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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
[ X ] QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the quarterly period ended June 30, 2002
------------------
or
[ ] TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the transition period from ____________________to________________________
Commission File number: 0-22260
---------------
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
----------------------------------------------------------------------
(Exact name of registrant as specified in charter)
Delaware 52-1823554
- ---------------------------------------------- ------------------------------------------
(State of Organization) (IRS Employer Identification Number)
Court Towers Building,
210 West Pennsylvania Avenue,
Baltimore, Maryland 21204
- ------------------------------------------ ----------------------------------------------
(Address of principal executive offices) (Zip Code)
(410) 296-3301
- ---------------
(Registrant's telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports required
to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during
the preceding 12 months, and (2) has been subject to such filing requirements
for the past 90 days.
Yes [ X ] No [ ]
Total number of Pages: 25
---
PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
The following financial statements of Campbell Strategic Allocation Fund, L.P.
are included in Item 1:
Statements of Financial Condition as of June 30, 2002 and
December 31, 2001
Condensed Schedule of Investments as of June 30, 2002 (Unaudited)
Statements of Operations for the Three Months and
Six Months Ended June 30, 2002 and 2001
Statements of Cash Flows for the Six Months Ended
June 30, 2002 and 2001
Statements of Changes in Partners' Capital (Net Asset Value) for the
Six Months Ended June 30, 2002 and 2001
-2-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
June 30, 2002 (Unaudited) and December 31, 2001 (Audited)
June 30, December 31,
2002 2001
---- ----
ASSETS
Equity in broker trading accounts
Cash $ 66,337,332 $ 43,668,215
United States government securities 404,289,873 449,121,672
Unrealized gain on open futures contracts 34,940,067 490,603
----------------- ------------------
Deposits with broker 505,567,272 493,280,490
Cash and cash equivalents 182,624,295 152,320,470
United States government securities 387,112,485 265,950,001
Unrealized gain (loss) on open swap contracts 166,400 (2,150,863)
Unrealized gain on open forward contracts 31,131,259 44,784,818
----------------- -----------------
Total assets $ 1,106,601,711 $ 954,184,916
================= =================
LIABILITIES
Accounts payable $ 267,918 $ 391,290
Brokerage fee 6,809,825 5,512,665
Offering costs payable 536,314 414,463
Redemptions payable 8,757,547 4,389,895
Subscription deposits 0 257,731
----------------- -----------------
Total liabilities 16,371,604 10,966,044
----------------- -----------------
PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner - 5,513.682 and 4,881.720 units
outstanding at June 30, 2002 and
December 31, 2001 11,061,328 9,649,832
Limited Partners - 537,926.709 and 472,279.945
units outstanding at June 30, 2002 and
December 31, 2001 1,079,168,779 933,569,040
----------------- -----------------
Total partners' capital
(Net Asset Value) 1,090,230,107 943,218,872
----------------- -----------------
$ 1,106,601,711 $ 954,184,916
================= =================
See accompanying notes.
-3-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
June 30, 2002
(Unaudited)
UNITED STATES GOVERNMENT SECURITIES
% of Net
Face Value Description Value Asset Value
---------- ----------- ----- -----------
$240,000,000 U.S. Treasury Bill, 7/11/02 $239,889,319 22.00%
$200,000,000 U.S. Treasury Bill, 9/19/02 199,271,111 18.28%
$110,000,000 U.S. Treasury Bill, 8/01/02 109,837,854 10.07%
$109,000,000 U.S. Treasury Bill, 10/03/02 108,533,238 9.96%
$ 60,000,000 U.S. Treasury Bill, 7/05/02 59,988,427 5.50%
Various other U.S. Treasury Bills 73,882,409 6.78%
-------------- ---------
TOTAL UNITED STATES GOVERNMENT SECURITIES
(COST, INCLUDING ACCRUED INTEREST, - $791,402,358) $791,402,358 72.59%
============ ========
LONG FUTURES CONTRACTS
% of Net
Description Value Asset Value
----------- ----- -----------
Energy $ 1,512,920 0.14%
Metals (801,437) (0.07)%
Stock index (520,995) (0.05)%
Short-term interest rates 17,038,391 1.56%
Long-term interest rates 18,630,887 1.71%
-------------- ---------
TOTAL LONG FUTURES CONTRACTS $ 35,859,766 3.29%
============= =========
LONG FORWARD CURRENCY CONTRACTS
% of Net
Amount Description Value Asset Value
- ------ ----------- ----- -----------
1,577,600,000 Euro, 9/18/02 $ 70,402,724 6.46%
Other forward currency contracts 54,038,294 4.95%
-------------- ---------
TOTAL FORWARD CURRENCY CONTRACTS $124,441,018 11.41%
============= =========
LONG SWAP CONTRACTS
% of Net
Description Value Asset Value
----------- ----- -----------
Metals $ (200) 0.00%
============== =========
See accompanying notes.
