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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, 2001
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
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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, 2001 there were
477,161.665 Units of Limited Partnership Interest issued and outstanding.
Total number of pages 36. Consecutive page numbers on which exhibits commence:
36.
- ----
DOCUMENTS INCORPORATED BY REFERENCE
Prospectus dated June 29, 2001 included within the Registration
Statement on Form S-1 (File No. 333-61274), incorporated by reference into Parts
I, II, III and IV.
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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 trade speculatively in the U.S.
and international futures, forward and swap markets. Specifically, the Fund
trades a portfolio primarily focused on financial futures, which are instruments
designed to hedge or speculate on changes in interest rates, currency exchange
rates or stock index values. A secondary emphasis is on metals and energy
values. 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 $1,310,000,000 through December 2001.
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 $985,796,964 has been raised in the initial and continuing
offering periods through December 31, 2001.
In addition to making all trading decisions in its capacity as trading
advisor, Campbell & Company conducts and manages 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 (the "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 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
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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
futures contract prices that may occur during a single trading day. The
Registrant also trades in dealer markets for forward and swap contracts, which
are 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, " "Campbell
& Company, Inc.," "Conflicts of Interest," and "Charges to the Fund" and such
description is incorporated herein by reference from the Prospectus.
The Registrant conducts its business in one industry segment, the
speculative trading of futures, forwards and swap 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 conducts and manages 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. All of the Fund's assets are currently allocated to the Financial,
Metal & Energy Large Portfolio which is concentrated in the financial markets
such as interest rates, foreign exchange and stock indices, as well as metals
and energy products. Prior to September of 2000, Campbell & Company utilized 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. The Global Diversified Large Portfolio trades the same
forward and futures markets as the Financial, Metal & Energy Large Portfolio, as
well as agricultural markets. As of March 2002, the Fund's assets are allocated
to the different market sectors in approximately the following manner: 55% to
currencies, 18% to interest rates, 14% to stock indices, 11% to energy products
and 2% to metals. 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 futures and other contracts, cash
and U.S. Treasury Bills.
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.
-4-
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, 2001, there were 25,595 Limited Partners
in the Registrant and 477,161.665 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
For the Year Ended December 31,
-------------------------------
2001 2000 1999 1998 1997
-------- -------- -------- -------- --------
Total Assets ........................... $954,185 $645,193 $496,841 $350,791 $220,404
Total Partners' Capital ................ 943,219 630,625 484,020 343,957 212,710
Total Income (Loss) .................... 95,688 108,122 57,598 68,510 40,234
Net Income (Loss) ...................... 29,936 61,827 23,306 40,695 24,011
Net Income (Loss) Per General
and Limited Partner Unit ......... 76.29 208.13 95.52 232.33 208.78
Increase (Decrease) in Net Asset
Value per General and Limited
Partner Unit ..................... 55.92 185.62 73.88 211.67 181.48
The following summarized quarterly financial information presents the results of
operations for the three month periods ending March 31, June 30, September 30
and December 31, 2001 and 2000.
1st Qtr. 2nd Qtr. 3rd Qtr. 4th Qtr.
2001 2001 2001 2001
---------- ---------- ---------- ----------
Gain (Loss) from
Trading $ 51,290 $ (62,469) $ 87,052 $ (7,714)
Total Income (Loss) 60,133 (55,173) 93,786 (3,058)
Net Income (Loss) 39,986 (68,637) 78,274 (19,687)
Net Income (Loss)
per General and
Limited Partner
Unit * 118.09 (182.57) 188.56 (44.76)
Increase (Decrease)
in Net Asset Value
per General and
Limited Partner Unit 110.37 (190.52) 183.60 (47.53)
Net Asset Value per
General and Limited
Partner Unit at the
End of the Period 2,031.18 1,840.66 2,024.26 1,976.73
-5-
1st Qtr. 2nd Qtr. 3rd Qtr. 4th Qtr.
2000 2000 2000 2000
---------- ---------- ---------- ----------
Gain (Loss) from
Trading $ 4,865 $ 14,764 $ (13,127) $ 71,035
Total Income (Loss) 11,355 21,930 (5,177) 80,014
Net Income (Loss) 1,450 11,909 (15,630) 64,098
Net Income (Loss)
Per General and
Limited Partner
Unit * 5.17 41.30 (51.83) 201.56
Increase (Decrease)
in Net Asset Value
per General and
Limited Partner
Unit 2.85 37.98 (54.07) 198.86
Net Asset Value per
General and Limited
Partner Unit at the
End of the Period 1,738.04 1,776.02 1,721.95 1,920.81
* - Based on weighted average number of units outstanding during the period.
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.
LIQUIDITY
Most United States commodity exchanges limit fluctuations in 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. 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 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
futures trading operations, the Fund's assets are expected to be highly liquid.
-6-
RESULTS OF OPERATIONS
The returns for the years ended December 31, 2001, 2000 and 1999 were 2.91%,
10.70% and 4.45%, respectively. For the 2001 increase of 2.91%, approximately
8.55% was due to trading gains (before commissions) and approximately 3.63% was
due to interest income, offset by approximately 9.27% due to brokerage fees,
performance fees, and operating and offering costs borne by the Fund. An
analysis of the 8.55% trading gain by sector is as follows:
SECTOR % GAIN (LOSS)
- ------ -------------
Currencies 8.14%
Interest Rates 5.70
Stock Indices 1.46
Metals (.57)
Energy (6.18)
----
8.55%
====
January was a turbulent month due to the underestimated slowdown of the U.S.
economy and difficult transition between presidential administrations. The
Federal Reserve intervened twice by lowering interest rates during the month a
total of 100 basis points. The interest rate reductions resulted in gains in the
Fund's long bond positions, but these were offset by losses in its Swiss and
Sterling currency positions. The most noticeable turnaround for the month was
the energy markets, which incurred the largest losses for the Fund. Overall,
February was a mostly flat month for the Fund. The Federal Reserve's failure to
lower interest rates ahead of its March meeting, and the continued declining
consumer confidence pushed U.S. equities lower, with the NASDAQ posting a new
two-year low. This economic news was favorable to both the Fund's short equities
positions and long bond positions. The energy markets continued to disappoint
and this sector posted a loss for the month. The currency markets were mixed and
ended flat for February. The first quarter ended well for the Fund. During the
month of March, all markets were profitable, except the energy sector. In the
midst of some painful trends in the global economy, the Fund's trading
principles enabled it to ride the bear trend in equities while simultaneously
benefiting from long fixed income positions.
