<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 September 30, 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)
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: 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 September 30, 2000 (Unaudited) and
December 31, 1999 (Audited)
Statements of Operations for the Three Months and Nine Months Ended
September 30, 2000 and 1999 (Unaudited)
Statements of Cash Flows for the Nine Months Ended
September 30, 2000 and 1999 (Unaudited)
Statements of Changes in Partners' Capital (Net Asset Value) for the Nine
Months Ended September 30, 2000 and 1999 (Unaudited)
<PAGE> 3
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
September 30, 2000 (Unaudited) and December 31, 1999 (Audited)
<TABLE>
<CAPTION>
September 30, December 31,
2000 1999
---- ----
<S> <C> <C>
ASSETS
Equity in broker trading accounts
Cash $ 50,579,162 $ 54,186,103
United States government securities 304,840,961 256,915,665
Unrealized gain (loss) on open futures contracts (16,795,795) 16,512,156
------------- -------------
Deposits with broker 338,624,328 327,613,924
Cash and cash equivalents 82,897,723 33,978,199
United States government securities 135,996,086 129,150,061
Unrealized gain (loss) on open forward contracts (8,675,221) 6,098,317
------------- -------------
Total assets $ 548,842,916 $ 496,840,501
============= =============
LIABILITIES
Accounts payable $ 265,872 $ 260,063
Brokerage fee 3,402,023 3,118,646
Offering costs payable 284,986 259,595
Redemptions payable 4,872,390 9,074,798
Subscription deposits 0 107,295
------------- -------------
Total liabilities 8,825,271 12,820,397
------------- -------------
PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner - 3,201.572 and 2,904.862 units
outstanding at September 30, 2000 and
December 31, 1999 5,512,947 5,040,488
Limited Partners - 310,406.618 and 276,039.045
units outstanding at September 30, 2000 and
December 31, 1999 534,504,698 478,979,616
------------- -------------
Total partners' capital
(Net Asset Value) 540,017,645 484,020,104
------------- -------------
$ 548,842,916 $ 496,840,501
============= =============
</TABLE>
See accompanying notes.
-3-
<PAGE> 4
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
For the Three Months Ended September 30, 2000 and 1999 and
For the Nine Months Ended September 30, 2000 and 1999
(Unaudited)
<TABLE>
<CAPTION>
Three Months Nine Months
Ended Ended
September 30, September 30,
2000 1999 2000 1999
---- ---- ---- ----
<S> <C> <C> <C> <C>
INCOME
Futures trading gains (losses)
Realized $ 23,738,500 $ 15,133,172 $ 37,898,040 $ 15,528,154
Change in unrealized (30,545,102) (8,538,272) (33,307,951) 10,359,061
------------ ------------ ------------ ------------
Gain (loss) from futures trading (6,806,602) 6,594,900 4,590,089 25,887,215
------------ ------------ ------------ ------------
Forward trading gains (losses)
Realized 5,668,380 (3,374,275) 16,685,304 908,774
Change in unrealized (11,988,621) 10,038,953 (14,773,538) 9,733,558
------------ ------------ ------------ ------------
Gain (loss) from forward trading (6,320,241) 6,664,678 1,911,766 10,642,332
------------ ------------ ------------ ------------
Interest income 7,949,985 5,133,358 21,605,596 13,141,100
------------ ------------ ------------ ------------
Total income (loss) (5,176,858) 18,392,936 28,107,451 49,670,647
------------ ------------ ------------ ------------
EXPENSES
Brokerage fee 10,176,831 8,455,263 29,551,365 22,821,715
Performance fee 0 756,138 27,869 1,780,670
Operating expenses 276,426 203,172 799,946 524,752
------------ ------------ ------------ ------------
Total expenses 10,453,257 9,414,573 30,379,180 25,127,137
------------ ------------ ------------ ------------
NET INCOME (LOSS) $(15,630,115) $ 8,978,363 $ (2,271,729) $ 24,543,510
============ ============ ============ ============
NET INCOME (LOSS) PER GENERAL
AND LIMITED PARTNER UNIT
(based on weighted average number of
units outstanding during the period) $ (51.83) $ 35.52 $ (7.83) $ 104.60
============ ============ ============ ============
INCREASE (DECREASE) IN NET
ASSET VALUE PER GENERAL
AND LIMITED PARTNER UNIT $ (54.07) $ 31.96 $ (13.24) $ 84.29
============ ============ ============ ============
</TABLE>
See accompanying notes.
