<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, 2000
-------------------------------------------------
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)
<TABLE>
<S> <C>
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)
</TABLE>
(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: 25
----
<PAGE> 2
PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
The following financial statements of Campbell Strategic Allocation Fund, L.P.
are included in Item 1:
Statements of Financial Condition as of March 31, 2000 (Unaudited) and
December 31, 1999 (Audited)
Statements of Operations for the Three Months Ended
March 31, 2000 and 1999 (Unaudited)
Statements of Cash Flows for the Three Months Ended
March 31, 2000 and 1999 (Unaudited)
Statements of Changes in Partners' Capital (Net Asset Value)
for the Three Months Ended March 31, 2000 and 1999 (Unaudited)
2
<PAGE> 3
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
March 31, 2000 (Unaudited) and December 31, 1999 (Audited)
<TABLE>
<CAPTION>
March 31, December 31,
2000 1999
------------ ------------
<S> <C> <C>
ASSETS
Equity in broker trading accounts
Cash $ 49,540,030 $ 54,186,103
United States government securities 271,624,376 256,915,665
Unrealized gain on open futures contracts 4,423,465 16,512,156
------------ ------------
Deposits with broker 325,587,871 327,613,924
Cash and cash equivalents 52,001,117 33,978,199
United States government securities 129,051,163 129,150,061
Unrealized gain on open forward contracts 712,085 6,098,317
------------ ------------
Total assets $507,352,236 $496,840,501
============ ============
LIABILITIES
Accounts payable $ 120,772 $ 260,063
Brokerage fee 3,167,600 3,118,646
Offering costs payable 272,499 259,595
Redemptions payable 5,870,713 9,074,798
Subscription deposits 5,010 107,295
------------ ------------
Total liabilities 9,436,594 12,820,397
------------ ------------
PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner - 3,201.572 and 2,904.862 units
outstanding at March 31, 2000 and 5,564,460 5,040,488
December 31, 1999
Limited Partners - 283,279.245 and 276,039.045
units outstanding at March 31, 2000 and
December 31, 1999 492,351,182 478,979,616
------------ ------------
Total partners' capital
(Net Asset Value) 497,915,642 484,020,104
------------ ------------
$507,352,236 $496,840,501
============ ============
</TABLE>
See accompanying notes
3
<PAGE> 4
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
For the Three Months Ended March 31, 2000 and 1999
(Unaudited)
<TABLE>
<CAPTION>
2000 1999
---- ----
<S> <C> <C>
INCOME
Futures trading gains (losses)
Realized $ 12,534,823 $(11,613,905)
Change in unrealized (12,088,691) 6,781,501
------------ ------------
Gain (loss) from futures trading 446,132 (4,832,404)
------------ ------------
Forward trading gains (losses)
Realized 9,804,973 (4,855,999)
Change in unrealized (5,386,232) 3,451,776
------------ ------------
Gain (loss) from forward trading 4,418,741 (1,404,223)
------------ ------------
Interest income 6,489,772 3,767,249
------------ ------------
Total income (loss) 11,354,645 (2,469,378)
------------ ------------
EXPENSES
Brokerage fee 9,641,479 6,666,131
Performance fee 27,870 0
Operating expenses 235,385 174,095
------------ ------------
Total expenses 9,904,734 6,840,226
------------ ------------
NET INCOME (LOSS) $ 1,449,911 $ (9,309,604)
============ ============
NET INCOME (LOSS) PER GENERAL
AND LIMITED PARTNER UNIT
(based on weighted average
number of units outstanding
during the period) $ 5.17 $ (43.25)
============ ============
INCREASE (DECREASE) IN NET ASSET
VALUE PER GENERAL
AND LIMITED PARTNER UNIT $ 2.85 $ (49.66)
============ ============
</TABLE>
See accompanying notes.
