<PAGE> 1
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
(Mark One) FORM 10-K
ANNUAL REPORT PURSUANT TO SECTION 13 OR 15 (d)
[X] OF THE SECURITIES EXCHANGE ACT OF 1934 [NO FEE REQUIRED]
For the Fiscal Year Ended December 31, 1999
Commission File Number 0-22260 and
2-84126
OR
[ ] TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934 [NO FEE REQUIRED]
For the transition period from to
----------- ----------
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
--------------------------------------------------------
(Exact name of Registrant as specified in its charter)
DELAWARE 52-1823554
- ---------------------------------- --------------------------------------
(State or other jurisdiction of (IRS Employer Identification Number)
incorporation or organization)
210 W. PENNSYLVANIA AVENUE
BALTIMORE, MARYLAND 21204
--------------------------------- --------------------------------------
Registrant's telephone number, including area code: (410) 296-3301
---------------
Securities registered pursuant to Section 12 (b) of the Act: NONE
----
Securities registered pursuant to Section 12 (g) of the Act:
UNITS OF LIMITED PARTNERSHIP INTEREST
---------------------------------------
(Title of Class)
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 (or for such shorter period that the Registrant
was required to file such reports), and (2) has been subject to such filing
requirements for the past 90 days.
Yes X No
----- -----
Indicate by check mark if the disclosure of delinquent filers pursuant to Item
405 of Regulation S-K is not contained herein, and will not be contained, to the
best of the Registrant's knowledge, in definitive proxy or information
statements incorporated by reference in Part II of this Form 10-K or any
amendment to this Form 10-K. [X]
The Registrant has no voting stock. As of December 31, 1999 there were
276,039.045 Units of Limited Partnership Interest issued and outstanding.
Total number of pages 31. Consecutive page numbers on which exhibits commence:
31.
- ---
<PAGE> 2
DOCUMENTS INCORPORATED BY REFERENCE
Prospectus dated August 27, 1999 and the supplement to the prospectus
dated January 28, 2000 included within the Post-Effective Amendment Number 1 to
the Registration Statement on Form S-1 (File No. 333-80933), incorporated by
reference into Parts I, II, III and IV.
-2-
<PAGE> 3
PART I
ITEM 1. BUSINESS
Campbell Strategic Allocation Fund, L.P. (the "Registrant" or the
"Fund") is a limited partnership which was organized on May 11, 1993 under the
Delaware Revised Uniform Limited Partnership Act. The Registrant operates as a
commodity investment pool, whose purpose is to buy, hold and trade in commodity
futures and options contracts and other commodity interests, with primary
emphasis on financial futures (including interest rates, foreign exchange and
stock indices) and metals and energy contracts, and with limited allocations to
grains, meats and softs contracts. The objective is appreciation of assets
through speculative trading. The general partner and trading advisor of the
Registrant is Campbell & Company, Inc. ("Campbell & Company"). The Registrant's
operations are regulated by the provisions of the Commodity Exchange Act, the
regulations of the Commodity Futures Trading Commission, and the rules of the
National Futures Association.
The Registrant originally filed a registration statement with the U.S.
Securities and Exchange Commission for the sale of a minimum of $2,500,000 and a
maximum of $25,000,000 in Units of Limited Partnership at $1,000 each, which
registration statement was effective on January 12, 1994. The Fund has since
filed additional registration statements with the U.S. Securities and Exchange
Commission to bring the sum of existing and offered Units of Limited Partnership
Interests to a maximum of approximately $660,000,000 through March 2000. The
Unit selling price during the initial offering period, which lasted for
approximately 90 days and ended on April 15, 1994, was $1,000. Since April 15,
1994, Units of Limited Partnership Interests of the Fund have been offered on an
ongoing basis during the Fund's continuing offering period. During the
continuing offering period, subscriptions are accepted monthly and proceeds are
transferred to bank and brokerage accounts for trading purposes. The unit
selling price during the continuing offering period is the net asset value per
unit as of the last business day of the month in which the subscription is
accepted.
A total of $476,892,001 has been raised in the initial and continuing
offering periods through December 31, 1999.
In addition to making all trading decisions in its capacity as trading
advisor, Campbell & Company controls all aspects of the business and
administration of the Registrant in its role as general partner.
The Registrant will be terminated and dissolved promptly thereafter
upon the happening of the earlier of: (a) the expiration of the Registrant's
stated term of December 31, 2023; (b) an election to dissolve the Registrant at
any time by Limited Partners owning more than 50% of the Units then outstanding;
(c) the withdrawal of Campbell & Company unless one or more new general partners
have been elected or appointed pursuant to the Agreement of Limited Partnership;
or (d) any event which shall make unlawful the continuing existence of the
Registrant.
REGULATION
Under the Commodity Exchange Act, as amended (the "Act"), commodity
exchanges and commodity futures trading are subject to regulation by the
Commodity Futures Trading Commission (the 'CFTC"). The National Futures
Association ("NFA'), a registered futures association under the Act, is the only
non-exchange self-regulatory organization for commodity industry professionals.
The CFTC has delegated to the NFA responsibility for the registration of
"commodity trading advisors," "commodity pool operators," "futures commission
merchants," "introducing brokers" and their respective associated persons and
"floor brokers." The Act requires "commodity pool operators," and "commodity
trading advisors" such as Campbell & Company and commodity brokers or "futures
commission merchants" such as the Registrant's commodity broker to be registered
and to comply with various reporting and recordkeeping requirements. Campbell &
Company and the Registrant's commodity broker are members of the NFA. The CFTC
may suspend a commodity pool operator's or trading advisor's registration if it
finds that its trading
-3-
<PAGE> 4
practices tend to disrupt orderly market conditions, or as the result of
violations of the Commodity Exchange Act or rules and regulations promulgated
thereunder. In the event Campbell & Company's registration as a commodity pool
operator or commodity trading advisor were terminated or suspended, Campbell &
Company would be unable to continue to manage the business of the Registrant.
Should Campbell & Company's registration be suspended, termination of the
Registrant might result.
In addition to such registration requirements, the CFTC and certain
commodity exchanges have established limits on the maximum net long and net
short positions which any person, including the Registrant, may hold or control
in particular commodities. Most exchanges also limit the maximum changes in
commodity futures contract prices that may occur during a single trading day.
The Registrant also trades in dealer markets for forward contracts, which is not
regulated by the CFTC. Federal and state banking authorities also do not
regulate forward trading or forward dealers. In addition, the Registrant trades
on foreign commodity exchanges which are not subject to regulation by any United
States government agency.
OPERATIONS
A description of the business of the Registrant, including trading
approach, rights and obligations of the Partners, and compensation arrangements
is contained in the Prospectus under "Summary," "The Risks You Face, "
"Investment Factors," "Campbell & Company, Inc.," "Conflicts of Interest," and
"The Futures and Forward Markets," and such description is incorporated herein
by reference from the Prospectus.
