UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM S-1
REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Registrant)
CAMPBELL CLASSIC TREND FUND, L.P.
(Registrant)
(Exact name of registrant as specified in its charter)
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Delaware
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6799
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52-1823554 (Strategic Allocation Fund) |
(State of Organization)
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(Primary Standard Industrial
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27-1412568 (Classic Trend Fund) |
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Classification Code Number) |
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(I.R.S. Employer |
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Identification Number) |
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c/o Campbell & Company, Inc.
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Thomas P. Lloyd |
2850 Quarry Lake Drive
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Campbell & Company, Inc. |
Baltimore, Maryland 21209
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2850 Quarry Lake Drive |
(410) 413-2600
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Baltimore, Maryland 21209 |
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(410)413-2600 |
(Address, including zip code, and
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(Name, address, including zip code, and |
telephone number, including
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telephone number, |
area code, of registrants principal
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including area code, of agent for service) |
executive offices) |
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Copies to:
Michael J. Schmidtberger, Esq.
Sidley Austin llp
787 Seventh Avenue
New York, New York 10019
Approximate date of commencement of proposed sale to the public:
As promptly as practicable after the effective date of this Registration Statement.
If any of the securities being registered on this Form are to be offered on a delayed or
continuous basis pursuant to Rule 415 under the Securities Act of 1933, other than securities
offered only in connection with dividend or interest reinvestment plans, check the following box.
þ
If this Form is filed to register additional securities for an offering pursuant to Rule
462(b) under the Securities Act, check the following box and list the Securities Act registration
statement number of the earlier effective registration statement for the same offering. o
If this Form is a post-effective amendment filed pursuant to Rule 462(c) under the Securities
Act, check the following box and list the Securities Act registration statement number of the
earlier effective registration statement for the same offering. o
If this Form is a post-effective amendment filed pursuant to Rule 462(d) under the Securities
Act, check the following box and list the Securities Act registration statement number of the
earlier effective registration statement for the same offering. o
Indicate by check mark whether the
registrant is a large accelerated filer, an accelerated filer, a non-accelerated
filer, or a smaller reporting company. See the definitions of large accelerated
filer, accelerated filer and smaller reporting company in Rule 12b-2 of the
Exchange Act. (Check one):
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Large accelerated filer o |
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Accelerated filer
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Non-accelerated filer
þ (Do not check if a smaller reporting
company) |
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Smaller reporting company o |
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Proposed Maximum |
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Amount of Registration |
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Aggregate Offering |
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Fee |
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Title of Each Class of Securities to be Registered |
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Price |
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(1) |
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Class A Units of Limited Partnership Interest of Campbell Classic Trend Fund,
L.P. |
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$ |
100,000,000 |
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$ |
5,580 |
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Cass B Units of Limited Partnership Interest of Campbell Classic Trend Fund, L.P. |
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$ |
100,000,000 |
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$ |
5,580 |
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Cass C Units of Limited Partnership Interest of Campbell Classic Trend Fund, L.P. |
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$ |
100,000,000 |
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$ |
5,580 |
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Cass D Units of Limited Partnership Interest of Campbell Classic Trend Fund, L.P. |
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$ |
100,000,000 |
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$ |
5,580 |
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Class E Units of Limited Partnership Interest of Campbell Classic Trend Fund,
L.P. |
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N/A (2) |
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N/A |
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(1) |
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The proposed maximum aggregate offering has been calculated assuming that all Units of Campbell
Classic Trend Fund, L.P. are sold during the initial offering period at a price of $1,000 per unit
of Units of each Class. The amount of the registration fee for Units of Campbell Classic Trend
Fund, L.P. is calculated in reliance upon Rule 457(o) promulgated under the Securities Act of 1933
and using the proposed maximum aggregate offering as described above. This Registration Statement contains a
combined prospectus under Rule 429 promulgated under the Securities Act of 1933, which relates to
the File No. 333-119259 with respect to Campbell Strategic Allocation Fund, L.P. Accordingly, upon
effectiveness, this Registration Statement shall act as a Post-Effective Amendment No. 5 to File No. 333-119259. |
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(2) |
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To be issued in exchange for Class A Units, Class B Units, Class C Units or Class D Units of
Campbell Classic Trend Fund, L.P. in the event Limited Partners holding Class A Units, Class B
Units, Class C Units or Class D Units have reached a certain limit of fees payable to selling
agents, as hereinafter described. No registration fee is payable in reliance upon Rule 457(i)
under the Securities Act. |
PART ONE
DISCLOSURE DOCUMENT
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
$331,000,000
CAMPBELL CLASSIC TREND FUND,
L.P.
$100,000,000
Class A Limited Partnership Units
$100,000,000 Class B Limited Partnership Units
$100,000,000 Class C Limited Partnership Units
$100,000,000 Class D Limited Partnership Units
Class E
Limited Partnership Units
UNITS OF LIMITED PARTNERSHIP
INTEREST
The
Offering
The offering consists of two Funds, the Campbell Strategic
Allocation Fund, L.P., (the Strategic Allocation
Fund) and the Campbell Classic Trend Fund, L.P. (the
Classic Trend Fund and together with the Strategic
Allocation Fund, the Funds). Both Funds trade
speculatively in the U.S. and international futures,
forward and option markets. Specifically, the Strategic
Allocation Fund trades in the Campbell Financial,
Metal & Energy Large Portfolio and the Classic Trend
Fund trades in the Campbell Trend Following Portfolio. In both
portfolios, Campbell & Company, Inc.
(Campbell & Company or general
partner or trading advisor), the Funds
general partner and trading advisor, allocates assets across a
broad spectrum of markets.
Each Fund offers units of limited partnership interest (the
Units) pursuant to this disclosure document. Unless
provided otherwise, all references in this disclosure document
to the term Units refer to the Units of both the Strategic
Allocation Fund and the Classic Trend Fund.
The Strategic Allocation Fund consists of one class of limited
partnership Units, which is being offered only to existing
investors in the Strategic Allocation Fund.
The Classic Trend Fund consists of five classes of limited
partnership Units: Class A Units, Class B Units,
Class C Units, Class D Units and Class E Units.
Only Class A Units, Class B Units, Class C Units
and Class D Units are being offered hereby and each of them
is being offered to new investors in the Classic Trend Fund.
Class E Units are not being offered by this disclosure
document but will be issued in exchange for Class A Units,
Class B Units, Class C Units and Class D Units in
certain circumstances which are described in this disclosure
document. The selling agents will offer the Classic Trend
Fund Units at a price of $1,000 per unit of Units of each
Class during the initial offering period, and thereafter, at a
price equal to the net asset value per unit of Units of each
Class at the close of business on each closing date. Units of
each Class will initially be offered for a period ending ninety
days from the date hereof, unless such date is extended by
Campbell & Company for up to an additional ninety
days. The subscription minimum for the Classic Trend Fund as of
the end of the initial offering period is $20,000,000. However,
if after the expiration of the initial offering period, the
subscription minimum is not reached, Campbell &
Company may purchase Units with an aggregate initial Unit value
in an amount equal to the difference between the actual total
dollar amount of Units subscribed for during the initial
offering period and $20,000,000. This initial offering period
may be shorter if the subscription minimum is reached before the
end of the initial offering period. If subscriptions for at
least $20,000,000 have not been received and accepted by the end
of the initial offering period, all subscriptions will be
promptly returned to subscribers, with interest. After the end
of the initial offering period, each of the Classes will be
offered continuously.
The offered Units have different fee arrangements and may have
different restrictions on redemptions. The selling agents are
not required to sell any specific number or dollar amount of
Units but will use their best efforts to sell the Units offered.
There is no fixed termination date for the offering of the
Units. The Funds offer the Units during the continuing offering
at the net asset value per unit of Units of each Class as of
each month-end closing date on which subscriptions are accepted.
Campbell & Company may suspend, limit or terminate the
continuing offering at any time.
The
Risks
These are speculative securities.
Before you decide whether to
invest, read this entire prospectus carefully and consider
The Risks You Face on page 12 and
Conflicts of Interest on page 42.
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The Funds are speculative and leveraged. The Funds assets
are leveraged at a ratio which can range from 5:1 to 30:1.
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Past results of Campbell & Company are not necessarily
indicative of future performance of the Funds, and the
Funds performance can be volatile. The net asset value per
unit of Units of the Strategic Allocation Fund has fluctuated in
a single month by as much as 12%. As of the date of this
disclosure document, the Classic Trend Fund has no trading
history. Past results of one Fund are not necessarily indicative
of the future performance of that Fund or of the other Fund.
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You could lose all or a substantial amount of your investment in
either Fund.
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Campbell & Company has total trading authority over
the Funds and the Funds are dependent upon the services of
Campbell & Company. The use of a single advisor could
mean lack of diversification and, consequently, higher risk.
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There is no secondary market for the Units and none is expected
to develop. While the Units have redemption rights, there are
restrictions and possible fees assessed.
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Transfers of interest in the Units are subject to limitations,
such as 30 days advance written notice of any intent
to transfer. Also, Campbell & Company may deny a
request to transfer if it determines that the transfer may
result in adverse legal or tax consequences for the Funds.
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Substantial expenses must be offset by trading profits and
interest income. The Strategic Allocation Fund must generate
trading profits of 7.38% per annum to break-even. Class A
Units of the Classic Trend Fund must generate trading profits of
6.53% per annum to break-even. Class B Units of the Classic
Trend Fund must generate trading profits of 6.28% per annum to
break-even. Class C Units of the Classic Trend Fund must
generate trading profits of 4.53% per annum to break-even.
Class D Units of the Classic Trend Fund must generate
trading profits of 4.28% per annum to break-even. Class E
Units of the Classic Trend Fund must generate trading profits of
3.78% per annum to break-even.
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A substantial portion of the trades executed for the Funds takes
place on foreign exchanges. No U.S. regulatory authority or
exchange has the power to compel the enforcement of the rules of
a foreign board of trade or any applicable foreign laws.
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You will have no right to participate in the management of the
Funds.
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The Funds are subject to conflicts of interest. There are no
independent experts representing investors.
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Minimum Initial Investment, Classic Trend Fund Class A Units,
Class B Units, Class C Units and Class D Units
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Minimum Additional Investment, Classic Trend Fund Class A
Units, Class B Units, Class C Units, and Class D Units
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$1,000 from IRAs and other
tax-exempt accounts
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$1,000
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$5,000 from all other investors
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Classic Trend Fund Class E Units are not being offered
by this disclosure document but will be issued in exchange for
Class A Units, Class B Units, Class C Units and
Class D Units in certain circumstances which are described
in this disclosure document.
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Minimum Initial Investment, Strategic Allocation Fund
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Minimum Additional Investment, Strategic Allocation Fund
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The Strategic Allocation Fund is
only open to existing investors
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$1,000
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You are required to make representations and warranties relating
to the suitability of this investment for you. You are
encouraged to discuss this investment with your financial, legal
and tax adviser.
These securities have not been approved or disapproved by the
Securities and Exchange Commission or any state securities
commission, nor has the Securities and Exchange Commission or
any state securities commission passed upon the accuracy or
adequacy of this prospectus. Any representation to the contrary
is a criminal offense.
This prospectus is in two parts: a disclosure document and a
statement of additional information. These parts are bound
together, and both contain important information.
THE COMMODITY FUTURES TRADING COMMISSION HAS NOT PASSED UPON
THE MERITS OF PARTICIPATING IN THESE POOLS NOR HAS THE
COMMISSION PASSED UPON THE ADEQUACY OR ACCURACY OF THIS
DISCLOSURE DOCUMENT.
CAMPBELL & COMPANY,
INC.
General Partner of both Funds
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COMMODITY
FUTURES TRADING COMMISSION
RISK
DISCLOSURE STATEMENT
YOU SHOULD CAREFULLY CONSIDER WHETHER YOUR FINANCIAL
CONDITION PERMITS YOU TO PARTICIPATE IN A COMMODITY POOL. IN SO
DOING, YOU SHOULD BE AWARE THAT FUTURES AND OPTIONS TRADING CAN
QUICKLY LEAD TO LARGE LOSSES AS WELL AS GAINS. SUCH TRADING
LOSSES CAN SHARPLY REDUCE THE NET ASSET VALUE OF THE POOL AND
CONSEQUENTLY THE VALUE OF YOUR INTEREST IN THE POOL. IN
ADDITION, RESTRICTIONS ON REDEMPTIONS MAY AFFECT YOUR ABILITY TO
WITHDRAW YOUR PARTICIPATION IN THE POOL.
FURTHER, COMMODITY POOLS MAY BE SUBJECT TO SUBSTANTIAL
CHARGES FOR MANAGEMENT, AND ADVISORY AND BROKERAGE FEES. IT MAY
BE NECESSARY FOR THOSE POOLS THAT ARE SUBJECT TO THESE CHARGES
TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID DEPLETION OR
EXHAUSTION OF THEIR ASSETS. THIS DISCLOSURE DOCUMENT CONTAINS A
COMPLETE DESCRIPTION OF EACH EXPENSE TO BE CHARGED THESE POOLS
BEGINNING AT PAGE 45 AND A STATEMENT OF THE PERCENTAGE
RETURN NECESSARY TO BREAK-EVEN, THAT IS, TO RECOVER THE AMOUNT
OF YOUR INITIAL INVESTMENT, BEGINNING AT PAGE 6.
THIS BRIEF STATEMENT CANNOT DISCLOSE ALL THE RISKS AND OTHER
FACTORS NECESSARY TO EVALUATE YOUR PARTICIPATION IN EITHER OF
THESE COMMODITY POOLS. THEREFORE, BEFORE YOU DECIDE TO
PARTICIPATE IN EITHER OF THESE COMMODITY POOLS, YOU SHOULD
CAREFULLY STUDY THIS DISCLOSURE DOCUMENT, INCLUDING A
DESCRIPTION OF THE PRINCIPAL RISK FACTORS OF THESE INVESTMENTS,
BEGINNING AT PAGE 12.
YOU SHOULD ALSO BE AWARE THAT THESE COMMODITY POOLS MAY TRADE
FOREIGN FUTURES OR OPTIONS CONTRACTS. TRANSACTIONS ON MARKETS
LOCATED OUTSIDE THE UNITED STATES, INCLUDING MARKETS FORMALLY
LINKED TO A UNITED STATES MARKET, MAY BE SUBJECT TO REGULATIONS
WHICH OFFER DIFFERENT OR DIMINISHED PROTECTION TO THE POOLS AND
THEIR RESPECTIVE PARTICIPANTS. FURTHER, UNITED STATES REGULATORY
AUTHORITIES MAY BE UNABLE TO COMPEL THE ENFORCEMENT OF THE
RULES OF REGULATORY AUTHORITIES OR MARKETS IN
NON-UNITED
STATES JURISDICTIONS WHERE TRANSACTIONS FOR THESE POOLS MAY BE
EFFECTED.
CAMPBELL CLASSIC TREND FUND, L.P. HAS NOT COMMENCED TRADING
AND DOES NOT HAVE ANY PERFORMANCE HISTORY.
A NUMBER OF JURISDICTIONS IN WHICH THE UNITS ARE OFFERED
IMPOSE ON THEIR RESIDENTS HIGHER MINIMUM SUITABILITY
REQUIREMENTS, WHICH ARE DESCRIBED IN EXHIBIT D TO THIS
PROSPECTUS. PLEASE SEE
PAGES D-2
and D-3 OF
EXHIBIT D FOR A DETAILED DESCRIPTION OF THE MINIMUM
SUITABILITY REQUIREMENTS IN THE STATE IN WHICH YOU RESIDE. YOU
WILL BE REQUIRED TO REPRESENT THAT YOU MEET THE REQUIREMENTS SET
FORTH IN YOUR STATE OF RESIDENCE BEFORE YOUR SUBSCRIPTION TO
PURCHASE UNITS WILL BE ACCEPTED. THESE SUITABILITY REQUIREMENTS
ARE, IN EACH CASE, REGULATORY MINIMUMS ONLY, AND JUST BECAUSE
YOU MEET SUCH REQUIREMENTS DOES NOT MEAN THAT AN INVESTMENT IN
THE UNITS IS SUITABLE FOR YOU. IN NO EVENT MAY YOU INVEST MORE
THAN 10% OF YOUR NET WORTH, EXCLUSIVE OF HOME, FURNISHINGS, AND
AUTOMOBILES, IN EACH FUND.
CAMPBELL &
COMPANY, INC.
General Partner of both Funds
2850 Quarry Lake Drive
Baltimore, Maryland 21209
(410) 413-2600
i
REGULATORY
NOTICES
NO DEALER, SALESMAN, OR ANY OTHER PERSON HAS BEEN AUTHORIZED
TO GIVE ANY INFORMATION OR TO MAKE ANY REPRESENTATION NOT
CONTAINED IN THIS PROSPECTUS. AND, IF GIVEN OR MADE, SUCH OTHER
INFORMATION OR REPRESENTATION MUST NOT BE RELIED UPON AS HAVING
BEEN AUTHORIZED BY THE FUNDS, THE GENERAL PARTNER, OR ANY OTHER
PERSON.
THIS PROSPECTUS DOES NOT CONSTITUTE AND OFFER TO SELL OR A
SOLICITATION ON AN OFFER TO BUY THE SECURITIES OFFERED HEREBY TO
ANY PERSON OR BY ANYONE IN ANY JURISDICTION IN WHICH SUCH OFFER
OR SOLICITATION MAY NOT BE LAWFULLY MADE.
THE BOOKS AND RECORDS OF THE FUNDS WILL BE MAINTAINED AT
THEIR PRINCIPAL OFFICE, 2850 QUARRY LAKE DRIVE, BALTIMORE,
MARYLAND 21209. LIMITED PARTNERS WILL HAVE THE RIGHT, DURING
NORMAL BUSINESS HOURS, TO HAVE ACCESS TO AND COPY (UPON PAYMENT
OF REASONABLE REPRODUCTION COSTS) SUCH BOOKS AND RECORDS IN
PERSON OR BY THEIR AUTHORIZED ATTORNEY OR AGENT. EACH MONTH, THE
GENERAL PARTNER WILL DISTRIBUTE REPORTS TO ALL LIMITED PARTNERS
SETTING FORTH SUCH INFORMATION AS THE COMMODITY FUTURES TRADING
COMMISSION (THE CFTC) AND THE NATIONAL FUTURES
ASSOCIATION (THE NFA) MAY REQUIRE BE GIVEN TO THE
PARTICIPANTS IN COMMODITY POOLS WITH RESPECT TO THE FUNDS AND
ANY SUCH OTHER INFORMATION AS THE GENERAL PARTNER MAY DEEM
APPROPRIATE. THERE WILL SIMILARLY BE DISTRIBUTED TO LIMITED
PARTNERS, NOT MORE THAN 90 DAYS AFTER THE CLOSE OF EACH OF THE
FUNDS FISCAL YEARS, CERTIFIED AUDIT FINANCIAL STATEMENTS
AND (IN NO EVENT LATER THAN MARCH 15 OF THE IMMEDIATELY
FOLLOWING YEAR) THE TAX INFORMATION RELATING TO THE
SHARES OF THE FUND NECESSARY FOR THE PREPARATION OF
LIMITED PARTNERS ANNUAL FEDERAL INCOME TAX RETURNS.
THE DIVISION OF INVESTMENT MANAGEMENT OF THE SECURITIES
AND EXCHANGE COMMISSION REQUIRES THAT THE FOLLOWING STATEMENT BE
PROMINENTLY SET FORTH HEREIN: THE CAMPBELL STRATEGIC
ALLOCATION FUND, L.P. AND THE CAMPBELL CLASSIC TREND FUND, L.P.
ARE NOT MUTUAL FUNDS OR ANY OTHER TYPE OF INVESTMENT COMPANY
WITHIN THE MEANING OF THE INVESTMENT COMPANY ACT OF 1940, AS
AMENDED, AND ARE NOT SUBJECT TO
REGULATION THEREUNDER.
This prospectus does not include all of the information or
exhibits in the Funds registration statement. You can read
and copy the entire registration statement at the public
reference facilities maintained by the Securities and Exchange
Commission in Washington, D.C.
Each Fund files monthly, quarterly and annual reports with
the SEC. You can read and copy these reports at the SEC public
reference facilities in Washington, D.C. Please call the
SEC at
1-800-SEC-0330
for further information.
The Funds filings are posted at the SEC website at
http://www.sec.gov.
ii
PART ONE
DISCLOSURE DOCUMENT
TABLE OF
CONTENTS
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v
SUMMARY
This summary, which highlights information contained
elsewhere in this prospectus, is intended for quick reference
only. The remainder of this prospectus contains more detailed
information; you should read the entire prospectus, including
all exhibits to the prospectus, before deciding to invest in any
Units. This prospectus is
dated ,
20 .
General
The Campbell Strategic Allocation Fund L.P., (the
Strategic Allocation Fund), was formed as a Delaware
limited partnership on May 11, 1993. The Strategic
Allocation Fund issues units of limited partnership interest,
which represent units of fractional undivided limited
partnership interest in the Strategic Allocation Fund. The
Strategic Allocation Fund will continue in existence until
December 31, 2023 (unless terminated earlier in certain
circumstances). The principal offices of the Strategic
Allocation Fund are located at
c/o Campbell &
Company, Inc., 2850 Quarry Lake Drive, Baltimore, Maryland
21209, and its telephone number is
(410) 413-2600.
The books and records of the Strategic Allocation Fund are
maintained at the offices of Campbell & Company, Inc.,
its general partner and trading advisor
(Campbell & Company or general
partner or trading advisor).
The Campbell Classic Trend Fund L.P., (the Classic
Trend Fund and together with the Strategic Allocation
Fund, the Funds), was formed as a Delaware series
limited partnership on December 1, 2009. The Classic Trend
Fund issues units of limited partnership interest, which
represent units of fractional undivided limited partnership
interest in the Classic Trend Fund. The Classic Trend Fund will
continue in existence unless terminated in certain
circumstances. The principal offices of the Classic Trend Fund
are located at
c/o Campbell &
Company, Inc., 2850 Quarry Lake Drive, Baltimore, Maryland
21209, and its telephone number is
(410) 413-2600.
The books and records of the Classic Trend Fund are maintained
at the offices of Campbell & Company, its general
partner and trading advisor.
The Funds allow you to participate in alternative or
non-traditional investments, namely the U.S. and
international futures, forward and option markets. Specifically,
the Funds trade in portfolios primarily focused on financial
futures and forwards, which are instruments designed to hedge or
speculate on changes in interest rates, currency exchange rates
or stock index values. A secondary emphasis is on metals, energy
products, soft commodities and other commodities.
Campbell & Company, the general partner of both Funds,
uses its technical trading and risk control methods to seek
substantial medium- and long-term capital appreciation while, at
the same time, seeking to manage risk and volatility.
Campbell & Company provides advisory services to
numerous other funds and individually managed accounts similar
to the services Campbell & Company provides to the
Funds. Campbell & Company has been using its technical
approach since 1972 one of the longest performance
records of any currently active futures fund manager
and has developed and refined its approach over the past
37 years. See Past Performance of the Campbell
Strategic Allocation Fund, L.P. for the performance data
required to be disclosed for the most recent five calendar years
and
year-to-date.
The Campbell Classic Trend Fund, L.P. has not commenced
trading and does not have any performance history.
Futures are standardized contracts traded on commodity exchanges
that call for the future delivery of commodities at a specified
time and place. While futures contracts are traded on a wide
variety of commodities, both Funds will concentrate their
futures trading in financial instruments such as interest rates,
foreign exchange and stock index contracts, metal and energy
contracts, soft commodities and other commodities. The
U.S. futures markets are regulated under the Commodity
Exchange Act, which is administered by the CFTC. The Funds will
trade futures positions on margin, meaning that the Funds will
utilize leverage in their trading.
Currencies and other commodities may be purchased or sold by the
Funds for future delivery or cash settlement through banks or
dealers pursuant to forward or option contracts. Unlike futures
contracts, forward and option contracts are not standardized and
these markets are largely unregulated.
The following summary provides a review in outline form of
important aspects of an investment in the Funds.
Plan of
Distribution
How to
Subscribe for Units
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During the initial offering period, the selling agents will
offer the Classic Trend Fund Units at a price of $1,000 per unit
of Units of each Class.
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During the continuing offering, Units of both Funds are offered
at a price equal to their net
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asset value per Unit. The net asset value of each Fund are its
assets less its liabilities determined in accordance with its
respective Limited Partnership Agreement. The net asset value
per Unit Class equals the net asset value of the Fund divided by
the number of Units outstanding as of the date of determination.
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Investors in both Funds must submit subscriptions at least five
(5) business days prior to the applicable month-end closing
date. Approved subscriptions will be accepted once payments are
received and cleared. The general partner in its sole and
absolute discretion may change the foregoing notice requirement
by written notice to you.
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Both Funds will accept subscriptions throughout the continuing
offering, which can be terminated by Campbell &
Company at any time.
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Interest earned while subscriptions are being processed will
either be paid to subscribers in the form of additional Units or
will be returned in cash to those whose applications are
rejected.
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The selling agents will use their best efforts to sell the Units
offered, without any firm underwriting commitment. Investors
are required to make representations and warranties relating to
the suitability for them of an investment in Units in the
Subscription Agreement. You should read the Subscription
Agreement as well as this prospectus carefully before you decide
whether to invest.
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There is no limit on the number of Units that may be offered by
the Funds, but all Units must be registered with the
U.S. Securities and Exchange Commission prior to issuance.
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Initial
Offering Period
The Classic Trend Fund consists of five classes of limited
partnership Units: Class A Units, Class B Units,
Class C Units, Class D Units and Class E Units.
Only Class A Units, Class B Units, Class C Units
and Class D Units are being offered hereby and each of them
is being offered to new investors in the Classic Trend Fund.
Class E Units are not being offered by this disclosure
document but will be issued in exchange for Class A Units,
Class B Units, Class C Units and Class D Units in
certain circumstances which are described in this disclosure
document. The selling agents will offer the Classic Trend
Fund Units at a price of $1,000 per unit of Units of each
Class during the initial offering period, and thereafter, at a
price equal to the net asset value per unit of Units of each
Class at the close of business on each closing date. Units of
each Class will initially be offered for a period ending ninety
days from the date hereof, unless such date is extended by
Campbell & Company for up to an additional ninety
days. The subscription minimum for the Classic Trend Fund as of
the end of the initial offering period is $20,000,000. However,
if after the expiration of the initial offering period, the
subscription minimum is not reached, Campbell &
Company may purchase Units with an aggregate initial Unit value
in an amount equal to the difference between the actual total
dollar amount of Units subscribed for during the initial
offering period and $20,000,000. This initial offering period
may be shorter if the subscription minimum is reached before the
end of the initial offering period. If subscriptions for at
least $20,000,000 have not been received and accepted by the end
of the initial offering period, all subscriptions will be
promptly returned to subscribers, with interest. After the end
of the initial offering period, each of the Classes will be
offered continuously.
Escrow
of Funds
Subscription funds for the Classic Trend Fund received during
the initial offering period will be deposited in an escrow
account at PNC Financial Services Group, Inc., the escrow agent,
and held there until the funds are released for trading purposes
or returned to the payors of such funds in case of rejection.
The escrowed subscription funds will earn interest, which will
either be paid to subscribers in the form of additional Units or
will be returned in cash to those whose applications are
rejected. In case of rejection, no fees or other amounts will be
deducted from the subscription, which will be returned to the
subscriber as promptly as practicable (but in no event more than
five business days) after such rejection.
What
is the Minimum Investment Amount
The minimum initial investment for the Classic Trend Fund for
eligible employee benefit plans and individual retirement
accounts is $1,000. The minimum initial investment for the
Classic Trend Fund for all other investors is $5,000. The
Strategic Allocation Fund is not currently available for initial
investments. All limited partners may increase their investment
in both Funds with a minimum additional investment of $1,000.
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Is the
Campbell Strategic Allocation Fund or the Campbell Classic Trend
Fund a Suitable Investment for You?
An investment in either Fund is speculative and involves a high
degree of risk. Neither Fund is a complete investment program.
Campbell & Company offers both of the Funds as
diversification opportunities for an investors entire
investment portfolio, and therefore an investment in either or
both Funds should only be a limited portion of the
investors portfolio. You must, at a minimum, have:
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1)
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a net worth of at least $225,000, exclusive of home, furnishings
and automobiles; or
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2)
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a net worth, similarly calculated, of at least $70,000 and an
annual gross income of at least $70,000.
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A number of jurisdictions in which the Units are offered impose
higher minimum suitability standards on prospective investors.
These suitability standards are, regulatory minimums only, and
merely because you meet these standards does not mean that an
investment in the Units is suitable for you. You may not
invest more than 10% of your net worth, exclusive of home,
furnishings and automobiles, in each Fund.
A Summary
of Risk Factors You Should Consider Before Investing in the
Funds
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Each Fund is a highly volatile and speculative investment. There
can be no assurance that either Fund will achieve its objectives
or avoid substantial losses. You must be prepared to lose all or
a substantial amount of your investment. Campbell &
Company has from time to time in the past incurred substantial
losses in trading on behalf of its clients.
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Futures, forward and option trading is a zero-sum
economic activity in which for every gain there is an equal and
offsetting loss (disregarding transaction costs), as opposed to
a typical securities investment, in which there is an
expectation of constant yields (in the case of debt) or
participation over time in general economic growth (in the case
of equity). It is possible that the Funds could incur major
losses while stock and bond prices rise substantially in a
prospering economy.
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The Funds trade in futures, forward and option contracts.
Therefore, the Funds are a party to financial instruments with
elements of off-balance sheet market risk, including market
volatility and possible illiquidity. There is also a credit risk
that a counterparty will not be able to meet its obligations to
the Funds.
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Notwithstanding Campbell & Companys research,
risk and portfolio management efforts, there may come a time
when the combination of available markets and new strategies may
not be sufficient for Campbell & Company to add new
assets without detriment to diversification. Reduced
diversification and more concentrated portfolios may have a
detrimental effect on your investment.
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The Funds are subject to numerous conflicts of interest
including the following:
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1)
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Campbell & Company is both the general partner and
trading advisor of both Funds and its fees were not negotiated
at arms length. For these reasons, Campbell &
Company has a disincentive to add or replace advisors, even if
doing so may be in the best interests of the Funds;
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2)
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Campbell & Company may have incentives to favor other
accounts over the Funds;
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3)
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Campbell & Company, the Funds futures brokers
and
over-the-counter
counterparties and their respective principals and affiliates
may trade in the futures, forward and option markets for their
own accounts and may take positions opposite or ahead of those
taken for the Funds;
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4)
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Selling agents will be entitled to ongoing compensation as a
result of their clients remaining in the Funds, so a conflict
exists between the agents interest in maximizing
compensation and in advising their clients to make investment
decisions in the clients best interests; and
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5)
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Campbell & Company operates other commodity pool
offerings which may have materially different terms and operate
at a lower overall cost structure.
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Limited partners take no part in the management of the Funds and
although Campbell & Company is an experienced
professional manager, past performance is not necessarily
indicative of future results.
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The Strategic Allocation Fund will pay Campbell &
Company a brokerage fee of up to 8% of the Strategic Allocation
Funds month-end
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net asset value per annum (prior to accruals for such brokerage
fee or performance fees), irrespective of profitability, of
which up to 1% is paid to the futures brokers and
over-the-counter
counterparties and 4% is paid to the selling agents. The amount
paid to selling agents on Units sold pursuant to this disclosure
document will not, however, exceed 9.0% of the gross offering
proceeds of the Strategic Allocation Fund Units sold
pursuant to this disclosure document. Once the 9.0% threshold is
reached with respect to a Strategic Allocation Fund Unit
sold pursuant to this disclosure document, the selling agent
will receive no future compensation and the up to 4% amount that
would otherwise be paid to the selling agent for that Unit will
instead be rebated to the Strategic Allocation Fund for the
benefit of all holders of the Strategic Allocation Fund Units.
Campbell & Company retains the remaining 3%.
Currently, the Strategic Allocation Funds actual brokerage
fee is approximately 7.30% of the Strategic Allocation
Funds month-end net asset value per annum.
Campbell & Company will also be paid a quarterly
performance fee equal to 20% of aggregate cumulative
appreciation in the Strategic Allocation Funds net asset
value per Unit, if any, excluding interest income and as
adjusted for subscriptions and redemptions. For the full
disclosure of fees paid by the Strategic Allocation Fund, see
Charges to the Funds Strategic Allocation
Fund.