-4-
<PAGE> 5
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
For the Nine Months Ended September 30, 2000 and 1999
(Unaudited)
<TABLE>
<CAPTION>
Nine Months
Ended
September 30,
2000 1999
---- ----
<S> <C> <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
Net income (loss) $ (2,271,729) $ 24,543,510
Adjustments to reconcile net income (loss) to net cash
(for) operating activities
Net change in unrealized 48,081,489 (20,092,619)
Increase (decrease) in accounts payable and
accrued expenses 289,186 (488,553)
Net (purchases) of investments in United States
government securities (54,771,321) (170,473,665)
------------- -------------
Net cash (for) operating activities (8,672,375) (166,511,327)
------------- -------------
CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
Addition of units 112,657,998 120,616,846
Increase (decrease) in subscription deposits (107,295) 395,012
Redemption of units (51,878,391) (23,108,841)
Increase (decrease) in redemptions payable (4,202,408) 749,645
Offering costs charged (2,510,337) (2,068,158)
Increase in offering costs payable 25,391 59,062
------------- -------------
Net cash from financing activities 53,984,958 96,643,566
------------- -------------
Net increase (decrease) in cash and cash equivalents 45,312,583 (69,867,761)
CASH AND CASH EQUIVALENTS
Beginning of period 88,164,302 133,709,716
------------- -------------
End of period $ 133,476,885 $ 63,841,955
============= =============
End of period cash and cash equivalents consists of:
Cash in broker trading accounts $ 50,579,162 $ 30,881,723
Cash and cash equivalents 82,897,723 32,960,232
------------- -------------
Total end of period cash and cash equivalents $ 133,476,885 $ 63,841,955
============= =============
</TABLE>
See accompanying notes.
-5-
<PAGE> 6
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
For the Nine Months Ended September 30, 2000 and 1999
(Unaudited)
<TABLE>
<CAPTION>
Partners' Capital Partners' Capital
---------------------------------------------------------- ----------------------------
General Limited Total
-------------------------- --------------------------- ----------------------------
Units Amount Units Amount Units Amount
----- ------ ----- ------ ----- ------
<S> <C> <C> <C> <C> <C> <C>
NINE MONTHS ENDED SEPTEMBER 30, 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 (loss) for the nine months
ended September 30, 2000 (30,382) (2,241,347) (2,271,729)
Additions 296.710 530,000 63,896.789 112,127,998 64,193.499 112,657,998
Redemptions 0.000 0 (29,529.216) (51,878,391) (29,529.216) (51,878,391)
Offering costs (27,159) (2,483,178) (2,510,337)
--------- ------------- ----------- ------------- ----------- -------------
Balances at
September 30, 2000 3,201.572 $ 5,512,947 310,406.618 $ 534,504,698 313,608.190 $ 540,017,645
========= ============= =========== ============= =========== =============
NINE MONTHS ENDED SEPTEMBER 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 income for the nine months
ended September 30, 1999 249,008 24,294,502 24,543,510
Additions 653.800 1,090,000 71,840.603 119,526,846 72,494.403 120,616,846
Redemptions 0.000 0 (13,756.922) (23,108,841) (13,756.922) (23,108,841)
Offering costs (21,009) (2,047,149) (2,068,158)
--------- ------------- ----------- ------------- ----------- -------------
Balances at
September 30, 1999 2,750.443 $ 4,801,173 263,026.040 $ 459,138,832 265,776.483 $ 463,940,005
========= ============= =========== ============= =========== =============
</TABLE>
<TABLE>
<CAPTION>
Net Asset Value Per General and Limited Partner Unit
--------------------------------------------------------------------------
September 30, December 31, September 30, December 31,
2000 1999 1999 1998
---- ---- ---- ----
<S> <C> <C> <C>
$1,721.95 $1,735.19 $1,745.60 $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.
