
15
<PAGE> 16
were the biggest contributor to the positive performance for June. The Fund's
short positions in this sector profited from the persistent increase in the U.S.
interest rates. The Fund also had strong performance in the energy and stock
indices sectors during the month.
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
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
16
<PAGE> 17
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.
17
<PAGE> 18
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.
18
<PAGE> 19
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 11, 1999 By: /s/Theresa D. Livesey
-------------------------------------
Theresa D. Livesey
Chief Financial Officer/Treasurer/Director
19
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>
THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE
FINANCIAL STATEMENTS OF CAMPBELL STRATEGIC ALLOCATION FUND, L.P. AS OF AND FOR
THE SIX MONTHS ENDED JUNE 30, 1999 AND IS QUALIFIED IN ITS ENTIRETY BY REFERENCE
TO SUCH FINANCIAL STATMENTS.
</LEGEND>
<MULTIPLIER> 1000
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1999
<PERIOD-START> JAN-01-1999
<PERIOD-END> JUN-30-1999
<CASH> 49,945
<SECURITIES> 381,764
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 431,709
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 431,709
<CURRENT-LIABILITIES> 7,595
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 424,114
<TOTAL-LIABILITY-AND-EQUITY> 431,709
<SALES> 0
<TOTAL-REVENUES> 31,278
<CGS> 0
<TOTAL-COSTS> 15,713
<OTHER-EXPENSES> 0
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 15,565
<INCOME-TAX> 0
<INCOME-CONTINUING> 15,565
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 15,565
<EPS-BASIC> 69.00
<EPS-DILUTED> 69.00
</TABLE>