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The Classic Trend Fund Class A Units, Class B
Units, Class C Units, Class D Units and Class E
Units will pay Campbell & Company a monthly
(i) advisory fee at the annual rate of 2%; and
(ii) general partner fee at the annual rate of 1%, of the
net asset value of the Class A Units, Class B Units,
Class C Units, Class D Units and Class E Units,
respectively, prior to any accrual for or payment of any
advisory fee, general partner fee, performance fee, redemption
or subscription during said month. The Classic Trend
Fund Class A Units, Class B Units, Class C
Units, Class D Units and Class E Units will also pay
Campbell & Company a quarterly performance fee equal
to 20% aggregate cumulative appreciation in the Class A
Units, Class B Units, Class C Units,
Class D Units and Class E Units net asset
value per Unit, if any, excluding interest income and as
adjusted for subscription and redemptions. For full disclosure
of fees paid by the Classic Trend Fund, see Charges to the
Funds Classic Trend Fund.
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The Funds are single-advisor funds which may be inherently more
volatile than multi-advisor managed futures products.
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Although the Funds are liquid compared to other alternative
investments such as real estate or venture capital, liquidity is
restricted, as the Units may only be redeemed on a monthly
basis, upon ten business days advance written notice to
Campbell & Company.
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Redemption fees apply to certain Units of the Funds redeemed on
or prior to the twelfth month-end following purchase. You may
transfer or assign your Units on 30 days written
notice to Campbell & Company, but only with the
consent of Campbell & Company. There is no secondary
market for Units, and none is expected to develop.
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Investors are taxed each year on their share of the Funds
profits, irrespective of whether they redeem any Units or
receive any cash distributions from the Funds.
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Investment
Factors You Should Consider Before Investing in the
Funds
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The Funds are leveraged investment funds managed by an
experienced, professional trading advisor and both trade in a
wide range of futures, forward and option markets.
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Campbell & Company utilizes several independent and
different proprietary trading systems for the Funds.
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The Funds have the potential to help diversify traditional
securities portfolios. A diverse portfolio consisting of assets
that perform in an unrelated manner, or non-correlated assets,
has the potential to increase overall return and reduce the
volatility (a primary measure of risk) of a portfolio. As a risk
transfer activity, futures, forward and option trading has no
inherent correlation with any other investment. However,
non-correlation will not provide any diversification advantages
unless the non-correlated assets are outperforming other
portfolio assets, and there is no guarantee that the Funds will
outperform other sectors of an investors portfolio or not
produce losses. The Funds profitability also depends on
the success of Campbell & Companys trading
techniques. If
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the Funds are unprofitable, then they will not increase the
return on an investors portfolio or achieve its
diversification objectives.
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Investors in the Funds get the advantage of limited liability in
highly leveraged trading.
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Campbell &
Company, Inc.
Campbell & Company, the general partner and trading
advisor for the Funds, administers the Funds and directs their
trading. Campbell & Company has over 37 years of
experience trading in the futures and forward markets. As of
September 30, 2009, Campbell & Company and its
affiliates were managing approximately $3.9 billion,
including approximately $3.1 billion in its Financial,
Metal & Energy Large Portfolio and approximately
$21.0 million in its Trend-Following Portfolio. The
Financial, Metal & Energy Large Portfolio, to which
all of the Strategic Allocation Funds assets are currently
allocated, is concentrated in the financial markets, such as
interest rates, foreign exchange and stock indices, as well as
metals, energy products, soft commodities and other commodities.
The Trend Following Portfolio, to which all of the Classic Trend
Funds assets will be allocated, is also concentrated in
the financial markets, such as interest rates, foreign exchange
and stock indices, as well as metals, energy products, soft
commodities and other commodities. Campbell & Company
has sole authority and responsibility for directing investment
and reinvestment of the Funds assets.
Campbell & Company uses a systematic trading approach
combined with quantitative portfolio management analysis and
seeks to identify and profit from price movements in the
futures, forward and option markets. Multiple trading models are
utilized across most markets traded. Each model analyzes market
movements and internal market and price configurations in order
to generate signals to be executed through a variety of
execution platforms.
Charges
to the Funds
The Funds charges are substantial and must be offset by
trading gains and interest income in order to avoid depletion of
the Funds assets.
Campbell &
Company
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The Strategic Allocation Fund will pay Campbell &
Company a brokerage fee of up to 8% of the Strategic Allocation
Funds month-end net asset value per annum (prior to
accruals for such brokerage fee or performance fees),
irrespective of profitability, of which up to 1% is paid to the
futures brokers and
over-the-counter
counterparties and 4% is paid to the selling agents. The amount
paid to selling agents on Units sold pursuant to this disclosure
document will not, however, exceed 9.0% of the gross offering
proceeds of the Strategic Allocation Fund Units sold
pursuant to this disclosure document. Once the 9.0% threshold is
reached with respect to a Strategic Allocation Fund Unit
sold pursuant to this disclosure document, the selling agent
will receive no future compensation and the up to 4% amount that
would otherwise be paid to the selling agent for that Unit will
instead be rebated to the Strategic Allocation Fund for the
benefit of all holders of the Strategic Allocation Fund Units.
Campbell & Company retains the remaining 3%.
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The Classic Trend Fund Class A Units, Class B
Units, Class C Units, Class D Units and Class E
Units will pay Campbell & Company a monthly
(i) advisory fee at the annual rate of 2%; and
(ii) general partner fee at the annual rate of 1%, of the
net asset value of the Class A Units, Class B Units,
Class C Units, Class D Units and Class E Units,
respectively, prior to any accrual for or payment of any
advisory fee, general partner fee, performance fee, redemption
or subscription during said month. These fees are paid in
arrears based on the net asset value of the Class A Units,
Class B Units, Class C Units and Class D Units
and Class E Units as of the end of each month. These fees
are paid out of and reduce the net assets attributable to the
Class A Units, Class B Units, Class C Units,
Class D Units and Class E Units.
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Campbell & Company will be paid a quarterly
performance fee equal to 20% of aggregate cumulative
appreciation in the Funds net asset value per Unit, if
any, excluding interest income and as adjusted for subscriptions
and redemptions.
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Reimbursement of Strategic Allocation Funds offering
expenses incurred during the continuing offering over a
30-month
period following incurrence of each such expense, not to exceed
2.5% of the aggregate subscriptions accepted by
Campbell & Company.
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Reimbursement of Classic Trend Funds offering expenses, is
subject to an annual cap of 0.50% of the Classic Trend
Funds, and in turn,
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each Units, month-end net asset value (excluding
Class E Units). Any offering costs incurred in excess of
the aforementioned annual cap will initially be paid by
Campbell & Company; provided, however, that the
Classic Trend Fund reimburses the offering costs paid by
Campbell & Company at such time, if any, as the
Classic Trend Fund is able to do so within the limit of the
aforementioned cap. Furthermore in no case will reimbursements
of offering costs exceed 2.5% of aggregate subscriptions.
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The
Futures Brokers and
Over-the-Counter
Counterparties
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The futures brokers and
over-the-counter-counterparties
for the Strategic Allocation Fund are paid out of the brokerage
fee as discussed in Campbell &
Company.
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The Classic Trend Fund Class A Units, Class B
Units, Class C Units, Class D Units and Class E
Units will pay the futures broker and
over-the-counter
counterparty up to 1% of the net asset value of the Class A
Units, Class B Units, Class C Units, Class D
Units and Class E Units, respectively.
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The
Selling Agents
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The selling agents of the Strategic Allocation Fund are paid out
of the brokerage fee as discussed in
Campbell & Company.
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The Classic Trend Fund will pay to selected selling agents who
have sold Class A Units and Class B Units, selling
commissions of 2% of the subscription amount of each
subscription for Class A and Class B Units. In
addition, commencing thirteen months after the sale of Units and
in return for providing ongoing services to limited partners,
the Classic Trend Fund will pay those selling agents (or their
assignees) up to 2% of the Classic Trend Funds average
month-end net asset value per annum. The amount paid to selling
agents on Classic Trend Fund Class A Units and Class B
Units sold pursuant to this disclosure document will not,
however, exceed 8.0% of the gross offering proceeds of the
Classic Trend Fund Class A Units and 9.0% of the gross
offering proceeds of the Classic Trend Fund Class B
Units sold pursuant to this disclosure document. Once the
respective threshold is reached with respect to the Classic
Trend Fund Class A Units or Class B Units sold
pursuant to this disclosure document, the selling agent will
receive no future compensation.
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The Classic Trend Fund Class A Units and Class C
Units will pay a broker-dealer custodial fee of 1/12th of 0.25%
of Class A Units and Class C Units
month-end net asset value (0.25% per annum) to the selling
agents (the firm and not the individual) provided, however that
the total of such broker-dealer custodial fees per Unit do not
exceed 1.0% of the gross offering proceeds of Class A Units
and 6% of the gross offering proceeds of Class C Units.
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Once total underwriting compensation, including, but not limited
to, the fees mentioned in the preceding paragraphs, paid on any
Class A Unit, Class B Unit, Class C Unit or
Class D Unit reaches 10% of the gross offering proceeds,
the Class A Unit, Class B Unit, Class C Unit or
Class D Unit will automatically be re-designated as Class E
Units., which are identical to Class A Units, Class B
Units, Class C Units and Class D Units except that
Class E Units do not pay any offering expenses, selling
agent fee, broker-dealer custodial fee payable to the selling
agents and, if applicable, redemption fees.
Dealers
and Others
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Bid-ask spreads for off-exchange contracts.
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Operating expenses such as legal, auditing, administration,
printing and postage, as incurred, up to a maximum of 0.50% of
the Funds net asset value per annum.
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Cash management and custodial fees for both Funds (0.10%
annualized fee based on the percentage of assets under
management) for management of the Funds non-margin assets.
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Redemption fees apply to certain Units redeemed through the
first twelve month-ends following purchase.
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Estimate
of Break-Even Level
Strategic
Allocation Fund
In order for an investor to break-even on his
investment in the first year of trading, assuming an additional
investment of $1,000, the Strategic Allocation Fund must earn
$73.80, or 7.38%, provided that no redemption charge is
applicable.
Redemption fees apply through the first twelve month-ends
following purchase as follows: 4% of net asset value per Unit
redeemed through the third month-end, 3% of net asset value per
Unit redeemed
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through the sixth month-end, 2% of net asset value per Unit
redeemed through the ninth month-end, and 1% of net asset value
per Unit redeemed through the twelfth month-end. The month-end
as of which the Unit is purchased is counted as the first
month-end. After the twelfth month-end following purchase of a
Unit, no redemption fees apply. Because the purchase date counts
as the first month-end in determining whether a redemption fee
applies, no redemption fee would be due in respect of a Unit
redeemed on the first anniversary of the purchase. Accordingly,
redemption fees are not included in the break-even
estimate set forth below.
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Assumed Additional Investment
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$
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1,000.00
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Brokerage Fee (7.30%)
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$
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73.00
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Offering Expense Reimbursement (0.20%)
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2.00
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Operating Expenses (0.10%)
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1.00
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Cash Manager and Custodian Fees (estimated at
0.08%)(1)
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0.80
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Less: Interest Income (estimated at
0.30%)(2)
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(3.00
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Amount of Trading Income Required to Break-Even on an
Investors Additional Investment in the First Year of
Trading
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$
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73.80
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Percentage of Additional Investment Required to Break-Even
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7.38
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%
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The maximum offering expense
reimbursement is 2.5% of the total subscription amount over
30 months. The amount actually reimbursed represents, over
the last two years, a charge equal to approximately 0.20% of
average month-end net asset value. Operating expenses are
subject to a maximum limit of 0.50% of the Strategic Allocation
Funds net asset value per annum. The estimates also do not
account for the bid-ask spreads in connection with the Strategic
Allocation Funds forward and option contract trading. No
performance fee is included in the calculation of the
break-even level since all operating expenses of the
Strategic Allocation Fund must be offset before a performance
fee is accrued.
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(1) The Strategic Allocation
Fund pays the cash managers and the custodian a combined
annualized fee equal to approximately 0.10% per annum of the
Strategic Allocation Funds funds they manage. Based on the
assumption that cash management constitutes 80% of the
additional investment, a fee equal to 0.08% is used for this
break-even analysis (80% of $1,000 multiplied by 0.10% equals
$0.80 or 0.08% of the assumed additional investment).
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(2) Variable based on current
interest rates.
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Classic
Trend Fund
In order for an investor to break-even on
his/her
investment in the first twelve months of trading, assuming an
initial investment of $5,000, (a) Class A Units must
earn $326.50 or 6.53%; (b) Class B Units must earn
$314.00 or 6.28%; (c) Class C Units must earn $226.50
or 4.53%; (d) Class D Units must earn $214.00 or
4.28%; and (e) Class E Units must earn $189.00 or
3.78% of the assumed initial investment, provided that no
redemption charge is applicable.
[REMAINDER OF THIS PAGE LEFT BLANK INTENTIONALLY.]
-7-
Redemption fees apply to the Class A Units and Class B
Units through the first twelve month-ends following purchase as
follows: 1.833% of net asset value per Class A Unit or
Class B Unit redeemed through the second month-end, 1.666%
of net asset value per Class A Unit or Class B Unit
redeemed through the third month-end, 1.500% of net asset value
per Class A Unit or Class B Unit redeemed through the
fourth month-end, 1.333% of net asset value per Class A
Unit or Class B Unit redeemed through the fifth month-end,
1.167% of net asset value per Class A Unit or Class B
Unit redeemed through the sixth month-end, 1.000% of net asset
value per Class A Unit or Class B Unit redeemed
through the seventh month-end, 0.833% of net asset value per
Class A Unit or Class B Unit redeemed through the
eighth month-end, 0.667% of net asset value per Class A
Unit or Class B Unit redeemed through the ninth month-end,
0.500% of net asset value per Class A Unit or Class B
Unit redeemed through the tenth month-end, 0.333% of net asset
value per Class A Unit or Class B Unit redeemed
through the eleventh month-end, 0.167% of net asset value per
Class A Unit or Class B Unit redeemed through the
twelfth month-end. The month-end as of which the Unit is
purchased is counted as the first month-end. After the twelfth
month-end following purchase of a Class A Unit or
Class B Unit, no redemption fees apply. Because the
purchase date counts as the first month-end in determining
whether a redemption fee applies, no redemption fee would be due
in respect of a Class A Unit or Class B Unit redeemed
on the first anniversary of the purchase. Accordingly,
redemption fees are not included in the break-even
estimate set forth below.
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Class A Units
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Class B Units
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Class C Units
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Class D Units
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Class E
Units(5)
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|
Assumed Initial Investment
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$
|
5,000
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|
|
$
|
5,000
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|
|
$
|
5,000
|
|
|
$
|
5,000
|
|
|
$
|
5,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Advisory Fee (2.00%)
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|
|
100.00
|
|
|
|
100.00
|
|
|
|
100.00
|
|
|
|
100.00
|
|
|
|
100.00
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|
General Partner Fee (1.00%)
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|
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50.00
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|
|
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50.00
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|
|
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50.00
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|
|
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50.00
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|
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50.00
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Organization & Offering Expense Reimbursement
(0.50%)(1)
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|
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25.00
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|
|
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25.00
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|
|
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25.00
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|
|
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25.00
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|
|
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N/A
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Operating Expenses
(0.50%)(1)
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|
|
25.00
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|
|
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25.00
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|
|
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25.00
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|
|
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25.00
|
|
|
|
25.00
|
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Cash Manager and Custodian Fees (estimated at
0.08%)(2)
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|
|
4.00
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|
|
|
4.00
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|
|
|
4.00
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|
|
|
4.00
|
|
|
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4.00
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Sales Fee (2.00%)
|
|
|
100.00
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|
|
|
100.00
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|
|
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N/A
|
|
|
|
N/A
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|
|
N/A
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Broker-Dealer Custodial Fee (0.25%)
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|
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12.50
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|
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N/A
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|
|
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12.50
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|
|
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N/A
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N/A
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Transaction Fees (estimated at
0.30%)(3)
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|
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15.00
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|
|
|
15.00
|
|
|
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15.00
|
|
|
|
15.00
|
|
|
|
15.00
|
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Less: Interest Income
(0.10%)(4)
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|
|
(5.00
|
)
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|
|
(5.00
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)
|
|
|
(5.00
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)
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|
(5.00
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)
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|
(5.00
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)
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Amount of Trading Income Required to Break-Even on an
Investors Initial Investment in the First Year of Trading
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$
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326.50
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|
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$
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314.00
|
|
|
$
|
226.50
|
|
|
$
|
214.00
|
|
|
$
|
189.00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
Percentage of Initial Investment Required to Break-Even
|
|
|
6.53
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%
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|
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6.28
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%
|
|
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4.53
|
%
|
|
|
4.28
|
%
|
|
|
3.78
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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The estimate does not account for the bid-ask spreads in
connection with the Classic Trend Funds forward and option
contract trading. No performance fee is included in the
calculation of the break-even level since all
operating expenses of the Classic Trend Fund must be offset
before a performance fee is accrued.
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(1)
|
Reflects maximum amount. Actual amount may be less.
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(2)
|
The Classic Trend Fund pays the cash managers and the custodian
a combined annualized fee equal to approximately 0.10% per annum
of the Classic Trend Funds funds they manage. Based on the
assumption that cash management constitutes 80% of the
additional investment, a fee equal to 0.08% is used for this
break-even analysis (80% of $1,000 multiplied by 0.10% equals
$0.80 or 0.08% of the assumed additional investment).
|
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(3)
|
Clearing fees, execution fees and other transaction fees that
will be paid to futures broker and the
over-the-counter
counterparty. In aggregate, transaction fees generally are not
expected to exceed 0.30% (and will not exceed 1.00%) per annum
of each Class of Units respective net asset value.
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(4)
|
Variable based on current interest rates.
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(5)
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Once total underwriting compensation paid on any Class A
Unit, Class B Unit, Class C Unit or Class D Unit
reaches 10% of the gross offering proceeds, the Class A
Unit, Class B Unit, Class C Unit or Class D Unit
will automatically be re-designated as Class E Units.
|
-8-
Distributions
and Redemptions
The Funds are intended to be medium- to long-term, i.e.,
3- to
5-year,
investments. Units are transferable, but no secondary market
exists for Units and none is expected to develop. Monthly
redemptions are permitted from both Funds upon ten
(10) business days advance written notice to
Campbell & Company. The general partner of the Classic
Trend Fund has reserved the right to permit redemptions and
accept subscriptions on a more frequent basis than monthly. The
general partner in its sole and absolute discretion may change
the foregoing notice requirement by written notice to you.
The redemption fees described above apply through the first
twelve month-ends following purchase of Units in both Funds.
Classic Trend Fund Class E Units do not pay redemption
fees. After the twelfth month-end following purchase of a Unit,
no redemption fees apply for either Fund. Campbell &
Company reserves the right to make distributions of profits at
any time in either Fund in its sole discretion.
Federal
Income Tax Aspects
In the opinion of Sidley Austin LLP, counsel to
Campbell & Company, each Fund is classified as a
partnership and will not be considered a publicly traded
partnership taxable as a corporation for federal income tax
purposes based on the type of income it is expected to earn. As
such, whether or not either Fund has distributed any cash to the
limited partners, each limited partner must report his allocable
share of items of income, gain, loss and deduction of either
Fund and is individually liable for income tax on such share.
The Funds invest in futures and other commodity contracts, gain
or loss on which will, depending on the contracts traded,
constitute a mixture of:
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|
1)
|
ordinary income or loss; and/or
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|
|
2)
|
capital gain or loss.
|
Trading losses of the Funds, which will generally constitute
capital losses, may only be available to offset a limited amount
of interest income or other ordinary income allocated to the
limited partners. Although the Funds treat the brokerage fees
and performance fees paid to Campbell & Company as
ordinary and necessary business expenses, all or a portion of
such expenses may be subject to restrictions on deductibility
for federal income tax purposes or be treated as non-deductible
syndication costs by the Internal Revenue Service, or IRS.
[REMAINDER
OF THIS PAGE LEFT BLANK INTENTIONALLY.]
-9-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
ORGANIZATIONAL CHART
The organizational chart below illustrates the relationships
among the various service providers of this offering.
Campbell & Company is both the general partner and
trading advisor for the Fund. The selling agents (other than
Campbell Financial Services, Inc.), futures brokers,
over-the-counter
counterparties, cash managers and the custodian of excess
collateral, are not affiliated with Campbell & Company
or the Strategic Allocation Fund.
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|
* |
Campbell & Company presently serves as commodity pool
operator for six other commodity pools.
|
-10-
CAMPBELL
CLASSIC TREND FUND, L.P.
ORGANIZATIONAL CHART
The organizational chart below illustrates the relationships
among the various service providers of this offering.
Campbell & Company is both the general partner and
trading advisor for the Fund. The selling agents (other than
Campbell Financial Services, Inc.), futures broker,
over-the-counter
counterparty, cash manager and custodian of excess collateral
are not affiliated with Campbell & Company or the
Classic Trend Fund.
|
|
* |
Campbell & Company presently serves as commodity pool
operator for six other commodity pools.
|
-11-
THE RISKS
YOU FACE
Market
Risks
You
Could Possibly Lose Your Total Investment in the
Funds
Futures, forward and option contracts have a high degree of
price variability and are subject to occasional rapid and
substantial changes. Consequently, you could lose all or a
substantial amount of your investment in the Funds.
The
Funds are Highly Leveraged
Because the amount of margin funds necessary to be deposited in
order to enter into a futures, forward or option contract
position is typically about 2% to 10% of the total value of the
contract, Campbell & Company is able to hold positions
in each Funds account with face values equal to several
times each Funds net asset value. The ratio of margin to
equity is typically 10% to 30%. As a result of this leveraging,
even a small movement in the price of a contract can cause major
losses.
Financing
Arrangements; Availability of Credit
The Funds may utilize and may depend on the availability of
credit in order to trade their portfolios. There can be no
assurance that the Funds will be able to maintain adequate
financing arrangements under all market circumstances. As a
general matter, the dealers that provide financing to the Funds
can apply essentially discretionary margin, haircut, financing
security and collateral valuation policies. Changes by dealers
in such financing policies, or the imposition of other credit
limitations or restrictions, whether due to market circumstances
or governmental, regulatory or judicial action, may result in
large margin calls, loss of financing, forced liquidation of
positions at disadvantageous prices, termination of swap and
repurchase agreements and cross-defaults to agreements with
other dealers. Any such adverse effects may be exacerbated in
the event that such limitations or restrictions are imposed
suddenly
and/or by
multiple market participants at or about the same time. The
imposition of such limitations or restrictions could compel the
Funds to liquidate all or part of their portfolios at
disadvantageous prices. In recent months, banks and dealers have
substantially curtailed financing activities and increased
collateral requirements, forcing many hedge funds to liquidate.
Your
Investment Could be Illiquid; Suspension of
Trading
Futures, forward and option positions cannot always be
liquidated at the desired price; this can occur when the market
is thinly traded (i.e., a relatively small volume of buy and
sell orders) or in the event of disrupted markets and other
extraordinary events in which historical pricing relationships
become materially distorted. The financing available to the
Funds from banks, dealers and other counterparties is likely to
be restricted in disrupted markets. The Funds may incur material
losses and the risk of loss from pricing distortions is
compounded by the fact that in disrupted markets many positions
become illiquid making it difficult or impossible to close out
positions against which the markets are moving. For example, in
1994, 1998 and again from 2007 2009 (it is not known
at this time when the current liquidity crisis will ease) there
was a sudden restriction of credit by the dealer community that
resulted in forced liquidations and major losses for a number of
private investment funds. Campbell & Company was not
forced to liquidate positions during the 1994, 1998 or
2007 2009 liquidity crises. However, it is possible
that in the future, in such situations, Campbell &
Company may be unable for some time to liquidate certain
unprofitable positions thereby increasing the loss to the Funds
from the trade. Additionally, foreign governments may take or be
subject to political actions which disrupt the markets in their
currency or major exports, such as energy products or metals.
Market disruptions caused by unexpected political, military and
terrorist events may from time to time cause dramatic losses for
the Funds, and such events can result in otherwise historically
low-risk strategies performing with unprecedented volatility and
risk. Any of these actions could also result in losses to the
Funds. A subscription for Units should be considered only by
persons financially able to maintain their investment and who
can afford the loss of all or substantially all of such
investment.
Further, most U.S. futures exchanges have established
daily price fluctuation limits which preclude the
execution of trades at prices outside of the limit, and, from
time to time, the CFTC or the exchanges may suspend trading in
market disruption circumstances. In these cases, it is possible
that Campbell & Company, as trading advisor, could be
required to maintain a losing position that it otherwise would
exit and incur significant losses or be
-12-
unable to establish a position and miss a profit opportunity.
Also, there is no secondary market for the Units and none is
expected to develop. While the Units have redemption rights,
there are restrictions, and possible fees assessed. For example,
redemptions from each Fund can occur only at the end of a month.
If a large number of redemption requests were to be received at
one time for either Fund, the Funds might have to liquidate
positions to satisfy the requests. Such a forced liquidation
could adversely affect the Funds and consequently your
investment.
Transfers of interest in the Units are subject to limitations,
such as 30 days advance notice of any intent to
transfer. Also, Campbell & Company may deny a request
to transfer if it determines that the transfer may result in
adverse legal or tax consequences for the Funds. See each
Funds Agreement of Limited Partnership
Dispositions.
Forward
and Option Transactions are
Over-the-Counter,
are Not Regulated and are Subject to Credit Risk
The Funds trade forward and option contracts in foreign
currencies. Such contracts are typically traded
over-the-counter
through a dealer market, which is dominated by major money
center and investment banks, and is not regulated by the
Commodity Futures Trading Commission. Thus, you do not receive
the protection of CFTC regulation or the statutory scheme of the
Commodity Exchange Act in connection with this trading activity
by the Funds. The market for forward and option contracts relies
upon the integrity of market participants in lieu of the
additional regulation imposed by the CFTC on participants in the
futures markets. This regulation includes, for example, trading
practices and other customer protection requirements, and
minimum financial and trade reporting requirements. The absence
of regulation could expose the Funds to significant losses in
the event of trading abuses or financial failure by participants
in the forward and option markets which it might otherwise have
avoided. Also, the Funds face the risk of non-performance by its
counterparties to forward and option contracts and such
non-performance may cause some or all of its gains to remain
unrealized.
The Funds have a substantial portion of their assets on deposit
with financial institutions. In the event of a financial
institutions insolvency, recovery of each Funds
assets on deposit may be limited to account insurance or other
protection afforded such deposits, if any. Campbell &
Company seeks to minimize credit risk primarily by depositing
and maintaining the Funds assets at financial institutions
and brokers that Campbell & Company believes to be
creditworthy.
Options
on Futures and
Over-the-Counter
Contracts are Speculative and Highly Leveraged
Options on futures and
over-the-counter
contracts may be used by the Funds to generate premium income or
capital gains. The buyer of an option risks losing the entire
purchase price (the premium as well as any commissions and fees)
of the option. The writer (seller) of an option risks losing the
difference between the premium received for the option and the
price of the commodity, futures or forward contract underlying
the option which the writer must purchase or deliver upon
exercise of the option (which losses can be unlimited). Specific
market movements of the commodity, futures or forward contracts
underlying an option cannot accurately be predicted. Successful
options trading requires an accurate assessment of near-term
volatility in the underlying instruments, as that volatility is
immediately reflected in the price of the option. Correct
assessment of market volatility can therefore be of much greater
significance in trading options than it is in trading futures
and forwards, where volatility may not have as great an effect
on price.
An
Investment in the Funds May Not Diversify an Overall
Portfolio
Historically, alternative investments such as managed futures
funds have been generally non-correlated to the performance of
other asset classes such as stocks and bonds. Non-correlation
means that there is no statistically valid relationship between
the past performance of futures, forward and option contracts on
the one hand and stocks or bonds on the other hand.
Non-correlation should not be confused with negative
correlation, where the performance of two asset classes would be
exactly opposite. Because of this non-correlation, the Funds
cannot be expected to be automatically profitable during
unfavorable periods for the stock market or vice versa. The
futures, forward and option markets are fundamentally different
from the securities markets in that for every gain made in a
futures, forward or option transaction, the opposing side of
-13-
that transaction will have an equal and off-setting loss. If the
Funds do not perform in a manner non-correlated with the general
financial markets or does not perform successfully, you will
obtain no diversification benefits by investing in the Units and
the Funds may have no gains to offset your losses from other
investments.
The
Current Markets are Subject to Market Disruptions; Governmental
Intervention
The global financial markets are currently undergoing pervasive
and fundamental disruptions which have led to extensive and
unprecedented governmental intervention. Such intervention has,
in certain cases, been implemented on an emergency
basis, suddenly and substantially eliminating market
participants ability to continue to implement certain
strategies or manage the risk of their outstanding positions. In
addition, as one would expect given the complexities of the
financial markets and the limited time frame within which
governments have felt compelled to take action, these
interventions have typically been unclear in scope and
application, resulting in confusion and uncertainty which in
itself has been materially detrimental to the efficient
functioning of the markets as well as to previously successful
investment strategies. Confusion and uncertainty have also
resulted from the apparent inconsistency which has characterized
recent governmental actions. For example, while the Federal
Reserve assisted or otherwise intervened with respect to certain
distressed financial institutions, it refused to do so for
others. Such inconsistency has caused both severe losses for a
number or market participants, who assumed either no
intervention or intervention consistent with past precedent, and
contributed to the general uncertainty and resulting illiquidity
of the markets.
The U.S. bailout of financial institutions is
the largest governmental intervention in the history of the
U.S. financial markets. Moreover, the form of the
bailout continues to shift as the impact of the
current financial crisis is further analyzed. For example, the
Troubled Asset Relief Program was initially designed to purchase
illiquid mortgage-backed securities. Funds were then used to
inject capital directly into certain consumer-oriented financial
companies. In further response to this crisis, the
U.S. government enacted the Emergency Economic
Stabilization Act (the EESA), the largest
governmental intervention in the history of the
U.S. financial markets. In connection with the EESA, it
seems highly likely that the U.S. Congress will require
that new market restrictions be applied to the
U.S. financial markets, restrictions which may have a
material adverse impact on both the future competitiveness of
these markets as well as the profit potential of the Funds.
Regulations in other jurisdictions also appear likely to take
similar action.
The interim global prohibition on short-selling financial sector
stocks imposed during the current financial crisis resulted in
certain strategies becoming non-viable literally overnight. The
SEC imposed a ban on short-selling on September 18, 2008.
Short-selling is an integral component of many relative value
alternative investment strategies which have little or no effect
on the absolute price level of the underlying equities and
should, accordingly, not be subject to the short-selling ban.
However, such strategies were generally not exempted from the
ban, causing dramatic losses for certain groups of investors.
A number of countries imposed bans on short-selling, typically
on an emergency basis, making it impossible for
numerous market participants either to continue to implement
their strategies or to manage the risk of their open positions.
Any ongoing regulatory limitations on short-selling which may
result from the current market disruptions could materially
adversely affect the trading advisors ability to implement
its strategies for the benefit of the Funds.
It is impossible to predict what additional interim or permanent
governmental restrictions may be imposed on the markets
and/or
effect of such restrictions on the trading managers
strategies. However, the trading advisor believes that there is
a high likelihood of significantly increased regulation of the
financial markets, and that such increased regulation could be
materially detrimental to the Funds.
Trading
Risks
Campbell &
Company Analyzes Primarily Technical Market Data
The trading systems used by Campbell & Company for the
Funds are primarily technical. The profitability of trading
under these systems depends on, among other things, the
occurrence of significant price movements, up or down, in
futures, forward or option prices. Such price movements
-14-
may not develop; there have been periods in the past without
such price movements.
The likelihood of the Units being profitable could be materially
diminished during periods when events external to the markets
themselves have an important impact on prices. During such
periods, Campbell & Companys historic price
analysis could establish positions on the wrong side of the
price movements caused by such events.
Increased
Competition from Other Trend-Following Traders Could Reduce
Campbell & Companys Profitability
There has been a dramatic increase in the volume of assets
managed by trend-following trading systems like some of the
Campbell & Company programs. For example, in 1980, the
assets in the managed futures industry were estimated at
approximately $300 million; by the end of 2008, this
estimate had risen to approximately $206 billion. Increased
trading competition from other trend-following traders could
operate to the detriment of the Funds. It may become more
difficult for the Funds to implement their trading strategies if
other trading advisors using technical systems are, at the same
time, also attempting to initiate or liquidate futures, forward
or option positions, or otherwise alter trading patterns.
