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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 March 31, 2003
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, including 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 [ ]
Indicate by check mark whether the registrant is an accelerated filer (as
defined in Exchange Act Rule 12b-2)
Yes [X] No [ ]
Total number of Pages: 28
PAGE
----
PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
Statements of Financial Condition as of March 31, 2003 (Unaudited)
and December 31, 2002 (Audited) 3
Condensed Schedule of Investments as of March 31, 2003 (Unaudited) 4
Statements of Operations for the Three Months Ended
March 31, 2003 and 2002 (Unaudited) 5
Statements of Cash Flows for the Three Months Ended
March 31, 2003 and 2002 (Unaudited) 6
Statements of Changes in Partners' Capital (Net Asset Value)
for the Three Months Ended March 31, 2003 and 2002 (Unaudited) 7
Notes to Financial Statements (Unaudited) 8
Item 2. Management's Discussion and Analysis of Financial Condition and
Results of Operations 14
Item 3. Quantitative and Qualitative Disclosure About Market Risk 16
Item 4. Controls and Procedures 22
PART II - OTHER INFORMATION 23
SIGNATURES 24
CERTIFICATIONS 25
EXHIBIT INDEX E-1
EXHIBIT 99.01 Certification by Chief Executive Officer E-2
EXHIBIT 99.02 Certification of Chief Financial Officer E-3
-2-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
March 31, 2003 (Unaudited) and December 31, 2002 (Audited)
March 31, December 31,
2003 2002
---- ----
ASSETS
Equity in broker trading accounts
Cash $ 102,408,216 $ 41,776,698
United States government securities 854,443,562 734,598,883
Unrealized gain on open futures contracts 4,716,159 16,807,266
---------------- ----------------
Deposits with broker 961,567,937 793,182,847
Cash and cash equivalents 520,850,976 314,337,785
United States government securities 618,102,345 518,161,351
Unrealized gain (loss) on open swap contracts (617,350) 5,108,650
Unrealized gain (loss) on open forward contracts (7,867,077) 23,639,509
---------------- ----------------
Total assets $ 2,092,036,831 $ 1,654,430,142
================ ================
LIABILITIES
Accounts payable $ 302,804 $ 604,807
Brokerage fee 11,840,864 9,036,828
Performance fee 27,668,193 0
Offering costs payable 889,600 666,954
Redemptions payable 14,743,558 8,965,508
Subscription deposits 100,014 17,206,853
---------------- ----------------
Total liabilities 55,545,033 36,480,950
---------------- ----------------
PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner - 8,275.992 and 7,262.904 units
outstanding at March 31, 2003 and
December 31, 2002 20,455,107 16,240,216
Limited Partners - 815,675.420 and 716,313.085
units outstanding at March 31, 2003 and
December 31, 2002 2,016,036,691 1,601,708,976
---------------- ----------------
Total partners' capital
(Net Asset Value) 2,036,491,798 1,617,949,192
---------------- ----------------
$ 2,092,036,831 $ 1,654,430,142
================ ================
See accompanying notes.
