<PAGE> 1
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
[ X ] QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the quarterly period ended June 30, 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 unaudited financial statements of Campbell Strategic Allocation
Fund, L.P. are included in Item 1:
Statements of Financial Condition as of June 30, 2000 and
December 31, 1999
Statements of Operations for the Three Months and
Six Months Ended June 30, 2000 and 1999
Statements of Cash Flows for the Six Months Ended
June 30, 2000 and 1999
Statements of Changes in Partners' Capital for the Six Months Ended
June 30, 2000 and 1999
<PAGE> 3
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
June 30, 2000 (Unaudited) and December 31, 1999 (Audited)
-----------
<TABLE>
<CAPTION>
June 30, December 31,
2000 1999
---- ----
<S> <C> <C>
ASSETS
Equity in broker trading accounts
Cash $ 44,300,144 $ 54,186,103
United States government securities 288,916,174 256,915,665
Unrealized gain on open futures contracts 13,749,307 16,512,156
------------ ------------
Deposits with broker 346,965,625 327,613,924
Cash and cash equivalents 46,951,709 33,978,199
United States government securities 136,035,439 129,150,061
Unrealized gain on open forward contracts 3,313,400 6,098,317
------------ ------------
Total assets $533,266,173 $496,840,501
============ ============
LIABILITIES
Accounts payable $ 210,297 $ 260,063
Brokerage fee 3,331,463 3,118,646
Offering costs payable 279,294 259,595
Redemptions payable 5,357,240 9,074,798
Subscription deposits 50,008 107,295
------------ ------------
Total liabilities 9,228,302 12,820,397
------------ ------------
PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner - 3,201.572 and 2,904.862 units
outstanding at June 30, 2000 and
December 31, 1999 5,686,056 5,040,488
Limited Partners - 291,861.436 and 276,039.045
units outstanding at June 30, 2000 and
December 31, 1999 518,351,815 478,979,616
------------ ------------
Total partners' capital
(Net Asset Value) 524,037,871 484,020,104
------------ ------------
$533,266,173 $496,840,501
============ ============
</TABLE>
See accompanying notes.
-3-
<PAGE> 4
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
For the Three Months Ended June 30, 2000 and 1999 and
For the Six Months Ended June 30, 2000 and 1999
(Unaudited)
-----------
<TABLE>
<CAPTION>
Three Months Six Months
Ended Ended
June 30, June 30,
2000 1999 2000 1999
---- ---- ---- ----
<S> <C> <C> <C> <C>
INCOME
Futures trading gains (losses)
Realized $ 1,624,718 $12,008,887 $14,159,540 $ 394,982
Change in unrealized 9,325,842 12,115,832 (2,762,849) 18,897,333
----------- ----------- ----------- -----------
Gain from futures trading 10,950,560 24,124,719 11,396,691 19,292,315
----------- ----------- ----------- -----------
Forward trading gains (losses)
Realized 1,211,951 9,139,049 11,016,924 4,283,050
Change in unrealized 2,601,314 (3,757,172) (2,784,917) (305,396)
----------- ----------- ----------- -----------
Gain from forward trading 3,813,265 5,381,877 8,232,007 3,977,654
----------- ----------- ----------- -----------
Interest income 7,165,839 4,240,493 13,655,611 8,007,742
----------- ----------- ----------- -----------
Total income 21,929,664 33,747,089 33,284,309 31,277,711
----------- ----------- ----------- -----------
EXPENSES
Brokerage fee 9,733,055 7,700,321 19,374,534 14,366,452
Performance fee 0 1,024,532 27,869 1,024,532
Operating expenses 288,134 147,484 523,520 321,580
----------- ----------- ----------- -----------
Total expenses 10,021,189 8,872,337 19,925,923 15,712,564
----------- ----------- ----------- -----------
NET INCOME $11,908,475 $24,874,752 $13,358,386 $15,565,147
=========== =========== =========== ===========
NET INCOME PER GENERAL
AND LIMITED PARTNER UNIT
(based on weighted average number of
units outstanding during the period) $ 41.30 $ 105.44 $ 46.98 $ 69.00
=========== =========== =========== ===========
INCREASE IN NET ASSET
VALUE PER GENERAL
AND LIMITED PARTNER UNIT $ 37.98 $ 101.99 $ 40.83 $ 52.33
=========== =========== =========== ===========
</TABLE>
See accompanying notes.