-4-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS (CONTINUED)
June 30, 2002
(Unaudited)
SHORT FUTURES CONTRACTS
% of Net
Description Value Asset Value
----------- ----- -----------
Energy $ 276,120 0.03%
Metals (899,898) (0.08)%
Stock index (295,921) (0.03)%
---------------- ----------
TOTAL SHORT FUTURES CONTRACTS $ (919,699) (0.08)%
=============== ==========
SHORT FORWARD CURRENCY CONTRACTS
% of Net
Description Value Asset Value
----------- ----- -----------
Various forward currency contracts $ (93,309,759) (8.56)%
============= ==========
SHORT SWAP CONTRACTS
% of Net
Description Value Asset Value
----------- ----- -----------
Metals $ 166,600 0.02%
=============== =========
See accompanying notes.
-5-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
For the Three Months Ended June 30, 2002 and 2001 and
For the Six Months Ended June 30, 2002 and 2001
(Unaudited)
Three Months Six Months
Ended Ended
June 30, June 30,
2002 2001 2002 2001
---- ---- ---- ----
INCOME
Futures trading gains (losses)
Realized $(12,948,125) $(15,417,821) $(39,073,774) $ 54,348,823
Change in unrealized 401,704 (16,957,292) 34,449,464 (22,045,526)
------------- ------------- ------------- -------------
Gain (loss) from futures trading (12,546,421) (32,375,113) (4,624,310) 32,303,297
-------------- ------------- -------------- -------------
Forward and swap trading gains (losses)
Realized 76,904,182 (24,180,628) 70,433,808 (44,947,583)
Change in unrealized 22,870,256 (5,913,102) (11,336,296) 1,465,207
------------- ------------- -------------- -------------
Gain (loss) from forward
and swap trading 99,774,438 (30,093,730) 59,097,512 (43,482,376)
------------- ------------- ------------- -------------
Interest income 4,069,135 7,295,977 7,985,801 16,139,235
------------- ------------- ------------- -------------
Total income (loss) 91,297,152 (55,172,866) 62,459,003 4,960,156
------------- ------------- ------------- -------------
EXPENSES
Brokerage fee 19,521,951 13,187,831 37,313,342 25,749,599
Performance fee 0 0 0 7,354,533
Operating expenses 362,456 276,481 691,686 507,558
------------- ------------- ------------- -------------
Total expenses $ 19,884,407 13,464,312 $ 38,005,028 $ 33,611,690
------------- ------------- ------------- -------------
NET INCOME (LOSS) $ 71,412,745 $(68,637,178) $ 24,453,975 $(28,651,534)
============= ============= ============= =============
NET INCOME (LOSS) PER GENERAL
AND LIMITED PARTNER UNIT
(based on weighted average number of
units outstanding during the period) $ 135.30 $ (182.57) $ 48.06 $ (80.19)
============= ============= ============= =============
INCREASE (DECREASE) IN NET
ASSET VALUE PER GENERAL
AND LIMITED PARTNER UNIT $ 127.92 $ (190.52) $ 29.43 $ (80.15)
============= ============= ============= =============
See accompanying notes.
-6-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
For the Six Months Ended June 30, 2002 and 2001
(Unaudited)
Six Months
Ended
June 30,
2002 2001
---- ----
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
Net income (loss) $ 24,453,975 $ (28,651,534)
Adjustments to reconcile net income (loss) to net
cash (for) operating activities
Net change in unrealized (23,113,168) 20,580,319
Increase (decrease) in accounts payable and
accrued expenses 1,173,788 (3,923,699)
Net (purchases) of investments in United States
government securities (76,330,685) (107,489,793)
------------- --------------
Net cash (for) operating activities (73,816,090) (119,484,707)
------------- --------------
CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
Addition of units 168,624,934 170,543,088
(Decrease) in subscription deposits (257,731) (96,991)
Redemption of units (42,988,750) (20,228,173)
Increase (decrease) in redemptions payable 4,367,652 (3,116,096)
Offering costs charged (3,078,924) (2,023,044)
Increase in offering costs payable 121,851 60,826
------------- --------------
Net cash from financing activities 126,789,032 145,139,610
------------- --------------
Net increase in cash and cash equivalents 52,972,942 25,654,903
CASH AND CASH EQUIVALENTS
Beginning of period 195,988,685 134,182,678
------------- --------------
End of period $ 248,961,627 $ 159,837,581
============= ==============
End of period cash and cash equivalents consists of:
Cash in broker trading accounts $ 66,337,332 $ 36,338,060
Cash and cash equivalents 182,624,295 123,499,521
------------- --------------
Total end of period cash and cash equivalents $ 248,961,627 $ 159,837,581
============= ==============
See accompanying notes.