Sharp price reversals in the equity, bond and energy markets resulted in a
negative performance in April as many of the Fund's largest positions hit
protective stops. The capitulation that caused the sharp downturn in equities in
the first quarter was reversed as investors greeted a surprise 50 basis point
rate cut by the Federal Reserve by pushing the equity markets substantially
higher. The flight to quality that had caused the long bond to trade so strongly
in March was abandoned as investors sold bonds to invest in stocks. May was a
volatile month for many of the markets the Fund trades, but the Fund produced a
positive result despite the adverse conditions. A strong U.S. dollar amid
persistent signs of global economic weakness kept equity markets volatile, but
the widely anticipated 50-point rate cut by the Federal Reserve was priced into
the markets and had little effect when announced. The Fund made small profits in
energy and interest rates and small losses in global stock indices and currency
positions. Uncertainty plagued the global markets for the last few months of the
second quarter, and there was no emergence of a solid trend to give investors
and economists any meaningful indication of what the second half of 2001 held.
This lack of market direction kept the Fund's performance relatively flat for
the month of June and for the first half of the year. In June, the Fund was
profitable in the global equity indices and currency markets while the fixed
income and energy markets erased all of those gains.
Most of the major U.S. stock and bond exchanges were negative while the Fund
posted a positive month to start the third quarter. The ability to short global
equity markets made stock indices the best performing sector for the month of
July. Short-term interest rates were also positive; however, this was mostly
offset by losses in the Japanese bond markets, which have come under pressure
from fiscal instability and uncertainty in Japan. Foreign exchange was down
slightly on global concerns about the future of the U.S. "strong dollar" policy.
August was another positive month for the Fund. The Fund profited from currency
cross
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rates, long and short-term interest rates and equities. The losing sector was
primarily the energy sector. September was a difficult month for most Americans
and for many others whose lives will forever be impacted by the terrorist
attacks of September 11th. However, despite the tumult, the Fund reported a
positive month and third quarter. Currencies and cross rates were profitable as
short dollar positions yielded solid returns. Long positions in both long and
short-term interest rate instruments were profitable as investors sought safety
when equity prices declined sharply. The major U.S. stock indices suffered their
worst quarterly losses since 1987. The Fund's non-correlation with equities was
evident as the Fund profited from a decline in global equity indices. Industrial
metals were also profitable, while the highly volatile energy sector was the
only unprofitable sector in September.
As the United States began to recover from the September 11th disaster, the
country demonstrated unity and fortitude in the most challenging of
circumstances. The Fund was positive during the month of October. The positive
performance was led by interest rates, which were strong throughout the month
and helped by the U.S. Treasury's announcement of the ending of the issuance of
30-year bonds. The energy and industrial metals sectors were also positive.
These gains were partly offset by losses in the currency and stock indices
sectors. In November, a sharp and totally unexpected increase in global interest
rates resulted in the Fund's largest monthly decline since its inception. While
statistically losses of this magnitude can occur, the speed of this loss caught
the Fund's trading advisor by surprise. The continuing decline in U.S. interest
rates initially accelerated after the U.S. Treasury announced it would stop
issuing 30-year Treasury Bonds. However, with good news from Afghanistan, a
sharp decline in energy prices, and a totally unexpected increase in retail
sales for October, market sentiment changed abruptly. Equity prices rallied and
interest rate instruments declined across the entire yield curve, all over the
world. The Fund rebounded with a positive return in December. The majority of
the gain for the month was made in currencies, primarily in the Japanese Yen.
These gains were offset by losses in the interest rate sectors. The Fund was
positive for the year delivering modest profitability and effective portfolio
diversification during an economically difficult year. 2001 will unfortunately
be remembered as a year that brought pain and devastation to so many.
2000
For 2000, all of the 10.70% increase in net asset value per unit occurred in the
last quarter of the year. Of this increase, approximately 14.34% was due to
trading gains (before commissions) and approximately 5.83% was due to interest
income, offset by approximately 9.47% in brokerage fees, performance fees and
operating and offering costs borne by the Fund. An analysis of the 14.34%
trading gains by sector is as follows:
SECTOR % GAIN (LOSS)
- ------ -------------
Energies 12.39%
Currencies 3.86
Interest Rates 2.45
Agricultural (.27)
Stock Indices (1.65)
Metals (2.44)
-----
14.34%
=====
The first month of 2000 provided a highly volatile environment, which
offered the Fund the opportunity to perform well in most markets. Long bond
positions held for security over the Y2K year-end were sold off early in the
month benefiting short positions. Rising interest rates with still moderate
inflation numbers helped push the U.S. 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
-8-
were more than offset by losses in short positions in the long-term interest
rate sector. March was a difficult month as sharp reversals in the energy sector
and the Yen were the biggest factors in the loss for the month.
Although the Fund managed gains in U.S. equity indices during April, the
unprecedented volatility in global equity indices resulted in a small loss in
this sector overall. The crude market rallied on news that OPEC would not
drastically increase production, causing losses on short crude positions which
more than eliminated gains made on the upward trend of natural gas. Losses in
the interest rates sectors provided the majority of the losses for the month, as
the Fund's long positions quickly became unprofitable as stability returned to
the equity markets. In May, the energy sector provided the majority of the
profit as the markets realized that OPEC production increases were still not
meeting demand. The continued economic strength caused the Federal Reserve to
increase short-term interest rates by 50 basis points mid-month as anticipated.
The Fund experienced a classic whipsaw as its interest rate positions flipped
from long to short, only to see the market rally hard again as softer economic
numbers triggered aggressive short covering. Higher interest rates pushed the
Fund's long U.S. Dollar positions up against the British Pound, New Zealand
Dollar and South African Rand. The energy sector continued to be the best
performer in June. Although the mid-month OPEC meeting increased the official
supply of crude, most of the increase was already being made available to the
market through quota cheating. This, together with the apparent solidarity of
OPEC, led to a strong rally that was profitable for the Fund's long positions.