-3-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
March 31, 2003
(Unaudited)
UNITED STATES GOVERNMENT SECURITIES
- -----------------------------------
% of Net
Face Value Description Value Asset Value
---------- ----------- ----- -----------
$345,000,000 U.S. Treasury Bill, 4/10/03 $ 344,899,712 16.93%
$300,000,000 U.S. Treasury Bill, 6/19/03 299,265,958 14.70%
$270,000,000 U.S. Treasury Bill, 4/3/03 269,982,299 13.26%
$250,000,000 U.S. Treasury Bill, 5/1/03 249,763,751 12.26%
$113,024,000 U.S. Treasury Bill, 4/24/03 112,941,418 5.55%
Various other U.S. Treasury Bills 195,692,769 9.61%
--------------- --------
TOTAL UNITED STATES GOVERNMENT SECURITIES
(COST, INCLUDING ACCRUED INTEREST, - $1,472,545,907) $ 1,472,545,907 72.31%
=============== ========
LONG FUTURES CONTRACTS
- ----------------------
% of Net
Description Value Asset Value
----------- ----- -----------
Energy $ (1,238,727) (0.06)%
Metals (1,632,829) (0.08)%
Stock index (728,450) (0.04)%
Short-term interest rate 2,601,464 0.13 %
Long-term interest rate (438,400) (0.02)%
--------------- ---------
TOTAL LONG FUTURES CONTRACTS $ (1,436,942) (0.07)%
--------------- ---------
SHORT FUTURES CONTRACTS
- -----------------------
% of Net
Description Value Asset Value
----------- ----- -----------
Energy $ (773,739) (0.04)%
Metals 716,786 0.04 %
Stock index 6,139,609 0.30 %
Short-term interest rate 70,445 0.00 %
--------------- ---------
TOTAL SHORT FUTURES CONTRACTS $ 6,153,101 0.30 %
--------------- ---------
TOTAL FUTURES CONTRACTS $ 4,716,159 0.23 %
=============== =========
FORWARD CURRENCY CONTRACTS
- --------------------------
% of Net
Description Value Asset Value
----------- ----- -----------
Various long forward currency contracts $ 23,324,880 1.14 %
Various short forward currency contracts (31,191,957) (1.53)%
--------------- ---------
TOTAL FORWARD CURRENCY CONTRACTS $ (7,867,077) (0.39)%
=============== =========
SHORT SWAP CONTRACTS
- --------------------
% of Net
Description Value Asset Value
----------- ----- -----------
Metals $ (617,350) (0.03)%
=============== =========
See accompanying notes.
-4-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
For the Three Months Ended March 31, 2003 and 2002
(Unaudited)
2003 2002
---- ----
INCOME
Futures trading gains (losses)
Realized $ 126,796,273 $ (26,125,649)
Change in unrealized (12,091,107) 34,047,760
-------------- --------------
Gain from futures trading 114,705,166 7,922,111
-------------- --------------
Forward and swap trading gains (losses)
Realized 152,965,630 (6,470,374)
Change in unrealized (37,232,586) (34,206,552)
-------------- --------------
Gain (loss) from forward and swap trading 115,733,044 (40,676,926)
-------------- --------------
Interest income 5,322,191 3,916,666
-------------- --------------
Total income (loss) 235,760,401 (28,838,149)
-------------- --------------
EXPENSES
Brokerage fee 34,655,813 17,791,391
Performance fee 28,040,099 0
Operating expenses 628,681 329,230
-------------- --------------
Total expenses 63,324,593 18,120,621
-------------- --------------
NET INCOME (LOSS) $ 172,435,808 $ (46,958,770)
============== ==============
NET INCOME (LOSS) PER GENERAL AND
LIMITED PARTNER UNIT
(based on weighted average number of
units outstanding during the period) $ 227.95 $ (95.88)
============== ==============
INCREASE (DECREASE) IN NET ASSET VALUE
PER GENERAL AND LIMITED PARTNER UNIT $ 235.57 $ (98.49)
============== ==============
See accompanying notes.