The Registrant conducts its business in one industry segment, the
speculative trading of commodity futures contracts. The Registrant is a market
participant in the "managed futures" industry. The managed futures industry has
grown substantially in the previous ten years. Market participants include all
types of investors, such as corporations, employee benefit plans, individuals
and foreign investors. Service providers of the managed futures industry include
(a) pool operators, which control all aspects of trading funds such as the
Registrant (except trading decisions), (b) trading advisors, which make the
specific trading decisions, and (c) commodity brokers, which execute and clear
the trades pursuant to the instructions of the trading advisor. The Registrant
has no employees, and does not engage in the sale of goods or services.
The Registrant engages in financial instrument trading in up to
approximately 60 financial instrument contracts on domestic and international
markets. Campbell & Company utilizes its Financial, Metal and Energy Large
Portfolio (75% allocation of Fund assets) and the Global Diversified Large
Portfolio (25% allocation) in trading the Registrant's assets. As of March,
2000, the Fund's assets are allocated to the different market sectors in
approximately the following manner: 36% to currencies, 27% to interest rates,
14% to stock indices, 15% to energy products, 7% to metals and 1% to
agricultural. The contracts traded by the Registrant will fluctuate from time to
time.
The Registrant may, in the future, experience increased competition for
the commodity futures and other contracts in which it trades. Campbell & Company
will recommend similar or identical trades for other accounts under its
management. Such competition may also increase due to the widespread utilization
of computerized methods similar to those used by Campbell & Company.
ITEM 2. PROPERTIES
The Registrant does not use any physical properties in the conduct of
its business. Its assets currently consist of commodity futures and other
contracts and cash.
-4-
<PAGE> 5
ITEM 3. LEGAL PROCEEDINGS
Campbell & Company is not aware of any material legal proceedings to
which the Registrant is a party or to which any of their assets are subject.
ITEM 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
None.
PART II
ITEM 5. MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED
STOCKHOLDER MATTERS
Units of Limited Partnership Interest are not publicly traded. Units
may be transferred or redeemed subject to the conditions imposed by the
Agreement of Limited Partnership. As of December 31, 1999, there were 16,568
Limited Partners in the Registrant and 276,039.045 Units of Limited Partnership
Interest outstanding.
Campbell & Company has sole discretion in determining what
distributions, if any, the Registrant will make to its Unit holders. Campbell &
Company has not made any distributions as of the date hereof.
ITEM 6. SELECTED FINANCIAL DATA
Dollars in thousands, except per Unit amounts
<TABLE>
<CAPTION>
For the Year Ended December 31,
-------------------------------
1999 1998 1997 1996 1995
------------ ------------- ------------ ----------- ---------
<S> <C> <C> <C> <C> <C>
Total Assets.......................... $ 496,841 $ 350,791 $ 220,404 $ 111,367 $ 46,492
Total Partners' Capital............... 484,020 343,957 212,710 107,737 45,074
Total Income (Loss)................... 57,598 68,510 40,234 26,624 6,201
Net Income (Loss)..................... 23,306 40,695 24,011 19,058 3,509
Net Income (Loss) Per General
and Limited Partner Unit......... 95.52 232.33 208.78 327.00 103.74
Increase (Decrease) in Net Asset
Value per General and Limited
Partner Unit..................... 73.88 211.67 181.48 296.12 88.27
</TABLE>
ITEM 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS.
INTRODUCTION
The offering of its Units of Limited Partnership Interests commenced on
January 12, 1994. The initial offering terminated on April 15, 1994 and the Fund
commenced operations on April 18, 1994. The continuing offering period commenced
at the termination of the initial offering period and is ongoing.
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.
-5-
<PAGE> 6
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 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 years ended December 31, 1999 and 1998 were 4.45%
and 14.60%, respectively. For 1999, the majority of the 4.45% increase in net
asset value per unit occurred in the first half of the year, when approximately
60% of the total trading gains for the year were posted. Of the 4.45% increase,
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. An
analysis of the 9.19% trading gains by sector is as follows:
<TABLE>
<CAPTION>
SECTOR % GAIN (LOSS)
- ------ -------------
<S> <C>
Energies 8.88%
Currencies 2.48
Metals .51
Interest Rates .60
Agriculturals (.22)
Stock Indices (3.06)
------
9.19%
======
</TABLE>
In January 1999, most markets the Fund trades in were trendless, yet
volatile enough to move it in and out of positions, incurring a string of
relatively small losses. The gain for February was earned primarily in the
currency and interest rate sectors. Short positions in U.S. treasury notes and
bonds yielded enough profits to compensate for the losses incurred in European
interest rates, which have been slower to turn from long to short. The yen was
volatile, trading both sharply higher and sharply lower against the U.S. dollar
during February, but it ended the month on a slide which appeared to have some
momentum. On balance the Fund's yen positions lost money during February, but
short positions in the European currencies, primarily the Swiss franc and the
Euro, were profitable. In March, the currency and energy sectors provided
positive returns. The U.S. dollar continued to appreciate against the Euro and
the Swiss franc, while weaker yen was profitable against sterling, the Swiss
franc, and the Euro. All other portfolio sectors showed small losses for the
month.
April produced profitable results for the Fund with gains in the
currencies, stock indices, energy and metal sectors. The U.S. dollar continued
its strong upward trend against the Euro and Swiss franc which lead to the
Fund's gains in the currency sector. The Fund incurred losses in global interest
rates where the markets were too trendless to offer any real opportunity. In
May, the energy and metal sectors were down sharply causing losses on the Fund's
long positions in these two sectors contributing to our loss for the month.
Profits on short interest rate positions were offset by losses on long U.S.
dollar and
-6-
<PAGE> 7
foreign equity index positions. Interest rate positions were the biggest
contributor to the positive performance for June. The Fund's short positions in
this sector profited from the persistent increase in the U.S. interest rates.
The Fund also had strong performance in the energy and stock indices sectors
during the month.
The trends that were in place at the end of June continued into July
and our portfolios showed strong profits at mid month. During the second half of
the July, every major trend failed and several markets turned sharply against us
eliminating the profits earned in the first half of the month. In August, the
most profitable sectors were the energy and currency sectors. Whipsawing
inflation expectations caused losses in the stock indices and interest rate
sectors. In September, continued perception of recovery in Asia pushed the Yen
higher against the U.S. dollar and European currencies and pushed energy and
base metal prices higher. The announcement of a coordinated change in European
central bank policy caused gold prices to rise significantly. Our gold position
is small and we switched from short to long positions early enough to stay flat
in this market.