The rallies in the S&P and NASDAQ indices at month-end contributed to a moderate
gain in this sector.
In July, the Fund sustained losses in the energy sector due to increased
crude oil production in Saudi Arabia, but managed small gains in the currencies
and interest rates sectors. The volatility in the stock indices sector also
continued to provide gains in July after a profitable June. Energy prices
resumed a strong upward trend in August after the sell off in July. This sector
provided the substantially all of the gain for the month. Small losses in the
currencies and interest rates sectors offset some of this gain. In September,
the G7 intervened to support the Euro causing both the Euro and British Pound to
trade sharply higher against the U.S. Dollar. This led to losses in both the
currency and cross rates sectors. The U.S. interest rate sector suffered due to
a combination of weakness in the corporate sector, a surprisingly strong CPI
number, and a shift in the government's debt repurchase program. This, combined
with a sharp whipsaw in the Japanese Government Bond, caused interest rates to
be the worst performing sector for the month.
Most of October's profit came from the currency sector. Significant
gains were earned in the Euro, British Pound and Japanese Yen, but were offset
by losses in the Swiss Franc and Australian Dollar. Ongoing hostilities in the
Middle East, further OPEC production promises, and relatively warm weather in
the northeastern U.S. caused whipsawing in the energy markets. While significant
gains were recorded in the energy sector early in October, the Fund closed the
month only marginally profitable in this sector. No other sector contributed
significantly to the return for the month. November proved to be the most
profitable month of the year. During November, bond prices strengthened on the
uncertainty surrounding the U.S. presidential election, poor corporate earnings
forecasts, and increasingly compelling signs of an economic slowdown. This
enabled the Fund to record substantial profits from its long interest rate
positions, but reciprocally, it caused losses in long U.S. equity index
positions. The Fund also recorded a gain in the energy sector as unseasonably
cold weather in the northeast US and continuing tension in the Middle East
combined to push prices higher which was positive for the Fund's long energy
positions. In December, currencies posted a profitable month reflecting the
continued strength of the U.S. Dollar. Negative equities performance contributed
to a rally in interest rate instruments that made this the most profitable
sector for December. The Fund's currency cross-rate positions were also
profitable, with short Yen against long European currency positions contributing
strongly. Positive performance in December contributed to a profitable fourth
quarter and to a profitable year.
-9-
1999
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 and offering costs borne by the Fund. An analysis
of the 9.19% trading gains by sector is as follows:
SECTOR % GAIN (LOSS)
- ------ -------------
Energies 8.88%
Currencies 2.48
Metals .51
Interest Rates .60
Agriculturals (.22)
Stock Indices (3.06)
----
9.19%
====
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 the 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 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 the
Fund 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. The Fund's 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
-10-
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 the Fund 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. The Fund's
response was to trim its portfolio to only the most liquid of contracts. The
sectors that performed well were energies, equities, and interest rates.
OFF-BALANCE SHEET RISK
The term "off-balance sheet risk" refers to an unrecorded potential liability
that, even though it does not appear on the balance sheet, may result in future
obligation or loss. The Fund trades in futures, forward and swap 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, forward and swap contracts
there is a credit risk that a counterparty will not be able to meet its
obligations to the Fund. The counterparty for futures contracts traded in the
United States and on most foreign exchanges is the clearinghouse associated with
such exchange. In general, clearinghouses are backed by the corporate members of
the clearinghouse who are required to share any financial burden resulting from
the non-performance by one of their members and, as such, should significantly
reduce this credit risk. In cases where the clearinghouse is not backed by the
clearing members, like some foreign exchanges, it is normally backed by a
consortium of banks or other financial institutions.
In the case of forward and swap contracts, which are traded on the interbank
market rather than on exchanges, the counterparty is generally a single bank or
other financial institution, rather than a group of financial institutions; thus
there may be a greater counterparty credit risk. Campbell & Company trades for
the Fund only with those counterparties which it believes to be creditworthy.
All positions of the Fund are valued each day on a mark-to-market basis. There
can be no assurance that any clearing member, clearinghouse or other
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
a substantial amount 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
-11-
price levels, the market value of financial instruments and contracts, the
diversification effects among the Fund's open positions and the liquidity of the
markets in which it trades.
The Fund rapidly acquires and liquidates both long and short positions
in a wide range of different markets. Consequently, it is not possible to
predict how a particular future market scenario will affect performance, and the
Fund's past performance is not necessarily indicative of its future results.
Value at Risk is a measure of the maximum amount which the Fund could
reasonably be expected to lose in a given market sector. However, the inherent
uncertainty of the Fund's speculative trading and the recurrence in the markets
traded by the Fund of market movements far exceeding expectations could result
in actual trading or non-trading losses far beyond the indicated Value at Risk
or the Fund's experience to date (i.e., "risk of ruin"). In light of the
foregoing as well as the risks and uncertainties intrinsic to all future
projections, the inclusion of the quantification included in this section should
not be considered to constitute any assurance or representation that the Fund's
losses in any market sector will be limited to Value at Risk or by the Fund's
attempts to manage its market risk.
Standard of Materiality
Materiality as used in this section, "Qualitative and Quantitative
Disclosures About Market Risk," is based on an assessment of reasonably possible
market movements and the potential losses caused by such movements, taking into
account the leverage, and multiplier features of the Fund's market sensitive
instruments.
QUANTIFYING THE FUND'S TRADING VALUE AT RISK
Quantitative Forward-Looking Statements
The following quantitative disclosures regarding the Fund's market risk
exposures contain "forward-looking statements" within the meaning of the safe
harbor from civil liability provided for such statements by the Private
Securities Litigation Reform Act of 1995 (set forth in Section 27A of the
Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934).
All quantitative disclosures in this section are deemed to be forward-looking
statements for purposes of the safe harbor, except for statements of historical
fact (such as the dollar amount of maintenance margin required for market risk
sensitive instruments held at the end of the reporting period).
