<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, 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: 18
--
<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, 1999 and
December 31, 1998
Statements of Operations for the Three Months Ended
March 31, 1999 and 1998
Statements of Cash Flows for the Three Months Ended
March 31, 1999 and 1998
Statements of Changes in Partners' Capital for the Three Months Ended
March 31, 1999 and 1998
2
<PAGE> 3
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
March 31, 1999 (Unaudited) and December 31, 1998 (Audited)
<TABLE>
<CAPTION>
March 31, December 31,
1999 1998
-------------- --------------
<S> <C> <C>
ASSETS
Equity in broker trading accounts
Cash $ 9,314,095 $ 88,830,060
United States government securities 207,562,581 114,491,286
Unrealized gain on open futures contracts 10,699,219 3,917,717
------------ ------------
Deposits with broker 227,575,895 207,239,063
Cash and cash equivalents 27,518,359 44,879,656
United States government securities 119,905,133 99,677,514
Unrealized gain (loss) on open forward contracts 2,446,351 (1,005,425)
------------ ------------
Total assets $377,445,738 $350,790,808
============ ============
LIABILITIES
Accounts payable $ 121,893 $ 222,124
Brokerage fee 2,320,444 2,164,020
Performance fee 0 1,985,393
Offering costs payable 207,738 185,312
Redemptions payable 2,070,248 2,260,525
Subscription deposits 100,053 16,786
------------ ------------
Total liabilities 4,820,376 6,834,160
------------ ------------
PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner - 2,315.422 and 2,096.643 units
outstanding at March 31, 1999 and 3,731,650 3,483,174
December 31, 1998
Limited Partners - 228,891.300 and 204,942.359
units outstanding at March 31, 1999 and
December 31, 1998 368,893,712 340,473,474
------------ ------------
Total partners' capital
(Net Asset Value) 372,625,362 343,956,648
------------ ------------
$377,445,738 $350,790,808
============ ============
</TABLE>
See accompanying notes.
3
<PAGE> 4
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
For the Three Months Ended March 31, 1999 and 1998
(Unaudited)
<TABLE>
<CAPTION>
1999 1998
---- ----
<S> <C> <C>
INCOME
Futures trading gains (losses)
Realized $(11,613,905) $ 21,639,193
Change in unrealized 6,781,501 (4,581,518)
------------ -------------
Gain (loss) from futures trading (4,832,404) 17,057,675
Forward trading gains (losses)
Realized $ (4,855,999) $ (9,322,056)
Change in unrealized 3,451,776 6,308,000
------------ -------------
Gain (loss) from forward trading (1,404,223) (3,014,056)
Interest income 3,767,249 2,914,657
------------ -------------
Total income (2,469,378) 16,958,276
------------ -------------
EXPENSES
Brokerage fee 6,666,131 4,399,095
Performance fee 0 1,831,739
Operating expenses 174,095 123,127
------------ -------------
Total expenses 6,840,226 6,353,961
------------ -------------
NET INCOME (LOSS) $ (9,309,604) $ 10,604,315
============ =============
NET INCOME (LOSS) PER GENERAL
AND LIMITED PARTNER UNIT
(based on weighted average
number of units outstanding
during the period) $ (43.25) $ 69.63
============= =============
INCREASE (DECREASE) IN NET ASSET
VALUE PER GENERAL
AND LIMITED PARTNER UNIT $ (49.66) $ 65.56
============== =============
</TABLE>
See accompanying notes.