Price action was largely without direction in October until the end of
the month when the Employment Cost Index (ECI) numbers were released. Due to the
ECI being lower than expected, bond and equity prices rallied and base metal and
energy prices sold off causing losses in our long energy, long metal and short
energy positions. The standout feature of November was the continued divergence
in the energy markets. During the month, crude oil traded higher while natural
gas sold off. By month-end, these trends were in reverse, but we managed to hold
on to enough gains to register a small gain for the month. During December, the
air of uncertainty and apprehension left many market participants unwilling to
participate in global financial markets causing market liquidity to be greatly
reduced. Our response was to trim our portfolio to only the most liquid of
contracts. The sectors that performed well for us were energies, equities, and
interest rates. Performance was as good as we could have expected given the
unique circumstances in December.
1998
For 1998, the majority of the 14.60% increase in net asset value per
unit occurred in the second half of the year, when approximately 77% of the
total trading gains for the year were posted. Of the 14.60% increase,
approximately 20.88% was due to trading gains (before commissions) and
approximately 4.81% was due to interest income, offset by approximately 11.09%
in brokerage fees, performance fees and operating costs borne by the Fund. An
analysis of the 20.88% trading gains by sector is as follows:
<TABLE>
<CAPTION>
SECTOR % GAIN (LOSS)
- ------ -------------
<S> <C>
Interest Rates 18.46%
Stock Indices 2.03
Currencies 2.41
Energies (.11)
Agriculturals (.62)
Metals (1.29)
------
20.88%
======
</TABLE>
1998 began with positive performance being achieved in the interest
rates, stock indices and energy sectors. In January the interest rates were the
most profitable sector, with the deflationary
-7-
<PAGE> 8
implications of the Asian financial crisis continuing to push U.S. and European
yields lower. February was a month of major trend transition. The significant
losses in the currencies and cross rates pulled returns down, most of which was
attributable to the positions held outright in Japanese yen and yen cross
positions held against the other major currencies. Currencies bounced back in
March and stock indices were also positive in March, as world equity markets
continued their seemingly endless ascent.
April was a month in which most market sectors performed poorly. The
only sector to finish on a positive note was the stock indices sector, where
continued strong economic growth and the perception of low or non-existent
inflation pushed U.S. and European stock indices to new highs. May resulted in a
continuing decline in yen against the U.S. and European currencies. Long-term
interest rate instruments moved higher, as Japan tried to re-float its economy
by lowering interest rates even further. The winning sector for the month of
June was foreign exchange, with profits being realized in Japanese yen,
Malaysian ringgitt and South African rand. A combination of excess production
and declining Asian demand for crude oil pushed crude prices lower during the
first half of June, but the announcement of further cuts by OPEC producers
caused a sharp short covering rally in the middle of the month. The Fund was
modestly short the energy sector during June, and realized small gains overall.
July was an unusual month in that the moderate negative result was
broadly dispersed over almost every market sector. Stock indices such as the S&P
and Nikkei had substantial negative results in July. With the situations in Asia
and Russia worsening, many global capital markets experienced a "flight to
safety" during August, as investors sold equities and bought government bonds.
In August virtually all returns for the month came from the global interest
rates sector. All other sectors showed small gains and losses, which were
largely offsetting. In September the interest rates sector returns dominated
again. The Fund's global bond positions did very well, and shorter-term interest
rate positions also contributed.
In early October the Fed-led bail out of LTCM had a profound effect on
the currency and interest rate markets. Fears that other hedge funds had similar
exposure prompted banks and investment houses to reduce credit lines
aggressively. The shift of investment priority from profit potential to capital
preservation created severe market dislocations, as many large positions were
unwound. We recorded slight losses in the long-term interest rate sector, as
long-term interest rate instruments were initially bid to record highs, and then
collapsed. Currencies were the big winner for the month with the majority of the
gains coming from the Japanese yen, Deutsche mark, and Swiss franc. November was
a choppy month, with the exception of the energy complex, which trended sharply
lower posting gains for the month. The currency sector was the biggest loser for
the month. With the historic advent of the Euro closing in, and the uncertainty
that such a momentous event creates, there was anticipation of illiquid and
choppy currency markets through the end of the year. December was a relatively
slow month, largely as a result of the market illiquidity. Global interest rates
continued to decline except in the U.S. where bond prices weakened. The yen
continued to strengthen against the U.S. dollar posting gains for the month. The
strength of the yen was largely a result of the sharp increase in Japanese
interest rates, and our short positions in the interest rate instruments
benefited, although this was largely offset by losses in our U.S. interest rate
positions.
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%.
-8-
<PAGE> 9
In addition to market risk, in entering into futures and forward
contracts there is a risk to the Fund (credit risk) that a counterparty will not
be able to meet its obligations to the Fund. The counterparty of the Fund for
futures contracts traded in the United States and most foreign exchanges on
which the Fund trades is the clearinghouse associated with such exchange. In
general, clearinghouses are backed by the membership of the exchange and will
act in the event of non-performance by one of its members or one of its members'
customers, and as such, should significantly reduce this credit risk. In cases
where the Fund trades on exchanges where the clearinghouse is not backed by the
membership (i.e. some foreign exchanges) or when the Fund enters into
off-exchange contracts (i.e. forward contracts) with a counterparty, the sole
recourse of the Fund will be the clearinghouse or the counterparty as the case
may be. Campbell & Company, in its business as a commodity trading advisor and
through its many relationships with brokers, monitors the creditworthiness of
the exchanges and the clearing members of the foreign exchanges with which it
does business for the Fund and other clients. With respect to forward contract
trading, the Fund trades with only those counterparties which the General
Partner has determined to be creditworthy. All positions of the Fund are valued
each day on a mark-to-market basis. While the General Partner monitors the
creditworthiness and risks involved in dealing on the various exchanges and with
counterparties, there can be no assurance that an exchange or counterparty will
be able to meet its obligations to the Fund.
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 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
-9-
<PAGE> 10
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 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 December 31, 1999 and 1998
and the trading gains/losses by market category for 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 December 31, 1999 and 1998, the
Fund's total capitalization was approximately $484 million and $344 million,
respectively.
-10-
<PAGE> 11
<TABLE>
<CAPTION>
DECEMBER 31, 1999
-----------------
% OF TOTAL TRADING
MARKET SECTOR VALUE AT RISK CAPITALIZATION GAIN/(LOSS)*
- ------------- ------------- -------------- ------------
<S> <C> <C> <C>
Currencies $14.25 million 2.94% 2.48%
Interest Rates $12.32 million 2.55% .60%
Stock Indices $ 7.81 million 1.61% (3.06%)
Energy $ 4.80 million .99% 8.88%
Metals $ 2.27 million .47% .51%
Agriculturals $ .19 million .04% (.22%)
-------------- ----- ------
Total $41.64 million 8.60% 9.19%
============== ===== ======
</TABLE>
* - 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.