The Fund's risk exposure in the various market sectors traded by
Campbell & Company is quantified below in terms of Value at Risk. Due to the
Fund's mark-to-market accounting, any loss in the fair value of the Fund's open
positions is directly reflected in the Fund's earnings (realized or unrealized).
Exchange maintenance margin requirements have been used by the Fund as
the measure of its Value at Risk. Maintenance margin requirements are set by
exchanges to equal or exceed the maximum losses reasonably expected to be
incurred in the fair value of any given contract in 95%-99% of any one-day
intervals. The maintenance margin levels are established by dealers and
exchanges using historical price studies as well as an assessment of current
market volatility and economic fundamentals to provide a probabilistic estimate
of the maximum expected near-term one-day price fluctuation. Maintenance margin
has been used rather than the more generally available initial margin, because
initial margin includes a credit risk component which is not relevant to Value
at Risk.
In the case of market sensitive instruments which are not
exchange-traded (which includes currencies and some energy products and metals
in the case of the Fund), the margin 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.
-12-
In the case of contracts denominated in foreign currencies, the Value at
Risk figures include foreign margin amounts converted into U.S. Dollars with an
incremental adjustment to reflect the exchange rate risk inherent to the
Dollar-based Fund in expressing Value at Risk in a functional currency other
than Dollars.
In quantifying the Fund's Value at Risk, 100% positive correlation in
the different positions held in each market risk category has been assumed.
Consequently, the margin requirements applicable to the open contracts have
simply been aggregated to determine each trading category's aggregate Value at
Risk. The diversification effects resulting from the fact that the Fund's
positions are rarely, if ever, 100% positively correlated have not been
reflected.
THE FUND'S TRADING VALUE AT RISK IN DIFFERENT MARKET SECTORS
The following tables indicate the trading Value at Risk
associated with the Fund's open positions by market category as of December 31,
2001, 2000 and 1999 and the trading gains/losses by market category for the
years then ended. All open position trading risk exposures of the Fund have been
included in calculating the figures set forth below. As of December 31, 2001,
2000 and 1999, the Fund's total capitalization was approximately $943 million,
$631 million and $484 million, respectively.
DECEMBER 31, 2001
-----------------
% OF TOTAL TRADING
MARKET SECTOR VALUE AT RISK CAPITALIZATION GAIN/(LOSS)*
- ------------- -------------- --------------- ---------------
Currencies $44.57 million 4.72% 8.14%
Stock Indices $13.76 million 1.46% 1.46%
Interest Rates $12.33 million 1.31% 5.70%
Energy $10.03 million 1.06% (6.18%)
Metals $ .71 million .08% (.57%)
-------------- ---- ----
Total $81.40 million 8.63% 8.55%
============== ==== ====
* - Of the 2.91% return for the year ended December 31, 2001, approximately
8.55% was due to trading gains (before commissions) and approximately 3.63% was
due to interest income, offset by approximately 9.27% due to brokerage fees,
performance fees and operating and offering costs borne by the Fund.
DECEMBER 31, 2000
-----------------
% OF TOTAL TRADING
MARKET SECTOR VALUE AT RISK CAPITALIZATION GAIN/(LOSS)*
- ------------- ------------- -------------- ------------
Interest Rates $23.16 million 3.67% 2.45%
Currencies $16.58 million 2.63% 3.86%
Stock Indices $13.99 million 2.22% (1.65%)
Energy $10.75 million 1.70% 12.39%
Metals $ 1.24 million .20% (2.44%)
Agriculturals $ 0 million 0% (.27%)
-------------- ----- -----
Total $65.72 million 10.42% 14.34%
============== ===== =====
-13-
* - Of the 10.70% return for the year ended December 31, 2000, approximately
14.34% was due to trading gains (before commissions) and approximately 5.83% was
due to interest income, offset by approximately 9.47% in brokerage fees,
performance fees and operating and offering costs borne by the Fund.
DECEMBER 31, 1999
-----------------
% OF TOTAL TRADING
MARKET SECTOR VALUE AT RISK CAPITALIZATION GAIN/(LOSS)*
- ------------- ------------- -------------- ------------
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%
============== ===== =====
* - 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 and offering costs borne by the Fund.
MATERIAL LIMITATIONS ON VALUE AT RISK AS AN ASSESSMENT OF MARKET RISK
The face value of the market sector instruments held by the Fund is
typically many times the applicable maintenance margin requirement (maintenance
margin requirements generally ranging between approximately 1% and 10% of
contract face value) as well as many times the capitalization of the Fund. The
magnitude of the Fund's open positions creates a "risk of ruin" not typically
found in most other investment vehicles. Because of the size of its positions,
certain market conditions -- unusual, but historically recurring from time to
time -- could cause the Fund to incur severe losses over a short period of time.
The foregoing Value at Risk tables -- as well as the past performance of the
Fund -- give no indication of this "risk of ruin."
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 its available assets in U.S. Treasury
Bills. The market risk represented by these investments is immaterial.
QUALITATIVE DISCLOSURES REGARDING PRIMARY TRADING RISK EXPOSURES
The following qualitative disclosures regarding the Fund's market risk
exposures -- except for (i) those disclosures that are statements of historical
fact and (ii) the descriptions of how the Fund manages its primary market risk
exposures -- constitute forward-looking statements within the meaning of Section
27A of the Securities Act and Section 21E of the Securities Exchange Act. The
Fund's primary market risk exposures as well as the strategies used and to be
used by Campbell & Company for managing such exposures are subject to numerous
uncertainties, contingencies and risks, any one of which could cause the actual
results of the Fund's risk controls to differ materially from the objectives of
such strategies. Government interventions, defaults and expropriations, illiquid
markets, the emergence of dominant fundamental factors, political
-14-
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, 2001, by market sector.
Currencies
Exchange rate risk is the principal market exposure of the Fund. The
Fund's currency exposure is to exchange rate fluctuations, primarily
fluctuations which disrupt the historical pricing relationships between
different currencies and currency pairs. These fluctuations are influenced by
interest rate changes as well as political and general economic conditions. The
Fund trades in a large number of currencies, including cross-rates -- i.e.,
positions between two currencies other than the U.S. Dollar. Campbell & Company
does not anticipate that the risk profile of the Fund's currency sector will
change significantly in the future.