D. Cash and Cash Equivalents
Cash and cash equivalents includes cash and short-term time
deposits held at financial institutions.
-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)
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 $14,126,071 through
September 30, 2000, $9,251,995 of which has already been
reimbursed to Campbell & Company by the Fund. At September 30,
2000, the Fund reflects a liability in the statement of
financial condition for offering costs payable to Campbell &
Company of $284,986. 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.
Commencing August 1, 2000, the Fund pays a monthly brokerage fee equal
to 1/12 of 7.65% (7.65% annualized) of month-end net assets. Campbell &
Company receives 7% of this 7.65% 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 (0.65%)
is paid directly to the broker. Prior to August 1, 2000, the monthly
brokerage fee was equal to 1/12 of 7.7% (7.7% annualized) of month-end
net assets, with the amount paid directly to the broker equal to 1/12 of
.7% (.7% annualized) of month-end net assets. During the nine months
ended September 30, 2000 and 1999, the amounts paid directly to the
broker amounted to $2,645,711 and $2,074,701, respectively. During the
three months ended September 30, 2000 and 1999, the amounts paid
directly to the broker amounted to $884,390 and $766,660, 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.
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
and nine months ended September 30, 2000 and 1999.
-9-
<PAGE> 10
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 5. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
Investments in the Fund are made by subscription agreement, subject to
acceptance by Campbell & Company. As of September 30, 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
$0 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.
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 September 30, 2000 and December 31, 1999 was $440,837,047 and
$386,065,726, respectively, which equals 82% and 80% of Net Asset Value,
respectively.
-10-
<PAGE> 11
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
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 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)
September 30, 2000 December 31, 1999 September 30, 2000 December 31, 1999
------------------ ----------------- ------------------ -----------------
<S> <C> <C> <C> <C>
Gross unrealized gains $ 4,801,702 $16,698,403 $ 15,713,187 $ 7,528,691
Gross unrealized (losses) (21,597,497) (186,247) (24,388,408) (1,430,374)
------------- ----------- ------------- ------------
Net unrealized gain (loss) $(16,795,795) $16,512,156 $ (8,675,221) $ 6,098,317
============= =========== ============= ============
</TABLE>
Open contracts generally mature within three months; as of September 30,
2000, the latest maturity date for open futures contracts is June 2001,
and the latest maturity date for open forward contracts is December
2000. However, the Fund intends to close all contracts prior to
maturity.
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.
-11-
<PAGE> 12
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 7. INTERIM FINANCIAL STATEMENTS
The statement of financial condition as of September 30, 2000, the
statements of operations for the three months and nine months ended
September 30, 2000 and 1999, and the statements of cash flows and
changes in partners' capital (net asset value) for the nine months ended
September 30, 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 September 30, 2000, the results of operations
for the three months and nine months ended September 30, 2000 and 1999,
and cash flows for the nine months ended September 30, 2000 and 1999.
-12-
<PAGE> 13
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 $579,857,560 have
been accepted during the continuing offering period as of October 1, 2000.
Redemptions over the same time period total $146,067,219. The Fund commenced
operations on April 18, 1994.
Effective September 1, 2000, the Fund began trading exclusively in accordance
with Campbell & Company's Financial Metal & Energy Large Portfolio. The
elimination of the Global Diversified Large Portfolio only resulted in a 2%
allocation away from agricultural products.
Capital Resources
The Fund will raise additional capital only through the sale of Units offered
pursuant to the continuing offering, and does not intend to raise any capital
through borrowing. Due to the nature of the Fund's business, it will make no
capital expenditures and will have no capital assets which are not operating
capital or assets.