<TABLE>
<CAPTION>
DECEMBER 31, 1998
-----------------
% OF TOTAL
MARKET SECTOR VALUE AT RISK CAPITALIZATION
- ------------- ------------- --------------
<S> <C> <C>
Currencies $10.60 million 3.08%
Interest Rates $ 6.95 million 2.02%
Stock Indices $ 5.06 million 1.47%
Metals $ 2.82 million .82%
Energy $ 1.81 million .53%
Agriculturals $ .38 million .11%
-------------- -----
Total $27.62 million 8.03%
============== =====
</TABLE>
MATERIAL LIMITATIONS ON VALUE AT RISK AS AN ASSESSMENT OF MARKET RISK
The face value of the market sector instruments held by the Fund is
typically many times the applicable maintenance margin requirement (maintenance
margin requirements generally ranging between approximately 1% and 10% of
contract face value) as well as many times the capitalization of the Fund. The
magnitude of the Fund's open positions creates a "risk of ruin" not typically
found in most other investment vehicles. Because of the size of its positions,
certain market conditions -- unusual, but historically recurring from time to
time -- could cause the Fund to incur severe losses over a short period of time.
The foregoing Value at Risk table -- as well as the past performance of the Fund
- -- give no indication of this "risk of ruin."
NON-TRADING RISK
The Fund has non-trading market risk on its foreign cash balances not
needed for margin. However, these balances (as well as the market risk they
represent) are immaterial. The Fund also has non-trading market risk as a result
of investing a substantial portion of the its available assets in U.S. Treasury
Bills. The market risk represented by these investments is immaterial.
-11-
<PAGE> 12
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
December 31, 1999, by market sector.
Currencies
Exchange rate risk is the principal market exposure of the Fund. The
Fund's currency exposure is to exchange rate fluctuations, primarily
fluctuations which disrupt the historical pricing relationships between
different currencies and currency pairs. These fluctuations are influenced by
interest rate changes as well as political and general economic conditions. The
Fund trades in a large number of currencies, including cross-rates -- i.e.,
positions between two currencies other than the U.S. dollar. The General Partner
does not anticipate that the risk profile of the Fund's currency sector will
change significantly in the future. The currency trading Value at Risk figure
includes foreign margin amounts converted into U.S. dollars with an incremental
adjustment to reflect the exchange rate risk inherent to the dollar-based Fund
in expressing Value at Risk in a functional currency other than dollars.
Interest Rates
Interest rate risk is a significant market exposure of the Fund.
Interest rate movements directly affect the price of the sovereign bond
positions held by the Fund and indirectly the value of its stock index and
currency positions. Interest rate movements in one country as well as relative
interest rate movements between countries materially impact the Fund's
profitability. The Fund's primary interest rate exposure is to interest rate
fluctuations in the United States and the other G-7 countries. However, the Fund
also takes positions in the government debt of other nations -- e.g.,
Switzerland and Australia. The General Partner anticipates that G-7 interest
rates will remain the primary market exposure of the Fund for the foreseeable
future. The changes in interest rates which have the most effect on the Fund are
changes in long-term, as opposed to short-term rates. Most of the speculative
positions held by the Fund are in medium- to long-term instruments.
Consequently, even a material change in short-term rates would have little
effect on the Fund were the medium- to long-term rates to remain steady.
Stock Indices
-12-
<PAGE> 13
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 December 31, 1999, the Fund's primary exposures were in the S&P
500, Financial Times (England) and Nikkei (Japan) 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.
Although the Advisor does trade natural gas, oil is the dominant energy market
exposure of the Fund. 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 primary metals market exposure is to fluctuations in the
price of aluminum, copper, gold and nickel. 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. Soybean oil, coffee and cotton accounted for the substantial bulk of
the Fund's agricultural exposure as of December 31, 1999.
QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE
The following were the only non-trading risk exposures of the Fund as
of December 31, 1999.
Foreign Currency Balances
The Fund's primary foreign currency balances are in Japanese yen,
British pounds and Euros. The Fund controls the non-trading risk of these
balances by regularly converting these balances back into dollars (no less
frequently than twice a month, and more frequently if a particular foreign
currency balance becomes unusually high).
Treasury Bill Positions
The Fund's only market exposure in instruments held other than for
trading is in its Treasury Bill portfolio. The Fund holds Treasury Bills
(interest bearing and credit risk-free) with durations no longer than six
months. Violent fluctuations in prevailing interest rates could cause immaterial
mark-to-market losses on the Fund's Treasury Bills, although substantially all
of these short-term investments are held to maturity.
QUALITATIVE DISCLOSURES REGARDING MEANS OF MANAGING RISK EXPOSURE
-13-
<PAGE> 14
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.
GENERAL
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 will use a small percentage of assets as margin, the Fund
does not believe that any increase in margin requirements, as proposed, will
have a material effect on the Fund's operations.
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
Financial statements meeting the requirements of Regulation S-X appear
beginning on Page 18 of this report. The supplementary financial information
specified by Item 302 of Regulation S-K is not applicable.
ITEM 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING
AND FINANCIAL DISCLOSURE
None.
PART II
ITEM 10. DIRECTORS AND OFFICERS OF THE REGISTRANT
The Registrant has no directors or executive officers. The Registrant
has no employees. It is managed by Campbell & Company in its capacity as general
partner. Campbell & Company has been registered as a commodity pool operator
(CPO) since September 1982. Its main business address is 210 West Pennsylvania
Avenue, Baltimore, Maryland 21204, (410) 296-3301. Campbell & Company's
directors and executive officers are as follows:
RICHARD M. BELL, 47, began his employment with Campbell & Company in May 1990
and serves as a SENIOR VICE PRESIDENT - TRADING. His duties include managing
daily trade execution for the assets under Campbell's management. From September
1986 through May 1990, Mr. Bell was the managing general partner of several
partnerships registered as broker-dealers involved in market making on the floor
of the Philadelphia Stock Exchange ("PHLX") and Philadelphia Board of Trade
("PBOT"). From July 1975 through September 1986, Mr. Bell was a stockholder and
Executive Vice-President of Tague Securities, Inc., a registered broker-dealer.
Mr. Bell graduated from Lehigh University with a B.S. in Finance.
-14-
<PAGE> 15
D. KEITH CAMPBELL, 57, has served as the CHAIRMAN OF THE BOARD OF DIRECTORS of
Campbell & Company since it began operations, was President until January 1,
1994, and Chief Executive Officer until January 1, 1998. Mr. Campbell is the
majority stockholder. From 1971 through June 1978, he was a registered
representative of a futures commission merchant. Mr. Campbell has acted as a
commodity trading advisor since January 1972 when, as general partner of the
Campbell Fund, a limited partnership engaged in commodity futures trading, he
assumed sole responsibility for trading decisions made on behalf of the Fund.
Since then, he has applied various technical trading models to numerous
discretionary futures trading accounts. Mr. Campbell is registered with the CFTC
and NFA as a commodity pool operator. He is an Associated Person of Campbell &
Company.