-7-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
For the Six Months Ended June 30, 2002 and 2001
(Unaudited)
Partners' Capital
----------------------------------------------------------------------------------------
General Limited Total
----------------------------------------------------------------------------------------
Units Amount Units Amount Units Amount
----- ------ ----- ------ ----- ------
SIX MONTHS ENDED JUNE 30, 2002
Balances at
December 31, 2001 4,881.720 $ 9,649,832 472,279.945 $ 933,569,040 477,161.665 $ 943,218,872
Net income for the six months
ended June 30, 2002 244,287 24,209,688 24,453,975
Additions 631.962 1,198,660 88,318.734 167,426,274 88,950.696 168,624,934
Redemptions 0.000 0 (22,671.970) (42,988,750) (22,671.970) (42,988,750)
Offering costs (31,451) (3,047,473) (3,078,924)
--------- ----------- ----------- -------------- ----------- --------------
Balances at
June 30, 2002 5,513.682 $11,061,328 537,926.709 $1,079,168,779 543,440.391 $1,090,230,107
========= =========== =========== ============== =========== ==============
SIX MONTHS ENDED JUNE 30, 2001
Balances at
December 31, 2000 3,306.761 $ 6,351,669 325,004.757 $ 624,273,343 328,311.518 $ 630,625,012
Net (loss) for the six months
ended June 30, 2001 (287,984) (28,363,550) (28,651,534)
Additions 818.432 1,549,800 89,043.758 168,993,288 89,862.190 170,543,088
Redemptions 0.000 0 (10,566.451) (20,228,173) (10,566.451) (20,228,173)
Offering costs (20,408) (2,002,636) (2,023,044)
--------- ----------- ----------- -------------- ----------- --------------
Balances at
June 30, 2001 4,125.193 $ 7,593,077 403,482.064 $ 742,672,272 407,607.257 $ 750,265,349
========= =========== =========== =============== =========== ===============
Net Asset Value Per General and Limited Partner Unit
-------------------------------------------------------------------
June 30, December 31, June 30, December 31,
2002 2001 2001 2000
---- ---- ---- ----
$2,006.16 $1,976.73 $1,840.66 $1,920.81
========= ========= ========= =========
See accompanying notes.
-8-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
A. General Description of the Fund
Campbell Strategic Allocation Fund, L.P. (the Fund) is a
Delaware limited partnership which operates as a commodity
investment pool. The Fund engages in the speculative trading
of futures contracts, 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.
-9-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(CONTINUED)
E. Income Taxes
The Fund prepares calendar year U.S. and applicable state
information tax returns and reports to the partners their
allocable shares of the Fund's income, expenses and trading
gains or losses.
F. Offering Costs
Campbell & Company, Inc. (Campbell & Company) has incurred
total costs in connection with the initial and continuous
offering of units of the Fund (offering costs) of $24,954,021
through June 30, 2002, $17,463,898 of which has already been
reimbursed to Campbell & Company by the Fund. At June 30,
2002, the Fund reflects a liability in the statement of
financial condition for offering costs payable to Campbell &
Company of $536,314. 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.
-10-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 2. GENERAL PARTNER AND COMMODITY TRADING ADVISOR (CONTINUED)
Campbell & Company is required by the Amended Agreement of Limited
Partnership to maintain a net worth equal to at least 5% of the
capital contributed by all the limited partnerships for which it acts
as general partner, including the Fund. The minimum net worth shall
in no case be less than $50,000 nor shall net worth in excess of
$1,000,000 be required.