Liquidity
Most United States commodity exchanges limit fluctuations in commodity futures
contracts prices during a single day by regulations referred to as "daily price
fluctuation limits" or "daily limits." During a single trading day, no trades
may be executed at prices beyond the daily limit. Once the price of a futures
contract has reached the daily limit for that day, positions in that contract
can neither be taken nor liquidated. Commodity futures prices have occasionally
moved to the daily limit for several consecutive days with little or no trading.
Similar occurrences could prevent the Fund from promptly liquidating unfavorable
positions and subject the Fund to substantial losses which could exceed the
margin initially committed to such trades. In addition, even if commodity
futures prices have not moved the daily limit, the Fund may not be able to
execute futures trades at favorable prices, if little trading in such contracts
is taking place. Other than these limitations on liquidity, which are inherent
in the Fund's commodity futures trading operations, the Fund's assets are
expected to be highly liquid.
Results of Operations
The returns for the nine months ending September 30, 2000 and 1999 were (.76%)
and 5.07%, respectively. Of the .76% loss, approximately 1.45% was due to
trading gains (before commissions) and approximately 4.24% was due to interest
income, offset by approximately 6.45% in brokerage
-13-
<PAGE> 14
fees, performance fees, operating costs and offering costs borne by the Fund. An
analysis of the 1.45% trading gains by sector is as follows:
<TABLE>
<CAPTION>
SECTOR % GAIN (LOSS)
------ -------------
<S> <C>
Interest Rates (7.33)%
Stock Indices .84
Currencies .38
Metals (1.80)
Agriculturals (.28)
Energy 9.64
----
1.45%
----
</TABLE>
The first month of the New Year provided a highly volatile environment, which
offered the Fund the opportunity to perform well in most markets. Long bond
positions held for security over the Y2K year-end were sold off early in the
month benefiting 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 currency positions. In February, the volatility
seen in January continued, providing profits in some markets, but eliminating
January's gains in others. Currencies and energy continued to be profitable, but
these gains were more than offset by losses in short positions in the long-term
interest rate sector. March was a difficult month as sharp reversals in the
energy sector and the Yen were the biggest factors in the loss for the month.
Although the Fund managed gains in U.S. equity indices during April, the
unprecedented volatility in global equity indices resulted in a small loss in
this sector overall. The crude market rallied on news that OPEC would not
drastically increase production, causing losses on short crude positions which
more than eliminated gains made on the upward trend of natural gas. Losses in
the interest rates sectors provided the majority of the losses for the month, as
the Fund's long positions quickly became unprofitable as stability returned to
the equity markets. In May, the energy sector provided the majority of the
profit as the markets realized that OPEC production increases were still not
meeting demand. The continued economic strength caused the Federal Reserve to
increase short-term interest rates by 50 basis points mid-month as anticipated.
The Fund experienced a classic whipsaw as its interest rate positions flipped
from long to short, only to see the market rally hard again as softer economic
numbers triggered aggressive short covering. Higher interest rates pushed the
Fund's long U.S. Dollar positions up against the British Pound, New Zealand
Dollar and South African Rand. The energy sector continued to be the best
performer in June. Although the mid-month OPEC meeting increased the official
supply of crude, most of the increase was already being made available to the
market through quota cheating. This, together with the apparent solidarity of
OPEC, led to a strong rally
-14-
<PAGE> 15
that was profitable for the Fund's long positions. The rallies in the S&P and
NASDAQ indices at month-end contributed to a moderate gain in this sector.
In July, the Fund sustained losses in the energy sector due to increased crude
oil production in Saudi Arabia, but managed small gains in the currencies and
interest rates sectors. The volatility in the stock indices sector also
continued to provide gains in July after a profitable June. Energy prices
resumed a strong upward trend in August after the sell off in July. This sector
provided the substantially all of the gain for the month. Small losses in the
currencies and interest rates sectors offset some of this gain. In September,
the G7 intervened to support the Euro causing both the Euro and British Pound to
trade sharply higher against the dollar. This lead to loses in both the currency
and cross rates sectors. The U.S. interest rate sector suffered due to a
combination of weakness in the corporate sector, a surprisingly strong CPI
number, and a shift in the government's debt repurchase program. This, combined
with a sharp whipsaw in the Japanese Government Bond, caused interest rates to
be the worst performing sector 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.