-5-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
For the Three Months Ended March 31, 2003 and 2002
(Unaudited)
2003 2002
---- ----
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
Net income (loss) $ 172,435,808 $ (46,958,770)
Adjustments to reconcile net income (loss) to net cash
from (for) operating activities
Net change in unrealized 49,323,693 158,792
Increase in accounts payable and accrued expenses 30,170,226 255,711
Net (purchases) sales of investments in United States
government securities (219,785,673) 10,001,192
-------------- --------------
Net cash from (for) operating activities 32,144,054 (36,543,075)
-------------- --------------
CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
Addition of units 284,193,599 96,357,795
(Decrease) in subscription deposits (17,106,839) (157,203)
Redemption of units (35,418,061) (18,445,955)
Increase in redemptions payable 5,778,050 4,016,673
Offering costs charged (2,668,740) (1,469,982)
Increase in offering costs payable 222,646 75,531
-------------- --------------
Net cash from financing activities 235,000,655 80,376,859
-------------- --------------
Net increase in cash and cash equivalents 267,144,709 43,833,784
CASH AND CASH EQUIVALENTS
Beginning of period 356,114,483 195,988,685
-------------- --------------
End of period $ 623,259,192 $ 239,822,469
============== ==============
End of period cash and cash equivalents consists of:
Cash in broker trading accounts $ 102,408,216 $ 32,284,846
Cash and cash equivalents 520,850,976 207,537,623
-------------- --------------
Total end of period cash and cash equivalents $ 623,259,192 $ 239,822,469
============== ==============
See accompanying notes.
-6-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
For the Three Months Ended March 31, 2003 and 2002
(Unaudited)
Partners' Capital
------------------------------------------------------------------------------------------
General Limited Total
----------------------- ------------------------------ ------------------------------
Units Amount Units Amount Units Amount
----- ------ ----- ------ ----- ------
THREE MONTHS ENDED MARCH 31, 2003
Balances at
December 31, 2002 7,262.904 $ 16,240,216 716,313.085 $ 1,601,708,976 723,575.989 $ 1,617,949,192
Net income for the three months
ended March 31, 2003 1,731,688 170,704,120 172,435,808
Additions 1,013.088 2,510,000 113,571.737 281,683,599 114,584.825 284,193,599
Redemptions 0.000 0 (14,209.402) (35,418,061) (14,209.402) (35,418,061)
Offering costs (26,797) (2,641,943) (2,668,740)
--------- ------------ ----------- --------------- ----------- ---------------
Balances at
March 31, 2003 8,275.992 $ 20,455,107 815,675.420 $ 2,016,036,691 823,951.412 $ 2,036,491,798
========= ============ =========== =============== =========== ===============
THREE MONTHS ENDED MARCH 31, 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 (loss) for the three months
ended March 31, 2002 (480,385) (46,478,385) (46,958,770)
Additions 414.661 793,466 49,975.886 95,564,329 50,390.547 96,357,795
Redemptions 0.000 0 (9,672.598) (18,445,955) (9,672.598) (18,445,955)
Offering costs (15,038) (1,454,944) (1,469,982)
--------- ------------ ----------- --------------- ----------- ---------------
Balances at
March 31, 2002 5,296.381 $ 9,947,875 512,583.233 $ 962,754,085 517,879.614 $ 972,701,960
========= ============ =========== =============== =========== ===============
Net Asset Value Per General and Limited Partner Unit
------------------------------------------------------
March 31, December 31, March 31, December 31,
2003 2002 2002 2001
---- ---- ---- ----
$ 2,471.62 $ 2,236.05 $ 1,878.24 $ 1,976.73
=========== =========== =========== ===========
See accompanying notes.
-7-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
A. General Description of the Fund
Campbell Strategic Allocation Fund, L.P. (the Fund) is a
Delaware limited partnership which operates as a commodity
investment pool. The Fund engages in the speculative trading
of futures contracts, 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.
-8-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
E. Income Taxes
The Fund prepares calendar year U.S. and 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 all
costs in connection with the initial and continuous offering
of units of the Fund (offering costs). 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. At March 31, 2003, the Fund reflects
a liability in the statement of financial condition for
offering costs payable to Campbell & Company of $889,600. The
amount of monthly reimbursement due to Campbell & Company is
charged directly to partners' capital.
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. At
March 31, 2003, the amount of unreimbursed offering costs
incurred by Campbell & Company is $10,646,257.
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.
-9-
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
approximately $6 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. During the three months ended March 31, 2003 and 2002, the
amounts paid directly to the broker amounted to $946,504 and
$1,277,473, 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
ended March 31, 2003 and 2002.