Speculative
Position Limits May Alter Trading Decisions for the
Funds
The CFTC has established limits on the maximum net long or net
short positions which any person may hold or control in certain
futures contracts. Some exchanges also have established such
limits. All accounts controlled by Campbell & Company,
including the accounts of the Funds, are combined for
speculative position limit purposes. If positions in those
accounts were to approach the level of the particular
speculative position limit, such limits could cause a
modification of Campbell & Companys trading
decisions for the Funds or force liquidation of certain futures
positions. Either of these actions may not be in the best
interest of the investors.
Increase
in Assets Under Management May Make Profitable Trading More
Difficult
Campbell & Company has not agreed to limit the amount
of additional equity which it may manage, and is actively
engaged in raising assets for existing and new accounts
including the Funds. The more equity Campbell &
Company manages, the more difficult it may be for
Campbell & Company to trade profitably because of the
difficulty of trading larger positions without adversely
affecting prices and performance. Accordingly, such increases in
equity under management may require Campbell & Company
to modify its trading decisions for the Funds which could have a
detrimental effect on your investment. Such considerations may
also cause Campbell & Company to eliminate smaller
markets from consideration for inclusion in either or both of
its Financial, Metal & Energy Large Portfolio or its
Trend Following Portfolio, reducing the range of markets in
which trading opportunities may be pursued. Campbell &
Company reserves the right to make distributions of profits to
limited partners in an effort to control asset growth. In
addition, Campbell & Company may have an incentive to
favor other accounts because the compensation received from some
other accounts may exceed the compensation it receives from
managing each of the Funds account. Because records with
respect to other accounts are not accessible to limited partners
in the Funds, the limited partners will not be able to determine
if Campbell & Company is favoring other accounts. See
Campbell & Company, Inc. Trading
Capacity.
Investors
Will Not be Able to View the Funds Holdings on a Daily
Basis
Campbell & Company makes the Funds trading
decisions. While Campbell & Company
receives daily trade confirmations from the futures brokers and
over-the-counter
counterparties, the Funds trading results are reported to
limited partners monthly. Accordingly, an investment in the
Funds does not offer limited partners the same transparency,
i.e., an ability to review all investment positions
daily, that a personal trading account offers.
Tax
Risks
Investors
are Taxed Based on Their Share of the Funds
Profits
Investors are taxed each year on their share of the Funds
profits, if any, irrespective of whether they redeem any Units
or receive any cash distributions from the Funds.
Campbell & Company has the authority to make such
distributions at any time in its sole discretion.
-15-
All performance information included in this prospectus is
presented on a pre-tax basis; the investors who experienced such
performance had to pay the related taxes from other sources.
Tax
Could be Due from Investors on Their Share of the Funds
Ordinary Income Despite Overall Losses
Investors may be required to pay tax on their allocable share of
either Funds ordinary income, which in the case of the
Funds is the Funds interest income, gain on some foreign
futures contracts, and certain other investment assets, even
though the Funds incur overall losses. Capital losses of
individual taxpayers can be used only to offset capital gains
and $3,000 of ordinary income each year. Consequently, if an
individual investor were allocated $5,000 of ordinary income and
$10,000 of capital losses, the investor would owe tax on $2,000
of ordinary income even though the investor would have a $5,000
loss for the year. The remaining $7,000 capital loss could be
used in subsequent years to offset capital gain and ordinary
income, but subject to the same annual limitation on its
deductibility against ordinary income.
There
Could be a Limit on the Deductibility of Brokerage and
Performance Fees
Although the Funds treat the brokerage fees and performance fees
paid to Campbell & Company and other expenses of the
Funds as ordinary and necessary business expenses, upon an IRS
audit either Fund may be required to treat such fees as
investment advisory fees if the Funds trading
activities did not constitute a trade or business for tax
purposes. If the limited partners share of expenses were
deemed to be investment advisory fees, a limited partners
tax liability would likely increase because of statutory
limitations applicable to miscellaneous itemized deductions,
including investment advisory fees, of individual taxpayers. In
addition, upon audit, a portion of the brokerage fees might be
treated as a non-deductible syndication cost or might be treated
as a reduction in the Funds capital gain or as an increase
in the Funds capital loss. If the brokerage fees were so
treated, a limited partners tax liability would likely
increase.
Other
Risks
Fees
and Commissions are Charged Regardless of Profitability and are
Subject to Change
The Funds are subject to substantial charges payable
irrespective of profitability, in addition to performance fees
which are payable based on the Funds profitability.
Included in these charges are brokerage fees and operating
expenses. On the Funds forward and option trading,
bid-ask spreads and prime brokerage fees are
incorporated into the pricing of the Funds forward and
option contracts by the counterparties in addition to the
brokerage fees paid by the Funds. It is not possible to quantify
the bid-ask spreads paid by the Funds because the
Funds cannot determine the profit its counterparty is making on
the forward and option transactions. Such spreads can at times
be significant. In addition, while currently not contemplated,
each Limited Partnership Agreement allows for changes to be made
to the brokerage fee and performance fee upon sixty days
notice to the limited partners.
The
Futures Brokers Could Fail and Have Been Subject to Disciplinary
Action
The current futures brokers for the Strategic Allocation Fund
are UBS Securities LLC and Goldman, Sachs & Co. The
current futures broker for the Classic Trend Fund is NewEdge
USA, LLC. The Commodity Exchange Act generally requires futures
brokers to segregate all funds received from customers from such
brokers proprietary assets. If the futures brokers fail to
do so to the full extent required by law, the assets of the
Funds might not be fully protected in the event of the
bankruptcy of the futures brokers. Furthermore, in the event of
the futures brokers bankruptcy, the Funds could lose the
entire amount, or be limited to recovering only a pro rata share
of all available funds segregated on behalf of the futures
brokers combined customer accounts, even though certain
property specifically traceable to the Funds (for example,
Treasury bills deposited by the Funds with the futures brokers
as margin) was held by the futures brokers. The futures brokers
have been the subject of regulatory and private causes of
action, as described under The Futures Brokers.
Furthermore, dealers in forward and option contracts are not
regulated by the Commodity Exchange Act and are not obligated to
segregate
-16-
customer assets. As a result, you do not have such basic
protection in forward and option contracts.
Investors
Must Not Rely on the Past Performance of Either
Campbell & Company or the Funds in Deciding Whether to
Buy Units
The future performance of the Funds is not predictable, and no
assurance can be given that the Funds will perform successfully
in the future in as much as past performance is not necessarily
indicative of future results. Additionally, the markets in which
the Funds operate have been severely disrupted over the past
year or more, so results observed in earlier periods may have
little relevance to the results observable in the current
environment.
The Classic Trend Fund is a recently-formed entity with no
operating history, as of the date set forth on the cover page of
this prospectus, upon which prospective investors can evaluate
its potential performance. The personnel of the trading advisor
responsible for managing the Classic Trend Funds
investment portfolio have substantial experience in managing
investments and private and public investment funds and have
provided and continue to provide advisory and management
services to clients and private and public investment funds that
have similar investment programs to that of the Classic Trend
Fund. However, the past performance of the trading advisor may
not be construed as an indication of the future results of an
investment in either Fund.
Parties
to the Funds Have Conflicts of Interest
Campbell & Company has not established any formal
procedures to resolve the following conflicts of interest.
Consequently, there is no independent control over how
Campbell & Company resolves these conflicts which can
be relied upon by investors as ensuring that the Funds are
treated equitably with other Campbell & Company
clients.
Campbell & Company has a conflict of interest because
it acts as the general partner and sole trading advisor for the
Funds.
Since Campbell & Company acts as both trading advisor
and general partner for the Funds, it is very unlikely that its
advisory contract will be terminated by the Funds. The fees
payable to Campbell & Company were established by it
and were not the subject of arms-length negotiation. These
fees on the Strategic Allocation Fund consist of a
(i) brokerage fee of up to 8% of the Strategic Allocation
Funds month-end net asset value per annum (prior to
accruals for such brokerage fee or performance fees) (of which
3% is retained by Campbell & Company) and
(ii) quarterly performance fee equal to 20% of aggregate
cumulative appreciation in the Strategic Allocation Funds
net asset value per Unit, if any, excluding interest income and
redemptions and as adjusted for subscriptions and redemptions.
These fees on the Classic Trend Fund consist of a monthly
(i) advisory fee at the annual rate of 2% and
(ii) general partner fee at the annual rate of 1%, of the
net asset value of the Class A Units, Class B Units,
Class C Units, Class D Units and Class E Units,
respectively, prior to any accrual for or payment of any
advisory fee, general partner fee, performance fee, redemption
or subscription during said month and (iii) a quarterly
performance fee equal to 20% aggregate cumulative appreciation
in the Class A Units, Class B Units,
Class C Units, Class D Units and
Class E Units net asset value per Unit, if any,
excluding interest income and as adjusted for subscription and
redemptions. Campbell & Company, as general partner,
determines whether or not distributions are made and it receives
increased fees to the extent distributions are not made.
Subject to the limit on selling agent compensation discussed in
Plan of Distribution Items of Compensation
Pursuant to FINRA Rule 2310, selling agents will be
entitled to ongoing compensation as a result of their clients
remaining in the Funds, so a conflict exists between the selling
agents interest in maximizing compensation and in advising
its clients to make investment decisions in the clients
best interests.
Other conflicts are also present in the operation of the Funds.
See Conflicts of Interest.
There
Are No Independent Experts Representing Investors
Campbell & Company has consulted with counsel,
accountants and other experts regarding the formation and
operation of the Funds. No counsel has been appointed to
represent the limited partners in connection with the offering
of the Units. Accordingly, each prospective investor should
consult his own legal, tax and financial advisers regarding the
desirability of an investment in the Funds.
-17-
The
Funds Place Significant Reliance on Campbell &
Company
The incapacity of Campbell & Companys principals
could have a material and adverse effect on Campbell &
Companys ability to discharge its obligations under the
advisory agreement. However, there are no individual principals
at Campbell & Company whose absence would result in a
material and adverse effect on Campbell &
Companys ability to adequately carry out its advisory
responsibilities.
Either
of the Funds Could Terminate Before Expiration of its Stated
Term
As general partner of both Funds, Campbell & Company
may withdraw from either or both of the Funds upon
120 days notice, which would cause that Fund to
terminate unless a substitute general partner were obtained.
Other events, such as a long-term substantial loss suffered by
either Fund, could also cause that Fund to terminate before the
expiration of its stated term. This could cause you to liquidate
your investments and upset the overall maturity and timing of
your investment portfolio. If the registrations with the CFTC or
memberships in the National Futures Association of
Campbell & Company or the futures brokers were revoked
or suspended, such entity would no longer be able to provide
services to the Funds.
The
Funds are Not Regulated Investment Companies
Although the Funds and Campbell & Company are subject
to regulation by the CFTC, neither of the Funds is an investment
company subject to the Investment Company Act of 1940 and
Campbell & Company is not registered as an investment
adviser under the Investment Advisers Act of 1940. Accordingly,
you do not have the protections afforded by those statutes
which, for example, requires investment companies to have a
majority of disinterested directors and regulates the
relationship between the adviser and the investment company.
Forwards,
Options, Swaps, Hybrids and Other Derivatives are Not Subject to
CFTC Regulation
The Funds trade foreign exchange contracts and options in the
interbank market. In the future, the Funds may also trade swaps,
hybrid instruments and other off-exchange contracts. Swap
agreements involve trading income streams such as fixed rate for
floating rate interest. Hybrids are instruments which combine
features of a security with those of a futures contract. The
dealer market for off-exchange instruments is becoming more
liquid. There is no exchange or clearinghouse for these
contracts and they are not regulated by the CFTC. The Funds will
not receive the protections which are provided by the
CFTCs regulatory scheme for these transactions.
The
Funds are Subject to Foreign Market Credit and Regulatory
Risk
A substantial portion of Campbell & Companys
trades takes place on markets or exchanges outside the United
States. From time to time, over 50% of each Funds overall
market exposure could involve positions taken on foreign
markets. The risk of loss in trading foreign futures contracts
and foreign options can be substantial. Participation in foreign
futures contracts and foreign options transactions involves the
execution and clearing of trades on, or subject to the rules of,
a foreign board of trade.
Non-U.S. markets
may not be subject to the same degree of regulation as their
U.S. counterparts. None of the CFTC, NFA or any domestic
exchange regulates activities of any foreign boards of trade,
including the execution, delivery and clearing of transactions,
nor do they have the power to compel enforcement of the rules of
a foreign board of trade or any applicable foreign laws. Trading
on foreign exchanges also presents the risks of exchange
controls, expropriation, taxation and government disruptions.
The
Funds are Subject to Foreign Exchange Risk
The price of any foreign futures or foreign options contract
and, therefore, the potential profit and loss thereon, may be
affected by any variance in the foreign exchange rate between
the time a position is established and the time it is
liquidated, offset or exercised. Certain foreign exchanges may
also be in a more or less developmental stage so that prior
price histories may not be indicative of current price dynamics.
In addition, the Funds may not have the same access to certain
positions on foreign exchanges as do local traders, and the
historical market data on which Campbell & Company
bases its strategies may not be as reliable or accessible as it
is in the United States. The rights of clients (such as the
Funds) in the event of the insolvency or bankruptcy of a
non-U.S. market
or
-18-
broker are also likely to be more limited than in the case of
U.S. markets or brokers.
Transfers
Could be Restricted
You may transfer or assign your Units only upon
30 days prior written notice to Campbell &
Company and only if Campbell & Company is satisfied
that the transfer complies with applicable laws and would not
result in adverse legal or tax consequences for the Funds.
A
Single-Advisor Fund May Be More Volatile Than a
Multi-Advisor Fund
Both Funds are single-advisor managed futures funds. You should
understand that many managed futures funds are structured as
multi-advisor funds in order to attempt to control risk and
reduce volatility through combining advisors whose historical
performance records have exhibited a significant degree of
non-correlation with each other. As single-advisor managed
futures funds, the Funds may have increased performance
volatility and a higher risk of loss than investment vehicles
employing multiple advisors.
The
Performance Fee Could be an Incentive to Make Riskier
Investments
Campbell & Company employs speculative strategies for
the Funds, and receives performance fees based on the trading
profits earned by it for the Funds. Campbell & Company
would not agree to manage the Funds accounts in the
absence of such a performance fee arrangement. Accordingly,
Campbell & Company may make investments that are
riskier than might be made if the Funds assets were
managed by a trading advisor that did not require
performance-based compensation.
The
Funds May Distribute Profits to Limited Partners at Inopportune
Times
Campbell & Company reserves the right to make
distributions of profits of the Funds to the limited partners at
any time in its sole discretion in order to control the growth
of the assets under Campbell & Companys
management. Limited partners will have no choice in receiving
these distributions as income, and may receive little notice
that these distributions are being made. Distributions may be
made at an inopportune time for the limited partners.
Potential
Inability to Trade or Report Due to Systems
Failure
Campbell & Companys strategies are dependent to
a significant degree on the proper functioning of its internal
computer systems. Accordingly, systems failures, whether due to
third party failures upon which such systems are dependent or
the failure of Campbell & Companys hardware or
software, could disrupt trading or make trading impossible until
such failure is remedied. Any such failure, and consequential
inability to trade (even for a short time), could, in certain
market conditions, cause the Funds to experience significant
trading losses or to miss opportunities for profitable trading.
Additionally, any such failures could cause a temporary delay in
reports to investors.
Potential
Disruption or Inability to Trade Due to a Failure to Receive
Timely and Accurate Market Data from Third Party
Vendors
Campbell & Companys strategies are dependent to
a significant degree on the receipt of timely and accurate
market data from third party vendors. Accordingly, the failure
to receive such data in a timely manner or the receipt of
inaccurate data, whether due to the acts or omissions of such
third party vendors or otherwise, could disrupt trading to the
detriment of the Funds or make trading impossible until such
failure or inaccuracy is remedied. Any such failure or
inaccuracy could, in certain market conditions, cause the Funds
to experience significant trading losses, effect trades in a
manner which it otherwise would not have done, or miss
opportunities for profitable trading. For example, the receipt
of inaccurate market data may cause the Funds to establish (or
exit) a position which it otherwise would not have established
(or exited), or fail to establish (or exit) a position which it
otherwise would have established (or exited), and any subsequent
correction of such inaccurate data may cause the Funds to
reverse such action or inaction, all of which may ultimately be
to the detriment of the Funds.
[REMAINDER OF THIS PAGE LEFT BLANK INTENTIONALLY.]
-19-
SELECTED
FINANCIAL DATA WITH RESPECT TO THE STRATEGIC ALLOCATION
FUND ONLY
Dollars
in thousands, except per unit amounts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9-Month
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Period Ended
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30,
|
|
|
Year Ended
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
2006
|
|
|
2005
|
|
|
2004
|
|
|
Total Assets
|
|
$
|
1,928,949
|
|
|
$
|
2,541,717
|
|
|
$
|
3,999,585
|
|
|
$
|
5,777,987
|
|
|
$
|
5,233,064
|
|
|
$
|
4,099,736
|
|
Total Partners Capital
|
|
|
1,872,272
|
|
|
|
2,455,984
|
|
|
|
3,803,392
|
|
|
|
5,654,540
|
|
|
|
5,175,699
|
|
|
|
4,048,146
|
|
Total Net Trading Gain (Loss) (includes brokerage commissions)
|
|
|
(49,863
|
)
|
|
|
139,135
|
|
|
|
(620,158
|
)
|
|
|
348,176
|
|
|
|
611,580
|
|
|
|
443,116
|
|
Net Income (Loss)
|
|
|
(162,242
|
)
|
|
|
(24,940
|
)
|
|
|
(739,180
|
)
|
|
|
211,997
|
|
|
|
424,794
|
|
|
|
130,292
|
|
Net Income (Loss) Per General and Limited Partner Unit*
|
|
|
(189.08
|
)
|
|
|
(21.87
|
)
|
|
|
(440.33
|
)
|
|
|
113.86
|
|
|
|
272.37
|
|
|
|
100.20
|
|
Increase (Decrease) in Net Asset Value per General and Limited
Partner Unit
|
|
|
(183.16
|
)
|
|
|
(40.75
|
)
|
|
|
(458.41
|
)
|
|
|
121.64
|
|
|
|
261.69
|
|
|
|
114.36
|
|
* Based on weighted average number of Units outstanding
during the period.
SUPPLEMENTARY
FINANCIAL INFORMATION WITH RESPECT TO THE STRATEGIC ALLOCATION
FUND ONLY
Dollars
in thousands, except per unit amounts
The following summarized quarterly financial information
presents the results of operations for the three month periods
ended March 31, June 30, and September 30, 2009
and March 31, June 30, September 30, and
December 31, 2008 and 2007.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1st Qtr.
|
|
|
2nd Qtr.
|
|
|
3rd Qtr.
|
|
|
|
|
|
|
2009
|
|
|
2009
|
|
|
2009
|
|
|
|
|
|
Total Net Trading Gain (Loss) (includes brokerage commissions)
|
|
$
|
8,220
|
|
|
$
|
(137,234
|
)
|
|
$
|
79,152
|
|
|
|
|
|
Net Income (Loss)
|
|
|
(34,226
|
)
|
|
|
(174,076
|
)
|
|
|
46,059
|
|
|
|
|
|
Net Income (Loss) per General and Limited Partner Unit*
|
|
|
(37.40
|
)
|
|
|
(203.11
|
)
|
|
|
57.43
|
|
|
|
|
|
Increase (Decrease) in Net Asset Value per General and Limited
Partner Unit
|
|
|
(39.68
|
)
|
|
|
(202.41
|
)
|
|
|
58.93
|
|
|
|
|
|
Net Asset Value per General and Limited Partner Unit at the End
of the Period
|
|
|
2,590.22
|
|
|
|
2,387.81
|
|
|
|
2,446.74
|
|
|
|
|
|
* Based on weighted average number of Units outstanding
during the period.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1st Qtr.
|
|
|
2nd Qtr.
|
|
|
3rd Qtr.
|
|
|
4th Qtr.
|
|
|
|
2008
|
|
|
2008
|
|
|
2008
|
|
|
2008
|
|
|
Total Net Trading Gain (Loss) (includes brokerage commissions)
|
|
$
|
64,968
|
|
|
$
|
173,742
|
|
|
$
|
(85,127
|
)
|
|
$
|
(14,448
|
)
|
Net Income (Loss)
|
|
|
27,628
|
|
|
|
130,870
|
|
|
|
(124,310
|
)
|
|
|
(59,128
|
)
|
Net Income (Loss) per General and Limited Partner Unit*
|
|
|
20.41
|
|
|
|
111.53
|
|
|
|
(118.24
|
)
|
|
|
(60.14
|
)
|
Increase (Decrease) in Net Asset Value per General and Limited
Partner Unit
|
|
|
19.54
|
|
|
|
119.12
|
|
|
|
(119.34
|
)
|
|
|
(60.07
|
)
|
Net Asset Value per General and Limited Partner Unit at
the End of the Period
|
|
|
2,690.19
|
|
|
|
2,809.31
|
|
|
|
2,689.97
|
|
|
|
2,629.90
|
|
* Based on weighted average number of Units outstanding
during the period.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1st Qtr.
|
|
|
2nd Qtr.
|
|
|
3rd Qtr.
|
|
|
4th Qtr.
|
|
|
|
2007
|
|
|
2007
|
|
|
2007
|
|
|
2007
|
|
|
Total Net Trading Gain (Loss) (includes brokerage commissions)
|
|
$
|
(347,410
|
)
|
|
$
|
659,908
|
|
|
$
|
(825,832
|
)
|
|
$
|
(106,824
|
)
|
Net Income (Loss)
|
|
|
(377,426
|
)
|
|
|
629,468
|
|
|
|
(850,163
|
)
|
|
|
(141,059
|
)
|
Net Income (Loss) per General and Limited Partner Unit*
|
|
|
(210.38
|
)
|
|
|
363.19
|
|
|
|
(514.62
|
)
|
|
|
(91.86
|
)
|
Increase (Decrease) in Net Asset Value per General and Limited
Partner Unit
|
|
|
(212.74
|
)
|
|
|
363.63
|
|
|
|
(509.13
|
)
|
|
|
(100.17
|
)
|
Net Asset Value per General and Limited Partner Unit at the End
of the Period
|
|
|
2,916.32
|
|
|
|
3,279.95
|
|
|
|
2,770.82
|
|
|
|
2,670.65
|
|
|
|
* |
Based on weighted average number of Units outstanding during the
period.
|
-20-
CAMPBELL &
COMPANY, INC.
Description
Campbell & Company is the general partner and trading
advisor of the Funds. It is a Maryland corporation organized in
April 1978 as a successor to a partnership originally organized
in January 1974. Its offices are located at 2850 Quarry Lake
Drive, Baltimore, Maryland 21209, and its telephone number is
(410) 413-2600.
Its primary business is the trading and management of
discretionary futures and forward accounts, including commodity
pools. As of September 30, 2009, Campbell &
Company and its affiliates had approximately $3.9 billion
under management (including approximately $3.1 billion
traded pursuant to the same Financial, Metal & Energy
Large Portfolio as traded by the Strategic Allocation Fund and
approximately $21 million traded pursuant to the same Trend
Following Portfolio as traded by the Classic Trend Fund). Please
refer to Campbell & Company, Inc.
Trading Systems for a discussion of all of the portfolios
offered by Campbell & Company, which includes the
Financial, Metal & Energy Large Portfolio and the
Trend Following Portfolio. Please refer to Past
Performance of the Campbell Strategic Allocation Fund,
L.P. on page 42 for the performance data required to
be disclosed for the most recent five calendar years and
year-to-date.
The Classic Trend Fund has not commenced trading and does not
have any performance history.
Campbell & Company is a member of the NFA and has been
registered as a commodity pool operator since September 10,
1982 and as a commodity trading advisor since May 6, 1978.
Pools currently operated by Campbell & Company, in
addition to the two pools discussed herein, include: Campbell
Financial Futures Fund Limited Partnership; Campbell
Fund Trust; Campbell Global Assets Fund Limited; The
Campbell Gold Plus Fund, L.P., and Campbell Alternative Asset
Trust. Campbell & Companys compensation is
discussed in Charges to the Funds.
The principals of Campbell & Company have not
purchased, and do not intend to purchase, Units.
Campbell & Company has agreed that its capital account
as general partner at all times will equal to the greater of
either (i) 1% of the net aggregate capital contributions of
all partners or (ii) $25,000.
There has never been any material administrative, civil or
criminal proceedings brought against Campbell &
Company or its principals, whether pending, on appeal or
concluded.
Campbell & Companys principals are
G. William Andrews, Theresa D. Becks, D. Keith
Campbell, Bruce L. Cleland, Gregory T. Donovan, Michael S.
Harris, Michael J. Hebrank, Kevin M. Heerdt, Thomas P. Lloyd and
Tracy Wills-Zapata. The majority voting stockholder of
Campbell & Company is D. Keith Campbell.
The trading advisor makes the Funds trading decisions
using proprietary trading models which analyze both technical
and fundamental market indicators. Following are the members of
the Risk Committee, which is responsible for overseeing the
proprietary trading models utilized on behalf of the Funds: G.
William Andrews, Theresa D. Becks, Bruce L. Cleland, Gregory T.
Donovan, Michael S. Harris and Kevin M. Heerdt.
The Funds utilize a systematic, model driven trading approach.
The trading advisor manages the Funds assets based on
signals derived from trading models, thereby minimizing the
human element in the
day-to-day
individual investment decision making process. The Risk
Committee meets daily to review the trading signals received by
the Funds for that day and the Risk Committee has the authority
to override a specific trading signal indicated by the trading
models.
G. William Andrews, born in 1972, has been employed by
Campbell & Company since April 1997 and was appointed
as Vice President: Director of Research Operations in March 2006
and has served as Vice President: Director of Operations since
April 2007. His duties include managing daily research and trade
operations, new research product implementation and code
management. Mr. Andrews holds an M.B.A. in Finance from
Loyola College in Maryland and a Bachelor of Social Science from
Waikato University, New Zealand. Mr. Andrews became listed
as a Principal of Campbell & Company effective
June 21, 2006.
Theresa D. Becks, born in 1963, joined Campbell &
Company in June 1991 and has served as President and Chief
Executive Officer since April 2007, Secretary since May 1992, a
Director since January 1994, and was Chief Financial Officer and
Treasurer until July 2008. Ms. Becks is also the President
and Chief Executive Officer of Campbell & Company
Investment Adviser LLC, a wholly-owned subsidiary of
Campbell & Company and an SEC registered investment
adviser, and Trustee, President, and Chief Executive Officer of
The Campbell Multi-Strategy Trust, a registered
-21-
investment company. Ms. Becks served as a member of the
Board of Directors of the Managed Funds Association from
November 2002 to November 2006. Ms. Becks is a C.P.A. and
has a B.S. in Accounting from the University of Delaware.
Ms. Becks became registered as an Associated Person and
listed as a Principal and NFA Associate Member of
Campbell & Company effective May 7, 1999,
March 10, 1993 and April 21, 1999, respectively.
Ms. Becks became registered as an Associated Person and
listed as a Principal and NFA Associate Member of
Campbell & Company Investment Adviser LLC effective
December 14, 2005, December 12, 2005 and
December 14, 2005, respectively.
D. Keith Campbell, born in 1942, has served as the Chairman
of the Board of Directors of Campbell & Company since
it began operations in 1972, was President until January 1994,
and was Chief Executive Officer until January 1998.
Mr. Campbell is the majority voting stockholder of
Campbell & Company. Mr. Campbell has acted as a
commodity trading advisor since 1972 when, as general partner of
the Campbell Fund, a limited partnership engaged in commodity
futures trading, he assumed sole responsibility for trading
decisions made on its behalf. Since then, he has applied various
technical trading models to numerous discretionary futures
trading accounts. Mr. Campbell is registered with the CFTC
and NFA as a commodity pool operator. Mr. Campbell became
registered as an Associated Person and listed as a Principal and
NFA Associate Member of Campbell & Company effective
October 29, 1997, September 29, 1978 and
September 29, 1997, respectively. Mr. Campbell became
listed as a Principal of Campbell & Company Investment
Adviser LLC effective July 9, 2008. Mr. Campbell
became listed as a Principal of his Commodity Pool Operator
effective March 10, 1975.
Bruce L. Cleland, born in 1947, joined Campbell &
Company in January 1993 and has served as Vice Chairman of the
Board of Directors of Campbell & Company since April
2007, was President from January 1994 to April 2007, and Chief
Executive Officer from January 1998 to April 2007. Until April
2007, Mr. Cleland was also the President and Chief
Executive Officer of Campbell & Company Investment
Adviser LLC, a wholly-owned subsidiary of Campbell &
Company and an SEC registered investment adviser, and Trustee,
Chief Executive Officer and President of The Campbell
Multi-Strategy Trust, a registered investment company.
Mr. Cleland is currently a member of the Board of Directors
of the National Futures Association, and previously served as a
member of the Board of Directors of the Managed Funds
Association and as a member of the Board of Governors of the
COMEX, in New York. Mr. Cleland is a graduate of Victoria
University in Wellington, New Zealand where he earned a Bachelor
of Commerce and Administration degree. Mr. Cleland became
registered as an Associated Person and listed as a Principal and
NFA Associate Member of Campbell & Company effective
December 15, 1993, September 15, 1993 and
December 15, 1993, respectively. Mr. Cleland became
listed as a Principal of Campbell & Company Investment
Adviser LLC effective July 9, 2008. Mr. Cleland was a
registered Associated Person and NFA Associate Member of
Campbell & Company Investment Adviser LLC from
December 2005 to April 2007.
Gregory T. Donovan, born in 1972, has been employed by
Campbell & Company since October 2006 as Chief
Financial Officer and Treasurer since July 2008, and was Senior
Vice President of Accounting and Finance from October 2006 to
July 2008. His duties include oversight of accounting and
finance functions and review of accounting policies and
procedures. Mr. Donovan is also the Chief Financial
Officer, Treasurer and Assistant Secretary of both
Campbell & Company Investment Adviser LLC, a
wholly-owned subsidiary of Campbell & Company and an
SEC registered investment adviser, and The Campbell
Multi-Strategy
Trust, a registered investment company. From November 2003 to
October 2006, Mr. Donovan was employed by Huron Consulting
Services serving as Director in the Financial and Economic
Consulting Practice. Mr. Donovan is a C.P.A. and has a B.S.
in Business Administration with concentrations in Accounting and
Management from Castleton State College and holds a M.S. in
Finance from the University of Baltimore. Mr. Donovan
became registered as an Associated Person and listed as a
Principal and NFA Associate Member of Campbell &
Company effective July 5, 2007, May 9, 2007 and
July 2, 2007, respectively. Mr. Donovan became listed
as a Principal of Campbell & Company Investment
Adviser LLC effective May 16, 2007.
Michael S. Harris, born in 1975, has been employed by
Campbell & Company since July 2000, was appointed
Deputy Manager of Trading in
-22-
September 2004 and has served as Vice President and Director of
Trading since June 2006. His duties include managing daily trade
execution for the assets under Campbell &
Companys management. Mr. Harris holds a B.A. in
Economics and Japanese Studies from Gettysburg College. He also
spent time studying abroad at Kansai Gaidai University in Osaka,
Japan. Mr. Harris became registered as an Associated Person
and listed as a Principal and NFA Associate Member of
Campbell & Company effective September 21, 2000,
June 15, 2006 and August 19, 2000, respectively.
Michael J. Hebrank, born in 1955, joined Campbell &
Company in April 2004 and has served as Chief Technology Officer
since then. From February 1999 to April 2004, Mr. Hebrank
was the Chief Information Officer at Greater Baltimore Medical
Center, the fourth largest healthcare system in Maryland.
Mr. Hebrank holds a B.S. in Applied Statistics from the
University of Baltimore and an M.S. in Computer Engineering from
Loyola College of Maryland. Mr. Hebrank became listed as a
Principal of Campbell & Company effective
June 21, 2006.
Kevin M. Heerdt, born in 1958, joined Campbell &
Company in March 2003 and has served as Chief Investment Officer
and Director of Research since July 2007, was Executive Vice
President-Research from March 2003 to June 2007 and Chief
Operating Officer from June 2005 to June 2007. His duties
include risk management, research, and the development of
quantitatively based hedge fund and options strategies.
Mr. Heerdt is also the Vice President and Chief Investment
Officer of both Campbell & Company Investment Adviser
LLC, a wholly-owned subsidiary of Campbell & Company
and an SEC registered investment adviser, and The Campbell
Multi-Strategy Trust, a registered investment company.
Mr. Heerdt holds a B.A. in Economics and in International
Relations from the University of Southern California.