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
-15-
<PAGE> 16
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 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
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<PAGE> 17
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 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 Campbell &
Company 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 (which
includes currencies and some energy products and metals in the case of the
Fund), the margin
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<PAGE> 18
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 the case of contracts denominated in foreign currencies, the 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.
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 September 30, 2000 and December
31, 1999 and the trading gains/losses by market category for the nine months
ended September 30, 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 September 30, 2000 and December 31, 1999, the Fund's
total capitalization was approximately $540 million and $484 million,
respectively.
SEPTEMBER 30, 2000
<TABLE>
<CAPTION>
% OF TOTAL TRADING
MARKET SECTOR VALUE AT RISK CAPITALIZATION GAIN/(LOSS)*
------------- ------------- -------------- ------------
<S> <C> <C> <C>
Currencies $25.98 million 4.81% .38%
Energy $15.43 million 2.86% 9.64%
Stock Indices $12.54 million 2.32% .84%
Interest Rates $10.41 million 1.93% (7.33%)
Metals $ 4.09 million .76% (1.80%)
Agriculturals $ 0 0% (.28%)
-------------- -- ------
Total $68.45 million 12.68% 1.45%
============== ====== =====
</TABLE>
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<PAGE> 19
* - Of the .76% loss for the nine months ended September 30, 2000, approximately
1.45% was due to trading gains (before commissions) and approximately 4.24% was
due to interest income, offset by approximately 6.45% in brokerage fees,
performance fees and operating costs borne by the Fund.
DECEMBER 31, 1999
<TABLE>
<CAPTION>
% OF TOTAL TRADING
MARKET SECTOR VALUE AT RISK CAPITALIZATION GAIN/(LOSS)*
------------- ------------- -------------- ------------
<S> <C> <C> <C>
Interest Rates $12.32 million 2.55% .60%
Stock Indices $ 7.81 million 1.61% (3.06%)
Currencies $ 7.65 million 1.58% 2.48%
Energy $ 4.80 million .99% 8.88%
Metals $ 2.27 million .47% .51%
Agriculturals $ .19 million .04% (.22%)
---------------- ----- ------
Total $35.04 million 7.24% 9.19%
============== ===== =====
</TABLE>
* - 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 tables -- as well as the past performance of the Fund -- give no
indication of this "risk of ruin."
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<PAGE> 20
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
Campbell & Company 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 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
September 30, 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. Campbell & Company does not anticipate
that the risk profile of the Fund's currency sector will change significantly in
the future.
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
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<PAGE> 21
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 Switzerland. Campbell &
Company 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.
Stock Indices
The Fund's primary equity exposure is to equity price risk in the G-7 countries
and several other countries (Hong Kong and Spain). The stock index futures
traded by the Fund are by law limited to futures on broadly based indices. As of
September 30, 2000, the Fund's primary exposures were in the Nikkei (Japan),
NASDAQ (USA), Hang Seng (Hong Kong), S&P 500 (USA) and DAX (Germany) 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 September
30, 2000, crude oil, heating oil and natural gas are the dominant energy market
exposures of the Fund. 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. Campbell & Company'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.
QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE
The following were the only non-trading risk exposures of the Fund as of
September 30, 2000.
-21-
<PAGE> 22
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 large).
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 Campbell & Company, severally, attempt to manage
the risk of the Fund's open positions is essentially the same in all market
categories traded. Campbell & Company 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, Campbell & Company 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.
Campbell & Company 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.
-22-
<PAGE> 23
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
-23-
<PAGE> 24
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: November 8, 2000 By: /s/Theresa D. Becks
------------------------------------------
Theresa D. Becks
Chief Financial Officer/Treasurer/Director
-24-
