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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, 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: 24
PAGE
----
PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
Statements of Financial Condition as of June 30, 2003 (Unaudited)
and December 31, 2002 (Audited) 3
Condensed Schedule of Investments as of June 30, 2003 (Unaudited) 4
Statements of Operations for the Three Months and Six Months Ended
June 30, 2003 and 2002 (Unaudited) 5
Statements of Cash Flows for the Six Months Ended
June 30, 2003 and 2002 (Unaudited) 6
Statements of Changes in Partners' Capital (Net Asset Value)
for the Six Months Ended June 30, 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 17
Item 4. Controls and Procedures 22
PART II - OTHER INFORMATION 23
SIGNATURES 24
EXHIBIT INDEX E-1
EXHIBIT 31.01 Certification by Chief Executive Officer E-2
EXHIBIT 31.02 Certification of Chief Financial Officer E-4
EXHIBIT 32.01 Certification by Chief Executive Officer E-6
EXHIBIT 32.02 Certification of Chief Financial Officer E-7
-2-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
June 30, 2003 (Unaudited) and December 31, 2002 (Audited)
June 30, December 31,
2003 2002
---- ----
ASSETS
Equity in broker trading accounts
Cash $ 142,674,593 $ 41,776,698
United States government securities 964,475,444 734,598,883
Unrealized gain (loss) on open futures contracts (30,523,846) 16,807,266
--------------- ---------------
Deposits with broker 1,076,626,191 793,182,847
Cash and cash equivalents 546,361,770 314,337,785
United States government securities 711,242,763 518,161,351
Unrealized gain (loss) on open swap contracts (7,063,800) 5,108,650
Unrealized gain on open forward contracts 29,835,584 23,639,509
--------------- ---------------
Total assets $ 2,357,002,508 $ 1,654,430,142
=============== ===============
LIABILITIES
Accounts payable $ 411,207 $ 604,807
Brokerage fee 13,827,802 9,036,828
Performance fee 17,159,247 0
Offering costs payable 1,087,220 666,954
Redemptions payable 9,208,203 8,965,508
Subscription deposits 0 17,206,853
--------------- ---------------
Total liabilities 41,693,679 36,480,950
--------------- ---------------
PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner - 9,105.833 and 7,262.904 units
outstanding at June 30, 2003 and
December 31, 2002 23,286,620 16,240,216
Limited Partners - 896,256.494 and 716,313.085
units outstanding at June 30, 2003 and
December 31, 2002 2,292,022,209 1,601,708,976
--------------- ---------------
Total partners' capital
(Net Asset Value) 2,315,308,829 1,617,949,192
--------------- ---------------
$ 2,357,002,508 $ 1,654,430,142
=============== ===============
See accompanying notes.
-3-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
June 30, 2003
(Unaudited)
UNITED STATES GOVERNMENT SECURITIES
% of Net
Face Value Description Value Asset Value
---------- ----------- ----- -----------
$445,000,000 U.S. Treasury Bills, 7/10/03 $ 444,877,206 19.22%
$400,000,000 U.S. Treasury Bills, 7/03/03 399,976,099 17.28%
$300,000,000 U.S. Treasury Bills, 9/18/03 299,450,292 12.93%
$150,000,000 U.S. Treasury Bills, 7/31/03 149,868,125 6.47%
$150,000,000 U.S. Treasury Bills, 8/07/03 149,836,583 6.47%
Various other U.S. Treasury Bills 231,709,902 10.01%
-------------- --------
TOTAL UNITED STATES GOVERNMENT SECURITIES
(COST, INCLUDING ACCRUED INTEREST, - $1,675,718,207) $1,675,718,207 72.38%
============== ========
LONG FUTURES CONTRACTS
% of Net
Description Value Asset Value
----------- ----- -----------
Energy $ 2,767,998 0.12 %
Metals (1,362,379) (0.06)%
Stock index (9,651,945) (0.42)%
Short-term interest rate (7,136,363) (0.31)%
Long-term interest rate (14,990,654) (0.64)%
-------------- --------
TOTAL LONG FUTURES CONTRACTS $ (30,373,343) (1.31)%
-------------- --------
SHORT FUTURES CONTRACTS
% of Net
Description Value Asset Value
----------- ----- -----------
Energy $ (236,031) (0.01)%
Metals 85,528 0.00 %
-------------- --------
TOTAL SHORT FUTURES CONTRACTS $ (150,503) (0.01)%
-------------- --------
TOTAL FUTURES CONTRACTS $ (30,523,846) (1.32)%
============== ========
FORWARD CURRENCY CONTRACTS
% of Net
Description Value Asset Value
----------- ----- -----------
Various long forward currency contracts $ (67,523,723) (2.92)%
Various short forward currency contracts 97,359,307 4.21 %
-------------- --------
TOTAL FORWARD CURRENCY CONTRACTS $ 29,835,584 1.29 %
============== ========
SWAP CONTRACTS
% of Net
Description Value Asset Value
----------- ----- -----------
Long metal swap contracts $ (7,118,900) (0.31)%
Short metal swap contracts 55,100 0.00 %
-------------- --------
TOTAL SWAP CONTRACTS $ (7,063,800) (0.31)%
============== ========
See accompanying notes.