Mr. Heerdt became registered as an Associated Person and
listed as a Principal and NFA Associate Member of
Campbell & Company effective April 15, 2003,
April 15, 2003 and April 1, 2003, respectively.
Mr. Heerdt became registered as an Associated Person and
listed as a Principal and NFA Associate Member of
Campbell & Company Investment Adviser LLC effective
December 14, 2005, December 12, 2005 and
December 14, 2005, respectively.
Thomas P. Lloyd, born in 1959, joined Campbell &
Company in September 2005 as General Counsel and Executive Vice
President-Legal and Compliance. In this capacity, he is involved
in all aspects of legal affairs, compliance and regulatory
oversight. Since April 2007, Mr. Lloyd has also overseen
Campbell & Companys fund administration
function. Mr. Lloyd is also the Secretary, Chief Compliance
Officer and Assistant Treasurer of both Campbell &
Company Investment Adviser LLC, a wholly-owned subsidiary of
Campbell & Company and an SEC registered investment
adviser, and The Campbell Multi-Strategy Trust, a registered
investment company. From July 1999 to September 2005,
Mr. Lloyd was employed by Deutsche Bank Securities Inc.
(DBSI) in several positions, including Managing
Director and head of the legal group for Deutsche Bank Alex.
Brown, the Private Client Division of DBSI. Mr. Lloyd holds
a B.A. in Economics from the University of Maryland, and a J.D.
from the University of Baltimore School of Law. Mr. Lloyd
is a member of the Bars of the State of Maryland and the United
States Supreme Court. Mr. Lloyd became listed as a
Principal of Campbell & Company and
Campbell & Company Investment Adviser LLC effective
October 20, 2005 and December 12, 2005, respectively.
Tracy Wills-Zapata, born in 1971, joined Campbell &
Company in February 2006 and has served as Managing
Director Business Development since January 2007 and
was Managing Director of Institutional Business Development from
February 2006 to January 2007. Ms. Wills-Zapata is also the
Vice President of both Campbell & Company Investment
Adviser LLC, a wholly-owned subsidiary of Campbell &
Company and an SEC registered investment adviser, and The
Campbell Multi-Strategy Trust, a registered investment company.
Prior to joining Campbell, Ms. Wills-Zapata was a Managing
Director of DB Advisors LLC, and affiliates, from September 2002
to December 2005, where she was responsible for distribution of
Deutsche Banks single manager hedge fund platform.
Ms. Wills-Zapata was registered as an Associated Person
from January 2005 to December 2005 with DB Capital Advisers
Inc., from February 2003 to January 2005 with DB Advisors LLC,
and from November 2002 to February 2003 with Deutsche Bank
Securities Inc.
Ms. Wills-Zapata
was listed as a Principal with DB Advisors LLC from
February 2003 to February 2004. Ms. Wills-Zapata was an NFA
Associate Member from December 2004 to December 2005 with
-23-
DB Capital Advisers Inc., from January 2003 to January 2005
with DB Advisors LLC, and from November 2002 to February 2003
with Deutsche Bank Securities, Inc. Wills-Zapata is currently a
member of the Board of Directors and a Member of the Executive
Committee for the Managed Funds Association.
Ms. Wills-Zapata became registered as an Associated Person
and listed as a Principal and NFA Associate Member of
Campbell & Company effective March 27, 2006,
July 21, 2008 and March 27, 2006, respectively.
Ms. Wills-Zapata became registered as an Associated Person
and listed as a Principal and NFA Associate Member of
Campbell & Company Investment Adviser LLC effective
February 18, 2009.
The
Advisory Agreements
Pursuant to the Advisory Agreement for each Fund,
Campbell & Company has the sole authority and
responsibility for directing the investment and reinvestment of
the Funds assets. The Funds advisory agreement with
Campbell & Company is valid for successive periods of
one year, subject to each partys right to terminate on
60 days prior written notice. It is unlikely that
either advisory agreement would be terminated other than as a
direct result of the dissolution of either or both Funds.
The advisory agreements do not alter any fiduciary duties that
may otherwise be imposed by state law on Campbell &
Company.
Trading
Systems
Campbell & Company makes the Funds trading
decisions using proprietary computerized trading models which
analyze market statistics. There can be no assurance that the
trading models will produce results similar to those produced in
the past. In addition, limited partners will not have any vote
or consent with respect to the trading approaches utilized by
Campbell & Company. Existing limited partners will be
notified in advance via their monthly statements with regard to
any changes deemed to be a material change from the trading
approach as currently described.
Campbell & Company currently offers the following
portfolios:
|
|
|
|
1)
|
The Financial, Metal & Energy Large Portfolio,
|
|
|
2)
|
The Trend Following Portfolio,
|
|
|
3)
|
The Global Diversified Portfolio, and
|
|
|
4)
|
The Gold Plus Portfolio.
|
Campbell & Company Investment Adviser LLC, a
wholly-owned subsidiary of Campbell & Company, Inc.,
currently offers the Multi-Strategy Portfolio, a commodities and
securities portfolio with different investment objectives and
terms.
All of the Strategic Allocation Funds assets are currently
allocated to the Financial, Metal & Energy Large
Portfolio. All of the Classic Trend Funds assets will be
allocated to the Trend Following Portfolio. Both portfolios
trade futures, forward and option contracts on precious and base
metals, energy products, stock market indices, interest rate
instruments, foreign currencies, soft commodities and other
commodities.
See the following pie chart for a listing of contracts, by
sector, for both Funds. Sector allocation and the specific
markets traded, may frequently fluctuate in response to changes
in market volatility. The pie chart is not weighted to
trading percentages.
-24-
Contracts
Traded by Sector for both Funds
Campbell & Companys trading models are designed
to detect and exploit medium- to long-term price changes, while
also applying proven risk management and portfolio management
principles. Portfolio composition, including contracts traded
and percentage allocations to each sector, may change at any
time if Campbell & Company determines such change to
be in the best interests of the Fund. Each sector traded by the
Funds appears as a caption in the preceding pie charts. As an
example, natural gas is a market that is traded within the
commodities sector.
Campbell & Company believes that utilizing multiple
trading models for the same client account provides an important
level of diversification, and is most beneficial when multiple
contracts in each market are traded. Every trading model may not
trade every market. It is possible that one trading model may
signal a long position while another trading model signals a
short position in the same market. It is Campbell &
Companys intention to offset those signals to reduce
unnecessary trading, but if the signals are not simultaneous,
both trades will be taken and, since it is unlikely that both
positions would prove profitable, in retrospect one or both
trades will appear to have been unnecessary. It is
Campbell & Companys policy to follow trades
signaled by each trading model independently of the other models.
Over the course of a medium- to long-term price change, there
are times when the risk of the market does not appear to be
justified by the potential reward. In such circumstances some of
Campbell & Companys trading models may exit a
winning position prior to the end of a price move. While there
is some risk to this method (for example, being out of the
market during a significant portion of a price move),
Campbell & Companys research indicates that this
is well compensated for by the decreased volatility of
performance that may result.
Campbell & Companys trading models may include
trend-following trading models, counter-trend trading models,
and trading models that do not seek to identify or follow price
trends at all. Campbell & Company expects to develop
additional trading models and to modify models currently in use
-25-
and may or may not employ all such models for all clients
accounts. The trading models currently used by
Campbell & Company may be eliminated from use if
Campbell & Company ever believes such action is
warranted.
While Campbell & Company normally follows a
disciplined, systematic approach to trading, on occasion it may
override the signals generated by the trading models, such as
when market conditions dictate otherwise. While such action may
be taken for any reason at any time at Campbell &
Companys discretion, it will normally only be taken to
reduce risk in the portfolio, and may or may not enhance the
results that would otherwise be achieved.
Campbell & Company applies risk management and
portfolio management strategies to measure and manage overall
portfolio risk. These strategies include portfolio structure,
risk balance, capital allocation, and risk limitation. One
objective of risk and portfolio management is to determine
periods of relatively high and low portfolio risk, and when such
points are reached, Campbell & Company may reduce or
increase position size accordingly. It is possible, however,
that this reduction or increase in position size may not enhance
the results achieved over time.
From time to time Campbell & Company may increase or
decrease the total number of contracts held based on increases
or decreases in the Funds assets, changes in market
conditions, perceived changes in portfolio-wide risk factors, or
other factors which may be deemed relevant.
Campbell & Company estimates that, based on the margin
required to maintain positions in the markets currently traded,
the ratio of margin to equity is typically 10% to 30% of each
Funds net asset value. From time to time, margin
commitments may be above or below this range.
The number of contracts that Campbell & Company
believes can be bought or sold in a particular market without
unduly influencing price adversely may at times be limited. In
such cases, a clients portfolio would be influenced by
liquidity factors because the positions taken in such markets
might be substantially smaller than the positions that would
otherwise be taken.
Trading
Capacity
Campbell & Company believes that it is not possible to
define or quantify capacity with any degree of certainty.
Campbell & Company has continued to introduce new
strategies designed to deliver returns which have low
correlation to returns from existing strategies. In addition,
Campbell & Company has continued to develop new ways
to manage assets, such as the application of dynamic portfolio
and capital management tools and innovative execution methods.
In the past, a significant increase in assets has led to
portfolio compromises, as increasingly large positions can only
be established and maintained in those markets that have
sufficient depth and liquidity.
Notwithstanding Campbell & Companys research,
risk and portfolio management efforts, there may come a time
when the combination of available markets and new strategies may
not be sufficient for Campbell & Company to add new
assets without detriment to diversification. If this were to
occur, Campbell & Company would expect risk-adjusted
returns to begin to degrade a more concentrated
portfolio may result in lower risk-adjusted returns and may have
a detrimental affect on your investment. See The Risks You
Face Trading Risks Increase in Assets
Under Management May Make Profitable Trading More
Difficult.
MANAGEMENTS
DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
OPERATIONS Strategic Allocation Fund
Introduction
The offering of Campbell Strategic Allocation
Fund L.P.s (the Strategic Allocation
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
$6,068,918,915 have been accepted during the continuing offering
period ended June 13, 2008.
Redemptions through September 30, 2009 total
$4,648,851,510. The Strategic Allocation Fund commenced
operations on April 18, 1994.
-26-
Critical
Accounting Policies
The preparation of financial statements in conformity with
accounting principles generally accepted in the United States
requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and
disclosures of contingent assets and liabilities at the date of
the financial statements and the reported amounts of income and
expense during the reporting period. Management believes that
the estimates utilized in preparing the financial statements are
reasonable and prudent; however, actual results could differ
from those estimates. The Strategic Allocation Funds
significant accounting policies are described in detail in
Note 1 of its Financial Statements.
The Strategic Allocation Fund records all investments at fair
value in its financial statements, with changes in fair value
reported as a component of change in unrealized trading gain
(loss) in the Statements of Operations. Generally, fair values
are based on market prices; however, in certain circumstances,
estimates are involved in determining fair value in the absence
of an active market closing price (e.g. forward contracts and
options on forward contracts which are traded in the inter-bank
market). For forward contracts and options of forward contracts,
fair values calculated by the Strategic Allocation Fund are
compared to the interbank market maker values for reasonableness.
Capital
Resources
Effective June 14, 2008 through the date of this disclosure
document, Units in the Strategic Allocation Fund were not
offered for sale. For existing investors in the Strategic
Allocation Fund, business has been and will be conducted as
usual. There will be no change in trading, operations or monthly
statements, etc. and redemptions will continue to be offered on
a monthly basis.
The Strategic Allocation Fund does not intend to raise any
capital through borrowing. Due to the nature of the Strategic
Allocation Funds business, it will make no capital
expenditures and will have no capital assets, which are not
operating capital or assets.
The Strategic Allocation Fund maintains
40-80% of
its net asset value in cash, cash equivalents or other liquid
positions in its cash management program over and above that
needed to post as collateral for trading. These funds are
available to meet redemptions each month. After redemptions are
taken into account each month, the trade level of the Strategic
Allocation Fund is adjusted and positions in the instruments the
Strategic Allocation Fund trades are liquidated, if necessary,
on a pro-rata basis to meet those increases or decreases in
trade levels.
Liquidity
Most United States commodity exchanges limit fluctuations in
futures contracts prices during a single day by regulations
referred to as daily price fluctuation limits or
daily limits. During a single trading day, no trades
may be executed at prices beyond the daily limit. Once the price
of a futures contract has reached the daily limit for that day,
positions in that contract can neither be taken nor liquidated.
Futures prices have occasionally moved to the daily limit for
several consecutive days with little or no trading. Similar
occurrences could prevent the Strategic Allocation Fund from
promptly liquidating unfavorable positions and subject the
Strategic Allocation Fund to substantial losses which could
exceed the margin initially committed to such trades. In
addition, even if futures prices have not moved the daily limit,
the Strategic Allocation 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 Strategic Allocation Funds
futures trading operations, the Strategic Allocation Funds
assets are expected to be highly liquid.
The entire offering proceeds, without deductions, were credited
to the Strategic Allocation Funds bank, brokerage
and/or cash
management accounts. The Strategic Allocation Fund meets margin
requirements for its trading activities by depositing cash or
U.S. government securities with the futures brokers and the
over-the-counter
counterparties. This does not reduce the risk of loss from
trading futures, forward and option contracts. The Strategic
Allocation Fund receives all interest earned on its assets. No
other person shall receive any interest or other economic
benefits from the deposit of Strategic Allocation Fund assets.
Approximately 10% to 30% of the Strategic Allocation Funds
assets normally are committed as required margin for futures
contracts and held by the futures brokers, although the amount
committed may vary significantly. Such assets are maintained in
the form of cash or U.S. Treasury bills in
-27-
segregated accounts with the futures brokers pursuant to the
Commodity Exchange Act and regulations thereunder. Approximately
10% to 30% of the Strategic Allocation Funds assets are
deposited with
over-the-counter
counterparties in order to initiate and maintain forward and
options on forward contracts. Such assets are not held in
segregation or otherwise regulated under the Commodity Exchange
Act, unless such
over-the-counter
counterparty is registered as a futures commission merchant.
These assets are held either in U.S. government securities
or short-term time deposits with
U.S.-regulated
bank affiliates of the
over-the-counter
counterparties.
The trading advisor deposits the majority of those assets of the
Strategic Allocation Fund that are not required to be deposited
as margin with the futures broker and
over-the-counter
counterparty in custodial accounts with Northern
Trust Company. The assets deposited in the custodial
accounts with Northern Trust Company are segregated. Such
custodial accounts constitute approximately 40% to 80% of the
Strategic Allocation Funds assets and is invested,
directly by Wilmington Trust Investment Management LLC
(Wilmington) and Horizon Cash Management LLC
(Horizon). Wilmington and Horizon are registered
with the Securities and Exchange Commission as investment
advisers under the Investment Advisers Act of 1940. Wilmington
and Horizon do not guarantee any interest or profits will accrue
on the Strategic Allocation Funds assets in the custodial
account. Wilmington and Horizon will invest according to agreed
upon investment guidelines that are modeled after those
investments allowed by the futures broker as defined under The
Commodity Exchange Act, Title 17, Part 1,
§ 1.25 Investment of customer funds. Investments can
include, but are not limited to, (i) U.S. Government
Securities, Government Agency Securities, Municipal Securities,
banker acceptances and certificates of deposits;
(ii) commercial paper; and (iii) corporate debt.
The Strategic Allocation Fund occasionally receives margin calls
(requests to post more collateral) from its futures brokers or
over-the-counter
counterparties, which are met by moving the required portion of
the assets held in the custody accounts at Northern Trust to the
margin accounts. In the past 3 years, the Strategic
Allocation Fund has not needed to liquidate any position as a
result of a margin call.
The Strategic Allocation Funds assets are not and will not
be, directly or indirectly, commingled with the property of any
other person in violation of law or invested with or loaned to
Campbell & Company or any affiliated entities.
Results
of Operations
The returns for the nine months ended September 30, 2009
and for the years ended December 31, 2008, 2007 and 2006
were (6.96)%, (1.53)%, (14.65)% and 4.04%, respectively.
2009
(9 months ended September 30)
Of the
2009 year-to-date
decrease of 6.96%, approximately 1.48% was due to trading losses
(before commissions) and approximately 5.56% due to brokerage
fees, operating expenses and offering costs borne by the Fund
offset by approximately 0.08% due to interest income. During the
nine months ended September 30, 2009, the Fund accrued
brokerage fees in the amount of $112,819,855 and paid brokerage
fees in the amount of $116,382,724. No performance fees were
accrued or paid during this period. An analysis of the 1.48%
trading losses by sector is as follows:
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|
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|
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Sector
|
|
% Gain (Loss)
|
|
|
Currencies
|
|
|
2.70
|
%
|
Stock Indices
|
|
|
(0.86
|
)
|
Commodities
|
|
|
(0.87
|
)
|
Interest Rates
|
|
|
(2.45
|
)
|
|
|
|
|
|
|
|
|
(1.48
|
)%
|
|
|
|
|
|
President Obamas stimulus plan took center stage in
January; however, weak economic data continued to negatively
impact global stock markets into the start of the New Year. An
early month rally fizzled quickly, causing notable declines in
major global indices. The Strategic Allocation Fund gained in
equity indices trading on net short positions across each
region. Gains were recorded in fixed income trading as the
worlds central banks continued to lower interest rates.
Mounting fiscal deficits and huge issuance needs begin to weigh
heavy on the long-end; however, credit markets generally
improved in January with yield spreads continuing to contract.
Foreign exchange trading finished slightly negative on the
month. Risk aversion and capital preservation benefited the
Strategic Allocation Funds net long U.S. Dollar
position; however, the U.K. governments unprecedented move
to give the Bank of England power to increase their stake
-28-
in Royal Bank of Scotland to 70% helped fuel a late month rally
in the British Pound, eliminating gains from a previous decline.
Commodity trading was generally flat on volatility across
precious and base metals and a slowing of the negative energy
trend.
In February, the U.S. governments ability to address
the economic crisis was met with skepticism by Wall Street.
Economic data remained persistently weak, especially on the
employment and housing fronts. The U.S. was not alone in
reporting negative news, as European and Asian economies also
continued with the release of dismal economic data such as
declining exports and falling dividends. The majority of
February gains in the Strategic Allocation Fund resulted from
equity indices trading, particularly from short positions in the
U.S. and Asia. Additional gains were recorded in foreign
exchange trading as investors continued to feed U.S. Dollar
strength, particularly relative to the Japanese Yen. The
U.S. Dollar continues to be the safe haven pick as the risk
aversion theme continued, as evidenced by the U.S. treasury
yields recording all-time lows.
Stock markets rallied in March as the 2008 fourth quarter
earnings announcements subsided and large U.S. banks
announced they would be profitable for the first two months of
2009. The majority of the Strategic Allocation Funds
losses in March resulted from equity indices trading, as the
equity rally adversely impacted net short positions globally.
Commodities recorded losses as energy price swings have become
correlated with equities and metals surged on news of
Chinas economic stimulus plan. Gains from fixed income
markets were recorded from the Strategic Allocation Funds
long global bond positions as prices moved significantly higher
on announcements from the Swiss, British and American Central
Banks on their intentions of adding liquidity by purchasing
medium to long-term bonds in the market. Foreign exchange
trading resulted in gains as investors sought currencies whose
home central banks were not keen on engaging in quantitative
easing.
While equity index trading produced the most profitable sector
results for the Strategic Allocation Fund for 2008, the
Strategic Allocation Funds net exposure on the short side
of global stock indices through April 2009 has hurt performance
as markets continued to stage rallies that began in mid-March.
U.S. economic indicators, including housing and
manufacturing, showed signs of improvement and stabilization
rather than further deterioration. In addition, the G-20 agreed
to fund more than $1 trillion in emergency aid to help cushion
the economic fallout of the current international financial
crisis. While the general tone of the economic outlook was more
upbeat, officials have still been cautious in their assessment.
April saw a continuation of the March risk-seeking rally leading
to several growth currencies registering solid gains against the
dollar. Losses were realized in the foreign exchange sector due
to the Strategic Allocation Funds general bias to be long
the dollar against most major currencies. In fixed income, the
equity market rally helped general investor sentiment, driving
bond prices lower across the board which produced losses for the
Strategic Allocation Fund in this sector. Commodity trading
finished relatively flat with gains from the energy sector
offsetting small losses in base and precious metals.
In May, conflicting signals on global recovery weighed on the
direction of the markets as increased risk appetite and signs of
stabilization in the global economy emerged. Equity markets
continued their rally, particularly in Asia, generating small
gains in the stock index sector. Fixed income trading generated
a marginal positive return as short-term rates in Europe climbed
higher following the European Central Bank rate cut of
25 basis points. The gains in the stock index and fixed
income sectors were offset by losses in the foreign exchange
sector. The U.S. Dollar suffered a broad based decline in
May on a combination of stronger risk appetite and growing fears
over structural deficiencies in the U.S. Investors moved
dormant dollar denominated assets overseas to capture growth and
risk in commodity block currencies. Smaller losses were also
recorded in the commodities sector as natural gas finished a
volatile month higher.
During June, a surprise payroll number to the upside for May
prompted an aggressive sell-off in short-term U.S. rates
and raised market expectations of a rate hike in 2009. The price
reaction was swift and caused particular difficulty for
systematic trading. Losses for the Strategic Allocation Fund in
the fixed income sector were offset by marginal gains in the
foreign exchange sector. The Strategic Allocation Funds
currency positions were generally mixed, thus hedging some
U.S. Dollar risk, as investors crowded the Dollar as a
safe-haven trade, pushing it higher on the month. Marginal gains
were also recorded in the commodities sector, primarily from
long positions in the energy complex. As geo-political headlines
were plentiful, energies traded in
-29-
a highly correlated fashion to global equity markets. The stock
index sector finished basically flat for the month as global
equity markets reflected mixed results congruent with both
positive and negative economic data relating to global recovery.
Contrary to investor fears, global stock market returns in 2009
have fueled improved risk appetite as economic data and
corporate earnings support the rally for yet another month in
July. The Strategic Allocation Funds trading performance
was relatively flat, with positive results from long stock and
short U.S. Dollar positions being offset by losses incurred
from short interest rate positions. For the first half of 2009,
many trend-following strategies struggled to curb
losses and eked out small gains in a market environment that is
in a classic consolidation (trendless and choppy)
period.
While risk appetite was generally strong in August,
investors risk behavior was a bit random as fixed income
initially sold off on better than expected payrolls data, but
spent the rest of the month rallying. Bernankes nomination
for a second term and continued lower rates for
longer comments from Fed officials helped support treasury
prices against the Strategic Allocation Funds general
positioning across the curve. Smaller losses were recorded in
currency trading as investors appeared unwilling to chase growth
currencies higher, at the expense of the dollar, from already
stretched levels. Gains were recorded in commodity markets as
the Strategic Allocation Fund increased its exposure to this
sector with the launch of more agile models providing more
efficient holding period diversification. Trading in base and
precious metals was a primary driver as the risk on
trade prevailed on improving economic data. Equity indices
trading yielded a marginal gain as positioning geographically
and across model groups remains mixed.
During the month of September, the Strategic Allocation
Funds technical and fundamental strategies both recorded
healthy gains in the foreign exchange sector from short
positions in the U.S. Dollar vs. most major currencies.
Commodity-linked currencies were particularly profitable for the
Strategic Allocation Fund, as both the Australian and New
Zealand Dollars rose in value close to 5%. Technical and
fundamental signals were also effective in the equity index
sector, where the Strategic Allocation Fund benefited from
primarily long positions across global stock indices. With the
exception of Japan, global equities moved higher by
2 3% during the month on healthy M&A activity,
as well as favorable signs of a manufacturing rebound and
consumer spending renewal. Results were mixed in fixed income
trading as gains earned from short-term rates were largely
offset by losses on the long end of the curve. Commodities
trading resulted in marginal losses overall, primarily due to
short positions in natural gas. The price of natural gas rallied
over 20% during the month as a result of significant short
covering in the market despite record storage levels.
2008
Of the (1.53)% return for the year ended December 31, 2008,
approximately 4.19% was due to trading gains (before
commissions) and approximately 1.76% due to interest income
offset by approximately 7.48% due to brokerage fees, operating
costs and offering costs borne by the Strategic Allocation Fund.
An analysis of the 4.19% trading gain by sector is as follows:
|
|
|
|
|
Sector
|
|
% Gain (Loss)
|
|
Stock Indices
|
|
|
8.58
|
%
|
Commodities
|
|
|
0.81
|
|
Currencies
|
|
|
(0.58
|
)
|
Interest Rates
|
|
|
(4.62
|
)
|
|
|
|
|
|
|
|
|
4.19
|
%
|
|
|
|
|
|
The first quarter of 2008 began where 2007 left off, with the
credit crisis causing more write-downs, more credit downgrades,
and a growing realization that
sub-prime
issues would have broader and longer-lasting impacts than
initially suspected. In January, weak economic data caused the
Federal Open Market Committee to cut short-term rates by a total
of 1.25%, which included an unprecedented 0.75% emergency cut.
The S&P 500 recorded one of its worst monthly performances
in the history of the index. The Strategic Allocation
Funds performance in January was a 0.46% loss, with gains
in equity indices trading more than offset by losses in
currencies and flat performance in fixed income and commodities.
February saw the U.S. dollar weaken against most major
currencies, as U.S. economic data disappointed, stagflation
concerns grew and U.S. interest rate expectations declined
dramatically. The Strategic Allocation Funds currency
trading profited from these moves, generating a positive return
for the month. The Strategic Allocation Fund also recorded
-30-
gains in equity indices trading, as the S&P 500, Dow, and
NASDAQ continued to slide. Overall, the Strategic Allocation
Fund had a positive month, posting a 1.44% gain.
March brought more Federal Reserve intervention, which resulted
in a slight recovery by U.S. stocks from mid-month slides
to finish flat for the month, but still significantly negative
for the year. The US dollar continued to weaken. The Strategic
Allocation Funds performance was close to flat for the
month at (0.23)%, with gains in equity indices and currencies
offset by losses in commodities and fixed income. The Strategic
Allocation Fund closed the first quarter of 2008 with a
year-to-date
gain of 0.73%.
In April, the U.S. Dollar rallied against key funding
currencies, despite a generally weak global economy. The
Strategic Allocation Fund realized gains in foreign exchange and
commodities. However, those gains were overshadowed by losses in
the fixed income and equity indices sectors, as prior trends in
both sectors reversed course. For the month of April, the
Strategic Allocation Fund suffered a loss of 2.69%.
May was a strong month for the Strategic Allocation Fund.
Positive commodity trading led the charge as crude oil breached
new technical levels, touching $135 mid-month. Foreign exchange
models also posted gains, as high-yielding currencies performed
well. These gains, together with modest gains in the fixed
income more than offset a loss in equity indices. The Strategic
Allocation Fund achieved a positive return on the month of 1.95%.
In June the Strategic Allocation Fund realized its best month of
the year, posting a return of 5.26%. Equity indices trading
produced strong gains as short positions benefitted from the
negative news that roiled the markets around the globe. Signs of
commodity-based inflation were constantly in the headlines.
Consumer confidence fell to a
16-year low,
as U.S., European, and Asian equities markets fell in tandem.
Fixed income trading produced additional gains for the Strategic
Allocation Fund, in response to fears of inflation and the
ECBs increasingly hawkish stance. Commodities also posted
gains as crude oil hit new highs on the back of increased
tensions in the Middle East and among OPEC members. In addition,
the Strategic Allocation Fund had modest gains in foreign
exchange sector. The Strategic Allocation Fund concluded the
second quarter with a gain of 4.43% for the quarter, and a
year-to-date
gain of 5.19%.
The month of July was characterized by reversals in many asset
classes. The Dow and S&P hit technical bear market
territory early in the month, while Japanese equities saw their
longest
back-to-back
losing streak in 54 years. Equity markets seemed to find a
bottom mid-month after the U.S. announced the
Government-Sponsored Enterprises bailout plan. Commodity prices
also reversed, with crude oil declining almost 12% on fears that
a weakened economy would reduce global demand. The Strategic
Allocation Fund earned profits in equity indices trading. Those
gains were offset by losses in fixed income and commodities.
All-in, the Strategic Allocation Fund finished the month with a
loss of 1.30%.
In August,
sub-prime
fallout continued to plague the global financial markets. The
U.S. unemployment rate hit a four-year high. Commodity
prices continued to decline, with natural gas leading the way
with a decline of 12.75% and gold falling to its lowest level in
eight months. The Strategic Allocation Fund experienced losses
in foreign exchange and commodities sectors as currencies linked
to commodities fell in tandem with metal and energy markets,
while the U.S. Dollar Index posted unusually strong gains.
Those losses edged out gains in fixed income, resulting in a
loss for the month of 1.64%.
September saw concern over the widening credit crises come to a
boiling point. Equity markets in the U.S., Europe, and Asia
declined sharply. Investors fled high-yielding currencies in
response to the global decline in equity markets. The Strategic
Allocation Fund posted a loss of 1.37%. Gains in equity indices
were offset by losses in foreign exchange, fixed income, and
commodities. Diversification of positions by sector and
geography played an important role in dampening losses to the
Strategic Allocation Fund, as did a decrease in risk levels
across the portfolio. The Strategic Allocation Fund concluded
the third quarter with a loss of 4.25% for the quarter, leaving
the
year-to-date
gain at 0.72%.
At the time, the month of October seemed like a month to
remember, as equity markets around the world plummeted, fueling
further anxiety about the length and depth of a global recession
and further exacerbating the liquidity, growth, and confidence
crisis. With the benefit of hindsight, it was but the beginning
of a quarter to remember. For the
-31-
Strategic Allocation Fund, the month was about the benefits and
disadvantages of diversification. Modest gains in equity indices
trading were more than offset by losses in foreign exchange and
fixed income, resulting in a loss for the month of 1.22%.
November brought further global economic panic, as governments
around the world continued to announce plans to help bolster
sagging economies. The U.S. reversed course on its bailout
effort, from buying troubled assets to facilitating lending
flow. Economic data reflected another sharp drop in
manufacturing, rising unemployment, and the largest drop in
retail sales since 1992, prompting wild swings in both equity
and bond markets. The Strategic Allocation Fund maintained a
relatively low risk profile during the month, which resulted in
marginal losses and gains across the sectors. For the Strategic
Allocation Fund, losses in fixed income offset marginal gains in
other sectors, resulting in a loss for the month of 1.46%.
December saw more of the same on the global economic front. The
Strategic Allocation Fund, however, took advantage of dramatic
moves in the British Pound, particularly against the Euro, to
achieve gains in foreign exchange. Likewise, fixed income
trading was profitable as central banks across the globe
continued to lower interest rates on persistent negative data.
Overall, the Strategic Allocation Fund gained 0.44% for December.
The Strategic Allocation Fund completed the fourth quarter of
2008, one of the most volatile in market history, with a loss
for the quarter of 2.23%, bringing the return for the year to
(1.53)%.
2007
Of the (14.65)% return for the year ended December 31,
2007, approximately 11.89% was due to trading losses (before
commissions) and approximately 7.46% due to brokerage fees,
operating costs and offering costs borne by the Strategic
Allocation Fund offset by approximately 4.70% due to interest
income. An analysis of the 11.89% trading loss by sector is as
follows:
|
|
|
|
|
Sector
|
|
% Gain (Loss)
|
|
Interest Rates
|
|
|
0.80
|
%
|
Metals
|
|
|
(0.67
|
)
|
Energy
|
|
|
(1.79
|
)
|
Stock Indices
|
|
|
(2.61
|
)
|
Currencies
|
|
|
(7.62
|
)
|
|
|
|
|
|
|
|
|
(11.89
|
)%
|
|
|
|
|
|
The first quarter demonstrated how market perceptions on the
global macroeconomic environment can drastically change during a
quarter. Fixed income was initially a driver in performance as a
result of the acceleration of global economic momentum, but
ultimately resulted in overall losses for the quarter. The
global growth environment turned into a flight to quality from
risky assets, sponsored by former Federal Reserve Chairman Alan
Greenspans comments about a recession by year end and the
whipsaw activity experience in fixed income. Currency trading
followed a similar path of fixed income (initial gains and
overall quarterly losses); initial gains from currency crosses
were generated from unexpected rate hikes by the Bank of England
in the beginning of the quarter but were wiped out by the
liquidations of Yen-based carry trades in February, followed by
whipsaw activity at the end of quarter. The Strategic Allocation
Funds equity indices initially bucked the trend of fixed
income and currency with gains coming from our fundamental
models and strong M&A activity, but ultimately succumbed to
an overall quarterly loss. Energy losses were driven by price
declines in January on inventory
build-ups
due to warmer than average temperatures, but finished the last
two months of the quarter basically flat. Global economic
worries that were sparked at the end of February continued
through the early part of March. All major market sectors
experienced increased volatility accompanied by sharply higher
short-term correlation. Whipsaw activity in currencies, interest
rates and equities indices led to negative performance in all of
these sectors, acting as the primary drivers of March losses.