Interest Rates
Interest rate risk is a significant market exposure of the Fund.
Interest rate movements directly affect the price of the sovereign bond
positions held by the Fund and indirectly the value of its stock index and
currency positions. Interest rate movements in one country as well as relative
interest rate movements between countries materially impact the Fund's
profitability. The Fund's primary interest rate exposure is to interest rate
fluctuations in the United States and the other G-7 countries. However, the Fund
also takes positions in the government debt of Switzerland. Campbell & Company
anticipates that G-7 interest rates will remain the primary market exposure of
the Fund for the foreseeable future. The changes in interest rates which have
the most effect on the Fund are changes in long-term, as opposed to short-term
rates. Most of the speculative positions held by the Fund are in medium- to
long-term instruments. Consequently, even a material change in short-term rates
would have little effect on the Fund were the medium- to long-term rates to
remain steady.
Stock Indices
The Fund's primary equity exposure is to equity price risk in the G-7
countries and several other countries (Hong Kong, Spain and Taiwan). The stock
index futures traded by the Fund are by law limited to futures on broadly based
indices. As of December 31, 2001, the Fund's primary exposures were in the
Nikkei (Japan), DAX (Germany), FTSE (U.K.), S&P 500 (USA), IBEX (Spain) and
NASDAQ (USA) stock indices. The Fund is primarily exposed to the risk of adverse
price trends or static markets in the major U.S., European and Japanese indices.
(Static markets would not cause major market changes but would make it difficult
for the Fund to avoid being "whipsawed" into numerous small losses.)
Energy
The Fund's primary energy market exposure is to gas and oil price
movements, often resulting from political developments in the Middle East. As of
December 31, 2001, natural gas and crude oil are the dominant energy market
exposures of the Fund. Oil and gas prices can be volatile and substantial
profits and losses have been and are expected to continue to be experienced in
this market.
Metals
-15-
The Fund's metals market exposure is to fluctuations in the price of
aluminum, copper, gold, nickel and zinc. The risk allocation to the metal sector
has not exceeded 5% of the Fund portfolio's during 2001.
QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE
The following were the only non-trading risk exposures of the Fund as of
December 31, 2001.
Foreign Currency Balances
The Fund's primary foreign currency balances are in Japanese Yen,
British Pounds and Euros. The Fund controls the non-trading risk of these
balances by regularly converting these balances back into dollars (no less
frequently than twice a month, and more frequently if a particular foreign
currency balance becomes unusually large).
Treasury Bill Positions
The Fund's only market exposure in instruments held other than for
trading is in its Treasury Bill portfolio. The Fund holds Treasury Bills
(interest bearing and credit risk-free) with durations no longer than six
months. Violent fluctuations in prevailing interest rates could cause immaterial
mark-to-market losses on the Fund's Treasury Bills, although substantially all
of these short-term investments are held to maturity.
QUALITATIVE DISCLOSURES REGARDING MEANS OF MANAGING RISK EXPOSURE
The means by which the Fund and Campbell & Company, severally, attempt
to manage the risk of the Fund's open positions is essentially the same in all
market categories traded. Campbell & Company applies risk management policies to
its trading which generally limit the total exposure that may be taken per "risk
unit" of assets under management. In addition, Campbell & Company follows
diversification guidelines (often formulated in terms of the balanced volatility
between markets and correlated groups), as well as imposing "stop-loss" points
at which open positions must be closed out.
Campbell & Company controls the risk of the Fund's non-trading
instruments (Treasury Bills held for cash management purposes) by limiting the
duration of such instruments to no more than six months.
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 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 22 of this report. The supplementary financial information
specified by Item 302 of Regulation S-K is included in Item 6. Selected
Financial Data.
-16-
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:
THERESA D. BECKS, born in 1963, 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. Becks 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
that time, she worked with Ernst & Young. Ms. Becks is a C.P.A. and has a B.S.
in Accounting from the University of Delaware. Ms. Becks is an Associated Person
of Campbell & Company.
RICHARD M. BELL, born in 1952, 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.
Mr. Bell is an Associated Person of Campbell & Company.
D. KEITH CAMPBELL, born in 1942, 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. Mr. Campbell is an Associated Person of
Campbell & Company.
WILLIAM C. CLARKE, III, born in 1951, 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, born in 1947, joined Campbell & Company in January 1993 and
presently serves as PRESIDENT, CHIEF EXECUTIVE OFFICER and a DIRECTOR. Mr.
Cleland has worked in the international derivatives industry since 1973, and has
owned and managed firms engaged in global clearing, floor brokerage, trading,
and portfolio management. Mr. Cleland is currently a member of the Board of
Directors of the Managed Funds Association, and has previously served as a
member of the Board of Governors of the COMEX, in New York. Mr. Cleland is a
graduate of Victoria University in Wellington, New Zealand where he earned a
Bachelor of Commerce and Administration degree. Mr. Cleland is an Associated
Person of Campbell & Company.
-17-
PHIL LINDNER, born in 1954, serves as VICE PRESIDENT - INFORMATION TECHNOLOGY.
He has been employed by Campbell & Company since October 1994 and 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, born in 1946, joined Campbell & Company in April 1990 and
serves as EXECUTIVE VICE PRESIDENT - BUSINESS DEVELOPMENT 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.
C. DOUGLAS YORK, born in 1958, 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
(a) Security Ownership of Certain Beneficial Owners. As of December
31, 2001, no Units of Limited Partnership are owned or held by
an officer of Campbell & Company.
(b) Security Ownership of Management. As of December 31, 2001,
Campbell & Company owned 4,881.720 Units of General Partnership
Interest having a value of $9,649,832. 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.
-18-
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 21 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.
-19-
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 22, 2002.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
By: CAMPBELL & COMPANY, INC.
General Partner
By: /s/ Theresa D. Becks
---------------------------
Theresa D. Becks
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 22, 2002.