The Fund pays a monthly brokerage fee equal to 1/12 of 7% (7%
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 and interbank market maker for execution
and clearing costs is limited to 1/12 of 1% (1% annualized) of
month-end net assets. During the six months ended June 30, 2002 and
2001, the amounts paid directly to the broker and interbank market
maker amounted to $3,256,706 and $1,820,730, respectively. During the
three months ended June 30, 2002 and 2001, the amounts paid directly
to the broker and interbank market maker amounted to $1,979,233 and
$967,166, 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% (annualized) of average month-end Net Asset Value for the three
months and six months ended June 30, 2002 and 2001.
Note 5. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
Investments in the Fund are made by subscription agreement, subject
to acceptance by Campbell & Company. As of June 30, 2002 and December
31, 2001, amounts received by the Fund from prospective limited
partners who have not yet been admitted to the Fund by Campbell &
Company totaled $0 and $257,731, respectively.
-11-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 5. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS (CONTINUED)
The Fund is not required to make distributions, but may do so at the
sole discretion of Campbell & Company. A limited partner may request
and receive redemption of units owned, subject to restrictions in the
Amended Agreement of Limited Partnership. Redemption fees apply
through the first twelve month-ends following purchase as follows: 4%
of Net Asset Value per unit redeemed through the third month-end, 3%
of Net Asset Value per unit redeemed through the sixth month-end, 2%
of Net Asset Value per unit redeemed through the ninth month-end and
1% of Net Asset Value per unit redeemed through the twelfth
month-end. After the twelfth month-end following purchase of a unit,
no redemption fees apply.
Note 6. TRADING ACTIVITIES AND RELATED RISKS
The Fund engages in the speculative trading of U.S. and foreign
futures contracts, 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 June 30, 2002 and December 31, 2001 was
$791,402,358 and $715,071,673, respectively, which equals 73% and 76%
of Net Asset Value, respectively. The cash deposited with interbank
and other market makers to satisfy such requirements at June 30, 2002
and December 31, 2001 was $162,039,041 and $112,287,187,
respectively, which equals 15% and 12% of Net Asset Value,
respectively. These amounts are 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.
-12-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
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)
June 30, December 31, June 30, December 31,
2002 2001 2002 2001
---- ---- ---- ----
Gross unrealized gains $ 43,342,423 $ 7,971,570 $ 136,667,917 $ 53,378,920
Gross unrealized losses (8,402,356) (7,480,967) (105,370,258) (10,744,965)
---------------- ---------------- -------------- ---------------
Net unrealized gain $ 34,940,067 $ 490,603 $ 31,297,659 $ 42,633,955
============== ================ ============== ==============
Open contracts generally mature within three months; as of June 30,
2002, the latest maturity date for open futures contracts is March
2003, and the latest maturity date for open forward and swap
contracts is September 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.
Note 7. INTERIM FINANCIAL STATEMENTS
The statement of financial condition as of June 30, 2002, including
the June 30, 2002 condensed schedule of investments, the statements
of operations for the three months and six months ended June 30, 2002
and 2001, and the statements of cash flows and changes in partners'
capital (Net Asset Value) for the six months ended June 30, 2002 and
2001 are unaudited. In the opinion of management, such financial
statements reflect all adjustments, which were of a normal and
recurring nature, necessary for a fair presentation of financial
position as of June 30, 2002, and the results of operations for the
three months and six months ended June 30, 2002 and 2001, and cash
flows for the six months ended June 30, 2002 and 2001.
-13-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 8. FINANCIAL HIGHLIGHTS
The following information presents per unit operating performance
data and other supplemental financial data for the entire three
months and six months ended June 30, 2002 and 2001. This information
has been derived from information presented in the financial
statements.
Three months ended Six months ended
June 30, 2002 June 30, 2001 June 30, 2002 June 30, 2001
(Unaudited) (Unaudited) (Unaudited) (Unaudited)
----------- ----------- ----------- -----------
PER UNIT PERFORMANCE
(for a unit outstanding throughout the entire period)
-----------------------------------------------------
Net asset value per unit at beginning of period $1,878.24 $2,031.18 $1,976.73 $1,920.81
--------- --------- --------- ---------
Income (loss) from operations:
Net investment (loss) (1), (3) (26.21) (14.38) (52.60) (44.83)
Net realized and change in unrealized gain (loss)
from trading (2), (3) 157.18 (173.26) 88.08 (29.66)
--------- --------- --------- ---------
Total income (loss) from operations 130.97 (187.64) 35.48 (74.49)
--------- --------- --------- ---------
Offering costs (3) (3.05) (2.88) (6.05) (5.66)
--------- --------- --------- ---------
Net asset value per unit at end of period $2,006.16 $1,840.66 $2,006.16 $1,840.66
========= ========= ========= =========
TOTAL RETURN (4) 6.81% (9.38)% 1.49% (4.17)%
========= ========= ========= =========
SUPPLEMENTAL DATA
Ratios to average net asset value:
Expenses prior to performance fee (1), (5) 7.16% 6.97% 7.09% 7.16%
Performance fee (5) 0.00% 0.00% 0.00% 2.12%
-------- -------- -------- --------
Total expenses (1), (5) 7.16% 6.97% 7.09% 9.28%
======== ======== ======== ========
Net investment (loss) (1), (5) (5.54)% (2.96)% (5.46)% (4.62)%
======== ======== ======== ========
Total returns are calculated based on the change in value of a unit
during the period. An individual partner's total returns and ratios
may vary from the above total returns 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 period. The net
realized and change in unrealized gain (loss) from trading is a
balancing amount necessary to reconcile the change in net asset value
per unit with the other per unit information.