-10-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 5. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
Investments in the Fund are made by subscription agreement, subject to
acceptance by Campbell & Company. As of March 31 2003, amounts received
by the Fund from prospective limited partners who have not yet been
admitted to the Fund by Campbell & Company totaled $100,014. In
December 2002, the Fund received deposits from prospective limited
partners totaling $17,206,853. These deposits were returned to the
prospective investors in January 2003.
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 March 31, 2003 and December 31, 2002 was $1,472,545,907
and $1,252,760,234, respectively, which equals 72% and 77% of Net Asset
Value, respectively. The cash deposited with interbank and other market
makers at March 31, 2003 and December 31, 2002 was $410,873,952 and
$176,597,790, 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.
-11-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
The Fund has a substantial portion of its assets on deposit with
financial institutions. In the event of a financial institution's
insolvency, recovery of Fund assets on deposit may be limited to
account insurance or other protection afforded such deposits.
For derivatives, risks arise from changes in the market value of the
contracts. Theoretically, the Fund is exposed to a market risk equal to
the 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)
March 31, December 31, March 31, December 31,
2003 2002 2003 2002
---- ---- ---- ----
Gross unrealized gains $ 13,419,990 $ 28,128,413 $ 42,607,923 $141,686,377
Gross unrealized losses (8,703,831) (11,321,147) (51,092,350) (112,938,218)
------------- ------------ ------------- ------------
Net unrealized gain $ 4,716,159 $ 16,807,266 $ (8,484,427) $ 28,748,159
============= ============ ============= ============
Open contracts generally mature within three months; as of March 31,
2003, the latest maturity date for open futures contracts is December
2003, and the latest maturity date for open forward and swap contracts
is June 2003. 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 March 31, 2003, including
the March 31, 2003 condensed schedule of investments, and the
statements of operations, cash flows and changes in partners' capital
(Net Asset Value) for the three months ended March 31, 2003 and 2002
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 March 31,
2003, and the results of operations and cash flows for the three months
ended March 31, 2003 and 2002.
-12-
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 three months ended March
31, 2003 and 2002. This information has been derived from information
presented in the financial statements.
Three months ended
March 31,
2003 2002
(Unaudited) (Unaudited)
----------- -----------
PER UNIT PERFORMANCE
(for a unit outstanding throughout the entire period)
- -----------------------------------------------------
Net asset value per unit at beginning of period $ 2,236.05 $ 1,976.73
---------- ----------
Income (loss) from operations:
Net realized and change in unrealized gain
(loss) from trading (2),(3) 314.52 (69.10)
Expenses net of interest income (1),(3) (75.42) (26.39)
---------- ----------
Total income (loss) from operations 239.10 (95.49)
---------- ----------
Offering costs(3) (3.53) (3.00)
---------- ----------
Net asset value per unit at end of period $ 2,471.62 $ 1,878.24
========== ==========
TOTAL RETURN(4) 10.54% (4.98)%
========== ==========
SUPPLEMENTAL DATA
Ratios to average net asset value:
Expenses prior to performance fee (1),(5) (7.40)% (7.06)%
Performance fee(5) (6.04)% 0.00%
---------- ----------
Total expenses (1),(5) (13.44)% (7.06)%
========== ==========
Expenses net of interest income (1),(5),(6) (6.25)% (5.42)%
========== ==========
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) Expenses net of interest income per unit and offering costs per unit are
calculated by dividing the expenses net of interest income 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
(6) Excludes performance fee
-13-
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
OF OPERATIONS
Introduction
The offering of Campbell Strategic Allocation Fund L.P.'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 $1,884,522,120 have
been accepted during the continuing offering period as of April 1, 2003.
Redemptions over the same time period total $361,880,373. The Fund commenced
operations on April 18, 1994.
Capital Resources
The Fund will raise additional capital only through the sale of Units offered
pursuant to the continuing offering, and does not intend to raise any capital
through borrowing. Due to the nature of the Fund's business, it will make no
capital expenditures and will have no capital assets, which are not operating
capital or assets.