-4-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
For the Three Months and Six Months Ended June 30, 2003 and 2002
(Unaudited)
Three Months Six Months
Ended Ended
June 30, June 30,
2003 2002 2003 2002
---- ---- ---- ----
INCOME
Futures trading gains (losses)
Realized $ 47,401,467 $ (12,948,125) $ 174,197,740 $ (39,073,774)
Change in unrealized (35,240,005) 401,704 (47,331,112) 34,449,464
-------------- ------------- ------------- -------------
Gain (loss) from futures trading 12,161,462 (12,546,421) 126,866,628 (4,624,310)
-------------- ------------- ------------- -------------
Forward and swap trading gains (losses)
Realized 82,049,608 76,904,182 235,015,238 70,433,808
Change in unrealized 31,256,211 22,870,256 (5,976,375) (11,336,296)
-------------- ------------- ------------- -------------
Gain from forward
and swap trading 113,305,819 99,774,438 229,038,863 59,097,512
-------------- ------------- ------------- -------------
Interest income 5,954,577 4,069,135 11,276,768 7,985,801
-------------- ------------- ------------- -------------
Total income 131,421,858 91,297,152 367,182,259 62,459,003
-------------- ------------- ------------- -------------
EXPENSES
Brokerage fee 39,699,376 19,521,951 74,355,189 37,313,342
Performance fee 17,396,255 0 45,436,354 0
Operating expenses 570,288 362,456 1,198,969 691,686
-------------- ------------- ------------- -------------
Total expenses 57,665,919 19,884,407 120,990,512 38,005,028
-------------- ------------- ------------- -------------
NET INCOME $ 73,755,939 $ 71,412,745 $ 246,191,747 $ 24,453,975
============== ============= ============= =============
NET INCOME PER GENERAL
AND LIMITED PARTNER UNIT
(based on weighted average number of
units outstanding during the period) $ 87.04 $ 135.30 $ 307.00 $ 48.06
============== ============= ============= =============
INCREASE IN NET ASSET
VALUE PER GENERAL
AND LIMITED PARTNER UNIT $ 85.71 $ 127.92 $ 321.28 $ 29.43
============== ============= ============= =============
See accompanying notes.
-5-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
For the Six Months Ended June 30, 2003 and 2002
(Unaudited)
2003 2002
---- ----
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
Net income $ 246,191,747 $ 24,453,975
Adjustments to reconcile net income to net cash
(for) operating activities
Net change in unrealized 53,307,487 (23,113,168)
Increase in accounts payable and accrued expenses 21,756,621 1,173,788
Net (purchases) of investments in United States
government securities (422,957,973) (76,330,685)
------------- -------------
Net cash (for) operating activities (101,702,118) (73,816,090)
------------- -------------
CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
Addition of units 531,096,507 168,624,934
Decrease in subscription deposits (17,206,853) (257,731)
Redemption of units (73,998,247) (42,988,750)
Increase in redemptions payable 242,695 4,367,652
Offering costs charged (5,930,370) (3,078,924)
Increase in offering costs payable 420,266 121,851
------------- -------------
Net cash from financing activities 434,623,998 126,789,032
------------- -------------
Net increase in cash and cash equivalents 332,921,880 52,972,942
CASH AND CASH EQUIVALENTS
Beginning of period 356,114,483 195,988,685
------------- -------------
End of period $ 689,036,363 $ 248,961,627
============= =============
End of period cash and cash equivalents consists of:
Cash in broker trading accounts $ 142,674,593 $ 66,337,332
Cash and cash equivalents 546,361,770 182,624,295
------------- -------------
Total end of period cash and cash equivalents $ 689,036,363 $ 248,961,627
============= =============
See accompanying notes.