4
<PAGE> 5
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
For the Three Months Ended March 31, 2000 and 1999
(Unaudited)
<TABLE>
<CAPTION>
2000 1999
---- ----
<S> <C> <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
Net income $ 1,449,911 $ (9,309,604)
Adjustments to reconcile net income to net cash from (for)
operating activities
Net change in unrealized 17,474,923 (10,233,277)
Decrease in accounts payable and accrued expenses (90,337) (1,929,201)
Net (purchases) of investments in United States
government securities (14,609,813) (113,298,914)
------------- -------------
Net cash from (for) operating activities 4,224,684 (134,770,996)
------------- -------------
CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
Addition of units 34,288,897 44,417,276
Increase (decrease) in subscription deposits (102,285) 83,267
Redemption of units (21,025,773) (5,815,744)
Decrease in redemptions payable (3,204,085) (190,277)
Offering costs charged (817,497) (623,214)
Increase in offering costs payable 12,904 22,426
------------- -------------
Net cash from financing activities 9,152,161 37,893,734
------------- -------------
Net increase (decrease) in cash and cash equivalents 13,376,845 (96,877,262)
CASH AND CASH EQUIVALENTS
Beginning of period 88,164,302 133,709,716
------------- -------------
End of period $ 101,541,147 $ 36,832,454
============= =============
End of period cash and cash equivalents consists of:
Cash in broker trading accounts $ 49,540,030 $ 9,314,095
Cash and cash equivalents 52,001,117 27,518,359
------------- -------------
Total end of period cash and cash equivalents $ 101,541,147 $ 36,832,454
============= =============
</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, 2000 and 1999
(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, 2000
Balances at
December 31, 1999 2,904.862 $5,040,488 276,039.045 $478,979,616 278,943.907 $484,020,104
Net income for the three months
ended March 31, 2000 2,747 1,447,164 1,449,911
Additions 296.710 530,000 19,079.949 33,758,897 19,376.659 34,288,897
Redemptions 0.000 0 (11,839.749) (21,025,773) (11,839.749) (21,025,773)
Offering costs (8,775) (808,722) (817,497)
--------- ---------- ----------- ------------ ----------- ------------
Balances at
March 31, 2000 3,201.572 $5,564,460 283,279.245 $492,351,182 286,480.817 $497,915,642
========= ========== =========== ============ =========== ============
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) (9,214,334) (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 $368,893,712 231,206.722 $372,625,362
========= ========== =========== ============ =========== ============
</TABLE>
<TABLE>
<CAPTION>
Net Asset Value Per General and Limited Partner Unit
-----------------------------------------------------------------------------------
March 31, December 31, March 31, December 31,
2000 1999 1999 1998
------------- -------------- ------------- -------------
<S> <C> <C> <C>
$ 1,738.04 $ 1,735.19 $ 1,611.65 $ 1,661.31
============= ============== ============ =============
</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 Fund
Campbell Strategic Allocation Fund, L.P. (the Fund) is a
Delaware limited partnership which operates as a commodity
investment pool. The Fund engages in the speculative trading
of futures contracts and forward contracts.
B. Regulation
As a registrant with the Securities and Exchange Commission,
the Fund is subject to the regulatory requirements under the
Securities Acts of 1933 and 1934. As a commodity investment
pool, the Fund 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 Fund
executes transactions. Additionally, the Fund is subject to
the requirements of futures commission merchants (brokers) and
interbank market makers through which the Fund trades.
C. Method of Reporting
The Fund's financial statements are presented in accordance
with generally accepted accounting principles, which require
the use of certain estimates made by the Fund'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 at
cost plus accrued interest, which approximates 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 Fund prepares calendar year U.S. and state information tax
returns and reports to the partners their allocable shares of
the Fund's income, expenses and trading gains or losses.
F. Offering Costs
Campbell & Company, Inc. (Campbell & Company) has incurred
total costs in connection with the initial and continuous
offering of units of the Fund (offering costs) of $12,502,592
through March 31, 2000, $7,571,642 of which has already been
reimbursed to Campbell & Company by the Fund. At March 31,
2000, the Fund reflects a liability in the statement of
financial condition for offering costs payable to Campbell &
Company of $272,499. The Fund's liability for offering costs
is limited to the maximum of total offering costs incurred by
Campbell & Company 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
Fund is only liable for payment of offering costs on a monthly
basis as calculated based on the limitations stated above. If
the Fund terminates prior to completion of payment of the
calculated amounts to Campbell & Company, Campbell & Company
will not be entitled to any additional payments, and the Fund
will have no further obligation to Campbell & Company.
The amount of monthly reimbursement due to Campbell & Company
is charged directly to partners' capital.
G. Foreign Currency Transactions
The Fund'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 2. GENERAL PARTNER AND COMMODITY TRADING ADVISOR
The general partner of the Fund is Campbell & Company, which conducts
and manages the business of the Fund. Campbell & Company is also the
commodity trading advisor of the Fund. The Amended Agreement of Limited
Partnership provides that Campbell & Company may make withdrawals of
its units, provided that such withdrawals do not reduce Campbell &
Company's aggregate percentage interest in the Fund to less than 1% of
the net aggregate contributions.