Liquidity
Most United States commodity exchanges limit fluctuations in commodity futures
contracts prices during a single day by regulations referred to as "daily price
fluctuation limits" or "daily limits". During a single trading day, no trades
may be executed at prices beyond the daily limit. Once the price of a futures
contract has reached the daily limit for that day, positions in that contract
can neither be taken nor liquidated. Commodity futures prices have occasionally
moved to the daily limit for several consecutive days with little or no trading.
Similar occurrences could prevent the Fund from promptly liquidating unfavorable
positions and subject the Fund to substantial losses which could exceed the
margin initially committed to such trades. In addition, even if commodity
futures prices have not moved the daily limit, the Fund may not be able to
execute futures trades at favorable prices, if little trading in such contracts
is taking place. Other than these limitations on liquidity, which are inherent
in the Fund's commodity futures trading operations, the Fund's assets are
expected to be highly liquid.
Results of Operations
The returns for the three months ending March 31, 2003 and 2002 were 10.54% and
(4.98)%, respectively. Of the 10.54% increase, approximately 13.81% was due to
trading gains (before commissions) and approximately .29% was due to interest
income, offset by approximately 3.56% due to brokerage fees, performance fees,
operating cost and offering costs borne by the Fund. An analysis of the 13.81%
trading gains by sector is as follows:
-14-
SECTOR % GAIN (LOSS)
----- ------------
Currencies 7.03%
Energy 4.99
Interest Rates 1.74
Stock Indices 0.09
Metals (0.04)
-----
13.81%
=====
The long-term trends that created so much opportunity for the Fund in 2002
continued in January 2003. Profits were earned in every sector other than stock
indices. However, the environment was one where a single event, the prospect of
war with Iraq, was driving the Fund's whole portfolio. While the Fund's
systematic and disciplined trading strategies continued to keep it engaged,
leverage was subsequently decreased to protect against significant losses which
could result from potential sharp and extended reversals in core positions.
The Fund was positive again in February with metals being the only negative
sector. Strong momentum in energy, fixed income, currencies and stock indices
continued, largely as a result of the troubled global geopolitical outlook. In
order to mitigate the risk of potential sharp reversals in trends, the Fund
maintained a lower-than-normal level of leverage during the month.
The long awaited market reversal occurred in March. Initially energy, precious
metals and fixed income markets all sold off sharply, while equities and the
U.S. Dollar rallied. Several days into this correction, these markets all sold
off suddenly, as hopes of a quick victory in Iraq subsided. With significantly
reduced leverage, the losses the Fund sustained were relatively modest, giving
the Fund a positive first quarter.
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%.
-15-
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.
ITEM 3. 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
-16-
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.
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
-17-
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 March 31, 2003 and December
31, 2002 and the trading gains/losses by market category for the three months
ended March 31, 2003 and the year then ended December 31, 2002. All open
position trading risk exposures of the Fund have been included in calculating
the figures set forth below. As of March 31, 2003 and December 31, 2002, the
Fund's total capitalization was approximately $2,036 million and $1,618 million,
respectively.
MARCH 31, 2003
--------------
% OF TOTAL TRADING
MARKET SECTOR VALUE AT RISK CAPITALIZATION GAIN/(LOSS)*
- ------------- ------------- -------------- ------------
Currencies $ 50.66 million 2.49% 7.03%
Stock Indices $ 18.71 million .92% 0.09%
Interest Rates $ 15.65 million .77% 1.74%
Energy $ 3.25 million .16% 4.99%
Metals $ 1.50 million .07% (.04)%
--------------- ---- ----
Total $ 89.77 million 4.41% 13.81%
=============== ==== =====
* - Of the 10.54% return for the three months ended March 31, 2003,
approximately 13.81% was due to trading gains (before commissions) and
approximately .29% due to interest income, offset by approximately 3.56% due to
brokerage fees, performance fees and operating and offering costs borne by the
Fund.