Risk levels for the Strategic Allocation Fund were reduced early
in March in response to market conditions, and were restored to
normal levels as conditions warranted.
The second quarter charged forward with M&A activity
supported by impressive earnings, unfettered access to liquidity
and major U.S. indices
-32-
reaching all time highs, to only end with inflation concerns and
a flight to quality related to the
sub-prime
world. Currencies provided gains early and late in the quarter
related to negative U.S. dollar sentiment, but experienced
losses mid-quarter mainly in outright exposures. Fixed income
gains early in the month of April were given back during the
last days of the month, but global fixed income prices breaking
out of their trading ranges in May allowed the Strategic
Allocation Fund to gain on both the long and short end of the
yield curve. Early in the quarter commodity trading was positive
as copper prices rallied on Chinas release of high import
figures, then finished slightly negative mid-quarter with energy
trading gains mitigating some losses in metals. Commodities
ended the quarter with small losses related to being short crude
as it rallied above $70 per barrel on geo-political risks and
inventory changes keeping traders bullish.
The third quarter began with a sudden flight to quality,
reversal of high yielding currencies, and a highly correlated,
unusually large move against the Strategic Allocation
Funds positions resulting in one of the Strategic
Allocation Funds largest monthly declines in recent years.
Losses were broadly based and evenly spread between the interest
rate, foreign exchange and equity index sectors. In response to
this perfect storm, the Strategic Allocation
Funds leverage was temporarily cut by 50%. Continuing the
unusual market conditions theme into the first half of August,
the contagion effect throughout the financial system created a
confidence and liquidity crisis that also negatively impacted
the Strategic Allocation Funds performance. Major stock,
bond and currency markets globally experienced double digit
losses from mid-July to mid-August. The foreign exchange sector
proved very difficult in August as the Strategic Allocation
Funds technical and macro models were both exposed to
high-yielding currencies that suffered market value declines of
historical proportions in mid-August. The Strategic Allocation
Funds leverage was cut again in mid-August. Trading in the
equity indices sector was also difficult as volatility dominated
global stock markets, with the S&P dropping over 8% from
its intra-month high only to bounce off of its lows once the
Strategic Allocation Funds exposure was reduced. The
Strategic Allocation Fund earned the majority of its gains at
the end of the quarter in the foreign exchange markets as
higher-yielding currencies once again gained favor. Trading in
the stock indices sector also posted positive results, as the
markets breathed a collective sigh of relief that the Federal
Reserve was seriously addressing the credit crisis and resulting
economic impact. The Strategic Allocation Funds portfolio
maintained a lower risk posture throughout the month of
September with full re-engagement resuming in the early part of
the fourth quarter.
The fourth quarter started with mixed messages as corporate
earnings reports either beat estimates or severely
disappointed, money centers and investment banks grappling with
major credit related losses, housing data continuing to soften,
and the Federal Open Market Committee complying with market
expectations of a 25 basis point cut. High yielding
currencies provided healthy gains early in the quarter battling
back from August lows, however, during the remainder of the
quarter the Strategic Allocation Fund incurred its largest
sector losses in currencies enduring the yen reaching levels not
seen since June of 2005. Trading in global indices proved a
similar fate to the currency sector, initially beginning the
quarter with gains followed up by two consecutive months of
incurring losses related to U.S. recessionary fears
spawning fears of a global slowdown in growth. Fixed income
began the quarter flat as credit quality remained an underlying
concern, then moving to positive returns mid-quarter thanks to
Treasuries posting the best month in 12 years, to finishing
negative at year-end related to extreme volatility. Energy and
base metals began the quarter with a minimal loss and flat
performance, respectively, as the markets continued to wrestle
with a tight supply/demand picture, deteriorating geo-political
landscape, a weakening dollar and strong growth from
India & China. This market landscape then switched to
fears of slowing global growth and fundamental arguments for
lower energy prices in which Campbell recorded losses in both
sectors. The quarter ended with gains realized in base and
precious metals as gold rallied 6% to all time highs amid strong
buying in the face of a bounce in the U.S. dollar.
2006
Of the 4.04% return for the year ended December 31, 2006,
approximately 6.93% was due to trading gains (before
commissions) and approximately 4.72% was due to interest income,
offset by approximately 7.61% due to brokerage fees, performance
fees, and operating and offering costs borne
-33-
by the Strategic Allocation Fund. An analysis of the 6.93%
trading gain by sector is as follows:
|
|
|
|
|
Sector
|
|
% Gain (Loss)
|
|
Stock Indices
|
|
|
6.67
|
%
|
Interest Rates
|
|
|
3.05
|
|
Metals
|
|
|
2.01
|
|
Currencies
|
|
|
1.91
|
|
Energy
|
|
|
(6.71
|
)
|
|
|
|
|
|
|
|
|
6.93
|
%
|
|
|
|
|
|
The first quarter demonstrated how markets interplay and how a
diversified set of strategies can take advantage of changes in
geopolitical and macroeconomic events. Currencies were
relatively quiet in the first two months of the year as the
markets tried to ascertain central bank policy intentions for
2006, but managed to rally at quarter-end on expectations of
further interest rate hikes. Energy volatility proved difficult
for the Strategic Allocation Fund, as the markets continued to
fluctuate between excess inventory levels, supply constraints,
and the ebb and flow of geopolitical tensions. A sharp sell-off
in energy prices in February and a rebound in prices in March
left the Strategic Allocation Fund flat in energy trading on the
quarter. The first quarter also saw the long end of the yield
curve reverse sharply, the markets first peek at Ben
Bernanke as Chairman of the Federal Reserve Bank, and the
reintroduction of the
30-year
bond, leaving fixed income trading flat on the quarter.
Following all of this activity, the Strategic Allocation Fund
recorded gains in equity indices (despite the choppy start for
global equity markets) and currencies, and finished the first
quarter up 4.49%.
The second quarter proved to be quite a bit more difficult for
the Strategic Allocation Fund with a quarterly rate of return of
(6.29)%. A major sell off of the U.S. dollar against all
major currencies, coupled with other central banks contemplating
rate hikes, resulted in negative performance, primarily from the
Strategic Allocation Funds fundamental currency models.
These losses proved difficult to overcome despite gains in other
sectors. Mid-quarter, the Strategic Allocation Fund was faced
with another trend reversal, this time in equities, resulting in
additional losses to our global equity index trading. Energy
trading was positive overall on the quarter as prices moved
higher in response to continuing uncertainty in Iran and the
approaching hurricane season. Toward the end of the quarter the
markets were choppy as traders were attempting to interpret
monetary policies from each of the worlds major central
banks. Expectations of slowed economic growth due to central
bank policies and the shifting sands of geopolitical events
continued to pressure precious and base metals resulting in only
slightly positive performance for that sector on the quarter.
As much as the second quarter was dominated by the sell off of
the U.S. dollar, energy was largely responsible for the
Strategic Allocation Fund posting a third quarter return of
(3.61)%. Early in the quarter, economic activity suggested a
slower pace and a cooling housing market leading to a reduced
probability of another rate hike. The quarter began with a push
in energy prices higher as a result of certain geopolitical
events, followed by a sharp reversal in the energy complex on
the perception of easing geopolitical intensions, a mild
hurricane season and steadily rising inventories. Energy markets
continued to sell off towards the end of the quarter causing
losses for the Strategic Allocation Fund. Gains were recorded in
the currency markets, where losses on the Strategic Allocation
Funds cross rate exposures were more than offset by gains
in outright positions, despite the historically low volatilities
in many of these markets. The market continued to believe the
U.S. Federal Reserve would not raise rates in the
foreseeable future and consequently the Strategic Allocation
Fund recorded small losses in the interest rate sector and small
gains in equity index trading.
The fourth quarter of 2006 proved to be a very productive period
for our strategies, and produced a quarterly return of 10.23%
for the Strategic Allocation Fund. The currency sector carried
the Strategic Allocation Fund throughout the quarter, recording
gains related to the renewed popularity of the Yen
carry trade, Euro related crosses and the continued
weakening of the Swiss Franc. The same strategies that caused
the Strategic Allocation Fund difficulty in April and May,
benefited the Strategic Allocation Fund throughout the fourth
quarter and finished positive on the year overall. Equity index
trading was also strongly positive throughout the quarter on
strong economic growth, restrained inflation, and continued
red-hot M&A activity ultimately contributing to the Dow
finishing the year near all-time highs. The energy complex
continued its unpredictable pattern-hitting lows for the
year-to-date
at the beginning of the quarter, rallying on refinery problems
in November, and then falling back on above average temperatures
throughout the U.S. and
-34-
Europe. The Strategic Allocation Fund posted overall losses in
the energy sector for the quarter and the year. Fixed income
trading was slightly negative on the quarter until December when
the sector contributed significantly to gains for the Strategic
Allocation Fund. Yields rose sharply across the curve on firm
November payrolls, stronger mid-month retail sales and
indications of a potential boom in housing market data.
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 Strategic Allocation Fund trades in futures, forward
and options 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 Strategic Allocation 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 Strategic Allocation Fund at the same
time, and if the Strategic Allocation Funds trading
advisor was unable to offset futures interests positions of the
Strategic Allocation Fund, the Strategic Allocation 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 option contracts there is a credit risk that a counterparty
will not be able to meet its obligations to the Strategic
Allocation 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 option 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 Strategic Allocation Fund only with those
counterparties which it believes to be creditworthy. All
positions of the Strategic Allocation 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 Strategic Allocation Fund.
Disclosures
About Certain Trading Activities that Include Non-Exchange
Traded Contracts Accounted for at Fair Value
The Strategic Allocation Fund invests in futures, forward
currency and options on forward currency contracts. The market
value of futures (exchange-traded) contracts is determined by
the various futures exchanges, 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 forward (non-exchange
traded) contracts is extrapolated on a forward basis from the
spot prices quoted as of 3:00 P.M. (E.T.) of the last
business day of the reporting period or based on the market
value of its exchange-traded equivalent. The market value of
option (non-exchange traded) contracts is calculated by applying
an industry-standard adaptation of the Black-Scholes options
valuation model to foreign currency options, using as input, the
spot prices, interest rates and option implied volatilities
quoted as of 3:00 P.M. (E.T.) on the last business day of
the reporting period.
Quantitative
and Qualitative Disclosures About Market Risk
Strategic Allocation Fund
Introduction
Past Results Not Necessarily Indicative of Future
Performance
The Strategic Allocation 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 Strategic Allocation Funds assets are subject to the
risk of trading loss. Unlike an operating company, the risk of
market sensitive instruments is integral,
-35-
not incidental, to the Strategic Allocation Funds main
line of business.
Market movements result in frequent changes in the fair market
value of the Strategic Allocation Funds open positions
and, consequently, in its earnings and cash flow. The Strategic
Allocation Funds 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 Strategic Allocation
Funds open positions and the liquidity of the markets in
which it trades.
The Strategic Allocation 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 Strategic Allocation Funds past performance is not
necessarily indicative of its future results.
Standard of Materiality
Materiality as used in this section, Quantitative and
Qualitative 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 Strategic Allocation
Funds market sensitive instruments.
Quantifying
the Strategic Allocation Funds Trading Value at
Risk
The following quantitative disclosures regarding the
Strategic Allocation Funds 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 Strategic Allocation Funds risk exposure in the
various market sectors traded is estimated in terms of Value at
Risk (VaR). The Strategic Allocation Fund estimates VaR using a
model based upon historical simulation (with a confidence level
of 97.5%) which involves constructing a distribution of
hypothetical daily changes in the value of a trading portfolio.
The VaR model takes into account linear exposures to risks,
including equity and commodity prices, interest rates, foreign
exchange rates, and correlation among these variables. The
hypothetical changes in portfolio value are based on daily
percentage changes observed in key market indices or other
market factors to which the portfolio is sensitive. The
Strategic Allocation Funds VaR at a one day 97.5%
confidence level of the Strategic Allocation Funds VaR
corresponds to the negative change in portfolio value that,
based on observed market risk factors, would have been exceeded
once in 40 trading days or one day in 40. VaR typically does not
represent the worst case outcome.
The Strategic Allocation Fund uses approximately one quarter of
daily market data and revalues its portfolio for each of the
historical market moves that occurred over this time period.
This generates a probability distribution of daily
simulated profit and loss outcomes. The VaR is the
2.5 percentile of this distribution.
The VaR for a sector represents the one day downside risk for
the aggregate exposures associated with this sector. The current
methodology used to calculate the aggregate VaR represents the
VaR of the Strategic Allocation Funds open positions
across all market sectors, and is less than the sum of the VaRs
for all such market sectors due to the diversification benefit
across asset classes.
The Strategic Allocation Funds VaR computations are based
on the risk representation of the underlying benchmark for each
instrument or contract and does not distinguish between exchange
and non-exchange dealer-based instruments. It is also not based
on exchange
and/or
dealer-based maintenance margin requirements.
VaR models, including the Strategic Allocation Funds, are
continually evolving as trading portfolios become more diverse
and modeling techniques and systems capabilities improve. Please
note that the VaR model is used to numerically quantify market
risk for historic reporting purposes only and is not utilized by
the Strategic Allocation Fund in its daily risk management
activities. Please further note that VaR as described above may
not be comparable to similarly titled measures used by other
entities.
-36-
Because the business of the Strategic Allocation Fund is the
speculative trading of futures, forwards and options, the
composition of the Strategic Allocation Funds trading
portfolio can change significantly over any given time period,
or even within a single trading day, which could positively or
negatively materially impact market risk as measured by VaR.
The
Strategic Allocation Funds Trading Value at Risk in
Different Market Sectors
The following tables indicate the trading Value at Risk
associated with the Strategic Allocation Funds open
positions by market category as of September 30, 2009 and
December 31, 2008 and the trading gains/losses by market
category for the six months ended September 30, 2009 and
the year ended December 31, 2008.
September 30,
2009
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading
|
Market Sector
|
|
Value at Risk*
|
|
Gain/(Loss)**
|
|
Currencies
|
|
|
0.80
|
%
|
|
|
2.70
|
%
|
Stock Indices
|
|
|
0.40
|
%
|
|
|
(0.86
|
)%
|
Interest Rates
|
|
|
0.35
|
%
|
|
|
(2.45
|
)%
|
Commodities
|
|
|
0.33
|
%
|
|
|
(0.87
|
)%
|
|
|
|
|
|
|
|
|
|
Aggregate/Total
|
|
|
1.34
|
%
|
|
|
(1.48
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
The VaR for a sector represents the one day downside risk for
the aggregate exposures associated with this sector. The
aggregate VaR represents the VaR of the Strategic Allocation
Funds open positions across all market sectors, and is
less than the sum of the VaRs for all such market sectors due to
the diversification benefit across asset classes.
|
|
|
** |
Of the return for the nine months ended September 30, 2009,
approximately 1.48% was due to trading losses (before
commissions) and approximately 5.56% due to brokerage fees,
operating expenses and offering costs borne by the Strategic
Allocation Fund offset by approximately 0.08% due to interest
income, giving a net return of (6.96)%.
|
December 31,
2008
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading
|
Market Sector
|
|
Value at Risk*
|
|
Gain/(Loss)**
|
|
Currencies
|
|
|
0.50
|
%
|
|
|
0.58
|
)%
|
Interest Rates
|
|
|
0.30
|
%
|
|
|
4.62
|
)%
|
Stock Indices
|
|
|
0.18
|
%
|
|
|
8.58
|
%
|
Commodities
|
|
|
0.05
|
%
|
|
|
0.81
|
%
|
|
|
|
|
|
|
|
|
|
Aggregate/Total
|
|
|
0.60
|
%
|
|
|
4.19
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
The VaR for a sector represents the one day downside risk for
the aggregate exposures associated with this sector. The
aggregate VaR represents the VaR of the Strategic Allocation
Funds open positions across all market sectors, and is
less than the sum of the VaRs for all such market sectors due to
the diversification benefit across asset classes.
|
|
|
** |
Of the return for the year ended December 31, 2008,
approximately 4.19% was due to trading gains (before
commissions) and approximately 1.76% due to interest income
offset by approximately 7.48% due to brokerage fees, operating
costs and offering costs borne by the Strategic Allocation Fund
giving a net return of (1.53)%.
|
Material
Limitations on Value at Risk as an Assessment of Market
Risk
The following limitations of VaR as an assessment of market risk
should be noted:
|
|
|
|
1)
|
Past changes in market risk factors will not always result in
accurate predictions of the distributions and correlations of
future market movements;
|
|
|
2)
|
Changes in portfolio value caused by market movements may differ
from those of the VaR model;
|
|
|
3)
|
VaR results reflect past trading positions while future risk
depends on future positions;
|
|
|
4)
|
VaR using a one day time horizon does not fully capture the
market risk of positions that cannot be liquidated or hedged
within one day; and
|
|
|
5)
|
The historical market risk factor data for VaR estimation may
provide only limited insight into losses that could be incurred
under certain unusual market movements.
|
VaR is not necessarily representative of historic risk nor
should it be used to predict the Strategic Allocation
Funds future financial performance or its ability to
manage and monitor risk. There can be no assurance that the
Strategic Allocation Funds actual losses on a particular
day will not exceed the VaR amounts indicated or that such
losses will not occur more than once in 40 trading days.
Non-Trading
Risk
The Strategic Allocation 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 Strategic Allocation Fund also has non-trading
-37-
market risk as a result of investing a substantial portion of
its available assets in U.S. Treasury Bills held at the
broker and
over-the-counter
counterparty. The market risk represented by these investments
is minimal. Finally, the Strategic Allocation Fund has
non-trading market risk on fixed income securities held as part
of its cash management program. The cash managers will use their
best endeavors in the management of the assets of the Strategic
Allocation Fund but provide no guarantee that any profit or
interest will accrue to the Fund as a result of such management.
Qualitative
Disclosures Regarding Primary Trading Risk
Exposures
The following qualitative disclosures regarding the Strategic
Allocation Funds market risk exposures except
for (i) those disclosures that are statements of historical
fact and (ii) the descriptions of how the Strategic
Allocation 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 Strategic
Allocation Funds 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 Strategic Allocation Funds
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 Strategic
Allocation Fund. There can be no assurance that the Strategic
Allocation Funds 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 Strategic
Allocation Fund.
The following were the primary trading risk exposures of the
Strategic Allocation Fund as of September 30, 2009, by
market sector.
Currencies
Exchange rate risk can be a significant market exposure of the
Strategic Allocation Fund. The Strategic Allocation Funds
currency exposure is to foreign 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 Strategic
Allocation 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 Strategic Allocation Funds currency sector
will change significantly in the future.
Interest
Rates
Interest rate risk can be a significant market exposure of the
Strategic Allocation Fund. Interest rate movements directly
affect the price of the sovereign bond positions held by the
Strategic Allocation 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 Strategic Allocation Funds
profitability. The Strategic Allocation Funds primary
interest rate exposure is to interest rate fluctuations in the
United States and the other G-7 countries. Campbell &
Company anticipates that G-7 interest rates will remain the
primary rate exposure of the Strategic Allocation Fund for the
foreseeable future. The changes in interest rates that have the
most effect on the Strategic Allocation Fund are changes in
long-term, as oppose to short-term rates. Most of the
speculative positions held by the Strategic Allocation Fund are
in medium- to long-term instruments.
Stock
Indices
The Strategic Allocation Funds primary equity exposure is
to equity price risk in the G-7 countries and several other
countries (Hong Kong, Spain, Netherlands and Taiwan). The stock
index futures traded by the Strategic Allocation Fund are by law
limited to futures on broadly based indices. The Strategic
Allocation 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 Strategic
-38-
Allocation Fund to avoid being whipsawed into
numerous small losses.)
Energy
The Strategic Allocation Funds primary energy market
exposure is to crude oil and derivative product price movements,
often resulting from international political developments and
ongoing conflicts in the Middle East and the perceived outcome.
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 Strategic Allocation Funds metals market exposure is
to fluctuations in the price of gold, silver, copper, nickel and
zinc.
Agricultural
The Strategic Allocation Funds agricultural exposure is to
the fluctuations of the price of wheat, corn, coffee and cotton.
Qualitative
Disclosures Regarding Non-Trading Risk Exposure
The following were the primary non-trading risk exposures of the
Strategic Allocation Fund as of September 30, 2009.
Foreign
Currency Balances
The Strategic Allocation Funds primary foreign currency
balances are in Australian Dollar, Japanese Yen, British Pounds
and Euros. The Strategic Allocation 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).
Fixed
Income Securities
The Strategic Allocation Funds primary market exposure in
instruments (other than treasury positions described in the
subsequent section) held other than for trading is in its fixed
income portfolio. The cash managers, Wilmington and Horizon,
have authority to make certain investments on behalf of the
Strategic Allocation Fund. All securities purchased by the cash
managers on behalf of the Strategic Allocation Fund will be held
in the Strategic Allocation Funds custody accounts at the
custodian. The cash managers will use their best endeavors in
the management of the assets of the Strategic Allocation Fund
but provide no guarantee that any profit or interest will accrue
to the Strategic Allocation Fund as a result of such management.
|
|
|
Treasury
Bill Positions Held for Margin Purposes
|
The Strategic Allocation Fund also has market exposure in its
Treasury Bill portfolio. The Strategic Allocation Fund holds
Treasury Bills (interest bearing and credit risk-free) with
maturities no longer than six months. Violent fluctuations in
prevailing interest rates could cause minimal
mark-to-market
losses on the Strategic Allocation Funds Treasury Bills,
although substantially all of these short-term investments are
held to maturity.
Qualitative
Disclosures Regarding Means of Managing Risk
Exposure
The means by which the Strategic Allocation Fund and
Campbell & Company, severally, attempt to manage the
risk of the Strategic Allocation Funds 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
precalculating stop-loss points at which systems
will signal to close open positions.
Campbell & Company manages the risk of the Strategic
Allocation Funds non-trading instruments of Treasury Bills
held for margin purposes by limiting the duration of such
instruments to no more than six months.
Campbell & Company manages the risk of the Strategic
Allocation Funds fixed income securities held for cash
management purposes by restricting the cash managers to
investing in securities that are modeled after those investments
allowed by the futures broker as defined under The Commodity
Exchange Act, Title 17, Part 1, § 1.25
Investment of customer funds. Investments can include, but are
not limited to, (i) U.S. Government Securities,
Government Agency Securities, Municipal Securities, banker
acceptances and certificates of deposits; (ii) commercial
paper; and (iii) corporate debt.
-39-
General
The Strategic Allocation 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
Strategic Allocation Fund generally will use a small percentage
of assets as margin, the Strategic Allocation Fund does not
believe that any increase in margin requirements, as proposed,
will have a material effect on the Strategic Allocation
Funds operations.
MANAGEMENTS
DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
OPERATIONS Classic Trend Fund
Critical
Accounting Policies
The preparation of financial statements in conformity with
accounting principles generally accepted in the United States
requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and
disclosures of contingent assets and liabilities at the date of
the financial statements and the reported amounts of income and
expense during the reporting period. Management believes that
the estimates utilized in preparing the financial statements are
reasonable and prudent; however, actual results could differ
from those estimates.
The Classic Trend Fund will record all investments at fair value
in its financial statements, with changes in fair value reported
as a component of change in unrealized trading gain (loss) in
the Statements of Operations. Generally, fair values are based
on market prices; however, in certain circumstances, estimates
are involved in determining fair value in the absence of an
active market closing price (e.g. forward contracts and options
on forward contracts which are traded in the inter-bank market).
Capital
Resources
The selling agents will offer the Classic Trend Fund Units
during the initial offering period, and thereafter through the
sale of Units offered pursuant to the continuing offering. The
Classic Trend Fund does not intend to raise any capital through
borrowing. Due to the nature of the Classic Trend Funds
business, it will make no capital expenditures and will have no
capital assets, which are not operating capital or assets.
Liquidity
Most United States commodity exchanges limit fluctuations in
futures contracts prices during a single day by regulations
referred to as daily price fluctuation limits or
daily limits. During a single trading day, no trades
may be executed at prices beyond the daily limit. Once the price
of a futures contract has reached the daily limit for that day,
positions in that contract can neither be taken nor liquidated.
Futures prices have occasionally moved to the daily limit for
several consecutive days with little or no trading. Similar
occurrences could prevent the Classic Trend Fund from promptly
liquidating unfavorable positions and subject the Classic Trend
Fund to substantial losses which could exceed the margin
initially committed to such trades. In addition, even if futures
prices have not moved the daily limit, the Classic Trend 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
Classic Trend Funds futures trading operations, the
Classic Trend Funds assets are expected to be highly
liquid.
The entire offering proceeds, without deductions, will be
credited to the Classic Trend Funds bank, brokerage
and/or cash
management accounts. The Classic Trend Fund will meet margin
requirements for its trading activities by depositing cash or
U.S. government securities with the futures broker and the
over-the-counter
counterparty. This does not reduce the risk of loss from trading
futures, forward and option contracts. The Classic Trend Fund
will receive all interest earned on its assets. No other person
shall receive any interest or other economic benefits from the
deposit of Classic Trend Fund assets.
Approximately 10% to 30% of the Classic Trend Funds assets
will normally be committed as required margin for futures
contracts and held by the futures broker, although the amount
committed may vary significantly. Such assets will be maintained
in the form of cash or U.S. Treasury bills in segregated
accounts with the futures brokers pursuant to the Commodity
Exchange Act and regulations thereunder. Approximately 10% to
30% of the Classic Trend Funds assets will be deposited
with
-40-
over-the-counter
counterparty in order to initiate and maintain forward and
options on forward contracts. Such assets are not held in
segregation or otherwise regulated under the Commodity Exchange
Act, unless such
over-the-counter
counterparty is registered as a futures commission merchant.
These assets will be held either in U.S. government
securities or short-term time deposits with
U.S.-regulated
bank affiliates of the
over-the-counter
counterparty.
The trading advisor will deposit the majority of those assets of
the Classic Trend Fund that are not required to be deposited as
margin with the futures broker and
over-the-counter
counterparty in a custodial account with Northern
Trust Company. The assets deposited in the custodial
account with Northern Trust Company will be segregated.
Such custodial account will constitute approximately 40% to 80%
of the Classic Trend Funds assets and will be invested,
directly by Wilmington Trust Investment Management LLC
(Wilmington). Wilmington is registered with the
Securities and Exchange Commission as an investment adviser
under the Investment Advisers Act of 1940. Wilmington does not
guarantee any interest or profits will accrue on the Classic
Trend Funds assets in the custodial account. Wilmington
will invest according to agreed upon investment guidelines that
are modeled after those investments allowed by the futures
broker as defined under The Commodity Exchange Act,
Title 17, Part 1, § 1.25 Investment of
customer funds. Investments can include, but are not limited to,
(i) U.S. Government Securities, Government Agency
Securities, Municipal Securities, banker acceptances and
certificates of deposits; (ii) commercial paper; and
(iii) corporate debt.
The Classic Trend Fund will occasionally receive margin calls
(requests to post more collateral) from its futures broker or
over-the-counter
counterparty, which are met by moving the required portion of
the assets held in the custody account at Northern Trust to the
margin accounts.
The Classic Trend Funds assets will not be, directly or
indirectly, commingled with the property of any other person in
violation of law or invested with or loaned to
Campbell & Company or any affiliated entities.
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 Classic Trend Fund will trade in futures, forward and
options contracts and therefore will be 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 Classic Trend 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 Classic Trend Fund at the same time,
and if the Classic Trend Funds trading advisor was unable
to offset futures interests positions of the Classic Trend Fund,
the Classic Trend Fund could lose all of its assets and the
Limited Partners would realize a 100% loss. Campbell &
Company, as general partner of the Classic Trend Fund (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 options contracts there is a credit risk that a counterparty
will not be able to meet its obligations to the Classic Trend
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 options 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 will trade for the Classic Trend
Fund only with those counterparties which it believes to be
creditworthy. All positions of the Classic Trend Fund will be
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 Classic Trend Fund.
-41-
PAST
PERFORMANCE OF THE CAMPBELL STRATEGIC ALLOCATION FUND,
L.P.
January 2004 September 2009
Name of Pool: Campbell Strategic
Allocation Fund, L.P.
Type of Pool: Publicly offered
Inception of Trading: April 18,
1994
Aggregate Gross Capital Subscriptions to the
Fund: $6,078,611,354
Current Net Asset Value of the
Fund: $1,872,271,808
Worst Monthly Percentage
Draw-down(1): July
2007/10.92%
Worst
Peak-to-Valley
Draw-down(1):
June 2007 August 2009/28.12%
PAST
PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rate of
Return(2)
|
|
|
|
(Computed on a compounded monthly basis)
|
Month
|
|
|
2009 YTD
|
|
|
2008
|
|
|
2007
|
|
|
2006
|
|
|
2005
|
|
|
2004
|
January
|
|
|
|
−0.08%
|
|
|
|
|
−0.46%
|
|
|
|
|
2.50%
|
|
|
|
|
1.97%
|
|
|
|
|
−2.22%
|
|
|
|
|
1.85%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
February
|
|
|
|
0.82%
|
|
|
|
|
1.44%
|
|
|
|
|
−5.89%
|
|
|
|
|
−1.85%
|
|
|
|
|
−1.32%
|
|
|
|
|
10.65%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March
|
|
|
|
−2.23%
|
|
|
|
|
−0.23%
|
|
|
|
|
−3.38%
|
|
|
|
|
4.40%
|
|
|
|
|
−0.07%
|
|
|
|
|
0.83%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
April
|
|
|
|
−4.77%
|
|
|
|
|
−2.69%
|
|
|
|
|
2.07%
|
|
|
|
|
−2.94%
|
|
|
|
|
0.40%
|
|
|
|
|
−6.84%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
May
|
|
|
|
−0.79%
|
|
|
|
|
1.95%
|
|
|
|
|
5.61%
|
|
|
|
|
−2.91%
|
|
|
|
|
4.86%
|
|
|
|
|
−0.61%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June
|
|
|
|
−2.43%
|
|
|
|
|
5.26%
|
|
|
|
|
4.33%
|
|
|
|
|
−0.55%
|
|
|
|
|
6.54%
|
|
|
|
|
−3.30%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
July
|
|
|
|
0.05%
|
|
|
|
|
−1.30%
|
|
|
|
|
−10.92%
|
|
|
|
|
−0.21%
|
|
|
|
|
0.90%
|
|
|
|
|
−0.73%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
August
|
|
|
|
−1.32%
|
|
|
|
|
−1.64%
|
|
|
|
|
−6.79%
|
|
|
|
|
−0.51%
|
|
|
|
|
−5.68%
|
|
|
|
|
−1.37%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September
|
|
|
|
3.79%
|
|
|
|
|
−1.37%
|
|
|
|
|
1.74%
|
|
|
|
|
−2.92%
|
|
|
|
|
3.59%
|
|
|
|
|
−1.78%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
October
|
|
|
|
|
|
|
|
|
−1.22%
|
|
|
|
|
5.48%
|
|
|
|
|
1.60%
|
|
|
|
|
3.97%
|
|
|
|
|
2.16%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
November
|
|
|
|
|
|
|
|
|
−1.46%
|
|
|
|
|
−6.32%
|
|
|
|
|
0.68%
|
|
|
|
|
2.02%
|
|
|
|
|
3.78%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December
|
|
|
|
|
|
|
|
|
0.44%
|
|
|
|
|
−2.46%
|
|
|
|
|
7.76%
|
|
|
|
|
−3.16%
|
|
|
|
|
0.59%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
−6.96%
(9 months
|
)
|
|
|
|
−1.53%
|
|
|
|
|
−14.65%
|
|
|
|
|
4.04%
|
|
|
|
|
9.53%
|
|
|
|
|
4.35%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Draw-down means losses experienced by the Fund over
a specified period.
|
|
(2)
|
The Rate of Return for a period is calculated by
dividing the net profit or loss by the assets at the beginning
of such period. Additions and withdrawals occurring during the
period are included as an addition to or deduction from
beginning net asset value in the calculations of Rates of
Return.
|
Please refer to Part Two, the Statement of Additional
Information, for additional performance information and graphic
presentations of the Fund.
CONFLICTS
OF INTEREST
Campbell &
Company, Inc.