Campbell & Company 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 Fund. 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 Fund pays a monthly brokerage fee equal to 1/12 of 7.7% (7.7%
annualized) of month-end net assets. Campbell & Company 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 Campbell & Company 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, 2000 and 1999, the
amounts paid directly to the broker amounted to $876,498 and $606,012,
respectively.
Campbell & Company is also paid a quarterly performance fee of 20% of
the Fund's aggregate cumulative appreciation in the Net Asset Value per
unit, exclusive of appreciation attributable to interest income.
Note 3. DEPOSITS WITH BROKER
The Fund 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 Fund 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 Fund are limited by the Amended Agreement of
Limited Partnership to 0.5% per year of the average month-end Net Asset
Value of the Fund. Actual operating expenses were less than 0.5%
(annualized) of average month-end Net Asset Value for the three months
ended March 31, 2000 and 1999.
Note 5. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
Investments in the Fund are made by subscription agreement, subject to
acceptance by Campbell & Company. As of March 31, 2000 and December 31,
1999, amounts received by the Fund from prospective limited partners
who have not yet been admitted to the Fund by Campbell & Company total
$5,010 and $107,295, respectively.
The Fund is not required to make distributions, but may do so at the
sole discretion of Campbell & Company. 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 Fund 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 Fund 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. Additional deposits may be necessary for any loss on
contract value. 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, 2000 and December 31, 1999 was $400,675,539 and
$386,065,726, respectively, which equals 80% and 80% of Net Asset
Value, respectively.
The Fund 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 Fund has a substantial portion of its assets on deposit with
financial institutions. In the event of a financial institution's
insolvency, recovery of Fund assets on deposit may be limited to
account insurance or other protection afforded such deposits.
For derivatives, risks arise from changes in the market value of the
contracts. Theoretically, the Fund 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, 2000 and 1999 and
the related fair values as of March 31, 2000 and December 31, 1999 are
as follows:
<TABLE>
<CAPTION>
Average Fair Value
For the Three Months
Ended March 31, Fair Value as of
2000 1999 March 31, 2000 December 31, 1999
---- ---- -------------- -----------------
<S> <C> <C> <C> <C>
Futures contracts $12,544,000 $8,851,000 $4,423,000 $16,512,000
Forward contracts 12,304,000 (5,355,000) 712,000 6,098,000
</TABLE>
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, 2000 December 31, 1999 March 31, 2000 December 31, 1999
-------------- ----------------- -------------- -----------------
<S> <C> <C> <C> <C>
Gross unrealized gains $11,512,695 $16,698,403 $11,975,886 $ 7,528,691
Gross unrealized (losses) (7,089,230) (186,247) (11,263,801) (1,430,374)
------------ ------------ ----------- -----------
Net unrealized gain $ 4,423,465 $16,512,156 $ 712,085 $ 6,098,317
=========== =========== ============ ============
</TABLE>
11
<PAGE> 12
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
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 (loss) from forward trading. Such trading results
reflect the net gain (loss) arising from the Fund's speculative trading
of futures and forward contracts.
Open contracts generally mature within three months; as of March 31,
2000, the latest maturity date for open futures contracts is December
2000, and the latest maturity date for open forward contracts is June
2000. However, the Fund intends to close all contracts prior to
maturity. At March 31, 2000 and December 31, 1999, the notional amount
of open contracts is as follows:
<TABLE>
<CAPTION>
March 31, 2000 December 31, 1999
-------------- -----------------
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 $ 294,100,000 $ 711,800,000 $ 219,100,000 $ 429,900,000
- Short-term interest rates 461,600,000 1,283,700,000 0 1,089,900,000
- Stock indices 74,100,000 95,000,000 140,100,000 0
- Agricultural 200,000 4,100,000 0 5,500,000
- Metals 106,800,000 4,600,000 48,800,000 3,900,000
- Energy 68,900,000 0 84,300,000 17,200,000
Forward contracts (non-exchange traded):
- Currencies 930,300,000 565,500,000 366,000,000 588,600,000
-------------- -------------- ------------ --------------
$1,936,000,000 $2,664,700,000 $858,300,000 $2,135,000,000
============== ============== ============ ==============
</TABLE>
The above amounts do not represent the Fund's risk of loss due to
market and credit risk, but rather represent the Fund's extent of
involvement in derivatives at the date of the statement of financial
condition.