4
<PAGE> 5
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
For the Three Months Ended March 31, 1999 and 1998
(Unaudited)
<TABLE>
<CAPTION>
1999 1998
---- ----
<S> <C> <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
Net income $ (9,309,604) $ 10,604,315
Adjustments to reconcile net income to net cash from (for)
operating activities
Net change in unrealized (10,233,277) (1,726,482)
Decrease in accounts payable and accrued expenses (1,929,201) (599,727)
Net maturities (purchases) of investments in United States government
and agency securities (113,298,914) 15,373,432
-------------- ------------
Net cash from (for) operating activities (134,770,996) 23,651,538
-------------- -------------
Addition of units 44,417,276 29,594,615
Increase (decrease) in subscription deposits 83,267 (567,451)
Redemption of units (5,815,744) (3,281,581)
Decrease in redemptions payable (190,277) (985,513)
Offering costs charged (623,214) (413,058)
Increase in offering costs payable 22,426 14,901
------------- ------------
Net cash from financing activities 37,893,734 24,361,913
------------- ------------
Net increase (decrease) in cash and cash equivalents (96,877,262) 48,013,451
CASH AND CASH EQUIVALENTS
Beginning of period 133,709,716 45,378,186
------------ ------------
End of period $ 36,832,454 $ 93,391,637
============ ============
End of period cash and cash equivalents consists of:
Cash in broker trading accounts 9,314,095 80,519,160
Cash and cash equivalents 27,518,359 12,872,477
------------ ------------
Total end of period cash and cash equivalents $ 36,832,454 $ 93,391,637
============ ============
</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, 1999 and 1998
(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, 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 loss for the three months
ended March 31, 1999 (95,270) (9,214,344) (9,309,604)
Additions 218.779 350,000 27,581.036 44,067,276 27,799.815 44,417,276
Redemptions 0.000 0 (3,632.095) (5,815,744) (3,632.095) (5,815,744)
Offering costs (6,254) (616,960) (623,214)
--------- ---------- ----------- ------------ ----------- ------------
Balances at
March 31, 1999 2,315.422 $3,731,650 228,891.300 $368,893,702 231,206.722 $372,625,362
========= ========== =========== ============ =========== ============
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
Net income for the three months
ended March 31, 1998 107,191 10,497,124 10,604,315
Additions 202.230 300,000 19,739.937 29,294,615 19,942.167 29,594,615
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
========= ========== =========== ============ =========== ============
<CAPTION>
Net Asset Value Per Unit
-------------------------------------------------------------------------------
March 31, December 31, March 31, December 31,
1999 1998 1998 1997
------------- -------------- ------------- --------------
<S> <C> <C> <C>
$ 1,611.65 $ 1,661.31 $ 1,515.20 $ 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 Acts of 1933 and 1934. As a commodity investment
pool, the Partnership is subject to the regulations of the
Commodity Futures Trading Commission, an agency of the United
States (U.S.) government which regulates most aspects of the
commodity futures industry; rules of the National Futures
Association, an industry self-regulatory organization; and the
requirements of the various commodity exchanges where the
Partnership executes transactions. Additionally, the Partnership
is subject to the requirements of Futures Commission Merchants
(brokers) and interbank market makers through which the
Partnership trades.
C. Method of Reporting
The Partnership's financial statements are presented in
accordance with generally accepted accounting principles, which
require the use of certain estimates made by the Partnership's
management. Transactions are accounted for on the trade date.
Gains or losses are realized when contracts are liquidated.
Unrealized 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.
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. Cash and Cash Equivalents
Cash and cash equivalents includes cash 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.
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 $8,613,062 through March 31, 1999,
$4,595,177 of which has already been reimbursed to the General
Partner by the Partnership. At March 31, 1999, the Partnership
reflects a liability in the statement of financial condition for
offering costs payable to the General Partner of $207,738. 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.
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.
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)
H. 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 three months ended March 31, 1999 and 1998, the
amounts paid directly to the broker amounted to $606,012 and $399,918,
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 three
months ended March 31, 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 March 31, 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 $100,053 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 March 31, 1999 and December 31, 1998 was $327,467,714 and
$214,168,800, respectively, which equals 88% 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 three months ended March 31, 1999 and 1998 and
the related fair values as of March 31, 1999 and 1998 are as follows:
<TABLE>
<CAPTION>
Average Fair Value Fair Value as of
As of March 31, March 31,
--------------- ---------
1999 1998 1999 1998
---- ---- ---- ----
<S> <C> <C> <C> <C>
Futures contracts $8,851,000 $9,565,000 $ 10,699,000 $3,986,000
Forward contracts (5,355,000) (2,492,000) 2,446,000 7,636,000
</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)
March 31, March 31,
--------- ---------
1999 1998 1999 1998
---- ---- ---- ----
<S> <C> <C> <C> <C>
Gross unrealized gains $ 15,606,634 $7,615,839 $ 12,358,980 $ 9,187,604
Gross unrealized (losses) (4,907,415) (3,630,291) (9,912,629) (1,551,474)
------------ ----------- ----------- -----------
Net unrealized gain (loss) $ 10,699,219 $3,985,548 $2,446,351 $ 7,636,130
============ ========== ========== ===========
</TABLE>
Net trading results from futures contracts are reflected in the
statement of operations and equal gain 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 arising from the Partnership's speculative trading of
futures and forward contracts.