(4) Not annualized
(5) Annualized
-14-
Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations
Introduction
The offering of Campbell Strategic Allocation Fund's (the "Fund") Units of
Limited Partnership Interest commenced on January 12, 1994, and the initial
offering terminated on April 15, 1994 with proceeds of $9,692,439. The
continuing offering period commenced immediately after the termination of the
initial offering period; additional subscriptions totaling $1,144,774,265 have
been accepted during the continuing offering period as of July 1, 2002.
Redemptions over the same time period total $270,796,547. The Fund commenced
operations on April 18, 1994.
Capital Resources
The Fund will raise additional capital only through the sale of Units offered
pursuant to the continuing offering, and does not intend to raise any capital
through borrowing. Due to the nature of the Fund's business, it will make no
capital expenditures and will have no capital assets which are not operating
capital or assets.
Liquidity
Most United States commodity exchanges limit fluctuations in 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 to
the daily limit for several consecutive days with little or no trading. Similar
occurrences could prevent the Fund from promptly liquidating unfavorable
positions and subject the Fund to substantial losses, which could exceed the
margin initially committed to such trades. In addition, even if 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.
Results of Operations
The returns for the six months ending June 30, 2002 and 2001 were 1.49% and
(4.17)%, respectively. Of the 1.49% increase, approximately 4.87% was due to
trading gains (before commissions) and approximately .81% was due to interest
income, offset by approximately 4.19% due to brokerage fees, performance fees,
operating cost and offering costs borne by the Fund.
-15-
SECTOR % GAIN (LOSS)
- ------ -------------
Currencies 5.90%
Interest Rates .81
Metals (.04)
Energy (.38)
Stock Indices (1.42)
======
4.87%
======
During January, the Enron and Global Crossing bankruptcies took a toll on the
U.S. equities markets that were already under pressure and resulted in a
stumbling start to the New Year, as layoffs, earnings restatements and revenue
declines continued to dominate the business news. Internationally, the Japanese
economy continued to deteriorate, while the full extent of any Argentinean
contagion is yet to be acknowledged in Brazil or other parts of South America.
On the positive side, U.S. consumer spending continued to be robust. The Fund
posted a small loss for January, largely as a result of volatility in the global
currency markets. Energy and short stock index positions contributed small
gains.
The high market volatility in January continued into February. Further Enron
revelations radiated concern about the accounting practices of other large
companies and caused the equity markets to decline early in the month. Sentiment
reversed abruptly on positive economic news on home sales, manufacturing and
consumer spending. The Fund's performance was negative in February with losses
in energy, stock indices and long-term interest rates partially offset by gains
in short-term interest rates.
March was a mixed month in which positive performance in the energy and interest
rate sectors were more than offset by losses in stock indices and currencies,
which make up a substantial part of the Fund's portfolio. The Japanese Yen
produced the largest loss when it rallied in reaction to Bank of Japan
intervention in preparation for their March 31st fiscal year-end as the Fund was
maintaining a short position. Energy was the strongest performing sector
profiting from long positions in crude oil and unleaded gas. The loss in the
stock indices sector came from short positions in the Nikkei and Hang Seng
indices as Asian equities rallied. The overall loss for the month occurred
independently of the equity and bond markets demonstrating the volatility
reducing effect of blending assets whose returns are largely uncorrelated.
April was one of the most difficult trading months since the Fund began trading.