Conflicts exist between Campbell & Companys
interests in and its responsibilities to the Funds. The
conflicts are inherent in Campbell & Company acting as
general partner and as trading advisor to the Funds. The
conflicts and the potential detriments to the limited partners
are described below.
Campbell & Companys selection of itself as
trading advisor was not objective, since it is also the general
partner of the Funds. In addition, it has a disincentive to
replace itself as the trading advisor. The Advisory Agreement
between each Fund and Campbell & Company, including
the fee arrangement, was not negotiated at arms length.
Investors should note, however, that Campbell &
Company believes that the fee arrangements are fair to the Funds
and competitive with compensation arrangements in pools
involving independent general partners and advisors.
Campbell & Company will review its compensation terms
annually to determine whether such terms continue to be
competitive with other pools for similar services and will lower
such fees if it concludes, in good faith, that its fees are no
longer competitive. Neither Campbell & Company nor any
trading advisor may receive per-trade compensation directly or
indirectly from the Funds. Investors should note that
Campbell & Company operates other commodity pool
-42-
offerings which may have materially different terms and may
operate at a lower overall cost structure.
Neither Campbell & Company nor its principals devote
their time exclusively to the Funds. Campbell &
Company (or its principals) acts as general partner to other
commodity pools and trading advisor to other accounts, which may
compete with the Funds for Campbell & Companys
services. Thus, Campbell & Company could have a
conflict between its responsibilities to the Funds and to those
other pools and accounts. Campbell & Company believes
that it has sufficient resources to discharge its
responsibilities in this regard in a fair manner.
Campbell & Company receives higher advisory fees from
some of those other accounts than it receives from the Funds.
Campbell & Company, however, trades all accounts of
the Financial, Metal & Energy Large Portfolio and the
Trend Following Portfolio (including the Funds) in a
substantially similar manner, given the differences in size and
timing of the capital additions and withdrawals. In addition,
Campbell & Company may find that futures positions
established for the benefit of the Funds, when aggregated with
positions in other accounts traded by Campbell &
Company, approach the speculative position limits in a
particular commodity. Campbell & Company may decide to
address this situation either by liquidating the Funds
positions in that futures contract and reapportioning the
portfolio in other contracts or by trading contracts in other
markets which do not have restrictive limits. In the event that
Campbell & Company were required to liquidate
positions as the result of speculative position limits, such
liquidation would be done on a pro rata basis across all
accounts under management.
Principals of Campbell & Company may trade futures and
related contracts for his or her own account. In addition,
Campbell & Company manages proprietary accounts for
itself, its deferred compensation plan and certain principals
and employees. There are written procedures that govern
proprietary trading by principals and employees. Trading records
for all proprietary trading are available for review by clients
and investors upon reasonable notice. A conflict of interest
exists if proprietary trades are in the same markets and at the
same time, using the futures brokers to be used by the Funds.
When Campbell & Company executes an order in the
market, the order is typically placed on an aggregate basis for
all accounts for which Campbell & Company trades, and
then is subsequently broken up and allocated among the various
accounts. To the extent executions are grouped together and then
allocated among accounts held at the futures brokers and the
over-the-counter
counterparties, the Funds may receive less favorable executions
than such other accounts. It is Campbell &
Companys policy to objectively allocate trade executions
that afford each account the same likelihood of receiving
favorable or unfavorable executions over time. A potential
conflict also may occur when Campbell & Company or its
principals trade their proprietary accounts more aggressively or
take positions in proprietary accounts which are opposite, or
ahead of, the positions taken by the Funds.
The
Futures Brokers and the
Over-the-Counter
Counterparties
The futures brokers, currently UBS Securities LLC, Goldman,
Sachs & Co. and NewEdge USA, LLC, and the
over-the-counter
counterparties, currently Deutsche Bank AG London and The Royal
Bank of Scotland PLC and the affiliates and personnel of such
entities, may trade futures, forward and option contracts for
their own accounts. This trading could give rise to conflicts of
interest with the Funds.
UBS Securities LLC is one of the futures brokers and an
affiliate of one of the selling agents of the Strategic
Allocation Fund, which could give rise to conflicts of interest
because its compensation in each role is based on the net asset
value of Units outstanding. Further, in making recommendations
to redeem or purchase additional Units, the affiliated selling
agents employees may have a conflict of interest between
acting in the best interest of their clients and assuring
continued compensation to their employer and themselves.
Finally, the affiliated selling agent may offer additional pools
managed by Campbell & Company in which brokerage and
selling fees paid to the affiliated selling agent are lower than
the Funds fees.
The
Selling Agents
A current list of the selling agents for the Strategic
Allocation Fund includes, but is not limited to: A.G.
Edwards & Sons, Inc.; Campbell Financial Services,
Inc.; Ferris, Baker Watts Incorporated; Merrill Lynch, Pierce,
Fenner & Smith
-43-
Incorporated; Securities America, Inc.; and UBS Financial
Services Inc. The selling agents (or their assignees) which are
registered futures commission merchants or introducing brokers
will receive, beginning in the thirteenth month after the sale
of the Units, ongoing compensation based on the net asset value
of the Units which remain outstanding. Consequently, in advising
clients whether they should redeem their Units or purchase
additional Units, such selling agents will have a conflict of
interest between the selling agents interest in maximizing
the ongoing compensation which they will receive and their
interest in giving their client the financial advice which is in
such clients best interests. Some or all of these selling
agents and others may also become selling agents for the Classic
Trend Fund, with the same conflicts of interest.
Campbell & Company acts as a commodity pool operator
and a commodity trading advisor in respect of various managed
futures investment products. The selling agents may or may not
be authorized to offer certain of such products to their
clients, which may have materially different terms, including
investment portfolios and objectives, fees, risks, conflicts of
interest and suitability requirements, from those of the Funds.
Fiduciary
Duty and Remedies
In evaluating the foregoing conflicts of interest, a prospective
investor should be aware that Campbell & Company, as
general partner, has a responsibility to limited partners to
exercise good faith and fairness in all dealings affecting the
Funds. The fiduciary responsibility of a general partner to the
limited partners is a rapidly developing and changing area of
the law and limited partners who have questions concerning the
duties of Campbell & Company as general partner should
consult with their own counsel. In the event that a limited
partner believes that Campbell & Company has violated
its fiduciary duty to the limited partners, he may seek legal
relief individually or on behalf of either or both of the Funds
under applicable laws, including partnership and commodities
laws, to recover damages from or require an accounting by
Campbell & Company. The Limited Partnership Agreements
of both Funds are governed by Delaware law and any breach of
Campbell & Companys fiduciary duty under the
Limited Partnership Agreements will generally be governed by
Delaware law. The Limited Partnership Agreements do not limit
Campbell & Companys fiduciary obligations under
Delaware or common law; however, Campbell & Company
may assert as a defense to claims of breach of fiduciary duty
that the conflicts of interest and fees payable to
Campbell & Company have been disclosed in the
prospectus. Limited partners may also have the right, subject to
applicable procedural and jurisdictional requirements, to bring
partnership class actions in federal court to enforce their
rights under the federal securities laws and the rules and
regulations promulgated thereunder by the U.S. Securities
and Exchange Commission (SEC). Limited partners who
have suffered losses in connection with the purchase or sale of
the Units may be able to recover such losses from
Campbell & Company where the losses result from a
violation by Campbell & Company of the federal
securities laws. State securities laws may also provide
remedies, such as the ability to bring civil liability lawsuits,
to limited partners. Limited partners should be aware that
performance by Campbell & Company of its fiduciary
duty to the Funds is measured by the terms of the Limited
Partnership Agreements as well as applicable law.
Limited partners are afforded rights to institute reparations
proceedings under the Commodity Exchange Act for violations of
the Commodity Exchange Act or of any rule, regulation or order
of the CFTC by Campbell & Company.
Indemnification
and Standard of Liability
Campbell & Company and its controlling persons may not
be liable to the Funds or any limited partner for errors in
judgment or other acts or omissions not amounting to misconduct
or negligence, as a consequence of the indemnification and
exculpatory provisions described in the following paragraph.
Purchasers of Units may have more limited rights of action than
they would absent such provisions.
Campbell & Company and its controlling persons will
not have any liability to the Funds or to any limited partner
for any loss suffered by either Fund which arises out of any
action or inaction if Campbell & Company, in good
faith, determined that such course of conduct was in the best
interests of the Funds and such course of conduct did not
constitute negligence or misconduct of Campbell &
Company. Each Fund has agreed to indemnify Campbell &
Company and its controlling persons against claims, losses or
liabilities based on their conduct relating to that Fund,
provided that the conduct resulting in the claims, losses or
liabilities
-44-
for which indemnity is sought did not constitute negligence or
misconduct or breach of any fiduciary obligation to that Fund
and was done in good faith and in a manner which
Campbell & Company, in good faith, determined to be in
the best interests of that Fund. Controlling persons of
Campbell & Company are entitled to indemnity only for
losses resulting from claims against such controlling persons
due solely to their relationship with Campbell &
Company or for losses incurred in performing the duties of
Campbell & Company. See Article 15 of each
Funds Limited Partnership Agreement, included as
Exhibits A and B to this prospectus.
The Funds will not indemnify Campbell & Company or its
controlling persons for any liability arising from securities
law violations in connection with the offering of the Units,
unless Campbell & Company or its controlling persons
prevails on the merits or obtains a court approved settlement
(in accordance with Section 15.2 of each Funds
Limited Partnership Agreement). The position of the SEC is that
any such indemnification is contrary to the federal securities
laws and therefore unenforceable.
CHARGES
TO THE FUNDS
Strategic
Allocation Fund
The following list of expenses includes all compensation, fees,
profits and other benefits (including reimbursement of
out-of-pocket
expenses) which Campbell & Company, the selling
agents, the futures brokers, the
over-the-counter
counterparties, the cash managers, the custodian and the
affiliates of those parties may earn or receive in connection
with the offering and operation of the Strategic Allocation
Fund. Prospective investors should refer to the Summary for an
estimate of the trading profit and interest income that must be
earned for an investor to break-even in the first year of
trading.
Brokerage
Fee
The Strategic Allocation Fund pays a single asset-based fee for
all brokerage and management services. The fee is equal to up to
8% of the Strategic Allocation Fund month-end net asset
value per annum, prior to accruals for such brokerage fee or
performance fees, irrespective of profitability.
From such 8% brokerage fee, the futures brokers and the
over-the-counter
counterparties receive up to 1% for execution and clearing
costs. The amount of the fee to be paid to the futures brokers
and the
over-the-counter
counterparties is evaluated from time to time based on the
amount of trading for the Strategic Allocation Fund that the
brokers are required to clear, but at no time will the amount
exceed 1% of Strategic Allocation Fund net asset value per annum.
From the remaining 7%, Campbell & Company retains 3%
as management fees (2% for providing advisory services and 1%
for acting as general partner) and remits 4% to the selling
agents for ongoing administrative services provided to limited
partners. The amount paid to selling agents on Units sold
pursuant to this disclosure document will not, however, exceed
9.0% of the gross offering proceeds of the Strategic Allocation
Fund Units sold pursuant to this disclosure document. Once
the 9.0% threshold is reached with respect to a Strategic
Allocation Fund Unit sold pursuant to this disclosure
document, the selling agent will receive no future compensation
and the up to 4% amount that would otherwise be paid to the
selling agent for that Unit will instead be rebated to the
Strategic Allocation Fund for the benefit of all holders of
Strategic Allocation Fund Units.
-45-
Other
Fund Expenses
The Strategic Allocation Fund will also be subject to the
following fees and expenses.
|
|
|
|
|
|
|
Recipient
|
|
|
Nature of Payment
|
|
|
Amount of Payment
|
Campbell & Company
|
|
|
Quarterly Performance Fee
|
|
|
20% of aggregate cumulative appreciation in Strategic Allocation
Funds net asset value per Unit, excluding interest income
and as adjusted for subscriptions and redemptions.
|
|
|
|
Reimbursement of offering expenses
|
|
|
As incurred; to be reimbursed, up to 2.5% of aggregate
subscriptions, in 30-month payment periods.
|
Dealers
|
|
|
Bid-ask spreads
|
|
|
Indeterminable because embedded in price of forward and option
contracts.
|
Cash Managers and Custodian
|
|
|
Cash management and custodial fees
|
|
|
0.10% annualized fee based on the percentage of the principal
amount of assets under management.
|
Others
|
|
|
Legal, accounting, printing, postage and administrative costs
|
|
|
As incurred, up to a maximum of 0.5% of the Strategic Allocation
Funds average month-end net asset value per annum.
|
|
|
|
|
|
|
|
The above fees, together with the brokerage fee, are the
complete compensation that will be received by
Campbell & Company or its affiliates from the
Strategic Allocation Fund. This excludes redemption fees, which
will be charged to some limited partners if they redeem prior to
one year of ownership.
Campbell &
Company, Inc.
Brokerage
Fee
The Strategic Allocation Fund pays a brokerage fee up to 8% of
the Strategic Allocation Funds month-end net asset value
per annum, of which Campbell & Company receives 7% per
annum, as described earlier.
The futures brokers are paid approximately $6 per round-turn
trade per contract, which equates to approximately 0.26%
annually. In addition, the
over-the-counter
counterparties charge approximately $4 per $1 million, plus
any additional electronic platform charges, for forward and
option contracts facilitated on behalf of the Strategic
Allocation Fund with third party banks. These fees, combined
with the futures brokers charges, equal approximately
0.30% of the Strategic Allocation Funds net asset value,
but will not exceed 1%. The approximate 0.30% actual brokerage
fee, compared to the 1% allowable, lowers the Strategic
Allocation Funds total brokerage fee to approximately
7.30%. If trading velocity
and/or
portfolio allocation change again in the future, the fee may be
further reduced, or it may be raised. However, the Strategic
Allocation Funds brokerage fee will not exceed 8% of
Strategic Allocation Funds month-end net asset value per
annum (prior to accruals for such brokerage fee or performance
fees).
Redemption Fee
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. The
month-end as of which the Unit is purchased is counted as the
first month-end. After the twelfth month-end following purchase
of a Unit, no redemption fees apply. Because the purchase date
counts as the first
month-end in
determining whether a redemption fee applies, no redemption fee
would be due in respect of a Unit redeemed on the first
anniversary of the purchase.
Performance
Fee
The quarterly performance fee equals 20% of the aggregate
cumulative appreciation (if any) in the net asset value of the
Strategic Allocation Funds net asset value per Unit, if
any, excluding interest income and as adjusted for subscriptions
and redemptions, calculated pursuant to the terms of the
advisory agreement between the Strategic Allocation Fund and
Campbell & Company and paid quarterly. Aggregate
cumulative appreciation means the total increase in net
asset value per Unit from the commencement of trading, minus the
total increase in net asset value per Unit for all prior
quarters, multiplied by the number of Units outstanding. The
performance fee is paid only on profits attributable
-46-
to Units outstanding, and no fee is paid with respect to
interest income. Because the performance fee is accrued monthly,
Units that are redeemed other than at the end of the quarter
will effectively pay a performance fee, if accrued, as of the
end of the month in which the redemption occurs.
If any payment is made by the Strategic Allocation Fund in
respect of a performance fee, and the Strategic Allocation Fund
thereafter incurs a net loss, Campbell & Company will
retain the amount previously paid. Thus, Campbell &
Company may be paid a performance fee during a year in which the
Strategic Allocation Fund overall incurred net losses. Trading
losses will be carried forward and no further performance fees
may be paid until the prior losses have been recovered.
Below is a sample calculation of how the performance fee is
determined:
Assume the Strategic Allocation Fund paid a performance fee at
the end of the fourth quarter of 2009 and assume that the
Strategic Allocation Fund recognized trading profits (net of all
brokerage fees and operating and offering expenses) of $200,000
during the first quarter of 2010. The aggregate cumulative
appreciation for the quarter (before interest earned) would be
$200,000 and Campbell & Companys performance fee
would be $40,000 (0.2 x $200,000). Now assume that the Strategic
Allocation Fund paid a performance fee at the end of the third
quarter of 2009 but did not pay a performance fee at the end of
the fourth quarter of 2009 because it had trading losses of
$100,000. If the Strategic Allocation Fund recognized trading
profits of $200,000 at the end of the first quarter of 2010, the
aggregate cumulative appreciation (before interest earned) for
the quarter would be $100,000 ($200,000 $100,000
loss carryforward) and Campbell & Companys
performance fee would be $20,000 (0.2 x $100,000). Please note
that this simplified example assumes that no limited partners
have added or redeemed Units during this sample time frame. Such
capital changes require that the calculation be determined on a
per unit basis.
If the net asset value per unit at the time when a particular
investor acquires Units is lower than the net asset value per
unit as of the end of the most recent prior calendar quarter for
which a performance fee was payable (due to losses incurred
between such quarter-end and the subscription date), such Units
might experience a substantial increase in value after the
subscription date yet pay no performance fee as of the next
calendar quarter-end because the Strategic Allocation Fund as a
whole has not experienced aggregate cumulative appreciation.
If a performance fee accrual is in effect at the time when
particular Units are purchased (due to gains achieved prior to
the applicable subscription day), the net asset value per Unit
reflects such accrual. In the event the net asset value of the
Strategic Allocation Fund declines after the subscription date,
the performance fee accrual is reversed and such
reversal is credited to all Units equally, including the Units
which were purchased at a net asset value per unit which fully
reflected such accrual.
Performance fees are not reduced by redemption charges and
interest income.
The brokerage fee and performance fee may be increased upon
sixty days notice to the limited partners, as long as the
notice explains their redemption and voting rights. Existing
limited partners who redeem within twelve months after any
increase in fees would not be required to pay any redemption
fees.
The
Futures Brokers
As described earlier, the futures brokers receive up to 1% of
the net asset value of the Strategic Allocation Fund per annum
(which includes payments to the
over-the-counter
counterparties as referenced below), which is a portion of the
maximum 8% brokerage fee. The futures brokers are responsible
for all trading transactional costs, such as pit brokerage,
exchange and NFA fees,
give-up
and transfer fees. The compensation paid to the futures brokers
is competitive with rates paid by other trading funds having
assets and structures similar to the Strategic Allocation Fund.
The compensation to the futures brokers of approximately $6 per
round-turn contract is equivalent to approximately 0.24% of the
Strategic Allocation Fund net asset value per annum. The
compensation paid to the futures brokers will not exceed the
guidelines established by the North American Securities
Administrators Association, Inc. (NASAA).
The
Selling Agents
The selling agents receive from Campbell & Company
(and not the Strategic Allocation Fund) selling commissions of
up to 4% of the subscription
-47-
amount of each subscription for Units. In addition, commencing
thirteen months after the sale of Units and in return for
providing ongoing services to the limited partners,
Campbell & Company will pay those selling agents (or
their assignees) a portion of the 8% brokerage fee of up to 4%
of the Strategic Allocation Funds average month-end net
asset value per annum. The amount paid to selling agents on the
Strategic Allocation Fund Units sold pursuant to this
disclosure document will not, however, exceed 9.0% of the gross
offering proceeds of the Strategic Allocation Fund Units
sold pursuant to this disclosure document. Once the 9.0%
threshold is reached with respect to a Strategic Allocation Fund
Unit sold pursuant to this disclosure document, the selling
agent will receive no future compensation and the up to 4%
amount that would otherwise be paid to the selling agent for
that Unit will instead be rebated to the Strategic Allocation
Fund for the benefit of all holders of Strategic Allocation
Fund Units.
The additional selling commissions described in the preceding
paragraph are also subject to the following restrictions:
The total of additional commissions plus:
|
|
|
|
(1)
|
the initial selling commission of up to 4% of the subscription
amount of each subscription for Units;
|
|
|
(2)
|
salaries, expenses and bonuses of employees of
Campbell & Company engaged in wholesaling
activities; and
|
|
|
(3)
|
per-unit
costs properly deemed to constitute underwriting compensation
allocable to the selling agents, such as a selling brochure,
seminar costs and travel expenses, do not exceed 10% of such
Units gross offering proceeds. Such compensation may be
deemed to create a conflict of interest in that the selling
agents have a disincentive in advising investors to redeem their
Units. See Conflicts of Interest.
|
The
Over-the-Counter
Counterparties
The Strategic Allocation Fund trades forward and option
contracts among dealers which act as principals or
counterparties to each trade. The execution costs are included
in the price of the forward or option contract purchased or
sold, and, accordingly, such costs cannot be determined.
Campbell & Company believes the bid-ask spreads for
forward and option contract trades, which incorporate these
execution costs, are at the prevailing market prices. In
addition, the
over-the-counter
counterparties charge approximately $4 per $1 million, plus
any additional electronic platform charges, in prime brokerage
fees for forward and option contracts they facilitate on behalf
of the Strategic Allocation Fund with third party banks. These
prime brokerage fees, combined with the futures brokers
charges, will not exceed the 1% of the net asset value of the
Strategic Allocation Fund per annum, as referenced under
The Futures Brokers above.
The
Cash Managers and the Custodian
The Strategic Allocation Fund pays Wilmington
Trust Investment Management LLC (Wilmington),
Horizon Cash Management L.L.C. (Horizon) and
Northern Trust Company a combined annualized fee equal to
approximately 0.10% per annum of the funds managed by Wilmington
and Horizon based on the percentage of the principal amount of
the Strategic Allocation Funds assets under management by
Wilmington and Horizon, computed and accrued on the average
daily market value maintained in the Northern Trust Company
custodial accounts by the Strategic Allocation Fund. Wilmington,
Horizon and Northern Trust Company are not affiliated with
Campbell & Company. The Strategic Allocation Fund may
engage other firms which are unaffiliated with
Campbell & Company from time to time to provide cash
management and custodial services. Such services would be
provided pursuant to similar terms and fees as those that apply
to Wilmington, Horizon and Northern Trust Company. The
Strategic Allocation Fund may also terminate all types of cash
management services at any time. See The Cash Managers and
the Custodian.
Offering
Expenses
The offering expenses during the continuing offering through
September 30, 2009 totaled $97,072,912 and are estimated at
$2,160,000 for the nine months following the date of this
prospectus, all of which will be advanced by
Campbell & Company. Such expenses include all fees and
expenses in connection with the distribution of the Units,
including legal, accounting, printing, mailing, filing fees,
escrow fees, salaries and bonuses of employees while engaged in
sales activities, and marketing expenses of Campbell &
Company and
-48-
the selling agents which are paid by the Strategic Allocation
Fund. Subject to the limit described below, Campbell &
Company will be reimbursed, without interest, by the Strategic
Allocation Fund in
30-month
payment periods throughout the continuing offering. In no event
will the reimbursement exceed 2.5% of the total subscriptions
accepted by Campbell & Company, which, based on the
30-month
amortization period, represents a maximum of 1% of gross
additions per annum. Organization and offering expenses equal to
$240,961 were incurred during the initial offering period and
were advanced by Campbell & Company. Such expenses
were reimbursed in the same manner and were subject to the same
2.5% limit.
The Strategic Allocation Fund is required to disclose that the
organization and offering expenses of the Strategic
Allocation Fund, as defined by the NASAA Guidelines, will not
exceed 15% of the total subscriptions accepted.
Campbell & Company, and not the Strategic Allocation
Fund, will be responsible for any expenses in excess of such
limitation. Since Campbell & Company has agreed to
limit its reimbursement of such expenses to 2.5% of total
subscriptions, the NASAA Guidelines limit of 15% of total
subscriptions (even when added to the selling commissions) will
not be reached.
Other
Expenses
The Strategic Allocation Fund bears its operating expenses,
including, but not limited to, administrative, legal and
accounting fees, and any taxes or extraordinary expenses payable
by the Strategic Allocation Fund. Such expenses are estimated to
be 0.10% (and will not exceed 0.50%) of the Strategic Allocation
Funds net asset value per annum; 0.7 basis points
(0.00007) of the 10 estimated basis points will be paid to
Campbell & Company directly to cover administrative
expenses incurred on behalf of the Strategic Allocation Fund.
Campbell & Company will be responsible for any such
expenses during any year of operations which exceed such
percentage estimate. For the years ended December 31, 2008,
2007 and 2006, operating expenses were 0.06%, 0.04% and 0.04%,
respectively, of the Strategic Allocation Funds average
net asset value. Indirect expenses in connection with the
administration of the Strategic Allocation Fund, such as
indirect salaries, rent, travel and other overhead of
Campbell & Company, may not be charged to the
Strategic Allocation Fund. Actual expenses charged to the
Strategic Allocation Fund are reflected on a dollar basis in the
financial statements for the Strategic Allocation Fund; see
Index to Financial Statements.
Classic
Trend Fund
The following list of expenses includes all compensation, fees,
profits and other benefits (including reimbursement of
out-of-pocket
expenses) which Campbell & Company, the selling
agents, the futures broker, the
over-the-counter
counterparty, the cash manager, the custodian and the affiliates
of those parties may earn or receive in connection with the
offering and operation of the Classic Trend Fund. Prospective
investors should refer to the Summary for an estimate of the
trading profit and interest income that must be earned for an
investor to break-even in the first year of trading.
Campbell &
Company, Inc.
Advisory
and General Partner Fees
The Class A, Class B, Class C, Class D and
Class E Units will pay Campbell & Company a
monthly (i) advisory fee of 2% per annum and
(ii) general partner fee of 1% per annum, of the net asset
value of the Class A, Class B, Class C,
Class D and Class E Units, respectively, prior to any
accrual for or payment of any advisory fee, performance fee,
redemption or subscription during said month. The advisory and
general partner fees are paid in arrears based on the net asset
value of the Class A, Class B, Class C,
Class D and Class E Units as of the end of each month.
The advisory and general partner fees are paid out of and
reduces the net assets attributable to the Class A,
Class B, Class C, Class D Units and Class E
Units.
Redemption Fee
Redemption fees apply to Class A Units and Class B
Units through the first twelve month-ends following purchase as
follows: 1.833% of net asset value per Class A Unit or
Class B Unit redeemed through the second month-end, 1.666%
of net asset value per Class A Unit or Class B Unit
redeemed through the third month-end, 1.500% of net asset value
per Class A Unit or Class B Unit redeemed through the
fourth month-end, 1.333% of net asset value per Class A
Unit or Class B Unit redeemed through the fifth month-end,
1.167% of net asset value per Class A Unit or Class B
Unit redeemed through the sixth month-end, 1.000% of net asset
-49-
value per Class A Unit or Class B Unit redeemed
through the seventh month-end, 0.833% of net asset value per
Class A Unit or Class B Unit redeemed through the
eighth month-end, 0.667% of net asset value per Class A
Unit or Class B Unit redeemed through the ninth month-end,
0.500% of net asset value per Class A Unit or Class B
Unit redeemed through the tenth month-end, 0.333% of net asset
value per Class A Unit or Class B Unit redeemed
through the eleventh month-end, 0.167% of net asset value per
Class A Unit or Class B Unit redeemed through the
twelfth month-end. The month-end as of which the Unit is
purchased is counted as the first month-end. After the twelfth
month-end following purchase of a Class A Unit or
Class B Unit, no redemption fees apply. Because the
purchase date counts as the first month-end in determining
whether a redemption fee applies, no redemption fee would be due
in respect of a Class A Unit or Class B Unit redeemed
on the first anniversary of the purchase.
Performance
Fee
The Class A, Class B, Class C, Class D and
Class E Units will pay the trading advisor quarterly
performance compensation equal to 20% of the new net profits (if
any), exclusive of appreciation attributable to interest income,
allocable to such Class A, Class B, Class C,
Class D and Class E Units, respectively, and as
adjusted for subscriptions and redemptions, on a cumulative high
water mark basis, charged quarterly. In determining the fees in
this paragraph, net assets shall not be reduced by the
performance fees being calculated for such current period. In
respect of each Class of Units, new net profits
means the total increase in Unit value of such Class of Units
from the commencement of trading, minus the total increase in
Unit value of such Class of Units for all prior quarters,
multiplied by the number of Units of such Class outstanding. The
performance fee is paid only on profits attributable to
Class A, Class B, Class C, Class D and
Class E Units outstanding. The performance fee is accrued
monthly and paid quarterly.
If any payment is made and attributed to any Class in respect of
a performance fee, and that Class thereafter incurs a net loss,
the trading advisor will retain the amount previously paid.
Thus, the trading advisor may be paid a performance fee during a
year in which a Class overall incurred net losses. Trading
losses shall be carried forward and no further performance fee
may be paid until the prior losses have been recovered.
Similarly, the trading advisors performance fee is based
on unrealized, as well as realized, gains. There can be no
assurance that such gains will, in fact, ever be recognized.
Furthermore, the valuation of unrealized gain and loss may be
subject to material subsequent revision.
Assume a class of the Classic Trend Fund paid a performance fee
at the end of the fourth quarter of 2009 and assume that this
class of the Classic Trend Fund recognized trading profits (net
of all brokerage fees and operating and offering expenses) of
$200,000 during the first quarter of 2010. The aggregate
cumulative appreciation for the quarter (before interest earned)
would be $200,000 and Campbell & Companys
performance fee would be $40,000 (0.2 x $200,000). Now assume
that the class paid a performance fee at the end of the third
quarter of 2009 but did not pay a performance fee at the end of
the fourth quarter of 2009 because it had trading losses of
$100,000. If the class recognized trading profits of $200,000 at
the end of the first quarter of 2010, the aggregate cumulative
appreciation (before interest earned) for the quarter would be
$100,000 ($200,000 $100,000 loss carryforward) and
Campbell & Companys performance fee would be
$20,000 (0.2 x $100,000). Please note that this simplified
example assumes that no limited partners have added or redeemed
Units during this sample time frame. Such capital changes
require that the calculation be determined on a per
unit basis.
If the net asset value per unit at the time when a particular
investor acquires Units is lower than the net asset value per
Unit as of the end of the most recent prior calendar quarter for
which a performance fee was payable (due to losses incurred
between such quarter-end and the subscription date), such Units
might experience a substantial increase in value after the
subscription date yet pay no performance fee as of the next
calendar quarter-end because the class as a whole has not
experienced aggregate cumulative appreciation.
If a performance fee accrual is in effect at the time when
particular Units are purchased (due to gains achieved prior to
the applicable subscription day), the net asset value per Unit
reflects such accrual. In the event the net asset value of the
class declines after the subscription date, the performance fee
accrual is reversed and such reversal is credited to
all Units equally, including the Units which
-50-
were purchased at a net asset value per Unit which fully
reflected such accrual.
Performance fees are not reduced by redemption charges and
interest income.
The advisory fee, general partner fee, and performance fee may
be increased upon sixty days notice to the limited
partners, as long as the notice explains their redemption and
voting rights. Existing limited partners who redeem within
twelve months after any increase in fees would not be required
to pay any redemption fees.
The
Futures Broker
As described earlier, the futures broker receives up to 1% of
the Classic Trend Funds net asset value per annum (which
includes payments to the
over-the-counter
counterparty as referenced below). The futures broker is
responsible for all trading transactional costs, such as pit
brokerage, exchange and NFA fees,
give-up
and transfer fees. The compensation paid to the futures broker
is competitive with rates paid by other trading funds having
assets and structures similar to the Classic Trend Fund. The
futures broker will charge the Classic Trend Fund brokerage
commissions at a rate of approximately $6 per round-turn
contract. Annual brokerage commissions payable by the Classic
Trend Fund are estimated at approximately 0.24% of the Classic
Trend Funds net assets annually. Each Class of Units is
allocated its pro rata share of all such brokerage
commissions. The compensation paid to the futures broker will
not exceed the guidelines established by the North American
Securities Administrators Association, Inc. (NASAA).
The
Selling Agents
The selling agents for Classes A and B receive from the
Classic Trend Fund selling commissions of up to 2% of the
subscription amount of each subscription for Class A Units
or Class B Units. In addition, commencing thirteen months
after the sale of Units and in return for providing ongoing
services to the limited partners, the Fund will pay those
selling agents (or their assignees) up to 2% of the Classic
Trend Funds average month-end net asset value per annum.
The amount paid to selling agents on Classic Trend
Fund Class A Units and Class B Units sold
pursuant to this disclosure document will not, however, exceed
8.0% of the gross offering proceeds of the Classic Trend
Fund Class A Units and 9.0% of the gross offering
proceeds of the Classic Trend Fund Class B Units sold
pursuant to this disclosure document. The Classic Trend Fund,
Class A Units and Class C Units will pay a monthly
broker-dealer custodial fee of 1/12th of 0.25% of the
Class A Units and Class C Units month-end
net asset value (0.25% per annum) to the selling agents (the
firm and not the individual) provided, however, that the total
of such broker-dealer custodial fees per Unit do not exceed 1.0%
of the gross offering proceeds of Class A Units and 6% of
the Class C Units.