-6-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
For the Six Months Ended June 30, 2003 and 2002
(Unaudited)
Partners' Capital
-------------------------------------------------------------------------------------
General Limited Total
----------------------- --------------------------- ---------------------------
Units Amount Units Amount Units Amount
----- ------ ----- ------ ----- ------
SIX MONTHS ENDED JUNE 30, 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 six months
ended June 30, 2003 2,472,482 243,719,265 246,191,747
Additions 1,842.929 4,633,500 209,237.301 526,463,007 211,080.230 531,096,507
Redemptions 0.000 0 (29,293.892) (73,998,247) (29,293.892) (73,998,247)
Offering costs (59,578) (5,870,792) (5,930,370)
--------- ------------ ----------- -------------- ----------- --------------
Balances at
June 30, 2003 9,105.833 $ 23,286,620 896,256.494 $2,292,022,209 905,362.327 $2,315,308,829
========= ============ =========== ============== =========== ==============
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
========= ============ =========== ============== =========== ==============
Net Asset Value Per General and Limited Partner Unit
June 30, December 31, June 30, December 31,
2003 2002 2002 2001
---- ---- ---- ----
$2,557.33 $ 2,236.05 $ 2,006.16 $ 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.
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.
-8-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
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 June 30, 2003, the Fund reflects
a liability in the statement of financial condition for
offering costs payable to Campbell & Company of $1,087,220.
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 June
30, 2003, the amount of unreimbursed offering costs incurred
by Campbell & Company is $10,584,552.
G. Foreign Currency Transactions
The Fund's functional currency is the U.S. dollar; however, it
transacts business in currencies other than the U.S. dollar.
Assets and liabilities denominated in currencies other than
the U.S. dollar are translated into U.S. dollars at the rates
in effect at the date of the statement of financial condition.
Income and expense items denominated in currencies other than
the U.S. dollar are translated into U.S. dollars at the rates
in effect during the period. Gains and losses resulting from
the translation to U.S. dollars are reported in income
currently.
Note 2. GENERAL PARTNER AND COMMODITY TRADING ADVISOR
The general partner of the Fund is Campbell & Company, which
conducts and manages the business of the Fund. Campbell &
Company is also the commodity trading advisor of the Fund. The
Amended Agreement of Limited Partnership provides that
Campbell & Company may make withdrawals of its units, provided
that such withdrawals do not reduce Campbell & Company's
aggregate percentage interest in the Fund to less than 1% of
the net aggregate contributions.
Campbell & Company is required by the Amended Agreement of
Limited Partnership to maintain a net worth equal to at least
5% of the capital contributed by all the limited partnerships
for which it acts as general partner, including the Fund. The
minimum net worth shall in no case be less than $50,000 nor
shall net worth in excess of $1,000,000 be required.
-9-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 2. GENERAL PARTNER AND COMMODITY TRADING ADVISOR (CONTINUED)
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 and interbank market
makers 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, 2003 and 2002, the amounts paid directly to the broker and
interbank market makers amounted to $2,189,674 and $3,256,706,
respectively. During the three months ended June 30, 2003 and 2002, the
amounts paid directly to the broker and interbank market makers
amounted to $1,243,170 and $1,979,233, 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, 2003 and 2002.
Note 5. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
Investments in the Fund are made by subscription agreement, subject to
acceptance by Campbell & Company. 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.
-10-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
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, 2003 and December 31, 2002 was $1,675,718,207
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 June 30, 2003 and December 31, 2002 was $451,294,113 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.
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)
June 30, December 31, June 30, December 31,
2003 2002 2003 2002
---- ---- ---- ----
Gross unrealized gains $ 7,589,029 $ 28,128,413 $ 206,902,495 $ 141,686,377
Gross unrealized losses (38,112,875) (11,321,147) (184,130,711) (112,938,218)
-------------- ------------ ------------- -------------
Net unrealized gain $ (30,523,846) $ 16,807,266 $ 22,771,784 $ 28,748,159
============== ============ ============= =============
-11-
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
Open contracts generally mature within three months; as of June 30,
2003, the latest maturity date for open futures contracts is March
2004, and the latest maturity date for open forward and swap contracts
is September 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 June 30, 2003, including the
June 30, 2003 condensed schedule of investments, the statements of
operations for the three months and six months ended June 30, 2003 and
2002, and the statements of cash flows and changes in partners' capital
(Net Asset Value) for the six months ended June 30, 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 June 30,
2003, and the results of operations for the three months and six months
ended June 30, 2003 and 2002, and cash flows for the six months ended
June 30, 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 and six
months ended June 30, 2003 and 2002. This information has been derived
from information presented in the financial statements.