Signature Capacity
--------- --------
/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. Becks
- --------------------
Theresa D. Becks Chief Financial Officer, Secretary,
Treasurer and Director
/s/ James M. Little
- -------------------
James M. Little Executive Vice President and Director
-20-
CAMPBELL STRATEGIC ALLOCATION
FUND, L.P.
ANNUAL REPORT
December 31, 2001
-21-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P
INDEX
PAGES
-----
INDEPENDENT AUDITOR'S REPORT 23
FINANCIAL STATEMENTS
Statements of Financial Condition
December 31, 2001 and 2000 24
Condensed Schedule of Investments
December 31, 2001 25-26
Statements of Operations For the Years
Ended December 31, 2001, 2000 and 1999 27
Statements of Cash Flows For the Years
Ended December 31, 2001, 2000 and 1999 28
Statements of Changes in Partners' Capital (Net Asset Value)
For the Years Ended December 31, 2001, 2000 and 1999 29
Notes to Financial Statements 30-35
-22-
[ARTHUR F. BELL, JR. & ASSOCIATES, L.L.C. LETTERHEAD]
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, 2001 and 2000, including the
December 31, 2001 condensed schedule of investments, and the related statements
of operations, cash flows and changes in partners' capital (net asset value) for
the years ended December 31, 2001, 2000 and 1999. 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 auditing standards generally accepted
in the United States of America. 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, 2001 and 2000, and the results of its operations,
cash flows and the changes in its net asset values for the years ended December
31, 2001, 2000 and 1999, in conformity with accounting principles generally
accepted in the United States of America.
/s/ Arthur F. Bell, Jr. & Associates, L.L.C.
Hunt Valley, Maryland
January 28, 2002
-23-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
December 31, 2001 and 2000
2001 2000
---- ----
ASSETS
Equity in broker trading accounts
Cash $ 43,668,215 $ 46,527,143
United States government securities 449,121,672 318,819,970
Unrealized gain on open futures contracts 490,603 24,297,352
------------- -------------
Deposits with broker 493,280,490 389,644,465
Cash and cash equivalents 152,320,470 87,655,535
United States government securities 265,950,001 163,798,866
Unrealized gain (loss) on open swap contracts (2,150,863) 5,341,674
Unrealized gain (loss) on open forward contracts 44,784,818 (1,247,873)
------------- -------------
Total assets $ 954,184,916 $ 645,192,667
============= =============
LIABILITIES
Accounts payable $ 391,290 $ 330,386
Brokerage fee 5,512,665 3,998,772
Performance fee 0 4,180,241
Offering costs payable 414,463 299,500
Redemptions payable 4,389,895 5,631,710
Subscription deposits 257,731 127,046
------------- -------------
Total liabilities 10,966,044 14,567,655
------------- -------------
PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner - 4,881.720 and 3,306.761 units
outstanding at December 31, 2001 and 2000 9,649,832 6,351,669
Limited Partners - 472,279.945 and 325,004.757 units
outstanding at December 31, 2001 and 2000 933,569,040 624,273,343
------------- -------------
Total partners' capital
(Net Asset Value) 943,218,872 630,625,012
------------- -------------
$ 954,184,916 $ 645,192,667
============= =============
See accompanying notes.
-24-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2001
UNITED STATES GOVERNMENT SECURITIES
- -----------------------------------
% of Net
Face Value Description Value Asset Value
---------- ----------- ----- -----------
$175,000,000 U.S. Treasury Bill, 3/21/02 $174,368,274 18.49%
$160,000,000 U.S. Treasury Bill, 1/10/02 159,913,191 16.95%
$130,000,000 U.S. Treasury Bill, 3/28/02 129,478,169 13.73%
$ 90,000,000 U.S. Treasury Bill, 1/31/02 89,849,942 9.52%
$ 60,000,000 U.S. Treasury Bill, 1/3/02 59,992,988 6.36%
Various other U.S. Treasury Bills 101,469,109 10.76%
------------ --------
TOTAL UNITED STATES GOVERNMENT SECURITIES
(COST, INCLUDING ACCRUED INTEREST, - $715,071,673) $715,071,673 75.81%
============ ========
LONG FUTURES CONTRACTS
- ----------------------
% of Net
Description Value Asset Value
----------- ----- -----------
Metals $ (50,275) (0.01)%
Stock index 1,120,697 0.12%
Short-term interest rate (301,319) (0.03)%
Long-term interest rate (1,778,293) (0.19)%
------------ ----------
TOTAL LONG FUTURES CONTRACTS $ (1,009,190) (0.11)%
============ ==========
LONG FORWARD CURRENCY CONTRACTS
- -------------------------------
% of Net
Description Value Asset Value
----------- ----- -----------
Various forward currency contracts $ 9,845,220 1.04%
============ =========
LONG SWAP CONTRACTS
- -------------------
% of Net
Description Value Asset Value
----------- ----- -----------
Energy $ (88,000) (0.01)%
Metals 120,500 0.01%
------------ ---------
TOTAL LONG SWAP CONTRACTS $ 32,500 0.00%
============ =========
See accompanying notes.
-25-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS (CONTINUED)
December 31, 2001
SHORT FUTURES CONTRACTS
- -----------------------
% of Net
Description Value Asset Value
----------- ----- -----------
Energy $ (649,017) (0.07)%
Metals (275,381) (0.03)%
Stock index 417,913 0.05%
Long-term interest rate 2,006,278 0.21%
------------ --------
TOTAL SHORT FUTURES CONTRACTS $ 1,499,793 0.16%
============ =========
SHORT FORWARD CURRENCY CONTRACTS
- --------------------------------
% of Net
Description Value Asset Value
----------- ----- -----------
Various forward currency contracts $ 34,939,598 3.70%
============ =========
SHORT SWAP CONTRACTS
- --------------------
% of Net
Description Value Asset Value
----------- ----- -----------
Energy $ (1,828,613) (0.19)%
Metals (354,750) (0.04)%
------------ --------
TOTAL SHORT SWAP CONTRACTS $ (2,183,363) (0.23)%
============ =========
See accompanying notes.