Campbell & Company has established procedures to actively monitor
market risk and minimize credit risk, although there can be no
assurance that they will, in fact, succeed in doing so. Campbell &
Company'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%.
Campbell & Company seeks to minimize credit risk primarily by
depositing and maintaining the Fund's assets at financial institutions
and brokers which Campbell & Company 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.
12
<PAGE> 13
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 7. INTERIM FINANCIAL STATEMENTS
The statement of financial condition as of March 31, 2000, and the
statements of operations, cash flows and the statements of changes in
partners' capital (Net Asset Value) for the three months ended March
31, 2000 and 1999 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, 2000, and the results of operations and cash
flows for the three months ended March 31, 2000 and 1999.
13
<PAGE> 14
Item 2. Management's Discussion and Analysis of Financial Condition and
Results of Operations
Introduction
The offering of 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 $501,488,459 have
been accepted during the continuing offering period as of April 1, 2000.
Redemptions over the same time period total $115,214,601. 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, 2000 and 1999 were .16% and
(2.99)%, respectively. Of the .16% increase, approximately 1.01% was due to
trading gains (before commissions) and approximately 1.31% was due to interest
income offset by approximately 2.16% due to brokerage fees, performance fees and
operating costs borne by the Fund. An analysis of the 1.01% trading gains by
sector is as follows:
<TABLE>
<CAPTION>
SECTOR % GAIN (LOSS)
- ------ -------------
<S> <C>
Interest Rates (2.54)%
Stock Indices .62
Currencies .89
Metals (.65)
Agriculturals (.20)
Energy 2.89
----
1.01%
====
</TABLE>
The first month of the New Year provided a highly volatile environment, which
extended us the opportunity to perform well in most markets and to deliver a
good positive return to our investors. Long bond positions held for security
over the Y2K year-end were sold off early in the month benefiting our short
positions. Rising interest rates with still moderate inflation numbers helped
push the dollar higher against the Swiss franc, the Yen and the Euro, which
benefited our currency positions. In February, the volatility seen in January
continued giving us profits in some markets but more than eliminated January's
gains in others. Currencies and energy continued to be profitable, but these
gains were more than offset by losses in our short positions in the long-term
interest rate sector. March was a difficult and unsatisfying month. Sharp
reversals in the energy sector and the Yen were the biggest factors in the loss
for 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.
15
<PAGE> 16
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, 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 Campbell & Company has determined to
be creditworthy. All positions of the Fund are valued each day on a
mark-to-market basis. While Campbell & Company 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.
QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
INTRODUCTION
Past Results Not Necessarily Indicative of Future Performance
The Fund is a speculative commodity pool. The market sensitive
instruments held by it are acquired for speculative trading purposes, and all or
substantially all of the Fund's
16
<PAGE> 17
assets are subject to the risk of trading loss. Unlike an operating company, the
risk of market sensitive instruments is integral, not incidental, to the Fund's
main line of business.
Market movements result in frequent changes in the fair market value
of the Fund's open positions and, consequently, in its earnings and cash flow.
The Fund's market risk is influenced by a wide variety of factors, including the
level and volatility of exchange rates, interest rates, equity price levels, the
market value of financial instruments and contracts, the diversification effects
among the Fund's open positions and the liquidity of the markets in which it
trades.
The Fund rapidly acquires and liquidates both long and short
positions in a wide range of different markets. Consequently, it is not possible
to predict how a particular future market scenario will affect performance, and
the Fund's past performance is not necessarily indicative of its future results.
Value at Risk is a measure of the maximum amount which the Fund
could reasonably be expected to lose in a given market sector. However, the
inherent uncertainty of the Fund's speculative trading and the recurrence in the
markets traded by the Fund of market movements far exceeding expectations could
result in actual trading or non-trading losses far beyond the indicated Value at
Risk or the Fund's experience to date (i.e., "risk of ruin"). In light of the
foregoing as well as the risks and uncertainties intrinsic to all future
projections, the inclusion of the quantification included in this section should
not be considered to constitute any assurance or representation that the Fund's
losses in any market sector will be limited to Value at Risk or by the Fund's
attempts to manage its market risk.
Standard of Materiality
Materiality as used in this section, "Qualitative and Quantitative
Disclosures About Market Risk," is based on an assessment of reasonably possible
market movements and the potential losses caused by such movements, taking into
account the leverage, and multiplier features of the Fund's market sensitive
instruments.