Three months ended Six months ended
June 30, June 30,
2003 2002 2003 2002
(Unaudited) (Unaudited) (Unaudited) (Unaudited)
------------ ----------- ------------ ----------
PER UNIT PERFORMANCE
(for a unit outstanding throughout the entire period)
Net asset value per unit at beginning of period $ 2,471.62 $ 1,878.24 $ 2,236.05 $ 1,976.73
------------ ----------- ------------ ----------
Income (loss) from operations:
Net realized and change in unrealized gain
from trading (2),(3) 149.12 157.18 462.76 88.08
Expenses net of interest income (1),(3) (59.56) (26.21) (134.08) (52.60)
------------ ----------- ------------ ----------
Total income from operations 89.56 130.97 328.68 35.48
------------ ----------- ------------ ----------
Offering costs (3) (3.85) (3.05) (7.40) (6.05)
------------ ----------- ------------ ----------
Net asset value per unit at end of period $ 2,557.33 $ 2,006.16 $ 2,557.33 $ 2,006.16
============ =========== ============ ==========
TOTAL RETURN (4) 3.47% 6.81% 14.37% 1.49%
============ =========== ============ ==========
SUPPLEMENTAL DATA
Ratios to average net asset value:
Expenses prior to performance fee (1),(5) (7.21)% (7.16)% (7.26)% (7.09)%
Performance fee (5) (3.21)% 0.00% (4.50)% 0.00%
------------ ----------- ------------ ----------
Total expenses (1),(5) (10.42)% (7.16)% (11.76)% (7.09)%
============ =========== ============ ==========
Expenses net of interest income (1),(5),(6) (6.11)% (5.54)% (6.14)% (5.46)%
============ =========== ============ ==========
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 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 $2,131,425,028 have
been accepted during the continuing offering period as of June 30, 2003.
Redemptions over the same time period total $400,460,559. 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 six months ending June 30, 2003 and 2002 were 14.37% and
1.49%, respectively. Of the 14.37% increase, approximately 20.09% was due to
trading gains (before commissions) and approximately 0.56% was due to interest
income, offset by approximately 6.28% due to brokerage fees, performance fees,
operating cost and offering costs borne by the Fund. An analysis of the 20.09%
trading gains by sector is as follows:
-14-
SECTOR % GAIN (LOSS)
- ------ -------------
Currencies 13.22 %
Energy 4.30
Interest Rates 3.80
Metals (0.54)
Stock Indices (0.69)
------
20.09 %
======
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.
In April, the Fund's leverage was returned to a more normal level, but the
portfolio was not fully engaged in many markets due to the lack of strong
trends. Many markets had calmed significantly at this time, but uncertainty was
still prevalent in global markets due to the many unresolved geopolitical
issues. A strong performance in the currencies sector was partially offset by
negative performances in the metals and stock index sectors.
In May, the uncertainty that remained in April dominated the markets the Fund
trades and led to another positive month. While corporate earnings looked
stronger, unemployment, overcapacity and the ongoing threat of terrorism still
loomed large over the global financial markets. The US dollar weakened further
against the other major currencies despite the concern expressed by the United
States' trade partners over the impact this would have on global trade. Interest
rates were the best performing sector for the Fund particularly at the long end
of the yield curve, where higher prices reflected lower rates. Currency cross
rates were also positive, while losses in the energy, stock index and currency
sectors offset some of those gains.
With a small negative result for June, the Fund finished the first half of 2003
with a solid double-digit return. Profits for the month were earned in the
currency sector while long-term interest rates lost
-15-
value as yield curves steepened, particularly the Japanese government bond.
Short-term interest rates and stock index sectors contributed modest gains for
the month, while the energy, metals and currency cross-rates contributed small
losses. While the global economy was looking better than it had for several
years, many substantive uncertainties remained.