-26-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
For the Years Ended December 31, 2001, 2000 and 1999
2001 2000 1999
---- ---- ----
INCOME
Futures trading gains (losses)
Realized $ 82,486,335 $ 59,418,153 $ 15,028,356
Change in unrealized (23,806,749) 7,785,196 12,594,439
------------- ------------- -------------
Gain from futures trading 58,679,586 67,203,349 27,622,795
------------- ------------- -------------
Forward and swap trading gains (losses)
Realized (29,060,556) 12,338,257 4,085,047
Change in unrealized 38,540,154 (2,004,516) 7,103,742
------------- ------------- -------------
Gain from forward and swap trading 9,479,598 10,333,741 11,188,789
------------- ------------- -------------
Interest income 27,529,282 30,585,256 18,786,307
------------- ------------- -------------
Total income 95,688,466 108,122,346 57,597,891
------------- ------------- -------------
EXPENSES
Brokerage fee 57,252,553 40,968,168 31,758,700
Performance fee 7,396,537 4,226,508 1,780,671
Operating expenses 1,103,317 1,101,119 752,312
------------- ------------- -------------
Total expenses 65,752,407 46,295,795 34,291,683
------------- ------------- -------------
NET INCOME $ 29,936,059 $ 61,826,551 $ 23,306,208
============= ============= =============
NET INCOME PER GENERAL AND
LIMITED PARTNER UNIT
(based on weighted average number
of units outstanding during the year) $ 76.29 $ 208.13 $ 95.52
============= ============= =============
INCREASE IN NET ASSET VALUE
PER GENERAL AND LIMITED
PARTNER UNIT $ 55.92 $ 185.62 $ 73.88
============= ============= =============
See accompanying notes.
-27-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
For the Years Ended December 31, 2001, 2000 and 1999
2001 2000 1999
---- ---- ----
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
Net income $ 29,936,059 $ 61,826,551 $ 23,306,208
Adjustments to reconcile net income to
net cash (for) operating activities
Net change in unrealized (14,733,405) (5,780,680) (19,698,181)
Increase (decrease) in accounts payable
and accrued expenses (2,605,444) 5,130,690 (992,828)
Net (purchases) of investments in
United States government
and agency securities (232,452,837) (96,553,110) (171,896,926)
------------- ------------- -------------
Net cash (for) operating activities (219,855,627) (35,376,549) (169,281,727)
------------- ------------- -------------
CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
Addition of units 350,629,619 158,275,344 158,931,214
Increase in subscription deposits 130,685 19,751 90,509
Redemption of units (63,486,011) (70,088,150) (39,327,023)
Increase (decrease) in redemptions payable (1,241,815) (3,443,088) 6,814,273
Offering costs charged (4,485,807) (3,408,837) (2,846,943)
Increase in offering costs payable 114,963 39,905 74,283
------------- ------------- -------------
Net cash from financing activities 281,661,634 81,394,925 123,736,313
------------- ------------- -------------
Net increase (decrease) in cash and cash equivalents 61,806,007 46,018,376 (45,545,414)
CASH AND CASH EQUIVALENTS
Beginning of year 134,182,678 88,164,302 133,709,716
------------- ------------- -------------
End of year $ 195,988,685 $ 134,182,678 $ 88,164,302
============= ============= =============
End of year cash and cash equivalents consists of:
Cash in broker trading accounts $ 43,668,215 $ 46,527,143 $ 54,186,103
Cash and cash equivalents 152,320,470 87,655,535 33,978,199
------------- ------------- -------------
Total end of year cash and
cash equivalents $ 195,988,685 $ 134,182,678 $ 88,164,302
============= ============= =============
See accompanying notes.
-28-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
For the Years Ended December 31, 2001, 2000 and 1999
Partners' Capital
-------------------------------------------------------------------------------------------------
General Limited Total
----------------------------- ----------------------------- -----------------------------
Units Amount Units Amount Units Amount
----- ------ ----- ------ ----- ------
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
Net income for the year
ended December 31, 2000 617,436 61,209,115 61,826,551
Additions 401.899 730,000 88,328.360 157,545,344 88,730.259 158,275,344
Redemptions 0.000 0 (39,362.648) (70,088,150) (39,362.648) (70,088,150)
Offering costs (36,255) (3,372,582) (3,408,837)
------------ ------------ ------------ ------------ ------------ ------------
Balances at
December 31, 2000 3,306.761 6,351,669 325,004.757 624,273,343 328,311.518 630,625,012
Net income for the year
ended December 31, 2001 303,730 29,632,329 29,936,059
Additions 1,574.959 3,039,801 179,648.673 347,589,818 181,223.632 350,629,619
Redemptions 0.000 0 (32,373.485) (63,486,011) (32,373.485) (63,486,011)
Offering costs (45,368) (4,440,439) (4,485,807)
------------ ------------ ------------ ------------ ------------ ------------
Balances at
December 31, 2001 4,881.720 $ 9,649,832 472,279.945 $933,569,040 477,161.665 $943,218,872
============ ============ ============ ============ ============ ============
Net Asset Value Per General and Limited Partner Unit
----------------------------------------------------
December 31,
2001 2000 1999
---- ---- ----
$1,976.73 $1,920.81 $1,735.19
========= ========= =========
See accompanying notes.
-29-
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, forward contracts and swap contracts.
B. Regulation
As a registrant with the Securities and Exchange Commission, the
Fund is subject to the regulatory requirements under the
Securities Act of 1933 and the Securities Exchange Act of 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 and other market makers
through which the Fund trades.
C. Method of Reporting
The Fund's financial statements are presented in accordance with
accounting principles generally accepted in the United States of
America, 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 trade 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. Brokerage commissions and other trading fees paid
directly to the broker are included in "brokerage fee" and are
charged to expense when contracts are opened. 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 applicable state
information tax returns and reports to the partners their
allocable shares of the Fund's income, expenses and trading
gains or losses.
-30-
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 $21,814,293 through
December 31, 2001, $14,506,825 of which has already been
reimbursed to Campbell & Company by the Fund. At December 31,
2001, the Fund reflects a liability in the statement of
financial condition for offering costs payable to Campbell &
Company of $414,463. 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.