QUANTIFYING THE FUND'S TRADING VALUE AT RISK
Quantitative Forward-Looking Statements
The following quantitative disclosures regarding the Fund's market
risk exposures contain "forward-looking statements" within the meaning of the
safe harbor from civil liability provided for such statements by the Private
Securities Litigation Reform Act of 1995 (set forth in Section 27A of the
Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934).
All quantitative disclosures in this section are deemed to
17
<PAGE> 18
be forward-looking statements for purposes of the safe harbor, except for
statements of historical fact (such as the dollar amount of maintenance margin
required for market risk sensitive instruments held at the end of the reporting
period).
The Fund's risk exposure in the various market sectors traded by the
Advisor is quantified below in terms of Value at Risk. Due to the Fund's
mark-to-market accounting, any loss in the fair value of the Fund's open
positions is directly reflected in the Fund's earnings (realized or unrealized).
Exchange maintenance margin requirements have been used by the Fund
as the measure of its Value at Risk. Maintenance margin requirements are set by
exchanges to equal or exceed the maximum losses reasonably expected to be
incurred in the fair value of any given contract in 95%-99% of any one-day
intervals. The maintenance margin levels are established by dealers and
exchanges using historical price studies as well as an assessment of current
market volatility and economic fundamentals to provide a probabilistic estimate
of the maximum expected near-term one-day price fluctuation. Maintenance margin
has been used rather than the more generally available initial margin, because
initial margin includes a credit risk component which is not relevant to Value
at Risk.
In the case of market sensitive instruments which are not
exchange-traded (exclusively currencies in the case of the Fund), the margin
requirements for the equivalent futures positions have been used as Value at
Risk. In those cases in which a futures-equivalent margin is not available,
dealers' margins have been used.
In quantifying the Fund's Value at Risk, 100% positive correlation
in the different positions held in each market risk category has been assumed.
Consequently, the margin requirements applicable to the open contracts have
simply been aggregated to determine each trading category's aggregate Value at
Risk. The diversification effects resulting from the fact that the Fund's
positions are rarely, if ever, 100% positively correlated have not been
reflected.
THE FUND'S TRADING VALUE AT RISK IN DIFFERENT MARKET SECTORS
The following tables indicate the trading Value at Risk associated
with the Fund's open positions by market category as of March 31, 2000 and
December 31, 1999 and the trading gains/losses by market category for the
quarter ended March 31, 2000 and the year ended December 31, 1999. All open
position trading risk exposures of the Fund have been included in calculating
the figures set forth below. As of March 31, 2000 and December
18
<PAGE> 19
31, 1999, the Fund's total capitalization was approximately $498 million and
$484 million, respectively.
<TABLE>
<CAPTION>
MARCH 31, 2000
--------------
% OF TOTAL TRADING
MARKET SECTOR VALUE AT RISK CAPITALIZATION GAIN/(LOSS)*
- ------------- ------------- -------------- ------------
<S> <C> <C> <C>
Currencies $ 22.86 million 4.59% .89%
Stock Indices $ 13.29 million 2.67% .62%
Interest Rates $ 11.85 million 2.38% (2.54%)
Metals $ 4.39 million .88% (.65%)
Energy $ 3.35 million .67% 2.89%
Agriculturals $ .68 million .14% (.20%)
---------------- ------ ------
Total $ 56.42 million 11.33% 1.01%
================ ====== =====
</TABLE>
* - Of the .16% return for the quarter ended March 31, 2000, approximately 1.01%
was due to trading gains (before commissions) and approximately 1.31% was due to
interest income, offset by approximately 2.16% in brokerage fees, performance
fees and operating costs borne by the Fund.
<TABLE>
<CAPTION>
DECEMBER 31, 1999
-----------------
% OF TOTAL TRADING
MARKET SECTOR VALUE AT RISK CAPITALIZATION GAIN/(LOSS)*
- ------------- ------------- -------------- ------------
<S> <C> <C> <C>
Currencies $ 14.25 million 2.94% 2.48%
Interest Rates $ 12.32 million 2.55% .60%
Stock Indices $ 7.81 million 1.61% (3.06%)
Energy $ 4.80 million .99% 8.88%
Metals $ 2.27 million .47% .51%
Agriculturals $ .19 million .04% (.22%)
---------------- ------ -----
Total $ 41.64 million 8.60% 9.19%
================ ====== =====
</TABLE>
19
<PAGE> 20
* - Of the 4.45% return for the year ended December 31, 1999, approximately
9.19% was due to trading gains (before commissions) and approximately 4.68% was
due to interest income, offset by approximately 9.42% in brokerage fees,
performance fees and operating costs borne by the Fund.