-4-
<PAGE> 5
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
For the Six Months Ended June 30, 2000 and 1999
(Unaudited)
-----------
<TABLE>
<CAPTION>
Six Months
Ended
June 30,
2000 1999
---- ----
<S> <C> <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
Net income $ 13,358,386 $ 15,565,147
Adjustments to reconcile net income to net cash (for)
operating activities
Net change in unrealized 5,547,766 (18,591,937)
Increase (decrease) in accounts payable and accrued expenses 163,051 (535,031)
Net (purchases) of investments in United States
government securities (38,885,887) (146,090,868)
------------ -------------
Net cash (for) operating activities (19,816,684) (149,652,689)
------------ -------------
CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
Addition of units 65,645,865 79,843,496
Increase (decrease) in subscription deposits (57,287) 158,913
Redemption of units (37,331,105) (13,916,758)
Increase (decrease) in redemptions payable (3,717,558) 1,085,123
Offering costs charged (1,655,379) (1,335,036)
Increase in offering costs payable 19,699 51,962
------------ -------------
Net cash from financing activities 22,904,235 65,887,700
----------- -------------
Net increase (decrease) in cash and cash equivalents 3,087,551 (83,764,989)
CASH AND CASH EQUIVALENTS
Beginning of period 88,164,302 133,709,716
----------- ------------
End of period $ 91,251,853 $ 49,944,727
=========== ============
End of period cash and cash equivalents consists of:
Cash in broker trading accounts $ 44,300,144 $ 16,166,563
Cash and cash equivalents 46,951,709 33,778,164
------------ -------------
Total end of period cash and cash equivalents $ 91,251,853 $ 49,944,727
============ =============
</TABLE>
See accompanying notes.
-5-
<PAGE> 6
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
For the Six Months Ended June 30, 2000 and 1999
(Unaudited)
-----------
<TABLE>
<CAPTION>
Partners' Capital
--------------------------------------------------------------------------------
General Limited Total
--------------------- ------------------------ -------------------------
Units Amount Units Amount Units Amount
----- ------ ----- ------ ----- ------
<S> <C> <C> <C> <C> <C> <C>
SIX MONTHS ENDED JUNE 30, 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 six months
ended June 30, 2000 133,646 13,224,740 13,358,386
Additions 296.710 530,000 37,032.442 65,115,865 37,329.152 65,645,865
Redemptions 0.000 0 (21,210.051) (37,331,105) (21,210.051) (37,331,105)
Offering costs (18,078) (1,637,301) (1,655,379)
--------- ---------- ----------- ------------ ----------- ------------
Balances at
June 30, 2000 3,201.572 $5,686,056 291,861.436 $518,351,815 295,063.008 $524,037,871
========= ========== =========== ============ =========== ============
SIX MONTHS ENDED JUNE 30, 1999
Balances at
December 31, 1998 2,096.643 $3,483,174 204,942.359 $340,473,474 207,039.002 $343,956,648
Net income for the six months
ended June 30, 1999 156,241 15,408,906 15,565,147
Additions 445.294 730,000 48,430.419 79,113,496 48,875.713 79,843,496
Redemptions 0.000 0 (8,422.078) (13,916,758) (8,422.078) (13,916,758)
Offering costs (13,450) (1,321,586) (1,335,036)
--------- ---------- ----------- ------------ ----------- ------------
Balances at
June 30, 1999 2,541.937 $4,355,965 244,950.700 $419,757,532 247,492.637 $424,113,497
========= ========== =========== ============ =========== ============
</TABLE>
<TABLE>
<CAPTION>
Net Asset Value Per General and Limited Partner Unit
---------------------------------------------------------------------------
June 30, December 31, June 30, December 31,
2000 1999 1999 1998
---- ---- ---- ----
<S> <C> <C> <C> <C>
$1,776.02 $1,735.19 $1,713.64 $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
$13,393,707 through June 30, 2000, $8,402,729 of which has
already been reimbursed to Campbell & Company by the Fund.
At June 30, 2000, the Fund reflects a liability in the
statement of financial condition for offering costs payable
to Campbell & Company of $279,294. 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 six months ended June 30,
2000 and 1999, the amounts paid directly to the broker amounted to
$1,761,321 and $1,306,041, respectively. During the three months
ended June 30, 2000 and 1999, the amounts paid directly to the
broker amounted to $884,823 and $700,029, 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 six months ended June 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 June 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 $50,008 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 June 30, 2000 and December 31, 1999 was
$424,951,613 and $386,065,726, respectively, which equals 81% 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)
June 30, 2000 December 31, 1999 June 30, 2000 December 31, 1999
------------- ----------------- ------------- -----------------
<S> <C> <C> <C> <C>
Gross unrealized gains $21,765,208 $16,698,403 $ 13,643,053 $ 7,528,691
Gross unrealized (losses) (8,015,901) (186,247) (10,329,653) (1,430,374)
------------ -------------- -------------- ------------
Net unrealized gain $13,749,307 $16,512,156 $ 3,313,400 $ 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)
Open contracts generally mature within three months; as of June 30,
2000, the latest maturity date for open futures contracts is March
2001, and the latest maturity date for open forward contracts is
September 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.