The additional selling commissions and broker-dealer custodial
fee, where applicable, described in the preceding paragraphs,
are also subject to the following restrictions:
The total of additional commissions and broker-dealer custodial
fees, plus:
|
|
|
|
(1)
|
the initial selling commission of 2% of the subscription amount
of each subscription for Units;
|
|
|
(2)
|
salaries, expenses and bonuses of employees of
Campbell & Company or its affiliates engaged in
wholesaling activities; and
|
|
|
(3)
|
per-unit
costs properly deemed to constitute underwriting compensation
allocable to the selling agents, such as a selling brochure,
seminar costs and travel expenses,
|
(collectively Underwriting Compensation) do not
exceed 10% of such Units gross offering proceeds. If total
Underwriting Compensation paid on any Class A Unit,
Class B Unit, Class C Unit or Class D Unit
reaches 10% of the gross offering proceeds, the Class A
Unit, Class B Unit, Class C Unit or Class D Unit
will automatically be re-designated as Class E Units, which
are identical to Class A Units and Class B Units
except that Class E Units do not pay any offering expenses,
selling agent fees, broker-dealer custodial fees payable to the
selling agents and, if applicable, redemption fees. Such
compensation may be deemed to create a conflict of interest in
that the selling agents have a disincentive in advising
investors to redeem their Units. See Conflicts of
Interest.
The
Over-the-Counter
Counterparty
The Classic Trend Fund will trade currency forward and option
contracts. Such contracts are traded among dealers which act as
principals or counterparties to each trade.
Execution costs will be
-51-
included in the price of each forward or option contract
purchased or sold, and accordingly, such costs cannot be
determined. Campbell & Company believes the bid-ask
spreads for forward and option contract trades, which
incorporate these execution costs, are at prevailing market
prices. In addition, the
over-the-counter
counterparty will charge approximately $4 per $1 million,
plus any additional electronic platform charges, in prime
brokerage fees for forward or option contracts it facilitates on
behalf of the Classic Trend Fund with third party banks. These
prime brokerage fees, combined with the futures brokers
charges, will equal approximately 0.30% of the Classic Trend
Funds net assets. Each Class of Units will be allocated
its pro rata share of all such costs. These prime
brokerage fees, combined with the futures brokers charges,
will not exceed the 1% of the Classic Trend Fund net asset value
per annum, as referenced under The Futures Broker
above.
The
Cash Manager and the Custodian
The Classic Trend Fund will pay Wilmington Trust Investment
Management LLC (Wilmington) and Northern
Trust Company a combined annualized fee equal to
approximately 0.10% per annum of the funds managed by Wilmington
based on the percentage of the principal amount of the Classic
Trend Funds assets under management by Wilmington,
computed and accrued on the average daily market value
maintained in the Northern Trust Company custodial account
by the Classic Trend Fund. Wilmington and Northern
Trust Company are not affiliated with Campbell &
Company. The Classic Trend Fund may engage other firms which are
unaffiliated with Campbell & Company from time to time
to provide cash management and custodial services. Such services
would be provided pursuant to similar terms and fees as those
that apply to Wilmington and Northern Trust Company. The
Classic Trend Fund may also terminate all types of cash
management services at any time.
Organization
and Offering Expenses
The Classic Trend Fund, and in turn, each Class of Units
(excluding Class E Units), will pay, monthly, its
organization and offering costs (collectively, Offering
Costs) as incurred, subject to an annual cap of 0.50% of
the Classic Trend Funds, and in turn, each Class of
Units, average month-end net asset value. Such Offering
Costs include all fees and expenses in connection with the
distribution of the Units, including legal, accounting,
printing, mailing, filing fees, escrow fees, salaries and
bonuses of employees while engaged in sales activities
(including wholesaling), and marketing expenses of
Campbell & Company and the selling agents which are
paid by the Classic Trend Fund. Any Offering Costs incurred in
excess of the aforementioned annual cap are initially paid by
the trading advisor; provided, however, that the Classic Trend
Fund reimburses the Offering Costs paid by the trading advisor
at such time, if any, as the Classic Trend Fund is able to do so
within the limit of the aforementioned cap. In its discretion,
the general partner may require the Classic Trend Fund to
reimburse the general partner in any subsequent calendar year
for amounts that exceeded these limits in any calendar year,
provided that the maximum amount reimbursed by the Classic Trend
Fund in any calendar year not exceed the overall limits set
forth above. In no event will the reimbursement exceed 2.5% of
the total subscriptions accepted by the Classic Trend Fund. The
payment of Offering Costs reduces the Classic Trend Funds
net asset value. Each Class of Units (excluding Class E
Units) is specifically allocated its pro rata share of all
Offering Costs.
The Classic Trend Fund also engages certain employees of the
general partner to provide wholesaling services with respect to
the Classic Trend Fund. Any compensation paid to employees of
the general partner for their wholesaling services is considered
part of the Classic Trend Funds organization and Offering
Costs and is payable by the Classic Trend Fund as such.
The Classic Trend Fund is required to disclose that the
organization and offering expenses of the Classic
Trend Fund, as defined by the NASAA Guidelines (and referenced
to as Offering Costs above, will not exceed 15% of
the total subscriptions accepted. Campbell & Company,
and not the Classic Trend Fund, will be responsible for any
expenses in excess of such limitation. Since
Campbell & Company has agreed to limit its
reimbursement of such expenses to 2.5% of total subscriptions,
the NASAA Guidelines limit of 15% of total subscriptions (even
when added to the selling commissions) will not be reached.
Class E Units do not pay Offering Costs.
-52-
Other
Expenses
The Classic Trend Fund bears its operating expenses, including,
but not limited to, administrative, legal and accounting fees,
and any taxes or extraordinary expenses payable by the Classic
Trend Fund. Such expenses are estimated to be 0.10% (and will
not exceed 0.50%) of the Classic Trend Funds net asset
value per annum; 0.7 basis points (0.00007) of the 10
estimated basis points will be paid to Campbell &
Company directly to cover administrative expenses incurred on
behalf of the Classic Trend Fund. Campbell & Company
will be responsible for any such expenses during any year of
operations which exceed such percentage estimate.
USE OF
PROCEEDS
The assets of both Funds are not and will not be, directly or
indirectly, commingled with the property of any other person or
with the property of the other Fund in violation of law or
invested with or loaned to Campbell & Company or any
affiliated entities.
Strategic
Allocation Fund
Approximately 10% to 30% of the Strategic Allocation Funds
assets normally are committed as required margin for futures
contracts and held by the futures brokers, although the amount
committed may vary significantly. Such assets are maintained in
the form of cash or U.S. Treasury bills in segregated
accounts with the futures brokers pursuant to the Commodity
Exchange Act and regulations thereunder. Approximately 10% to
30% of the Strategic Allocation Funds assets are deposited
with the
over-the-counter
counterparties in order to initiate and maintain currency
forward and option contracts. Such assets are not held in
segregation or otherwise regulated under the Commodity Exchange
Act, unless such
over-the-counter
counterparty is registered as a futures commission merchant.
These assets are held either in U.S. government securities
or short-term time deposits with
U.S.-regulated
bank affiliates of the
over-the-counter
counterparties.
The trading advisor deposits those assets of the Strategic
Allocation Fund that are not required to be deposited as margin
with the futures brokers and
over-the-counter
counterparties in custodial accounts with Northern
Trust Company. The assets deposited in the custodial
accounts with Northern Trust Company are segregated. Such
custodial accounts constitute approximately 40% to 80% of the
Strategic Allocation Funds assets and are invested,
directly by Wilmington and Horizon. Wilmington and Horizon are
registered with the Securities and Exchange Commission as
investment advisers under the Investment Advisers Act of 1940.
Wilmington and Horizon do not guarantee any interest or profits
will accrue on the Strategic Allocation Funds assets in
the custodial accounts. Wilmington and Horizon will invest
according to agreed upon investment guidelines that are
consistent with those investments allowed by the futures broker
as defined under Title 17, Part 1, § 1.25
Investment of customer funds. Investments can include, but is
not limited to, (i) U.S. Government Securities,
Government Agency Securities, Municipal Securities, banker
acceptances and certificates of deposits; (ii) commercial
paper; and (iii) corporate debt.
Classic
Trend Fund
Approximately 10% to 30% of the Classic Trend Funds assets
will normally be committed as required margin for futures
contracts and held by the futures broker, although the amount
committed may vary significantly. Such assets will be maintained
in the form of cash or U.S. Treasury bills in segregated
accounts with the futures brokers pursuant to the Commodity
Exchange Act and regulations thereunder. Approximately 10% to
30% of the Classic Trend Funds assets will be deposited
with
over-the-counter
counterparty in order to initiate and maintain forward and
options on forward contracts. Such assets are not held in
segregation or otherwise regulated under the Commodity Exchange
Act, unless such
over-the-counter
counterparty is registered as a futures commission merchant.
These assets will be held either in U.S. government
securities or short-term time deposits with
U.S.-regulated
bank affiliates of the
over-the-counter
counterparty.
The trading advisor will deposit the majority of those assets of
the Classic Trend Fund that are not required to be deposited as
margin with the futures broker and
over-the-counter
counterparty in a custodial account with Northern
Trust Company. The assets deposited in the custodial
account with Northern Trust Company will be segregated.
Such custodial account will constitute approximately 40% to 80%
of the Classic Trend Funds assets and will be invested,
directly by Wilmington Trust Investment Management LLC
(Wilmington). Wilmington is registered with the
Securities and Exchange Commission as an investment adviser
under the
-53-
Investment Advisers Act of 1940. Wilmington does not guarantee
any interest or profits will accrue on the Classic Trend
Funds assets in the custodial account. Wilmington will
invest according to agreed upon investment guidelines that are
modeled after those investments allowed by the futures broker as
defined under The Commodity Exchange Act, Title 17,
Part 1, § 1.25 Investment of customer funds.
Investments can include, but are not limited to,
(i) U.S. Government Securities, Government Agency
Securities, Municipal Securities, banker acceptances and
certificates of deposits; (ii) commercial paper; and
(iii) corporate debt.
THE
FUTURES BROKERS
Strategic
Allocation Fund
UBS Securities LLC (UBS Securities) is one of the
Strategic Allocation Funds futures brokers and an
affiliate of one of the selling agents for that Fund. Additional
or replacement futures brokers may be appointed in respect of
the Strategic Allocation Funds account in the future
solely at the discretion of Campbell & Company.
UBS Securities LLC principal business address is 677 Washington
Boulevard, Stamford, CT 06901. UBS Securities is a futures
clearing broker for the Strategic Allocation Fund. UBS
Securities is registered in the U.S. with the Financial
Industry Regulatory Authority (FINRA) as a
Broker-Dealer and with the CFTC as a Futures Commission
Merchant. UBS Securities is a member of various US futures and
securities exchanges.
UBS Securities is the defendant in two purported securities
class actions brought in the District Court of the Northern
District of Alabama, brought by holders of stock and bonds in
HealthSouth, captioned In re HealthSouth Corporation
Stockholder,
No. CV-03-BE-1501-S
and In re HealthSouth Corporation Bondholder Litigation,
No. CV-03-BE-1502-S.
Both complaints assert liability under the Securities Act of
1934.
UBS has been responding to investigations by the SEC and the
United States Attorneys Office for the Eastern District of
New York regarding UBSs valuation of
U.S. mortgage-backed securities and derivatives, and
compliance with public disclosure rules. These investigations
are ongoing.
On June 27, 2007, the Securities Division of the Secretary
of the Commonwealth of Massachusetts (Massachusetts
Securities Division) filed an administrative complaint
(the Complaint) and notice of adjudicatory
proceeding against UBS Securities LLC, captioned In The Matter
of UBS Securities, LLC, Docket
No. E-2007-0049,
which alleges, in sum and substance, that UBS Securities has
been violating the Massachusetts Uniform Securities Act
(the Act) and related regulations by providing
the advisers for certain hedge funds with gifts and gratuities
in the form of below market office rents, personal loans with
below market interest rates, event tickets, and other perks, in
order to induce those hedge fund advisers to increase or retain
their level of prime brokerage fees paid to UBS Securities. The
Complaint seeks a cease and desist order from conduct that
violates the Act and regulations, to censure UBS Securities, to
require UBS Securities to pay an administrative fine of an
unspecified amount, and to find as fact the allegations of the
Complaint.
On June 26, 2008, the Massachusetts Securities Division
filed an administrative complaint and notice of adjudicatory
proceeding against UBS Securities and UBS Financial Services,
Inc. (UBS Financial), captioned In the Matters of
UBS Securities, LLC and UBS Financial Services, Inc., Docket
No. 2008-0045,
which alleged that UBS Securities and UBS Financial violated the
Act in connection with the marketing and sale of auction rate
securities.
On July 22, 2008, the Texas State Securities board filed an
administrative proceeding against UBS Securities and UBS
Financial captioned the Matter of the Dealer Registrations of
UBS Financials Services Inc. and UBS Securities LLC, SOAH Docket
No. ###-##-####,
SSB Docket
No. 08-IC04,
alleging violations of the anti-fraud provision of the Texas
Securities Act in connection the marketing and sale of auction
rate securities.
On July 24, 2008 the New York Attorney General
(NYAG) filed a complaint in Supreme Court of the
State of New York against UBS Securities and UBS Financial
captioned State of New York v. UBS Securities LLC and UBS
Financial Services, Inc. No. 650262/2008, in connection
with UBS marketing and sale of auction rate securities.
The complaint alleges violations of the anti-fraud provisions of
New York state statutes and seeks a judgment ordering that the
firm buy back auction rate securities from investors at par,
disgorgement, restitution and other remedies.
-54-
On August 8, 2008, UBS Securities and UBS Financial reached
agreements in principle with the SEC, the NYAG, the
Massachusetts Securities Division and other state regulatory
agencies represented by the North American Securities
Administrators Association (NASAA) to restore
liquidity to all remaining clients holdings of auction
rate securities by June 20, 2012. On August 20, 2008,
the Texas proceeding was dismissed and withdrawn. On
October 2, 2008, UBS Securities and UBS Financial entered
into a final consent agreement with the Massachusetts Securities
Division settling all allegations in the Massachusetts
Securities Division administrative proceeding against UBS
Securities and UBS Financial with regards to the auction rate
securities matter. UBS Securities and UBS Financial are
finalizing agreements with the SEC, NYAG and NASAA.
On August 14, 2008 the New Hampshire Bureau of Securities
Regulation filed an administrative action against UBS Securities
relating to a student loan issuer, the New Hampshire Higher
Education Loan Corp. (NHHELCO). The complaint alleges fraudulent
and unethical conduct in violation of New Hampshire state
statues. The complaint seeks an administrative fine, a cease and
desist order, and restitution to NHHELCO. The claim does not
impact the global settlement with the SEC, NYAG and NASAA
relating to the marketing and sale of ARS to investors.
Further, UBS Securities, like most full service investment banks
and broker-dealers, receives inquiries and is sometimes involved
in investigations by the SEC, FINRA, NYSE and various other
regulatory organizations, exchanges and government agencies. UBS
Securities fully cooperates with the authorities in all such
requests. UBS Securities regularly discloses to the FINRA
arbitration awards, disciplinary action and regulatory events.
These disclosures are publicly available on the FINRAs
website at www.finra.org. Actions with respect to UBS
Securities futures commission merchant business are
publicly available on the website of the National Futures
Association
(http://www.nfa.futures.org/).
UBS Securities will act only as clearing broker for the
Strategic Allocation Fund and as such will be paid commissions
for executing and clearing trades on behalf of the Strategic
Allocation Fund. UBS Securities has not passed upon the adequacy
or accuracy of this prospectus. UBS Securities neither will act
in any supervisory capacity with respect to the Strategic
Allocation Fund nor participate in the management of
Campbell & Company or the Strategic Allocation Fund.
Goldman, Sachs & Co. (Goldman) is one of
the Strategic Allocation Funds futures brokers. Additional
or replacement futures brokers may be appointed in respect of
the Strategic Allocation Funds account in the future
solely at the discretion of Campbell & Company.
Goldmans principal address is 85 Broad Street, New York,
NY 10004, telephone
(212) 904-1000.
Futures trades made on behalf of the Strategic Allocation Fund
are carried by Goldman. Goldman is not affiliated with
Campbell & Company. Goldman did not sponsor the
Strategic Allocation Fund and is not responsible for the
activities of Campbell & Company. It will act only as
one of the futures brokers.
Goldman, in addition to being a registered futures commission
merchant, is a registered broker-dealer. From time to time,
Goldman and its affiliates are involved in judicial, regulatory
and arbitration concerning matters arising in connection with
the conduct of its business. Goldmans management believes,
based on currently available information, that the results of
such proceedings, in the aggregate, will not have a material
adverse effect on the firms financial condition, but may
be material to the firms operating results for any
particular period, depending, in part, upon the results for such
period. For further information, please refer to the periodic
public filings by The Goldman Sachs Group, Inc. and to
Goldmans Form BD as periodically filed with the
Securities and Exchange Commission. These filings are posted in
the EDGAR database at the SEC website at
http://www.sec.gov.
Classic
Trend Fund
Newedge USA, LLC (NUSA or the futures
broker) is the Classic Trend Funds futures broker.
NUSA and Newedge Alternative Strategies Inc. (NAST)
are subsidiaries of Newedge Group, which was formed on
January 2, 2008 as a joint venture by Société
Générale and Calyon to combine the brokerage
activities previously carried by their respective subsidiaries
which comprised the Fimat Group and the Calyon Financial Group
of affiliated entities. NUSA is a futures commission merchant
and broker-dealer registered with the CFTC and the
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SEC, and is a member of the National Futures Association and the
Financial Industry Regulatory Authority (FINRA).
NUSA is a clearing member of all principal equity, option, and
futures exchanges located in the United States as well as a
member of the Options Clearing Corporation and Government
Securities Clearing Corporation. NAST is an eligible swap
participant that is not registered or required to be registered
with the CFTC or the SEC, and is not a member of any exchange.
NUSA and NAST are headquartered at 550 W. Jackson,
Suite 500, Chicago, Illinois 60661 with branch offices in
San Francisco, California; New York, New York; Kansas City,
Missouri; Houston, Texas; and Montreal, Canada.
Prior to January 2, 2008, NUSA was known as Fimat USA, LLC,
while NAST was known as Fimat Alternative Strategies Inc. On
September 1, 2008, NUSA merged with future commission
merchant and broker dealer Newedge Financial Inc.
(NFI) formerly known as Calyon Financial
Inc. NUSA was the surviving entity.
In March 2008, NFI settled, without admitting or denying the
allegations, a disciplinary action brought by the New York
Mercantile Exchange (NYMEX) alleging that NFI
violated NYMEX rules related to: numbering and time stamping
orders by failing properly to record a floor order ticket; wash
trading; failure to adequately supervise employees; and
violation of a prior NYMEX cease and desist order, effective as
of December 5, 2006, related to numbering and time stamping
orders and block trades. NFI paid a $100,000 fine to NYMEX in
connection with this settlement.
Other than the foregoing proceeding, which did not have a
material adverse effect upon the financial condition of NUSA,
there have been no material administrative, civil or criminal
actions brought, pending or concluded against NUSA, NAST, or its
principals in the past five years.
Affiliates of NUSA may execute transactions opposite the Fund as
principal. Neither NUSA nor any affiliate, officer, director or
employee thereof have passed on the merits of this Memorandum or
offering, or give any guarantee as to the performance or any
other aspect of the Fund.
NUSA has adopted and implemented an anti-money laundering
program consistent with its obligations to comply with
applicable anti-money laundering laws and regulations, including
the Bank Secrecy Act, as amended by the USA PATRIOT Act of 2001,
including Customer Identification Procedures.
All futures trades made on behalf of the Classic Trend Fund are
cleared by NUSA. NUSA is not affiliated with either the Classic
Trend Fund or the trading advisor. NUSA did not sponsor the
Classic Trend Fund and is not responsible for the activities of
the trading advisor. It will act only as the futures broker.
The futures broker and its affiliates, Trustees, officers and
employees may trade futures for their own accounts. Records of
such trading, if any, will not be made available to the limited
partners. It is possible that such persons may take positions
either similar or opposite to positions taken by the Classic
Trend Fund, and that the Classic Trend Fund and such persons may
from time to time be competing for similar positions in the
futures markets. Furthermore, it is possible that the futures
broker will effect transactions for the Classic Trend Fund in
which the other party is affiliated with the futures broker.
Although the futures broker is not affiliated with the trading
advisor, it is the futures broker for other accounts managed by
the trading advisor
and/or its
affiliates. Neither the Classic Trend Fund nor the trading
advisor
and/or its
affiliates are obligated to continue to use NUSA and may select
other or additional futures brokers in the future, provided that
a reasonable determination is made that their service and
pricing are competitive.
The Classic Trend Fund has entered into a futures brokerage
agreement with NUSA, which clears all futures transactions on a
fully disclosed basis. The Classic Trend Fund has appointed the
futures broker to clear trades for the Classic Trend Fund upon
the instructions of the trading advisor.
The futures broker may change its commission rates at any time.
The brokerage agreement with NUSA is terminable at any time upon
notice by either party.
THE
OVER-THE-COUNTER
COUNTERPARTIES
Strategic
Allocation Fund
The Strategic Allocation Fund trades foreign exchange and other
forward and option contracts through dealers in such
contracts. The dealers that maintain the forward and option
positions, or act as the counterparties, for the Strategic
Allocation Fund
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are Deutsche Bank AG London and The Royal Bank of Scotland plc.
Unlike futures contracts which are traded through brokers such
as the futures brokers, foreign exchange or currency forward and
option contracts are executed through a network of dealers.
Campbell & Company then instructs the executing dealer
to give up the trade to Deutsche Bank AG London or
The Royal Bank of Scotland plc. Campbell & Company is
not obligated to continue to use the
over-the-counter
counterparties identified above and may select others or
additional ones in the future, provided Campbell &
Company believes that their service and pricing are competitive
and present minimal counterparty credit risk.
Classic
Trend Fund
The Classic Trend Fund trades foreign exchange and other forward
and option contracts through dealers in such
contracts. The dealer that maintains the forward and option
positions, or acts as the counterparty, for the Classic Trend
Fund is The Royal Bank of Scotland plc. Unlike futures contracts
which are traded through brokers such as the futures broker,
foreign exchange or currency forward and option contracts are
executed through a network of dealers. Campbell &
Company then instructs the executing dealer to give
up the trade to The Royal Bank of Scotland plc.
Campbell & Company is not obligated to continue to use
the
over-the-counter
counterparty identified above and may select others or
additional ones in the future, provided Campbell &
Company believes that their service and pricing are competitive
and present minimal counterparty credit risk.
THE CASH
MANAGERS AND THE CUSTODIAN
The Strategic Allocation Fund has appointed Wilmington
Trust Investment Management LLC, a wholly owned subsidiary
of Wilmington Trust Corporation, and Horizon Cash
Management L.L.C. as cash managers (the Cash
Managers) under Non-Custody Investment Advisory Agreements
dated July 8, 2009, to manage and control the liquid assets
of the Strategic Allocation Fund. The Classic Trend Fund
appointed Wilmington as cash manager under the Non-Custody
Investment Advisory Agreement dated December 15, 2009.
Wilmington is organized under the laws of the State of Georgia.
Horizon is incorporated in the State of Illinois. Both Cash
Managers are registered as investment advisers with the
Securities and Exchange Commission of the United States under
the Investment Advisers Act of 1940.
Wilmington, based in Wilmington, Delaware, and Horizon, based in
Chicago, Illinois, specialize in providing short-term, fixed
income investment management to institutional investors. As of
March 2009, the Wilmington managed approximately
$34.2 billion for clients on six continents, in all
50 states, and in 81 foreign countries. As of December
2008, Horizon managed approximately $2.2 billion for over
40 clients world-wide. The Cash Managers structure customized
portfolios by applying fundamental yield curve and interest rate
analysis to each clients unique cash flow needs,
investment parameters and risk/return objectives. The Cash
Managers specialize in investments which are predominately
short-term in maturity and high grade, high quality in nature
with particular emphasis on U.S. Treasury securities and
U.S. Government Agencies issues.
Both Funds opened custodial accounts at The Northern
Trust Company (the Custodian), and has granted
the Cash Managers a limited power of attorney over such
accounts. Such power of attorney gives the Cash Managers
authority to make certain investments on behalf of the Funds
provided such investments are consistent with the investment
guidelines created by the trading advisor to both Funds. Such
investments include, but are not limited to, U.S. Treasury
securities, securities issued by U.S. Government Agencies,
high quality money-market securities and repurchase agreements.
All securities purchased by the Cash Managers on behalf of the
Funds or other liquid funds of the Funds will be held in its
custody accounts at the custodian. The Cash Managers will have
no beneficial or other interest in the securities and cash in
such custody accounts.
The Cash Managers will use their best endeavors in the
management of the assets of the Funds but provides no guarantee
that any profit or interest will accrue to the Funds as a result
of such management.
The Cash Managers and their principals, employees, agents and
affiliates will be indemnified out of the assets of the Funds
for all losses, costs, damages, expenses (including
attorneys fees) incurred in the performance of its duties
except for loss resulting from its gross negligence, malfeasance
or a violation of applicable law.
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CAPITALIZATION
Strategic
Allocation Fund
The Strategic Allocation Fund was formed on May 11, 1993.
The following table shows the capitalization of the Fund as of
September 30, 2009 and as adjusted for the sale of the
maximum amount of Units registered.
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As Adjusted
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Outstanding
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for Sale of
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as of
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Maximum
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September 30,
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Amount
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Title of Class
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2009
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(1)(2)
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Units of General Partnership Interest
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6,637.982
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7,197.939
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Units of Limited Partnership Interest
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758,574.125
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893,455.059
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Total Partners Capital
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$
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1,872,271,808
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$
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2,203,660,454
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(See accompanying notes)
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(1)
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This calculation assumes that the sale of all Units is made
during the continuing offering at the September 30,
2009 net asset value per Unit of $2,446.74. The maximum
amount will vary depending on the Unit value and number of Units
sold during the continuing offering.
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(2)
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To organize the Strategic Allocation Fund, the initial limited
partner purchased one Unit for $1,000 and Campbell &
Company purchased one Unit for $1,000. Campbell &
Company has agreed to make capital contributions to the
Strategic Allocation Fund equal to at least 1% of the net
aggregate capital contributions of all partners. As of
September 30, 2009, Campbell & Company owned
6,637.982 Units of the Strategic Allocation Fund.
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DISTRIBUTIONS
AND REDEMPTIONS
Distributions
Campbell & Company is not required to make any
distributions to limited partners. However, Campbell &
Company does have the authority to make such distributions, and
reserves the right to do so at any time in its sole discretion.
Campbell & Company is not under any obligation to make
pro rata distributions to its other accounts under management if
it makes distributions to either or both of the Funds. The
amount and timing of future distributions is uncertain. Because
of the potential volatility of futures, forward and option
markets, especially in the short-term, each Fund is recommended
for those seeking a medium- to long-term investment
(i.e., 3-5 years).
If either Fund realizes profits for any fiscal year, such
profits will constitute taxable income to the limited partners
in accordance with their respective investments in the Fund
whether or not cash or other property has been distributed to
limited partners. Any distributions, if made, may be inadequate
to cover such taxes payable by the limited partners.
Redemptions
A limited partner, with the payment of charges below, may
request any or all of his Units be redeemed by the Strategic
Allocation Fund or the Classic Trend Fund at the net asset value
of a Unit as of the end of the month. Limited partners must
transmit a written request of such withdrawal to
Campbell & Company not less than ten
(10) business days prior to the end of the month (or such
shorter period as permitted by Campbell & Company).
See Exhibit C to this prospectus for the form of Request
for Redemption for each Fund.
The Request for Redemption must specify the number of Units for
which redemption is sought. Redemptions will be paid within 20
business days after the date of redemption, contingent upon the
Funds having assets sufficient to discharge all of their
liabilities on the requested date of redemption. In the event
that redemptions are requested with respect to more Units than
Campbell & Company is able to honor,
Campbell & Company will honor requests for redemption
in the order actually received and will hold requests for
redemption in such order. Limited partners will be notified in
the event a request for redemption cannot be honored, and their
requests will be honored thereafter at the first available
opportunity.
The federal income tax aspects of redemptions are described
under Federal Income Tax Aspects.
Redemption Fees
Strategic
Allocation Fund
Redemption fees for the Strategic Allocation Fund 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. The month-end as of which the
Unit is purchased is counted as the first month-end. After the
twelfth month-end following purchase of a Unit, no redemption
fees apply. Because the purchase date counts as the first
month-end in determining whether a redemption fee applies, no
redemption fee would be due in respect of a Unit redeemed on the
first anniversary of the purchase. Accordingly, redemption fees
are not included in the break-even estimate set
forth below. For
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example, if a Unit were purchased on June 30, 2009 (the
Closing Date for such Unit), a redemption fee of 4% would apply
if the Unit were redeemed on July 31, or August 31,
2009, a redemption fee of 3% would apply if the Unit were
redeemed on September 30, October 31, or
November 30, 2009, a redemption fee of 2% would apply if
the Unit were redeemed on December 31, 2009,
January 31, or February 28, 2010, a redemption fee of
1% would apply if the Unit were redeemed on March 31,
April 30, or May 31, 2010 and no redemption fee would
apply if the Unit were redeemed on or after June 30, 2010.
In determining whether redemption fees apply to a particular
limited partners Units, Units will be deemed to be
redeemed on a
first-in,
first-out basis.
Classic
Trend Fund
Redemption fees apply to Class A Units and Class B
Units through the first twelve month-ends following purchase as
follows: 1.833% of net asset value per Class A Unit or
Class B Unit redeemed through the second month-end, 1.666%
of net asset value per Class A Unit or Class B Unit
redeemed through the third month-end, 1.500% of net asset value
per Class A Unit or Class B Unit redeemed through the
fourth month-end, 1.333% of net asset value per Class A
Unit or Class B Unit redeemed through the fifth month-end,
1.167% of net asset value per Class A Unit or Class B
Unit redeemed through the sixth month-end, 1.000% of net asset
value per Class A Unit or Class B Unit redeemed
through the seventh month-end, 0.833% of net asset value per
Class A Unit or Class B Unit redeemed through the
eighth month-end, 0.667% of net asset value per Class A
Unit or Class B Unit redeemed through the ninth month-end,
0.500% of net asset value per Class A Unit or Class B
Unit redeemed through the tenth month-end, 0.333% of net asset
value per Class A Unit or Class B Unit redeemed
through the eleventh month-end, 0.167% of net asset value per
Class A Unit or Class B Unit redeemed through the
twelfth month-end. The month-end as of which the Unit is
purchased is counted as the first month-end. After the twelfth
month-end following purchase of a Class A Unit or
Class B Unit, no redemption fees apply. Because the
purchase date counts as the first month-end in determining
whether a redemption fee applies, no redemption fee would be due
in respect of a Class A Unit or Class B Unit redeemed
on the first anniversary of the purchase.
For example, if Class A Units or Class B Units were
purchased on June 30, 2009 (the Closing Date for such
Unit), a redemption fee of 1.833% would apply if the
Class A Units or Class B Units were redeemed through
July 31, 2009, declining each month thereafter as
referenced above. No redemption fee would apply if the
Class Units A or Class B Units were redeemed on or
after June 30, 2010.
In determining whether redemption fees apply to a particular
Limited Partners Class A Units or Class B Units,
Class A Units or Class B Units will be deemed to be
redeemed on a
first-in,
first-out basis.
Net Asset
Value
The net asset value of a Unit as of any date is the limited
partners share of the sum of all cash, plus Treasury bills
valued at cost plus accrued interest, and other securities
valued at market, plus the market value of all open futures,
forward and option positions maintained by the Strategic
Allocation Fund or the Classic Trend Fund, and in turn, each
Class of Units, less all liabilities of the respective Fund or
Class of Units, and accrued performance fees, determined in
accordance with the principles specified in that Funds
Limited Partnership Agreement. Where no principle is specified
in either Limited Partnership Agreement, the net asset value is
calculated in accordance with accounting principles generally
accepted in the United States of America under the accrual basis
of accounting, divided by the number of Units then outstanding.
Thus, if the net asset value of a Unit for purposes of
redemption is determined as of a month-end which is not the end
of a quarter, any performance fees payable to
Campbell & Company will be determined and charged to
such Unit as though such month-end were the end of the quarter
and such performance fees will be paid to Campbell &
Company.