MATERIAL LIMITATIONS ON VALUE AT RISK AS AN ASSESSMENT OF MARKET RISK
The face value of the market sector instruments held by the Fund is
typically many times the applicable maintenance margin requirement (maintenance
margin requirements generally ranging between approximately 1% and 10% of
contract face value) as well as many times the capitalization of the Fund. The
magnitude of the Fund's open positions creates a "risk of ruin" not typically
found in most other investment vehicles. Because of the size of its positions,
certain market conditions -- unusual, but historically recurring from time to
time -- could cause the Fund to incur severe losses over a short period of time.
The foregoing Value at Risk table -- as well as the past performance of the Fund
- -- give no indication of this "risk of ruin."
NON-TRADING RISK
The Fund has non-trading market risk on its foreign cash balances
not needed for margin. However, these balances (as well as the market risk they
represent) are immaterial. The Fund also has non-trading market risk as a result
of investing a substantial portion of the its available assets in U.S. Treasury
Bills. The market risk represented by these investments is immaterial.
QUALITATIVE DISCLOSURES REGARDING PRIMARY TRADING RISK EXPOSURES
The following qualitative disclosures regarding the Fund's market
risk exposures -- except for (i) those disclosures that are statements of
historical fact and (ii) the descriptions of how the Fund manages its primary
market risk exposures -- constitute forward-looking statements within the
meaning of Section 27A of the Securities Act and Section 21E of the Securities
Exchange Act. The Fund's primary market risk exposures as well as the strategies
used and to be used by the General Partner and the Advisor for managing such
exposures are subject to numerous uncertainties, contingencies and risks, any
one of which could cause the actual results of the Fund's risk controls to
differ materially from the objectives of such strategies. Government
interventions, defaults and expropriations, illiquid markets, the emergence of
dominant fundamental factors, political upheavals, changes in historical price
relationships, an influx of new market participants, increased regulation and
many other factors could result in material losses as well as in material
changes to the risk exposures and the risk management strategies
20
<PAGE> 21
of the Fund. There can be no assurance that the Fund's current market exposure
and/or risk management strategies will not change materially or that any such
strategies will be effective in either the short- or long-term. Investors must
be prepared to lose all or substantially all of their investment in the Fund.
The following were the primary trading risk exposures of the Fund as
of March 31, 2000, by market sector.
Currencies
Exchange rate risk is the principal market exposure of the Fund. The
Fund's currency exposure is to exchange rate fluctuations, primarily
fluctuations which disrupt the historical pricing relationships between
different currencies and currency pairs. These fluctuations are influenced by
interest rate changes as well as political and general economic conditions. The
Fund trades in a large number of currencies, including cross-rates -- i.e.,
positions between two currencies other than the U.S. dollar. The General Partner
does not anticipate that the risk profile of the Fund's currency sector will
change significantly in the future. The currency trading Value at Risk figure
includes foreign margin amounts converted into U.S. dollars with an incremental
adjustment to reflect the exchange rate risk inherent to the dollar-based Fund
in expressing Value at Risk in a functional currency other than dollars.
Interest Rates
Interest rate risk is a significant market exposure of the Fund.
Interest rate movements directly affect the price of the sovereign bond
positions held by the Fund and indirectly the value of its stock index and
currency positions. Interest rate movements in one country as well as relative
interest rate movements between countries materially impact the Fund's
profitability. The Fund's primary interest rate exposure is to interest rate
fluctuations in the United States and the other G-7 countries. However, the Fund
also takes positions in the government debt of other nations -- e.g.,
Switzerland and Australia. The General Partner anticipates that G-7 interest
rates will remain the primary market exposure of the Fund for the foreseeable
future. The changes in interest rates which have the most effect on the Fund are
changes in long-term, as opposed to short-term rates. Most of the speculative
positions held by the Fund are in medium- to long-term instruments.
Consequently, even a material change in short-term rates would have little
effect on the Fund were the medium- to long-term rates to remain steady.