WILLIAM C. CLARKE, III, 48, joined Campbell & Company in June 1977 and serves as
an EXECUTIVE VICE PRESIDENT and DIRECTOR. Mr. Clarke holds a B.S. in Finance
from Lehigh University where he graduated in 1973. Mr. Clarke currently oversees
all aspects of research, which involves the development of proprietary trading
models and portfolio management methods. Mr. Clarke is an Associated Person of
Campbell & Company.
BRUCE L. CLELAND, 52, joined Campbell & Company in January 1993 and serves as
PRESIDENT, CHIEF EXECUTIVE OFFICER and a DIRECTOR. Prior to 1994, he was
Executive Vice President. From May 1986 through December 1992, Mr. Cleland
served in various principal roles with the following firms: President,
Institutional Brokerage Corporation, a floor broker; President, Institutional
Advisory Corporation, a commodity trading advisor and commodity pool operator;
President, F&G Management, Inc., a commodity trading advisor; President, Hewlett
Trading Corporation, a commodity pool operator. Prior to this, Mr. Cleland was
employed by Rudolf Wolff Futures Inc., a futures commission merchant, where he
served as President until 1986. Mr. Cleland graduated in 1969 from Victoria
University in Wellington, New Zealand where he received a Bachelor of Commerce
and Administration degree. Mr. Cleland is an Associated Person of Campbell &
Company.
XIAOHUA HU, 36, serves as a VICE PRESIDENT - RESEARCH and has been employed by
Campbell & Company since 1994. From 1992 to 1994, he was employed in Japan by
Line System as a software engineer, where he participated in the research and
development of computer software, including programs for production systems
control and software development. Mr. Hu received his B.A. in Manufacturing
Engineering from Changsha University of Technology in China in 1982. He went on
to receive an M.A. and Ph.D. in Systems and Information Engineering from the
Toyohashi University of Technology in Japan, in 1987 and 1992 respectively.
During his studies at Toyohasi, Mr. Hu was also a Visiting Researcher in
Computer Science and Operations Research and published several research papers.
PHIL LINDNER, 45, serves as VICE PRESIDENT - INFORMATION TECHNOLOGY. He has been
employed by Campbell & Company since October 1994. He was appointed the IT
Director in March 1996 and Vice President in January 1998. Prior to joining
Campbell & Company, Mr. Lindner worked as a programmer and manager for Amtote, a
provider of race track computer systems.
JAMES M. LITTLE, 53, joined Campbell & Company in April 1990 and serves as
EXECUTIVE VICE PRESIDENT - MARKETING and a DIRECTOR. Mr. Little holds a B.S. in
Economics and Psychology from Purdue University. From March 1989 through April
1990, Mr. Little was a registered representative of A.G. Edwards & Sons, Inc.
From January 1984 through March 1989, he was the Chief Executive Officer of
James Little & Associates, Inc., a registered commodity pool operator and
registered broker-dealer. Mr. Little is the co-author of The Handbook of
Financial Futures, and is a frequent contributor to investment industry
publications. Mr. Little is an Associated Person of Campbell & Company.
THERESA D. LIVESEY, 36, joined Campbell & Company in 1991 and serves as the
CHIEF FINANCIAL OFFICER, SECRETARY, TREASURER, and a DIRECTOR. In addition to
her role as CFO, Ms. Livesey also oversees administration and compliance. From
December 1987 to June 1991, she was employed by Bank of Maryland Corporation, a
publicly held company, as a Vice President and Chief Financial Officer. Prior to
-15-
<PAGE> 16
that time, she worked with Ernst & Young. Ms. Livesey is a C.P.A. and has a B.S.
in Accounting from the University of Delaware. Ms. Livesey is an Associated
Person of Campbell & Company.
V. TODD MILLER, 38, serves as a VICE PRESIDENT - RESEARCH and has been employed
by Campbell & Company since 1994. From 1993 to 1994, Mr. Miller was an assistant
professor in the department of Computer Information Science at the University of
Florida, where he taught classes in object oriented programming, numerical
analysis and programming in C, C++ and LISP. Mr. Miller holds a variety of
degrees from the University of Florida, including an Associates degree in
architecture and a B.A. in Business with a concentration in computer science. In
1988, he received his M.A. in Engineering with a concentration in artificial
intelligence. Mr. Miller completed his education in 1993 with a Ph.D. in
Engineering with a concentration in computer simulation.
ALBERT NIGRIN, 38, serves as a VICE PRESIDENT - RESEARCH and has been employed
by Campbell & Company since 1995. From 1991 to 1995, Mr. Nigrin was an assistant
professor in the department of Computer Science and Information Systems at
American University in Washington D.C., where he taught classes in artificial
intelligence, computer programming and algorithms to both graduate and
undergraduate students. While teaching, he also wrote and published Neural
Networks for Pattern Recognition. Mr. Nigrin received a B.A. in Electrical
Engineering in 1984 from Drexel University. He then proceeded directly to a
Ph.D. program and received his degree in Computer Science in 1990 from Duke
University, where his doctoral studies concentrated in the areas of artificial
intelligence and neural networks.
MARKUS RUTISHAUSER, 38, serves as VICE PRESIDENT - TRADING and has been employed
by Campbell & Company since October 1993, with responsibility for day-to-day
foreign exchange trading. Prior to joining Campbell, Mr. Rutishauser worked two
years at Maryland National Bank in Baltimore as an Assistant Vice President in
Foreign Exchange trading. Prior to that, he was employed by Union Bank of
Switzerland, spending four years in their Zurich office and another four years
in their New York office, in the Foreign Exchange Department. Mr. Rutishauser
graduated from the University of Fairfield with a degree in Finance. He
subsequently completed his MBA at the University of Baltimore in January 1996.
C. DOUGLAS YORK, 41, has been employed by Campbell & Company since November 1992
and serves as a SENIOR VICE PRESIDENT - TRADING. His duties include managing
daily trade execution for foreign exchange markets. From January 1991 to
November 1992, Mr. York was the Global Foreign Exchange Manager for Black &
Decker. He holds a B.A. in Government from Franklin and Marshall College. Mr.
York is an Associated Person of Campbell & Company.
There has never been a material administrative, civil or criminal action brought
against Campbell & Company or any of its directors, executive officers,
promoters or control persons.
No Forms 3, 4, or 5 have been furnished to the Registrant since
inception. To the best of the Registrant's knowledge, no such forms have been or
are required to be filed.
ITEM 11. EXECUTIVE COMPENSATION
The Registrant is managed by its general partner, Campbell & Company.
Campbell & Company receives from the Registrant a Brokerage Fee equal to up to
8% of the Registrant's month-end Net Assets per year. From such 8% Brokerage
Fee, Campbell & Company remits up to 1% to the Commodity Broker for execution
and clearing costs, and 4% to the broker-dealers which engaged in the
distribution of the Units in return for ongoing services to the Limited
Partners. Campbell & Company retains the remaining 3% as management fees (2% for
providing advisory fees and 1% for acting as general partner). Campbell &
Company also receives a performance fee of 20% of the aggregate cumulative
appreciation (if any) in Net Asset Value per unit at the end of each calendar
quarter, exclusive of the appreciation attributable to interest income.
ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT
-16-
<PAGE> 17
(a) Security Ownership of Certain Beneficial Owners. As of
December 31, 1999, no Units of Limited Partnership are owned
or held by an officer of Campbell & Company.
(b) Security Ownership of Management. As of December 31, 1999,
Campbell & Company owned 2,904.862 Units of General
Partnership Interest having a value of $5,040,488. Units of
General Partnership will always be owned by Campbell & Company
in its capacity as general partner.
ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
See Item 11, Executive Compensation and Item 12, Security Ownership of
Certain Beneficial Owners and Management.
PART IV
ITEM 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON FORM 8-K
(a) The Following documents are filed as part of this report:
(1) See Financial Statements beginning on page 18 hereof.
(2) Schedules:
Financial statement schedules have been omitted
because they are not included in the financial
statements or notes hereto applicable or because
equivalent information has been included in the
financial statements or notes thereto.
(3) The exhibits listed in the "Index to Exhibits."
(b) Reports on Form 8-K
None.
-17-
<PAGE> 18
SIGNATURES
Pursuant to the requirements of Section 13 or 15 (d) 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 on March 26, 2000.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
By: CAMPBELL & COMPANY, INC.
General Partner
By: /s/ Theresa D. Livesey
----------------------
Theresa D. Livesey
Chief Financial Officer, Secretary,
Treasurer and Director
Pursuant to the requirements of the Securities Exchange Act of 1934,
this report has been signed below by the following persons on behalf of the
Registrant in the capacities indicated on March 26, 2000.
<TABLE>
<CAPTION>
Signature Capacity
--------- --------
<S> <C>
/s/ D. Keith Campbell
- ---------------------
D.Keith Campbell Chairman of the Board
/s/ William C. Clarke, III
- --------------------------
William C. Clarke, III Executive Vice President and Director
/s/ Bruce L. Cleland
- --------------------
Bruce L. Cleland President, Chief Executive Officer and Director
/s/ Theresa D. Livesey
- ----------------------
Theresa D. Livesey Chief Financial Officer, Secretary,
Treasurer and Director
/s/ James M. Little
- -------------------
James M. Little Executive Vice President and Director
</TABLE>
-18-
<PAGE> 19
CAMPBELL STRATEGIC ALLOCATION
FUND, L.P.
ANNUAL REPORT
December 31, 1999
-19-
<PAGE> 20
CAMPBELL STRATEGIC ALLOCATION FUND, L.P
INDEX
<TABLE>
<CAPTION>
PAGES
-----
<S> <C>
INDEPENDENT AUDITOR'S REPORT 21
FINANCIAL STATEMENTS
Statements of Financial Condition
December 31, 1999 and 1998 22
Statements of Operations For the Years
Ended December 31, 1999, 1998 and 1997 23
Statements of Cash Flows For the Years
Ended December 31, 1999, 1998 and 1997 24
Statements of Changes in Partners Capital (Net Asset Value)
For the Years Ended December 31, 1999, 1998 and 1997 25
Notes to Financial Statements 26-31
</TABLE>
-20-
<PAGE> 21
ARTHUR F. BELL, JR. & ASSOCIATES, L.L.C.
Certified Public Accountants
(410) 821-8000
FAX (410) 321-8359
Member:
<TABLE>
<S> <C>
American Institute of Certified Public Accountants Suite 200
SEC Practice Section 201 International Circle
Maryland Association of Certified Public Accountants Hunt Valley, Maryland 21030
</TABLE>
INDEPENDENT AUDITOR'S REPORT
To the Partners
Campbell Strategic Allocation Fund, L.P.
We have audited the accompanying statements of financial condition of Campbell
Strategic Allocation Fund, L.P. as of December 31, 1999 and 1998, and the
related statements of operations, cash flows and changes in partners' capital
(net asset value) for the years ended December 31, 1999, 1998 and 1997. These
financial statements are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements based on
our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of Campbell Strategic Allocation
Fund, L.P. as of December 31, 1999 and 1998, and the results of its operations,
cash flows and the changes in its net asset values for the years ended December
31, 1999, 1998 and 1997, in conformity with generally accepted accounting
principles.
/s/ Arthur F. Bell, Jr. & Associates, L.L.C.
Hunt Valley, Maryland
January 24, 2000
-21-
<PAGE> 22
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
December 31, 1999 and 1998
<TABLE>
<CAPTION>
1999 1998
---- ----
ASSETS
<S> <C> <C>
Equity in broker trading accounts
Cash $ 54,186,103 $ 88,830,060
United States government securities 256,915,665 114,491,286
Unrealized gain on open futures contracts 16,512,156 3,917,717
------------ -------------
Deposits with broker 327,613,924 207,239,063
Cash and cash equivalents 33,978,199 44,879,656
United States government securities 129,150,061 99,677,514
Unrealized gain (loss) on open forward contracts 6,098,317 (1,005,425)
------------ -------------
Total assets $496,840,501 $ 350,790,808
============ =============
LIABILITIES
Accounts payable $ 260,063 $ 222,124
Brokerage fee 3,118,646 2,164,020
Performance fee 0 1,985,393
Offering costs payable 259,595 185,312
Redemptions payable 9,074,798 2,260,525
Subscription deposits 107,295 16,786
------------ -------------
Total liabilities 12,820,397 6,834,160
------------ -------------
PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner - 2,904.862 and 2,096.643 units
outstanding at December 31, 1999 and 1998 5,040,488 3,483,174
Limited Partners - 276,039.045 and 204,942.359 units
outstanding at December 31, 1999 and 1998 478,979,616 340,473,474
------------ -------------
Total partners' capital
(Net Asset Value) 484,020,104 343,956,648
------------ -------------
$496,840,501 $ 350,790,808
============ =============
</TABLE>
See accompanying notes.
-22-
<PAGE> 23
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
For the Years Ended December 31, 1999, 1998 and 1997
<TABLE>
<CAPTION>
1999 1998 1997
---- ---- ----
<S> <C> <C> <C>
INCOME
Futures trading gains (losses)
Realized $15,028,356 $ 53,795,803 $ 16,927,642
Change in unrealized 12,594,439 (4,649,349) 8,262,159
----------- ------------ ------------
Gain from futures trading 27,622,795 49,146,454 25,189,801
----------- ------------ ------------
Forward trading gains (losses)
Realized 4,085,047 8,873,435 7,406,539
Change in unrealized 7,103,742 (2,333,555) (339,743)
----------- ------------ ------------
Gain from forward trading 11,188,789 6,539,880 7,066,796
----------- ------------ ------------
Interest income 18,786,307 12,823,294 7,977,840
----------- ------------ ------------
Total income 57,597,891 68,509,628 40,234,437
----------- ------------ ------------
EXPENSES
Brokerage fee 31,758,700 21,002,047 12,288,681
Performance fee 1,780,671 6,303,339 3,565,668
Operating expenses 752,312 509,686 368,925
----------- ------------ ------------
Total expenses 34,291,683 27,815,072 16,223,274
----------- ------------ ------------
NET INCOME $23,306,208 $ 40,694,556 $ 24,011,163
=========== ============ ============
NET INCOME PER GENERAL AND
LIMITED PARTNER UNIT
(based on weighted average number
of units outstanding during the year) $ 95.52 $ 232.33 $ 208.78
=========== ============ ============
INCREASE IN NET ASSET VALUE
PER GENERAL AND LIMITED
PARTNER UNIT $ 73.88 $ 211.67 $ 181.48
=========== ============ ============
</TABLE>
See accompanying notes.