-18-
DECEMBER 31, 2002
-----------------
% OF TOTAL TRADING
MARKET SECTOR VALUE AT RISK CAPITALIZATION GAIN/(LOSS)*
- ------------- ------------- -------------- ------------
Currencies $ 52.32 million 3.23% 6.20%
Energy $ 39.05 million 2.41% (1.96)%
Interest Rates $ 23.75 million 1.47% 14.98%
Stock Indices $ 13.28 million .82% 3.42%
Metals $ 3.00 million .19% (.34)%
--------------- ---- -----
Total $131.40 million 8.12% 22.30%
=============== ==== =====
* - Of the 13.12% return for the year ended December 31, 2002, approximately
22.30% was due to trading gains (before commissions) and approximately 1.62% was
due to interest income, offset by approximately 10.80% due to 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
-19-
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
March 31, 2003, 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. Additionally,
the Fund 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 March 31, 2003, the Fund's primary exposures were in the FTSE
(U.K.), DAX (Germany), Euro STOXX 50, Hang Seng (Hong Kong), Nikkei (Japan),
NASDAQ (USA) and S&P 500 (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.)
-20-
Energy
The Fund's primary energy market exposure is to gas and oil price
movements, often resulting from political developments and ongoing conflicts in
the Middle East. As of March 31, 2003, crude oil and heating 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
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 2% of the Fund's portfolio during the three months ended March
31, 2003.
QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE
The following were the only non-trading risk exposures of the Fund as
of March 31, 2003.
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 Campbell & Company attempts 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.
-21-
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 4. Controls and Procedures
Campbell & Company, Inc., the general partner of the Fund, with the
participation of the general partner's Chief Executive Officer and Chief
Financial Officer, has evaluated the effectiveness of the design and operation
of its disclosure controls and procedures with respect to the Fund within 90
days of the filing date of this quarterly report, and, based on their
evaluation, have concluded that these disclosure controls and procedures are
effective. There were no significant changes in the general partner's internal
controls with respect to the Fund or in other factors applicable to the Fund
that could significantly affect these controls subsequent to the date of their
evaluation.
-22-
PART II-OTHER INFORMATION
Item 1. Legal Proceedings.
None
Item 2. Changes in Securities and Use of Proceeds
None
Item 3. Defaults Upon Senior Securities
Not applicable.
Item 4. Submissions of Matters to a vote of Security Holders.
None
Item 5. Other Information
None
Item 6. Exhibits and Reports on Form 8-K.
(a) Exhibits
Exhibit Number Description of Document
99.01 Certification of Bruce L. Cleland, Chief
Executive Officer, pursuant to 18 U.S.C.
Section 1350, as enacted by Section 906 of
The Sarbanes-Oxley Act of 2002.
99.02 Certification of Theresa D. Becks, Chief
Financial Officer, pursuant to 18 U.S.C.
Section 1350, as enacted by Section 906 of
The Sarbanes-Oxley Act of 2002.
(b) Reports of Form 8-K
None
-23-
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, on the 13th day of May 2003.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Registrant)
By: Campbell & Company, Inc.