Note 7. INTERIM FINANCIAL STATEMENTS
The statement of financial condition as of June 30, 2000, the
statements of operations for the three months and six months ended
June 30, 2000 and 1999, and the statements of cash flows and
changes in partners capital (Net Asset Value) for the six months
ended June 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 June 30, 2000, the results
of operations for the three months and six months ended June 30,
2000 and 1999, and cash flows for the six months ended June 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 $532,845,427 have
been accepted during the continuing offering period as of July 1, 2000.
Redemptions over the same time period total $131,519,933. 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.
-13-
<PAGE> 14
Results of Operations
The returns for the six months ending June 30, 2000 and 1999 were 2.35% and
3.15%, respectively. Of the 2.35% increase, approximately 3.95% was due to
trading gains (before commissions) and approximately 2.74% was due to interest
income, offset by approximately 4.34% in brokerage fees, performance fees,
operating costs and offering costs borne by the Fund. An analysis of the 3.95%
trading gains by sector is as follows:
<TABLE>
<CAPTION>
SECTOR % GAIN (LOSS)
------ -------------
<S> <C>
Interest Rates (6.60)%
Stock Indices 1.32
Currencies 1.66
Metals (1.40)
Agriculturals (.12)
Energy 9.09
----
3.95%
====
</TABLE>
The first month of the New Year provided a highly volatile environment, which
extended the Fund the opportunity to perform well in most markets and to deliver
a good positive return to investors. 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 and unsatisfying month. Sharp reversals in the energy sector and
the Yen were the biggest factors in the loss for the month.
The dominant feature of April was the sell-off in the NASDAQ, which ended almost
as quickly as it began as investors used the sell-off as a buying opportunity.
Although the Fund managed gains in both the NASDAQ and S&P indices during the
month, the unprecedented volatility in global equity indices resulted in a small
loss in this sector overall. With respect to the energy sector, the crude market
rallied on news that OPEC would not drastically increase production. The Fund
suffered losses on our 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.
The energy sector, specifically natural gas, provided the majority of the profit
for the month of May. Natural Gas prices moved sharply higher as summer
electricity demand increased. Crude
-14-
<PAGE> 15
oil resumed its upward trend when the markets realized that OPEC production
increases were still not meeting demand. 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.
During June, the energy sector continued to be the best performer. 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.
Consequently, the OPEC decision only served to legitimize current production
levels, and this together with the apparent solidarity of OPEC, led to a strong
rally that was profitable for the Fund's long positions. Interest rates traded
sideways during the month causing small losses in many of the contracts traded
in this sector which offset some of the gain earned in energies. The rallies in
the S&P and NASDAQ indices at month-end contributed to a moderate gain in this
sector.
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
-16-
<PAGE> 17
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 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
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<PAGE> 18
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 June 30, 2000, December
31, 1999 and December 31, 1998 and the trading gains/losses by market category
for the six months ended June 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 June 30, 2000, December 31, 1999
and December 31, 1998, the Fund's total capitalization was approximately $524
million, $484 million and $344 million, respectively.
JUNE 30, 2000
<TABLE>
<CAPTION>
% OF TOTAL TRADING
MARKET SECTOR VALUE AT RISK CAPITALIZATION GAIN/(LOSS)*
------------- ------------- -------------- ------------
<S> <C> <C> <C>
Currencies $11.11 million 2.12% 1.66%
Interest Rates $10.83 million 2.07% (6.60%)
Energy $10.48 million 2.00% 9.09%
Stock Indices $ 6.53 million 1.25% 1.32%
Metals $ 1.92 million .36% (1.40%)
Agriculturals $ .50 million .10% (.12%)
-------------- ------ ------
Total $41.37 million 7.90% 3.95%
============== ===== =====
</TABLE>
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<PAGE> 19
* - Of the 2.35% return for the six months ended June 30, 2000, approximately
3.95% was due to trading gains (before commissions) and approximately 2.74% was
due to interest income, offset by approximately 4.34% in brokerage fees,
performance fees, operating costs and offering 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
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<PAGE> 20
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 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 June 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
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<PAGE> 21
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 Switzerland. 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.
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 June 30, 2000, the Fund's primary exposures were in the Nikkei
(Japan), NASDAQ (USA), IBEX (Spain), 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.)
-21-
<PAGE> 22
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
June 30, 2000, crude oil, unleaded gas and gas oil 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. 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 corn accounted for the substantial bulk of the Fund's
agricultural exposure as of June 30, 2000.
QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE
The following were the only non-trading risk exposures of the Fund as
of June 30, 2000.
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
-22-
<PAGE> 23
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
<TABLE>
<S> <C>
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
</TABLE>
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<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: July 24, 2000 By: /s/Theresa D. Becks
------------------------------------------
Theresa D. Becks
Chief Financial Officer/Treasurer/Director
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