21
<PAGE> 22
Stock Indices
The Fund's primary equity exposure is to equity price risk in the
G-7 countries and several other countries (Hong Kong, Spain and Sweden). The
stock index futures traded by the Fund are by law limited to futures on broadly
based indices. As of March 31, 2000, the Fund's primary exposures were in the
S&P 500, Nikkei (Japan), Hang Seng (Hong Kong) and IBEX (Spain) stock indices.
The Fund is primarily exposed to the risk of adverse price trends or static
markets in the major U.S., European and Japanese indices. (Static markets would
not cause major market changes but would make it difficult for the Fund to avoid
being "whipsawed" into numerous small losses.)
Energy
The Fund's primary energy market exposure is to gas and oil price
movements, often resulting from political developments in the Middle East. As of
March 31, 2000, natural gas is the dominant energy market exposure of the Fund.
Natural gas and oil prices can be volatile and substantial profits and losses
have been and are expected to continue to be experienced in this market.
Metals
The Fund's metals market exposure is to fluctuations in the price of
aluminum, copper, gold, nickel and zinc. The Advisor's gold trading has been
increasingly limited due to the long-lasting and mainly non-volatile decline in
the price of gold over the last 10-15 years.
Agriculturals
The Fund's primary agricultural exposure is to softs and grains price
movements, which are often directly affected by severe or unexpected weather
conditions. Coffee, and wheat accounted for the substantial bulk of the Fund's
agricultural exposure as of March 31, 2000.
QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE
The following were the only non-trading risk exposures of the Fund
as of March 31, 2000.
22
<PAGE> 23
Foreign Currency Balances
The Fund's primary foreign currency balances are in Japanese yen,
British pounds and Euros. The Fund controls the non-trading risk of these
balances by regularly converting these balances back into dollars (no less
frequently than twice a month and more frequently if a particular foreign
currency balance becomes unusually high).
Treasury Bill Positions
The Fund's only market exposure in instruments held other than for
trading is in its Treasury Bill portfolio. The Fund holds Treasury Bills
(interest bearing and credit risk-free) with durations no longer than six
months. Violent fluctuations in prevailing interest rates could cause immaterial
mark-to-market losses on the Fund's Treasury Bills, although substantially all
of these short-term investments are held to maturity.
QUALITATIVE DISCLOSURES REGARDING MEANS OF MANAGING RISK EXPOSURE
The means by which the Fund and the Advisor, severally, attempt to
manage the risk of the Fund's open positions is essentially the same in all
market categories traded. The Advisor applies risk management policies to its
trading which generally limit the total exposure that may be taken per "risk
unit" of assets under management. In addition, the Advisor follows
diversification guidelines (often formulated in terms of the balanced volatility
between markets and correlated groups), as well as imposing "stop-loss" points
at which open positions must be closed out.
The general partner controls the risk of the Fund's non-trading
instruments (Treasury Bills held for cash management purposes) by limiting the
duration of such instruments to no more than six months.
23
<PAGE> 24
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.
A. Exhibits
27 Financial Data Schedule
B. Reports on Form 8-K
None
24
<PAGE> 25
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 12, 2000 By: /s/Theresa D. Becks
---------------------
Theresa D. Becks
Chief Financial Officer/Treasurer/Director
25
<TABLE> <S> <C>
<ARTICLE> 5
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> DEC-31-2000
<PERIOD-START> JAN-01-2000
<PERIOD-END> MAR-31-2000
<CASH> 101,541
<SECURITIES> 405,811
<RECEIVABLES> 000
<ALLOWANCES> 000
<INVENTORY> 000
<CURRENT-ASSETS> 507,352
<PP&E> 000
<DEPRECIATION> 000
<TOTAL-ASSETS> 507,352
<CURRENT-LIABILITIES> 9,436
<BONDS> 000
000
000
<COMMON> 000
<OTHER-SE> 497,916
<TOTAL-LIABILITY-AND-EQUITY> 507,352
<SALES> 000
<TOTAL-REVENUES> 11,355
<CGS> 000
<TOTAL-COSTS> 9,905
<OTHER-EXPENSES> 000
<LOSS-PROVISION> 000
<INTEREST-EXPENSE> 000
<INCOME-PRETAX> 1,450
<INCOME-TAX> 000
<INCOME-CONTINUING> 1,450
<DISCONTINUED> 000
<EXTRAORDINARY> 000
<CHANGES> 000
<NET-INCOME> 1,450
<EPS-BASIC> 5.17
<EPS-DILUTED> 5.17
</TABLE>