-23-
<PAGE> 24
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
For the Years Ended December 31, 1999, 1998 and 1997
<TABLE>
<CAPTION>
1999 1998 1997
---- ---- ----
<S> <C> <C> <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
Net income $ 23,306,208 $ 40,694,556 $ 24,011,163
Adjustments to reconcile net income to
net cash (for) operating activities
Net change in unrealized (19,698,181) 6,982,904 (7,922,416)
Increase (decrease) in accounts payable
and accrued expenses (992,828) 314,669 1,193,491
Net (purchases) of investments
in United States government and agency
securities (171,896,926) (49,038,541) (118,621,145)
-------------- -------------- --------------
Net cash (for) operating activities (169,281,727) (1,046,412) (101,338,907)
-------------- -------------- --------------
CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
Addition of units 158,931,214 117,408,144 96,000,283
Increase (decrease) in subscription deposits 90,509 (868,319) 752,069
Redemption of units (39,327,023) (24,906,260) (13,866,080)
Increase (decrease) in redemptions payable 6,814,273 (368,639) 2,052,048
Offering costs charged (2,846,943) (1,949,511) (1,172,450)
Increase in offering costs payable 74,283 62,527 66,158
-------------- -------------- --------------
Net cash from financing activities 123,736,313 89,377,942 83,832,028
-------------- -------------- --------------
Net increase (decrease) in cash and cash equivalents (45,545,414) 88,331,530 (17,506,879)
CASH AND CASH EQUIVALENTS
Beginning of year 133,709,716 45,378,186 62,885,065
-------------- -------------- --------------
End of year $ 88,164,302 $ 133,709,716 $ 45,378,186
============== ============== ==============
End of year cash and cash equivalents consists of:
Cash in broker trading accounts $ 54,186,103 $ 88,830,060 $ 17,401,415
Cash and cash equivalents 33,978,199 44,879,656 27,976,771
-------------- --------------- --------------
Total end of year cash and
cash equivalents $ 88,164,302 $ 133,709,716 $ 45,378,186
============== ============= ==============
</TABLE>
See accompanying notes.
-24-
<PAGE> 25
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
For the Years Ended December 31, 1999, 1998 and 1997
<TABLE>
<CAPTION>
Partners' Capital
--------------------------------------------------------------------------------------------
General Limited Total
------------------------- ---------------------------- -------------------------------
Units Amount Units Amount Units Amount
----- ------ ----- ------ ----- ------
<S> <C> <C> <C> <C> <C> <C>
Balances at
December 31, 1996 885.938 $1,123,514 84,069.060 $106,613,289 84,954.998 $107,736,803
Net income for the year
ended December 31, 1997 244,185 23,766,978 24,011,163
Additions 587.385 780,007 71,325.080 95,220,276 71,912.465 96,000,283
Redemptions 0.000 0 (10,134.620) (13,866,080) (10,134.620) (13,866,080)
Offering costs (11,918) (1,160,532) (1,172,450)
--------- ---------- ----------- ------------ ----------- ------------
Balances at
December 31, 1997 1,473.323 2,135,788 145,259.520 210,573,931 146,732.843 212,709,719
Net income for the year
ended December 31, 1998 417,357 40,277,199 40,694,556
Additions 623.320 950,000 75,725.965 116,458,144 76,349.285 117,408,144
Redemptions 0.000 0 (16,043.126) (24,906,260) (16,043.126) (24,906,260)
Offering costs (19,971) (1,929,540) (1,949,511)
--------- ---------- ----------- ------------ ----------- ------------
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 year
ended December 31, 1999 236,380 23,069,828 23,306,208
Additions 808.219 1,350,000 94,344.964 157,581,214 95,153.183 158,931,214
Redemptions 0.000 0 (23,248.278) (39,327,023) (23,248.278) (39,327,023)
Offering costs (29,066) (2,817,877) (2,846,943)
--------- ---------- ----------- ------------ ----------- ------------
Balances at
December 31, 1999 2,904.862 $5,040,488 276,039.045 $478,979,616 278,943.907 $484,020,104
========= ========== =========== ============ =========== ============
</TABLE>
<TABLE>
<CAPTION>
Net Asset Value Per General and Limited Partner Unit
----------------------------------------------------
December 31,
1999 1998 1997
---- ---- ----
<S> <C> <C>
$1,735.19 $1,661.31 $1,449.64
========= ========= =========
</TABLE>
See accompanying notes.
-25-
<PAGE> 26
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
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.
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.
-26-
<PAGE> 27
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(CONTINUED)
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 $11,391,315
through December 31, 1999, $6,767,049 of which has already
been reimbursed to Campbell & Company by the Fund. At December
31, 1999, the Fund reflects a liability in the statement of
financial condition for offering costs payable to Campbell &
Company of $259,595. 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.
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.
-27-
<PAGE> 28
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Note 2. GENERAL PARTNER AND COMMODITY TRADING ADVISOR (CONTINUED)
Commencing September 1, 1997, 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. Prior to
September 1, 1997, the monthly brokerage fee was equal to 1/12 of 8%
(8% annualized) of month-end net assets, with the amount paid
directly to the broker equal to 1/12 of 1% (1% annualized) of
month-end net assets. During 1999, 1998 and 1997, the amounts paid
directly to the broker amounted to $2,887,155, $1,909,277 and
$1,366,757, 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 assets 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% of average month-end Net Asset Value for the years ended
December 31, 1999, 1998 and 1997.
Note 5. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
Investments in the Fund are made by subscription agreement, subject
to acceptance by Campbell & Company. As of December 31, 1999 and
1998, amounts received by the Fund from prospective limited partners
who have not yet been admitted to the Fund by Campbell & Company
total $107,295 and $16,786, 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.
-28-
<PAGE> 29
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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. 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 December 31, 1999 and 1998 was $386,065,726 and
$214,168,800, respectively, which equals 80% and 62% of Net Asset
Value, respectively.
The Fund trades forward contracts in unregulated markets between
principals and assumes the risk of loss from counterparty
nonperformance. Accordingly, the risks associated with forward
contracts are generally greater than those associated with exchange
traded contracts because of the greater risk of counterparty default.