-31-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Note 2. GENERAL PARTNER AND COMMODITY TRADING ADVISOR (CONTINUED)
Commencing January 1, 2001, the Fund pays a monthly brokerage fee
equal to 1/12 of 7% (7% annualized) of month-end net assets to
Campbell & Company and $10 per round turn to the broker for execution
and clearing costs, the total of which is reported as brokerage fee
in the statement of operations. From the 7% fee, a portion (4%) is
used to compensate selling agents for ongoing services rendered and a
portion (3%) is retained by Campbell & Company for trading and
management services rendered. The amount paid to the broker for
execution and clearing costs is limited to 1/12 of 1% (1% annualized)
of month-end net assets. From August 1, 2000 through December 31,
2000, the monthly brokerage fee was equal to 1/12 of 7.65% (7.65%
annualized) of month-end net assets, with the broker directly
receiving an amount equal to 1/12 of 0.65% (0.65% annualized) of
month-end net assets. Prior to August 1, 2000, the monthly brokerage
fee was equal to 1/12 of 7.7% (7.7% annualized) of month-end net
assets, with the amount paid directly to the broker equal to 1/12 of
0.7% (0.7% annualized) of month-end net assets. During 2001, 2000 and
1999, the amounts paid directly to the broker amounted to $3,693,099,
$3,615,766 and $2,887,155, 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, 2001, 2000 and 1999.
Note 5. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
Investments in the Fund are made by subscription agreement, subject
to acceptance by Campbell & Company. As of December 31, 2001 and
2000, amounts received by the Fund from prospective limited partners
who have not yet been admitted to the Fund by Campbell & Company
totaled $257,731 and $127,046, 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.
-32-
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, forward contracts and swap contracts
(collectively, "derivatives"). 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 and other 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, 2001 and 2000 was $715,071,673 and
$482,618,836, respectively, which equals 76% and 77% of Net Asset
Value, respectively. The cash deposited with interbank and other
market makers at December 31, 2001 and 2000 was $112,287,187 and
$68,504,488, respectively, and is included in cash and cash
equivalents.
The Fund trades forward and swap contracts in unregulated markets
between principals and assumes the risk of loss from counterparty
nonperformance. Accordingly, the risks associated with forward and
swap contracts are generally greater than those associated with
exchange traded contracts because of the greater risk of counterparty
default. Additionally, the trading of forward and swap 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.
-33-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
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 notional contract value of futures, forward and swap contracts
purchased and unlimited liability on such contracts sold short.
The unrealized gain (loss) on open futures, forward and swap
contracts is comprised of the following:
Futures Contracts Forward and Swap Contracts
(exchange traded) (non-exchange traded)
December 31, December 31,
2001 2000 2001 2000
---- ---- ---- ----
Gross unrealized gains $ 7,971,570 $ 30,981,485 $ 53,378,920 $ 47,234,539
Gross unrealized losses (7,480,967) (6,684,133) (10,744,965) (43,140,738)
------------ ------------ ------------ ------------
Net unrealized gain $ 490,603 $ 24,297,352 $ 42,633,955 $ 4,093,801
============ ============ ============ ============
Open contracts generally mature within three months; as of December
31, 2001, the latest maturity date for open futures contracts is
September 2002, and the latest maturity date for open forward and
swap contracts is March 2002. 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 it 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.
-34-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Note 7. FINANCIAL HIGHLIGHTS
The following information presents per unit operating performance
data and other supplemental financial data for the year ended
December 31, 2001. This information has been derived from information
presented in the financial statements.
PER UNIT PERFORMANCE
(for a unit outstanding throughout the entire year)
---------------------------------------------------
Net asset value per unit at December 31, 2000 $1,920.81
---------
Income (loss) from operations:
Net investment (loss) (1), (3) (88.00)
Net realized and change in unrealized gain from trading (2), (3) 155.35
---------
Total income from operations 67.35
---------
Offering costs (3) (11.43)
---------
Net asset value per unit at December 31, 2001 $1,976.73
=========
TOTAL RETURN 2.91%
======
SUPPLEMENTAL DATA
Ratios to average net asset value:
Expenses prior to performance fee (1) 7.21%
Performance fee 0.98%
------
Total expenses (1) 8.19%
======
Net investment (loss) (1) (4.56)%
=======
Total return is calculated based on the change in value of a unit
during the year. An individual partner's total return and ratios may
vary from the above total return and ratios based on the timing of
additions and redemptions.
--------------------------------
(1) Excludes brokerage commissions and other trading fees paid
directly to the broker.
(2) Includes brokerage commissions and other trading fees paid
directly to the broker.
(3) The net investment (loss) per unit and offering costs per unit
are calculated by dividing the net investment (loss) and
offering costs by the average number of units outstanding during
the year. The net realized and change in unrealized gain from
trading is a balancing amount necessary to reconcile the change
in net asset value per unit with the other per unit information.
-35-
INDEX TO EXHIBITS
Sequentially
Numbered
Exhibit No. Exhibit Page
- ----------- ------- ------------
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
Campbell & Company * (1)
10.02 Form of Customer Agreement between the Registrant and n/a
PaineWebber Incorporated *
10.03 Subscription Agreement and Power of Attorney**** n/a
10.04 Escrow Agreement between the Registrant and n/a
Mercantile Safe Deposit & Trust Company *
10.05 International Swap Dealers Association, Inc. Master Agreement
between the Registrant and ABN AMRO Bank, N.V.**** n/a
10.06 International Swap Dealers Association, Inc. Master Agreement
between the Registrant and Deutsche Bank AG**** n/a
- ---------------------------------------
* Incorporated by reference to the respective exhibit to the Registrant's
Registration Statement on Form S-1 (No. 33-67164) filed on August 9,
1993.
** Incorporated by reference to the respective exhibit to the Registrant's
Registration Statement on Form S-1 (No. 333-80933) filed on June 17,
1999.
*** Incorporated by reference to the respective exhibit to the Registrant's
Registration Statement on Form S-1 (No. 333-43250) filed on August 8,
2000.
**** Incorporated by reference to the respective exhibit to the Registrant's
Registration Statement of Form S-1 (No. 333-61274) filed on May 18,
2001.
(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.
-36-