Open contracts generally mature within three months; as of March 31,1999
the latest maturity date for open futures contracts is September 1999,
and the latest maturity date for open forward contracts is June 1999.
However, the Partnership intends to close all contracts prior to
maturity. At March 31, 1999 and December 31, 1998, the notional amount
of open contracts is as follows:
<TABLE>
<CAPTION>
March 31, 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 $ 81,100,000 $4,932,500,000 $ 460,500,000 $ 148,700,000
- Short-term interest rates 369,200,000 422,000,000 305,900,000 307,900,000
- Stock indices 3,369,900,000 71,800,000 67,900,000 11,200,000
- Agricultural 2,400,000 1,100,000 2,000,000 8,700,000
- Metals 43,900,000 47,900,000 6,500,000 47,500,000
- Energy 59,200,000 0 0 17,100,000
Forward contracts (non-exchange traded):
- Currencies 1,109,600,000 1,419,800,000 435,100,000 386,200,000
-------------- ------------- -------------- -------------
$5,035,300,000 $6,895,100,000 $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 March 31, 1999, the
Statements of Operations for the three months ended March 31,1999 and
1998, the Statements of Cash Flows for the three months ended March 31,
1999 and 1998 and the Statements of Changes in Partners' Capital (Net
Asset Value) for the three months ended March 31, 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 March 31,
1999 and the results of operations for the three months ended March 31,
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 $352,685,626 have
been accepted during the continuing offering period as of April 1, 1999.
Redemptions over the same time period total $60,677,551. 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 three months ending March 31, 1999 and 1998 were (2.99)% and
4.52%, respectively. Of the 2.99% decrease, approximately 1.93% was due to
trading losses (before commissions) and approximately 2.08% was due to brokerage
fees and operating costs borne by the Fund, offset by approximately 1.02 % in
interest income. An analysis of the 1.93% trading losses by sector is as
follows:
<TABLE>
<CAPTION>
SECTOR % GAIN (LOSS)
- ------ -------------
<S> <C>
Interest Rates (1.69)%
Stock Indices (1.90)
Currencies (.68)
Metals .36
Agriculturals (.19)
Energy 2.17
----
(1.93)%
======
</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 our yen positions lost money during February, but short positions in the
European currencies, primarily the Swiss franc and the Euro, were solid winners.
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.
15
<PAGE> 16
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 be creditworthy. All positions of the Fund are valued each day on
a mark-to-market basis. While the General Partner monitors the creditworthiness
and risks involved in dealing on the various exchanges and with counterparties,
there can be no assurance that an exchange or counterparty will be able to meet
its obligations to the Fund.
16
<PAGE> 17
PART II-OTHER INFORMATION
Item 1. Legal Proceedings.
None
Item 2. Changes in Securities
None
Item 3. Defaults Upon Senior Securities
Not applicable.
Item 4. Submissions of Matters to a vote of Security Holders.
None
Item 5. Other Information
None
Item 6. Exhibits and Reports on Form 8-K.
None
There are no exhibits to this Form 10-Q.
17
<PAGE> 18
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Registrant)
By: Campbell & Company, Inc.
General Partner
Date: May 13, 1999 By: /s/Theresa D. Livesey
------------------------------------------
Theresa D. Livesey
Chief Financial Officer/Treasurer/Director
18
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>
THE SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE
FINANCIAL STATEMENTS OF CAMPBELL STRATEGIC ALLOCATION FUND AS OF AND FOR THE
THREE MONTHS ENDED MARCH 31, 1999 AND IS QUALIFIED IN ITS ENTIRETY BY REFERENCE
TO SUCH FINANCIAL STATEMENTS.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> DEC-31-1999
<PERIOD-START> JAN-01-1999
<PERIOD-END> MAR-31-1999
<CASH> 36,832
<SECURITIES> 340,614
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 377,446
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 377,446
<CURRENT-LIABILITIES> 4,820
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 372,626
<TOTAL-LIABILITY-AND-EQUITY> 377,446
<SALES> 0
<TOTAL-REVENUES> (2,470)
<CGS> 0
<TOTAL-COSTS> 6,840
<OTHER-EXPENSES> 0
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (9,310)
<INCOME-TAX> 0
<INCOME-CONTINUING> (9,310)
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (9,310)
<EPS-PRIMARY> (43.25)
<EPS-DILUTED> (43.25)
</TABLE>