Additionally, the trading of forward contracts typically involves
delayed cash settlement.
The Fund has a substantial portion of its assets on deposit with
financial institutions. In the event of a financial institution's
insolvency, recovery of Fund assets on deposit may be limited to
account insurance or other protection afforded such deposits. In the
normal course of business, the Fund requires collateral for
repurchase agreements.
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.
-29-
<PAGE> 30
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
The fair value of derivatives represents unrealized gains and losses
on open futures and forward contracts. The average fair value of
derivatives during 1999, 1998 and 1997, and the related fair values
as of December 31, 1999 and 1998 are as follows:
<TABLE>
<CAPTION>
Fair Value as of
Average Fair Value December 31,
------------------ ------------
1999 1998 1997 1999 1998
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Futures contracts $11,770,000 $9,660,000 $4,110,000 $16,512,000 $ 3,918,000
Forward contracts 2,030,000 3,490,000 70,000 6,098,000 (1,005,000)
</TABLE>
The unrealized gain (loss) on open futures and forward contracts is
comprised of the following:
<TABLE>
<CAPTION>
Futures Contracts Forward Contracts
(exchange traded) (non-exchange traded)
December 31, December 31,
------------ ------------
1999 1998 1999 1998
---- ---- ---- ----
<S> <C> <C> <C> <C>
Gross unrealized gains $16,698,403 $ 6,289,815 $ 7,528,691 $ 7,377,712
Gross unrealized (losses) (186,247) (2,372,098) (1,430,374) (8,383,137)
----------- ----------- ----------- -----------
Net unrealized gain (loss) $16,512,156 $ 3,917,717 $ 6,098,317 $(1,005,425)
=========== =========== =========== ===========
</TABLE>
Net trading results from futures contracts are reflected in the
statement of operations and equal gain from futures trading less the
portion of the brokerage fee paid directly to the broker. Net trading
results from forward contracts are reflected in the statement of
operations as gain from forward trading. Such trading results reflect
the net gain arising from the Fund's speculative trading of futures
and forward contracts.
-30-
<PAGE> 31
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
Open contracts generally mature within three months; as of December
31, 1999, the latest maturity date for open futures contracts is
September 2000, and the latest maturity date for open forward
contracts is March 2000. However, the Fund intends to close all
contracts prior to maturity. At December 31, 1999 and 1998, the
notional amount of open contracts is as follows:
<TABLE>
<CAPTION>
1999 1998
---- ----
Contracts to Contracts to Contracts to Contracts to
Purchase Sell Purchase Sell
-------- ---- -------- ----
<S> <C> <C> <C> <C>
Futures contracts (exchange traded):
- Long-term interest rates $219,100,000 $ 429,900,000 $ 460,500,000 $148,700,000
- Short-term interest rates 0 1,089,900,000 305,900,000 307,900,000
- Stock indices 140,100,000 0 67,900,000 11,200,000
- Agricultural 0 5,500,000 2,000,000 8,700,000
- Metals 48,800,000 3,900,000 6,500,000 47,500,000
- Energy 84,300,000 17,200,000 0 17,100,000
Forward contracts
(non-exchange traded):
- Currencies 366,000,000 588,600,000 435,100,000 386,200,000
------------ -------------- -------------- ------------
$858,300,000 $2,135,000,000 $1,277,900,000 $927,300,000
============ ============== ============== ============
</TABLE>
The above amounts do not represent the Fund's risk of loss due to
market and credit risk, but rather represent the Fund's extent of
involvement in derivatives at the date of the statement of financial
condition.
Campbell & Company has established procedures to actively monitor
market risk and minimize credit risk, although there can be no
assurance that they will, in fact, succeed in doing so. Campbell &
Company's basic market risk control procedures consist of
continuously monitoring open positions, diversification of the
portfolio and maintenance of a margin-to-equity ratio that rarely
exceeds 30%. Campbell & Company seeks to minimize credit risk
primarily by depositing and maintaining the Fund's assets at
financial institutions and brokers which Campbell & Company believes
to be creditworthy. The limited partners bear the risk of loss only
to the extent of the market value of their respective investments
and, in certain specific circumstances, distributions and redemptions
received.
-31-
<PAGE> 32
INDEX TO EXHIBITS
<TABLE>
<CAPTION>
Sequentially
Numbered
Exhibit No. Exhibit Page
- ----------- ------- -----------
<S> <C> <C>
1.01 Form of Selling Agreement among the Registrant, Campbell & n/a
Company, PaineWebber Incorporated and the Selling Agent **
1.02 Form of Auxiliary Selling Agreement ** n/a
3.01 Agreement of Limited Partnership of the Registrant dated n/a
May 11, 1993 * (1)
3.02 Certificate of Limited Partnership of the Registrant * n/a
3.03 Amended Agreement of Limited Partnership of the Registrant *** (1) n/a
10.01 Form of Advisory Agreement between the Registrant and n/a
(Amended) Campbell & Company * (1)
10.02 Form of Customer Agreement between the Registrant and n/a
PaineWebber Incorporated *
10.04 Escrow Agreement between the Registrant and n/a
Mercantile Safe Deposit & Trust Company *
27.01 Financial Data Schedule 33
</TABLE>
- ---------------------------------------
* Incorporated by reference to the respective exhibit to the Registrant's
Registration Statement on Form S-1 (No. 333-67164) filed on August 9,
1993.
** Incorporated by reference to the respective exhibit as Amendment No. 2
to the Registrant's Registration Statement on Form S-1 (No. 333-67164)
on December 30, 1993.
*** Incorporated by reference to the respective exhibit to the Registrant's
Registration Statement on Form S-1 (No. 333-68431) on February 1, 1999.
(1) Management contract or compensatory plan or arrangement.
Upon request, the Registrant will furnish a copy of any Exhibit to this report
upon payment of reasonable copying and mailing expenses.
-32-
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>
THE SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE FINANCIAL
STATEMENTS OF CAMPBELL STRATEGIC ALLOCATION FUND L.P. AS OF AND FOR THE YEAR
ENDED DECEMBER 31, 1999 AND IS QUALIFIED IN ITS ENTIRETY BY REFERENCE TO SUCH
FINANCIAL STATEMENTS.
</LEGEND>
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1999
<PERIOD-START> JAN-01-1999
<PERIOD-END> DEC-31-1999
<CASH> 88,164
<SECURITIES> 408,676
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 496,840
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 496,840
<CURRENT-LIABILITIES> 12,820
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 484,020
<TOTAL-LIABILITY-AND-EQUITY> 496,840
<SALES> 0
<TOTAL-REVENUES> 57,598
<CGS> 0
<TOTAL-COSTS> 34,292
<OTHER-EXPENSES> 0
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 23,306
<INCOME-TAX> 0
<INCOME-CONTINUING> 23,306
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 23,306
<EPS-BASIC> 95.52
<EPS-DILUTED> 95.52
</TABLE>