General Partner
By: /s/ Theresa D. Becks
----------------------------
Theresa D. Becks
Chief Financial Officer/
Treasurer/Director
-24-
CERTIFICATION
I, Bruce L. Cleland, Chief Executive Officer of Campbell & Company, Inc., the
general partner of Campbell Strategic Allocation Fund, L.P. (the "Fund"), do
hereby certify that:
1. I have reviewed this quarterly report on Form 10-Q of the Fund;
2. Based on my knowledge, this quarterly report does not contain any
untrue statement of a material fact or omit to state a material fact
necessary to make the statements made, in light of the circumstances
under which such statements were made, not misleading with respect to
the period covered by this quarterly report;
3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly report, fairly present in all
material respects the financial condition, results of operations and
cash flows of the Fund as of, and for, the periods presented in this
quarterly report;
4. The Fund's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as
such term is defined in paragraph (c) of Exchange Act Rule 15d-14) for
the Fund and we have:
(i) designed such disclosure controls and procedures to ensure
that material information relating to the Fund, including its
consolidated subsidiaries, is made known to us by others
within those entities, particularly during the period in which
this quarterly report is being prepared;
(ii) evaluated the effectiveness of the Fund's disclosure controls
and procedures as of a date within 90 days prior to the filing
date of this quarterly report (the "Evaluation Date"); and
(iii) presented in this quarterly report our conclusions about the
effectiveness of the disclosure controls and procedures based
on our evaluation as of the Evaluation Date;
5. The Fund's other certifying officer and I have disclosed, based on our
most recent evaluation, to the Fund's auditors and the audit committee
of the Fund's board of directors (or persons performing the equivalent
functions):
(i) all significant deficiencies in the design or operation of
internal controls which could adversely affect the Fund's
ability to record, process, summarize and report financial
data and have identified for the Fund's auditors any material
weaknesses in internal controls; and
(ii) any fraud, whether or not material, that involves management
or other employees who have a significant role in the Fund's
internal controls; and
-25-
6. The Fund's other certifying officer and I have indicated in this
quarterly report whether not there were significant changes in internal
controls or in other factors that could significantly affect internal
controls subsequent to the date of our most recent evaluation,
including any corrective actions with regard to significant
deficiencies and material weaknesses.
By: /s/ Bruce L. Cleland
-----------------------------
Bruce L. Cleland
Chief Executive Officer
May 13, 2003
-26-
CERTIFICATION
I, Theresa D. Becks, Chief Financial Officer of Campbell & Company, Inc., the
general partner of Campbell Strategic Allocation Fund, L.P. (the "Fund"), do
hereby certify that:
1. I have reviewed this quarterly report on Form 10-Q of the Fund;
2. Based on my knowledge, this quarterly report does not contain any
untrue statement of a material fact or omit to state a material fact
necessary to make the statements made, in light of the circumstances
under which such statements were made, not misleading with respect to
the period covered by this quarterly report;
3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly report, fairly present in all
material respects the financial condition, results of operations and
cash flows of the Fund as of, and for, the periods presented in this
quarterly report;
4. The Fund's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as
such term is defined in paragraph (c) of Exchange Act Rule 15d-14) for
the Fund and we have:
(i) designed such disclosure controls and procedures to ensure
that material information relating to the Fund, including its
consolidated subsidiaries, is made known to us by others
within those entities, particularly during the period in which
this quarterly report is being prepared;
(ii) evaluated the effectiveness of the Fund's disclosure controls
and procedures as of a date within 90 days prior to the filing
date of this quarterly report (the "Evaluation Date"); and
(iii) presented in this quarterly report our conclusions about the
effectiveness of the disclosure controls and procedures based
on our evaluation as of the Evaluation Date;
5. The Fund's other certifying officer and I have disclosed, based on our
most recent evaluation, to the Fund's auditors and the audit committee
of the Fund's board of directors (or persons performing the equivalent
functions):
(i) all significant deficiencies in the design or operation of
internal controls which could adversely affect the Fund's
ability to record, process, summarize and report financial
data and have identified for the Fund's auditors any material
weaknesses in internal controls; and
(ii) any fraud, whether or not material, that involves management
or other employees who have a significant role in the Fund's
internal controls; and
-27-
6. The Fund's other certifying officer and I have indicated in this
quarterly report whether or not there were significant changes in
internal controls or in other factors that could significantly affect
internal controls subsequent to the date of our most recent evaluation,
including any corrective actions with regard to significant
deficiencies and material weaknesses.
By: /s/ Theresa D. Becks
-----------------------------
Theresa D. Becks
Chief Financial Officer
May 13, 2003
-28-
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-