2002
The return for the six months ending June 30, 2002 was 1.49%. 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. An analysis of the 4.87% trading gains by sector is as follows:
SECTOR % GAIN (LOSS)
- ------ -------------
Currencies 5.90%
Interest Rates 0.81
Metals (0.04)
Energy (0.38)
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 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 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.
DISCLOSURES ABOUT CERTAIN TRADING ACTIVITIES THAT INCLUDE NON-EXCHANGE TRADED
CONTRACTS ACCOUNTED FOR AT FAIR VALUE
The Fund invests in futures and forward currency contracts. The market value of
futures (exchange-traded) contracts is determined by the various futures
exchanged, and reflects the settlement price for each contract as of the close
of the last business day of the reporting period. The market value of
-16-
forward (non-exchange traded) contracts is extrapolated on a forward basis from
the spot prices quoted as of 5:00 P.M. (E.T.) of the last business day of the
reporting period.
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"). Risk of ruin is defined
to be no more than a 5% chance of losing 20% or more on a monthly basis. In
light of the foregoing as well as the risks and uncertainties intrinsic to all
future projections, the inclusion of the quantification included in this section
should not be considered to constitute any assurance or representation that the
Fund's losses in any market sector will be limited to Value at Risk or by the
Fund's attempts to manage its market risk.
Standard of Materiality
Materiality as used in this section, "Qualitative and Quantitative
Disclosures About Market Risk," is based on an assessment of reasonably possible
market movements and the potential losses caused by such movements, taking into
account the leverage, and multiplier features of the Fund's market sensitive
instruments.
QUANTIFYING THE FUND'S TRADING VALUE AT RISK
Quantitative Forward-Looking Statements
-17-
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
The following tables indicate the trading Value at Risk associated with
the Fund's open positions by market category as of June 30, 2003 and December
31, 2002 and the trading gains/losses by market category for the six months
ended June 30, 2003 and the year then ended December 31,
-18-
2002. All open position trading risk exposures of the Fund have been included in
calculating the figures set forth below. As of June 30, 2003 and December 31,
2002, the Fund's total capitalization was approximately $2,315 million and
$1,618 million, respectively.
JUNE 30, 2003
%OF TOTAL TRADING
MARKET SECTOR VALUE AT RISK CAPITALIZATION GAIN/(LOSS)*
- ------------- ---------------- ---------------- ------------
Currencies $ 76.28 million 3.30% 13.22 %
Stock Indices $ 56.26 million 2.43% (0.69)%
Interest Rates $ 49.65 million 2.14% 3.80 %
Energy $ 10.15 million 0.44% 4.30 %
Metals $ 3.55 million 0.15% (0.54)%
--------------- ---- -----
Total $195.89 million 8.46% 20.09 %
=============== ==== =====
* - Of the 14.37% return for the six months ended June 30, 2003, approximately
20.09% was due to trading gains (before commissions) and approximately 0.56% due
to interest income, offset by approximately 6.28% due to brokerage fees,
performance fees and operating and offering costs borne by the Fund.
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 0.82% 3.42 %
Metals $ 3.00 million 0.19% (0.34)%
--------------- ---- -----
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.
-19-
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, 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
-20-
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 June 30, 2003, the Fund's primary exposures were in the FTSE
(U.K.), DAX (Germany), NASDAQ (USA), IBEX (Spain), Euro STOXX 50, Hang Seng
(Hong Kong), Nikkei (Japan), 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.)
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 June 30, 2003, crude oil, heating 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 3% of the Fund's portfolio during the six months ended June 30,
2003.
QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE
The following were the only non-trading risk exposures of the Fund as
of June 30, 2003.
-21-
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.
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
-------------- -----------------------
31.01 Certification of Bruce L. Cleland, Chief
Executive Officer, pursuant to Rules 13a-14 and
15d-14 of the Securites Exchange Act of 1934.
31.02 Certification of Theresa D. Becks, Chief
Financial Officer, pursuant to Rules 13a-14 and
15d-14 of the Securites Exchange Act of 1934.
32.01 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.
32.02 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.
(c) 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 5th day of August 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-
EXHIBIT INDEX
Exhibit Number Description of Document Page Number
- -------------- ----------------------- -----------
31.01 Certification by Chief Executive Officer E 2
31.02 Certification by Chief Financial Officer E 4
32.01 Certification by Chief Executive Officer E 6
32.02 Certification by Chief Financial Officer E 7
-E 1-