The Fund ended the month down over 4.5%. The fixed income sector was whip-lashed
as hopes of imminent economic recovery sputtered causing the majority of the
trading losses for the month. Broad-based selling of the three leading US equity
indices put them at their lowest levels since October 2001 and contributed to
the Fund's losses for the month. The energy sector was battered by reports of
unfolding events in both Venezuela and the Middle East. Many areas of concern
remain including continued instability in the Middle East, weak corporate
earnings, continued revelations of corporate
-16-
accounting issues, fear of a collapse in the residential real estate market,
high energy costs and a growing federal budget deficit due to lower tax
receipts.
The month of May finally provided some trending opportunities that the Fund was
able to profit from. The currencies and interest rates sectors provided the
gains for the month, but these were offset by losses in the energy and stock
indices sectors. While the equities markets remained nervous, many alternative
investment strategies, including managed futures, were able to provide positive
returns.
Strong performance in the month of June contributed to a positive second quarter
and more than made up for losses during the beginning of the year. All major US
equity indices made new cycle lows as domestic and international investor
confidence was battered by reports of scandalous corporate leadership conduct.
The long awaited US economic recovery looked sluggish at best. In this troubled
environment, the US dollar lost ground against most major trading partners,
while interest rate futures rose and stock indices declined. These three sectors
contributed significantly to the profits in June, while small losses were
recorded in the metals and energy sectors.
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
-17-
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 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
-18-
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.
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
-19-
The following tables indicate the trading Value at Risk
associated with the Fund's open positions by market category as of June 30, 2002
and December 31, 2001 and the trading gains/losses by market category for the
six months ended June 30, 2002 and the year then ended December 31, 2001. All
open position trading risk exposures of the Fund have been included in
calculating the figures set forth below. As of June 30, 2002 and December 31,
2001, the Fund's total capitalization was approximately $1,090 million and $943
million, respectively.
JUNE 30, 2002
% OF TOTAL TRADING
MARKET SECTOR VALUE AT RISK CAPITALIZATION GAIN/(LOSS)*
- ------------- ------------- -------------- ------------
Currencies $ 52.08 million 4.77% 5.90%
Interest Rates $ 47.39 million 4.35% .81%
Stock Indices $ 39.48 million 3.62% (1.42%)
Metals $ 7.93 million .73% (.04%)
Energy $ 4.67 million .43% (.38%)
--------------- ------ ------
Total $151.55 million 13.90% 4.87%
=============== ====== ======
* - The returns for the six months ending June 30, 2002 and 2001 were 1.49% and
(4.17)%, respectively. Of the 1.49% increase, approximately 4.87% was due to
trading gains (before commissions) and approximately .81% was due to interest
income, offset by approximately 4.19% due to brokerage fees, performance fees,
operating cost and offering costs borne by the Fund.
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.
-20-
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 upheavals,
changes in historical price relationships, an influx of new market participants,
increased regulation and many other factors could result in material losses as
well as in material changes to the risk exposures and the risk management
strategies of the Fund. There can be no assurance that the Fund's current market
exposure and/or risk management strategies will not change materially or that
any such strategies will be effective in either the short- or long-term.
Investors must be prepared to lose all or substantially all of their investment
in the Fund.
The following were the primary trading risk exposures of the Fund as of
June 30, 2002, 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
-21-
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 one of the primary market
exposures of the Fund for the foreseeable future.
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 June 30, 2002, the Fund's primary exposures were in the DAX
(Germany), Nikkei (Japan), NASDAQ (USA), S&P 500 (USA), FTSE (U.K.), and Euro
STOXX 50 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
June 30, 2002, crude oil and natural gas 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
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 the six months ended June 30,
2002.
-22-
QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE
The following were the only non-trading risk exposures of the Fund as
of June 30, 2002.
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.
-23-
PART II-OTHER INFORMATION
Item 1. Legal Proceedings.
None
Item 2. Changes in Securities
None
Item 3. Defaults Upon Senior Securities
Not applicable.
Item 4. Submissions of Matters to a vote of Security Holders.
None
Item 5. Other Information
None
Item 6. Exhibits and Reports on Form 8-K.
None
-24-
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Registrant)
By: Campbell & Company, Inc.
General Partner
Date: August 8, 2002 By: /s/Theresa D. Becks
----------------------------------------
Theresa D. Becks
Chief Financial Officer/Treasurer/
Director
-25-
EXHIBIT INDEX
Exhibit Number Description of Document Page Number
- -------------- ----------------------- -----------
99.01 Certification by Chief Executive Officer E 2
99.02 Certification by Chief Financial Officer E 3
-E 1-