AGREEMENTS
OF LIMITED PARTNERSHIP
The following is a summary of the Funds Limited
Partnership Agreements, forms of which are attached as
Exhibits A and B and incorporated by reference.
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Organization
and Limited Liability
The Funds are organized under the Delaware Revised Uniform
Limited Partnership Act (RULPA). In general, a
limited partners liability under RULPA is limited to the
amount of his capital contribution and his share of any
undistributed profits.
Management
of Partnership Affairs
The Limited Partnership Agreements effectively give
Campbell & Company, as general partner, full control
over the management of the Fund and gives no management role to
the limited partners. To facilitate matters for
Campbell & Company, the limited partners must execute
the applicable Funds Subscription Agreement (attached as
Exhibit E or F).
Sharing
of Profits and Losses
Profit
Potential; Fund Accounting
Each limited partner has a capital account. Initially, the
limited partners balance equals the amount paid for the
Units. The limited partners balance is then proportionally
adjusted monthly to reflect his portion of the Funds gains
or losses for the month.
Federal
Tax Allocations
At year-end, the Funds will determine the total taxable income
or loss for the year. Subject to the special allocation of net
capital gain or loss to redeeming limited partners, the taxable
gain or loss is allocated to each limited partner in proportion
to his capital account and each limited partner is responsible
for his share of the taxes. See Article 7 of each Limited
Partnership Agreement, and Federal Income Tax
Aspects.
For net capital gain and loss, the gains and losses are first
allocated to each limited partner who redeemed Units during the
year. The remaining net capital gain or loss is then allocated
to each limited partner in proportion to his capital account.
Each limited partners tax basis in his Units is increased
by the taxable income allocated to him and reduced by any
distributions received and losses allocated to him.
Upon the Funds liquidation, each limited partner will
receive his proportionate share of the assets of the Funds.
Dispositions
A limited partner may transfer or assign his Units in the Fund
upon 30 days prior written notice to
Campbell & Company and subject to approval of the
assignee. Campbell & Company will provide consent when
it is satisfied that the transfer complies with applicable laws,
and further would not result in the termination of the Funds for
federal income tax purposes. An assignee not admitted to the
Funds as a limited partner will have only limited rights to
share the profits and capital of the Funds and a limited
redemption right.
Assignees receive carry-over tax basis accounts and
capital accounts from their assignors, irrespective of the
amount paid for the assigned Units.
Campbell & Company does not intend to permit purchase
transfers.
Dissolution
and Termination of the Funds
The Funds will be terminated and dissolved upon the happening of
the earlier of:
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expiration of the Strategic Allocation Funds stated term
on December 31, 2023 (the Classic Trend Fund has no stated
expiration date);
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2)
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limited partners owning more than 50% of the outstanding Units
vote to dissolve the respective Fund;
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3)
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Campbell & Company withdraws as general partner and no
new general partner is appointed;
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4)
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Campbell & Company determines that the purpose of the
Funds cannot be fulfilled; or
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5)
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the continued existence of the Funds become unlawful or the
Funds are dissolved by operation of law.
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Amendments
and Meetings
Strategic
Allocation Fund
The Limited Partnership Agreement may be amended by
Campbell & Company if the limited partners owning more
than 50% of the outstanding Units concur. Campbell &
Company may make minor changes to the Limited Partnership
Agreement without the approval of the limited partners. These
minor changes can be for clarifications of inaccuracies or
ambiguities, modifications in response to changes in tax code or
regulations, or
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any other changes the general partner deems advisable so long as
they do not change the basic investment policy or structure.
Limited partners owning at least 10% of the outstanding Units
can call a meeting of the Fund. At that meeting, the limited
partners, provided that limited partners owning a majority of
the outstanding Units concur, can vote to:
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amend the Limited Partnership Agreement without the consent of
Campbell & Company;
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dissolve the Strategic Allocation Fund;
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terminate contracts with Campbell & Company;
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4)
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remove and replace Campbell & Company as general
partner; and
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5)
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approve the sale of Strategic Allocation Fund assets.
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Classic
Trend Fund
The Limited Partnership Agreement may be amended by
Campbell & Company without obtaining the authorization
or approval of any other limited partner and without giving
prior notification to any limited partner. These changes can be
for clarifications of inaccuracies or ambiguities, modifications
in response to changes in tax code or regulations, or any other
changes the general partner deems advisable so long as they do
not change the basic investment policy or structure and do not
have material adverse affect on the Classic Trend Fund or its
limited partners. If the amendment is deemed to have a material
affect on the Classic Trend Fund or the limited partners, the
general partner will provide notification at least thirty
(30) days prior to the implementation of such amendment and
obtaining the consent of the Classic Trend Fund subject to the
provisions set forth in Section 16.3 of the Limited
Partnership Agreement. The Limited Partnership Agreement may not
be amended to modify the limited liability of a limited partner.
Indemnification
The Funds agree to indemnify Campbell & Company, as
general partner, for actions taken on behalf of the Funds,
provided that Campbell & Companys conduct was in
the best interests of the Funds and the conduct was not the
result of negligence or misconduct. Indemnification by the Funds
for alleged violation of securities laws is only available if
the following conditions are satisfied:
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1)
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a successful adjudication on the merits of each count alleged
has been obtained, or
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2)
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such claims have been dismissed with prejudice on the merits by
a court of competent jurisdiction; or
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3)
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a court of competent jurisdiction approves a settlement of the
claims and finds indemnification of the settlement and related
costs should be made; and
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4)
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in the case of 3), the court has been advised of the position of
the SEC and the states in which the Units were offered and sold
as to indemnification for the violations.
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Reports
to Limited Partners
The limited partners will have access to and the right to copy
the Funds books and records. A limited partner may obtain
a list of all limited partners together with the number of Units
owned by each limited partner, provided such request is not for
commercial purposes.
Campbell & Company will provide various reports and
statements to the limited partners including:
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1)
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monthly, Campbell & Company will provide an unaudited
income statement of the prior months activities;
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2)
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annually, Campbell & Company will provide audited
financial statements accompanied by a fiscal year-end summary of
the monthly reports described above;
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3)
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annually, Campbell & Company will provide tax
information necessary for the preparation of the limited
partners annual federal income tax returns; and
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4)
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if the net asset value per Unit as of the end of any business
day declines by 50% or more from either the prior year-end or
the prior month-end Unit value or there is a material change in
the advisory agreement with Campbell & Company or
otherwise affecting the compensation to any party, including
Campbell & Company, Campbell & Company will
suspend trading activities, notify all limited partners of the
relevant facts within seven business days and declare a special
redemption period.
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FEDERAL
INCOME TAX ASPECTS
The following discussion has been prepared by Sidley Austin
LLP, tax counsel to Campbell & Company, and summarizes
the material federal income tax consequences to individual
(non-corporate) investors in the Fund. Sidley Austin LLPs
opinion is filed as an exhibit to the registration statement
related to the Units offered hereby. A complete discussion of
all U.S. federal, state, local or foreign aspects of an
investment in the Fund is beyond the scope of this summary, and
prospective investors are advised to consult their tax advisors
as to their particular circumstances.
The
Funds Partnership Tax Status
Each Fund is classified as a partnership for federal income tax
purposes and based on their expected income, neither Fund will
be treated as a publicly traded partnership taxable as a
corporation. Therefore, neither Fund will be subject to any
federal income tax. Each Funds taxable year is the
calendar year and each Fund prepares its partnership tax return
using the accrual method of accounting.
Taxation
of Limited Partners on Profits and Losses of the Funds
Each limited partner of a Fund will be subject to tax on his
share of such Funds annual income and gains, if any, even
if the limited partner does not redeem any Units or receive any
cash distributions from such Fund.
Each Fund generally allocates its gains and losses equally to
each Unit. However, a limited partner who redeems any Units will
be allocated gains and losses in order that the amount of cash a
limited partner receives for a redeemed Unit equals the limited
partners adjusted tax basis allocable to the redeemed
Unit. For this purpose, a limited partners adjusted tax
basis in a redeemed Unit equals the amount originally paid for
the Unit, increased by income or gains allocated to the Unit and
decreased (but not below zero) by distributions, deductions or
losses allocated to the Unit.
Fund Losses
by Limited Partners
A limited partner may deduct Fund losses only to the extent of
his aggregate tax basis in his Units. Generally, a limited
partners tax basis is the amount paid for the Units
reduced (but not below zero) by his share of any Fund
distributions, deductions or losses and increased by his share
of a Funds income and gains. However, a limited partner
subject to at-risk limitations (generally,
non-corporate taxpayers and closely-held corporations) can only
deduct losses to the extent he is at-risk. The
at-risk
amount is similar to tax basis, except that it does not include
any amount borrowed on a
non-recourse
basis or from someone with an interest in the Fund in which the
limited partner is invested.
Passive-Activity
Loss Rules and Their Effect on the Treatment of Income and
Loss
The trading activities of a Fund are not a passive
activity. Accordingly, the passive activity loss rules
will not prevent a limited partner from deducting Fund losses
against his other taxable income (subject to capital loss and
other limitations that may apply). However, a limited partner
cannot offset losses from other passive activities
against Fund income and gains.
Cash
Distributions and Unit Redemptions
A limited partner who receives cash from a Fund, either through
a distribution or a partial redemption, will not pay tax on that
cash until his aggregate tax basis in the Units has been reduced
to zero.
Gain or
Loss on Section 1256 Contracts and Non-Section 1256
Contracts
Section 1256 Contracts are futures and most options traded
on U.S. exchanges and certain foreign currency contracts.
For tax purposes, Section 1256 Contracts that remain open
at year-end are treated as if the position were closed at
year-end. The gain or loss on Section 1256 Contracts is
characterized as 60% long-term capital gain or loss and 40%
short-term capital gain or loss, regardless of how long the
position was open.
Non-Section 1256 Contracts are, among other things, certain
foreign currency transactions, including Section 988
transactions transactions when the amount paid or
received is in a foreign currency. Gain and loss from these
non-Section 1256 Contracts is generally short-term capital
gain or loss or ordinary income or loss.
Tax on
Capital Gains and Losses
Long-term capital gains of individual taxpayers net
gain on capital assets held more than
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one year, qualified dividend income, and 60% of the
gain on Section 1256 Contracts are taxed at a
maximum rate of 15% for most gains recognized in taxable years
beginning on or before December 31, 2010. Short-term
capital gains of individual taxpayers net gain on
capital assets held less than one year and 40% of the gain on
Section 1256 Contracts are subject to tax at
the same rates as ordinary income.
Individual taxpayers can deduct capital losses only to the
extent of their capital gains plus $3,000. Accordingly, a Fund
could suffer significant losses and a limited partner could
still be required to pay taxes on his share of such Funds
interest income.
An individual taxpayer can carry back net capital losses on
Section 1256 Contracts three years to offset earlier gains
on Section 1256 Contracts. To the extent the taxpayer
cannot offset past Section 1256 Contract gains, he can
carry forward such losses indefinitely as losses on
Section 1256 Contracts.
Limited
Deduction for Certain Expenses
Campbell & Company does not consider the brokerage and
performance fees, as well as other ordinary expenses of the
Funds, to be investment advisory expenses. Accordingly, each
Fund treats these expenses as ordinary business deductions not
subject to the material deductibility limitations which apply to
investment advisory expenses. The IRS could contend otherwise
and to the extent the IRS recharacterizes these expenses a
limited partner that is subject to such limitations would have
more taxable income to report than if such expenses were fully
deductible as ordinary business expenses as intended.
Interest
Income
Interest income received or accrued by a Fund is taxed as
ordinary income. Net capital losses of individual taxpayers can
offset ordinary income only to the extent of $3,000 per year.
See Tax on Capital Gains and Losses.
Syndication
Fees
Neither Fund nor any limited partner of a Fund is entitled to
any deduction for syndication expenses, nor can these expenses
be amortized by the Fund or any limited partner even though the
payment of such expenses reduces net asset value.
The IRS could take the position that a portion of the brokerage
fees paid by a Fund to Campbell & Company or part or
all of any redemption fees paid by a limited partner constitutes
non-deductible syndication expenses.
Investment
Interest Deductibility Limitations
Individual taxpayers can deduct investment
interest interest on indebtedness allocable to
property held for investment only to the extent that
it does not exceed net investment income. Net investment income
does not include capital gain and qualified dividend
income taxed at the reduced capital gains rates, unless an
election is made to treat such income as ordinary income subject
to tax at the regular tax rates.
Unrelated
Business Taxable Income
Campbell & Company believes that all of the income
expected to be realized by the Funds will be short-term or
long-term capital gain income, interest income or other passive
investment income that is exempt from the tax imposed on
unrelated business taxable income of U.S. tax-exempt
entities. Also, neither Fund will borrow funds for the purpose
of acquiring or holding any of its positions or otherwise incur
acquisition indebtedness with respect to such
positions. Therefore, tax-exempt limited partners will not be
subject to federal income tax on their share of income or gains
of a Fund, provided that such limited partners do not purchase
Units with borrowed funds.
IRS
Audits of the Funds and their Limited Partners
If a Fund is audited, the IRS audits Fund-related items at the
Fund level rather than at the limited partner level.
Campbell & Company acts as tax matters
partner with the authority to determine a Funds
responses to an audit. If an audit results in an adjustment, all
limited partners of the affected Fund may be required to pay
additional taxes, interest and penalties.
State and
Other Taxes
In addition to the federal income tax consequences described
above, each Fund and its limited partners may be subject to
applicable state and local income taxes and other applicable
taxes.
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Taxation
of Foreign Limited Partners
Subject to the discussion below regarding derivative
transactions, a non-resident alien individual not otherwise
engaged in a United States trade or business should not be
deemed to be engaged in a United States trade or business solely
by virtue of an investment as a limited partner in a Fund.
Capital gains earned by a Fund and allocated to a foreign
limited partner of such Fund will, as a general matter, not be
subject to United States federal income tax or withholding, but
may be subject to tax in the jurisdiction in which the foreign
limited partner is resident. Interest income earned by a Fund
will, as a general rule, likewise not be subject to
U.S. federal income tax or withholding, but may be subject
to tax in other jurisdictions to which the foreign limited
partner is a resident.
With respect to derivative transactions such as options or
forwards, based on current law it is uncertain whether entering
into derivative transactions may cause a Fund, and therefore any
foreign limited partners of such Funds, to be treated as engaged
in a trade or business within the United States. However, the
Treasury has issued proposed regulations which, if finalized in
their current form, would provide that foreign limited partners
should not be deemed to be engaged in a United States trade or
business solely by virtue of an investment as a limited partner
in a Fund even if such Fund enters into derivative transactions.
These regulations are proposed to be effective for taxable years
beginning 30 days after the date final regulations are
published in the Federal Register but also allow the Funds to
elect to apply the final regulations retroactively once they are
finalized.
PROSPECTIVE INVESTORS ARE URGED TO CONSULT THEIR OWN TAX
ADVISERS BEFORE DECIDING WHETHER TO INVEST.
INVESTMENT
BY ERISA ACCOUNTS
General
This section sets forth certain consequences under the Employee
Retirement Income Security Act of 1974, as amended
(ERISA), and the Internal Revenue Code of 1986, as
amended (the Code), which a fiduciary of an
employee benefit plan, as defined in, and subject to
the fiduciary responsibility provisions of, ERISA, or of a
plan, as defined in, and subject to
Section 4975 of the Code, who has investment discretion
should consider before deciding to invest the plans assets
in, the Fund (such employee benefit plans and
plans being referred to herein as Plans,
and such fiduciaries with investment discretion being referred
to herein as Plan Fiduciaries). The following
summary is not intended to be complete, but only to address
certain questions under ERISA and the Code which are likely to
be raised by the Plan Fiduciarys own counsel.
In general, the terms employee benefit plan as
defined in ERISA and plan as defined in
Section 4975 of the Code together refer to any plan or
account of various types which provides retirement benefits or
welfare benefits to an individual or to an employers
employees and their beneficiaries. Such plans and accounts
include, but are not limited to, corporate pension and
profit-sharing plans, simplified employee pension
plans, Keogh plans for self-employed individuals
(including partners), individual retirement accounts described
in Section 408 of the Code and medical benefit plans.
Special
Investment Consideration
Each Plan Fiduciary must give appropriate consideration to the
facts and circumstances that are relevant to an investment in
either or both Funds, including the role that an investment in
either or both Funds plays or would play in the Plans
overall investment portfolio. Each Plan Fiduciary, before
deciding to invest in either or both Funds, must be satisfied
that such investment is prudent for the Plan, that the
investments of the Plan, including in either or both Funds, are
diversified so as to minimize the risk of large losses and that
an investment in either or both Funds complies with the terms of
the Plan and related trust.
EACH PLAN FIDUCIARY CONSIDERING ACQUIRING UNITS MUST CONSULT ITS
OWN LEGAL AND TAX ADVISERS BEFORE DOING SO.
The Funds
Should Not Be Deemed to Hold Plan Assets
ERISA and a regulation issued thereunder contains rules for
determining when an investment by a Plan in an equity interest
of a limited partnership will result in the underlying assets of
the partnership being assets of the Plan for purposes of ERISA
and Section 4975 of the Code (i.e., plan
assets). Those rules provide in pertinent part that assets
of a limited partnership will not be plan assets of a Plan
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which purchases an equity interest in the partnership if the
equity interest purchased is a publicly-offered
security (the Publicly-Offered Security
Exception). If the underlying assets of a partnership are
considered to be assets of any Plan for purposes of ERISA or
Section 4975 of the Code, the operations of such
partnership would be subject to and, in some cases, limited by,
the provisions of ERISA and Section 4975 of the Code.
The Publicly-Offered Security Exception applies if the equity
interest is a security that is:
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1)
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freely transferable (determined based on the
relevant facts and circumstances);
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2)
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part of a class of securities that is widely held
(meaning that the class of securities is owned by 100 or more
investors independent of the issuer and of each other); and
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3)
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either (a) part of a class of securities registered under
Section 12(b) or 12(g) of the Securities Exchange Act of
1934, or (b) sold to the Plan as part of a public offering
pursuant to an effective registration statement under the
Securities Act of 1933 and the class of which such security is a
part is registered under the Securities Exchange Act of 1934
within 120 days (or such later time as may be allowed by
the SEC) after the end of the fiscal year of the issuer in which
the offering of such security occurred.
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At any time that the conditions described above are satisfied
with respect to each Class of Units of a Fund, the
Publicly-Offered Security Exception should apply and the assets
of such Fund should not be considered to constitute plan assets
of any Plan that purchases Units in the Fund.
ERISA and the regulation discussed above contain another
exception that may be applicable to purchases of Units by Plans.
Under that exception, the assets of a limited partnership will
not be considered plan assets of a Plan which purchases an
interest therein if the investment by all benefit plan
investors is not significant. The term
benefit plan investors includes all Plans (i.e., all
employee benefit plans as defined in and subject to
the fiduciary responsibility provisions of ERISA and all
plans as defined in and subject to Section 4975
of the Code), and all entities that hold plan assets
(each a Plan Assets Entity) due to investments made
in such entities by already described benefit plan investors.
ERISA provides that a Plan Assets Entity is considered to hold
plan assets only to the extent of the percentage of the Plan
Assets Entitys equity interests held by benefit plan
investors. In addition, all or part of an investment made by an
insurance company using assets from its general account may be
treated as a benefit plan investor. Investments by benefit plan
investors will be deemed not significant if benefit plan
investors own, in the aggregate, less than 25% of the total
value of each class of equity interests of the limited
partnership (determined by not including the investments of
persons with discretionary authority or control over the assets
of such entity, of any person who provides investment advice for
a fee (direct or indirect) with respect to such assets, and
affiliates (as defined in the regulations issued
under ERISA) of such persons; provided, however, that under no
circumstances are investments by benefit plan investors excluded
from such calculation).
At any time that the Publicly-Offered Security Exception does
not apply with respect to each Class of Units of a Fund, the
General Partner intends, in order to avoid causing the assets of
such Fund to be plan assets, to restrict the
aggregate investment by benefit plan investors to under 25% of
the total value of each Class of Units in such Fund (not
including the investments of Campbell & Company, any
other person who provides investment advice for a fee (direct or
indirect) with respect to the assets of such Fund, and any
entity (other than a benefit plan investor) that is directly or
indirectly through one or more intermediaries controlling,
controlled by or under common control with any of such entities
(including a partnership for which Campbell & Company
is the general partner, investment advisor or provides
investment advice), and each of the principals, officers and
employees of any of the foregoing entities who has the power to
exercise a controlling influence over the management or policies
of such entity or of such Fund). Furthermore, because the 25%
test is ongoing, it not only restricts additional investments by
benefit plan investors, but also may cause Campbell &
Company to require that existing benefit plan investors divest
Units in a Fund in the event that other investors divest Units
such Fund.
Ineligible
Purchasers
In general, Units may not be purchased with the assets of a Plan
if Campbell & Company, the
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futures brokers, any
over-the-counter
counterparty, the escrow agent, any wholesaler, any of the
selling agents, any of their respective affiliates or any of
their respective employees either:
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1)
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has investment discretion with respect to the investment of such
plan assets; or
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2)
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has authority or responsibility to give or regularly gives
investment advice with respect to such plan assets, for a fee,
and pursuant to an agreement or understanding that such advice
will serve as a primary basis for investment decisions with
respect to such plan assets and that such advice will be based
on the particular investment needs of the Plan; or
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3)
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is an employer maintaining or contributing to such Plan.
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Except as otherwise set forth, the foregoing statements
regarding the consequences under ERISA and the Code of an
investment in either or both Funds based on the provisions of
the Code and ERISA as currently in effect, and the existing
administrative and judicial interpretations thereunder. No
assurance can be given that administrative, judicial, or
legislative changes will not occur that may make the foregoing
statements incorrect or incomplete.
None of Campbell & Company, the futures brokers, the
over-the-counter
counterparties, the selling agents or any other party related to
the Funds make any representation that an investment in either
or both Funds meets the relevant legal requirements with respect
to investments by any particular plan or that this investment is
appropriate for any particular plan. The person with investment
discretion should consult with his or her attorney and financial
advisers as to the propriety of an investment in either or both
Funds in light of the circumstances of the particular plan.
PLAN OF
DISTRIBUTION
Subscription
Procedure
The Units for both Funds are offered on a best
efforts basis without any firm underwriting commitment
through selling agents, which are registered broker-dealers and
members of the Financial Industry Regulatory Authority, Inc.
Units of each Class of Classic Trend Fund will initially be
offered for a period ending ninety days from the date hereof,
unless such date is extended by Campbell & Company for
up to additional ninety days. The subscription minimum for the
Classic Trend Fund as of the end of the Initial Offering Period
is $20,000,000. However, if after the expiration of the initial
offering period, the subscription minimum is not reached,
Campbell & Company may purchase Units with an
aggregate initial Unit value in an amount equal to the
difference between the actual total dollar amount of Units
subscribed for during the initial offering period and
$20,000,000. This initial offering period may be shorter if the
subscription minimum is reached before the end of the initial
offering period. If subscriptions for at least $20,000,000 have
not been received and accepted by the end of the initial
offering period, all subscriptions will be promptly returned to
subscribers, with interest. After the end of the initial
offering period, each of the Classes will be offered
continuously.
Units of both Funds are offered until such time as
Campbell & Company suspends, limits or terminates the
continuing offering. Subscriptions received during the
continuing offering can be accepted by each Fund as detailed
below. Subscribers whose subscriptions are canceled or rejected
will be notified of when their subscriptions, plus interest,
will be returned, which will be promptly after rejection.
Subscribers whose subscriptions are accepted will be issued
fractional Units, calculated to three decimal places. The issued
Units will be in an amount equal the accepted subscription
amount, including all interest earned. Campbell &
Company may suspend, limit or terminate the continuing offering
at any time.
Subscriptions from customers of any of the selling agents may
also be made by authorizing such selling agent to debit the
subscribers customer securities account at the selling
agent on the settlement date. Promptly after debiting the
customers securities account, the selling agent will send
payment to the escrow agent as described above, in the amount of
the subscription so debited.
Campbell & Company will purchase Units for investment
purposes only and not with a view towards resale.
An investor who meets the suitability standards given below must
complete, execute and deliver to the relevant selling agent a
copy of the Subscription Agreement attached as Exhibit E
for the Strategic Allocation Fund and Exhibit F for the
Classic Trend
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Fund. A subscriber can pay either by a check made payable to the
applicable Fund or by authorizing his selling agent to debit his
customer securities account. Campbell & Company will
then accept or reject the subscription in the time periods
discussed below for each Fund. All subscriptions are irrevocable
once subscription payments are deposited in escrow.
Investors will purchase Units for investment purposes only and
not with a view toward resale. There is no limit on the number
of Units that may be offered by the Funds, provided, however,
that all such Units must be registered with the
U.S. Securities and Exchange Commission prior to issuance.
Strategic
Allocation Fund
The Strategic Allocation Fund offers the Units to existing
investors during the continuing offering at the net asset value
per Unit as of each Closing Date on which subscriptions are
accepted. Investors must submit subscriptions at least five
(5) business days prior to the applicable month-end Closing
Date and they will be accepted once payments are received and
cleared. Investors may rescind their subscription agreement
within five (5) business days of receipt of the Strategic
Allocation Funds prospectus. Campbell & Company
may suspend, limit or terminate the continuing offering at any
time. Escrow balances will be credited with interest at
prevailing money market rates.
The Strategic Allocation Funds escrow account is currently
maintained at The PNC Financial Services Group, Inc., Baltimore,
Maryland (the escrow agent). A replacement escrow
agent may be appointed in respect of the Strategic Allocation
Fund in the future solely at the discretion of
Campbell & Company. All subscription funds are
required to be promptly transmitted to the escrow agent.
Subscriptions must be accepted or rejected by
Campbell & Company within five business days of
receipt, and the settlement date for the deposit of subscription
funds in escrow must be within five business days of acceptance.
No fees or costs will be assessed on any subscription while held
in escrow, irrespective of whether the subscription is accepted
or subscription funds returned. The escrow agent will invest the
subscription funds in a money market account or in other
authorized instruments while held in escrow.
Classic
Trend Fund
The Classic Trend Fund offers any of the Classes of Units to new
investors during the initial offering period at a price of
$1,000 per unit of Units of each Class. During the continuing
offering, the Classic Trend Fund offers any of the Classes of
Units to new and existing investors at the net asset value per
Class of Unit as of each Closing Date on which subscriptions are
accepted. Investors must submit subscriptions at least five
(5) business days prior to the applicable month-end Closing
Date and they will be accepted once payments are received and
cleared. Investors may rescind their subscription agreement
within five (5) business days of receipt of the Classic
Trend Funds prospectus. Campbell & Company may
suspend, limit or terminate the continuing offering at any time.
Escrow balances will be credited with interest at prevailing
money market rates.
Subscription funds may be deposited and held in the Classic
Trend Funds account at PNC Financial Services Group, Inc.,
Baltimore, Maryland, U.S.A., prior to the transfer to the
Classic Trend Funds trading accounts. If after the
expiration of the Initial Offering Period, the subscription
minimum is not reached, Campbell & Company may
purchase Units with an aggregate initial Unit value in an amount
equal to the difference between the actual total dollar amount
of Units subscribed for during the Initial Offering Period and
$20,000,000.
Representations
and Warranties of Investors in the Subscription
Agreement
Investors are required to make representations and warranties in
the Subscription Agreement. The Funds primary intention in
requiring investors to make representations and warranties is to
ensure that only persons for whom an investment is suitable
invest in the Funds. The Funds are most likely to assert
representations and warranties if it has reason to believe that
the related investor may not be qualified to invest or remain
invested in the Funds. The representations and warranties made
by investors in the Subscription Agreement may be summarized as
relating to:
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1)
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eligibility of investors to invest in the Funds, including legal
age, net worth and annual income;
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2)
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representative capacity of investors;
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3) information provided by investors;
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4)
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information received by investors; and
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5)
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investments made on behalf of employee benefit plans.
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See the Subscription Agreement attached as Exhibit E for
the Strategic Allocation Fund and Exhibit F for the Classic
Trend Fund for further detail.
Minimum
Investment
The minimum initial investment for the Classic Trend
Fund Classes A, B, C and D is $1,000 from IRAs and
other tax-exempt accounts and $5,000 from all other investors.
The Strategic Allocation Fund is only open to existing
investors. The minimum additional investment for the Strategic
Allocation Fund and the Classic Trend Fund Classes A,
B, C and D is $1,000. Prospective investors must be aware that
the price per Unit during the continuing offering will vary
depending upon the month-end net asset value per Unit for the
applicable Fund or Fund Class. Under the federal securities
laws and those of certain states, investors may be subject to
special minimum purchase
and/or
investor suitability requirements.
Investor
Suitability
There can be no assurance that the Funds will achieve their
objectives or avoid substantial losses. An investment in either
Fund is suitable only for a limited segment of the risk portion
of an investors portfolio and no one should invest more in
either Fund than he can afford to lose. The selling agent is
responsible for determining if the Units are a suitable
investment for the investor. Campbell & Company acts
as a commodity pool operator and a commodity trading advisor in
respect of various managed futures investment products. The
selling agent may or may not be authorized to offer certain of
such products, which may have materially different terms,
including investment portfolios and objectives, fees, risks,
conflicts of interest and suitability requirements, from those
of either Fund.
At an absolute minimum, investors must have (i) a net worth
of at least $225,000 (exclusive of home, furnishings and
automobiles) or (ii) an annual gross income of at least
$70,000 and a net worth (as calculated above) of at least
$70,000. No one may invest more than 10% of his net worth (as
calculated above) in each of the Funds.
These standards (and the additional standards applicable to
residents of certain states as set forth under
Exhibit D Subscription Requirements
herein) are regulatory minimums only. Qualification under such
standards does not necessarily imply that an investment in
either Fund is suitable for a particular investor. Prospective
subscribers should review Exhibit D and consider the highly
speculative and illiquid nature of an investment in either Fund,
as well as the high risk and highly leveraged nature of the
financial instrument markets, in determining whether an
investment in either Fund is consistent with their overall
portfolio objectives.
The
Selling Agents
The selling agents the broker-dealers who offer the
Units offer the Units on a best efforts basis
without any firm underwriting commitment. The selling agents,
including the foreign dealers who may elect to participate in
the offering, are bound by their respective Selling Agreements
with either Fund or both Funds.
Selling agents of Campbell Strategic Fund Units receive no
commission from the proceeds of the offering. Instead, they
receive from Campbell & Companys brokerage fee
an amount up to 4% of the subscription amount for the Strategic
Allocation Fund Units sold. Selling agents of Classic Trend
Fund Class A Units and Class B Units receive
commissions from the proceeds of the offering in an amount up to
2% of the subscription amount for the Classic Trend
Fund Class A Units
and/or
Class B Units sold. In addition, selling agents of the
Classic Trend Fund Class A Units and Class C
Units receive a broker-dealer custodial fee of 0.25% of
Class A Units and Class C Units month-end
net asset value per annum.
Campbell & Company also will pay ongoing payments to
the selling agents (or their assignees) in return for providing
continuing services to the limited partners of up to 4% of the
Strategic Allocation Funds month-end net asset value per
annum beginning at the end of the thirteenth full month after
the Units were sold. The Classic Trend Fund also will pay
ongoing payments to selling agents (or their assignees) in
return for providing continuing services to the limited partners
of up to 2% of the Classic Trend Fund Class A
Units
and/or
Class B Units average month-end net asset value per
annum. Such selling agents may pay all or a portion
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of such ongoing payments to certain account executives.
The amount paid to selling agents on Strategic Allocation
Fund Units sold pursuant to this disclosure document will
not, however, exceed 9.0% of the gross offering proceeds of the
Strategic Allocation Fund sold pursuant to this prospectus. Once
the 9.0% threshold is reached with respect to a Strategic
Allocation Fund Unit sold pursuant to this disclosure
document, the selling agent will receive no future compensation
and amount that would otherwise be paid to the selling agent for
that Unit will instead be rebated to the Strategic Allocation
Fund (up to 4%) for the benefit of all holders of Strategic
Allocation Fund Units.
The amount paid to selling agents on Classic Trend
Fund Class A Units and Class B Units sold
pursuant to this prospectus will not, however, exceed 8.0% of
the gross offering proceeds of the Classic Trend
Fund Class A Units and 9.0% of the gross offering
proceeds of the Classic Trend Fund Class B Units sold
pursuant to this disclosure document. In addition, the amount
paid to selling agents for the broker-dealer custodial fee on
Class A Units and Class C Units sold pursuant to this
prospectus will not, however, exceed 1.0% of the gross offering
proceeds of Class A Units and 6% of the gross offering
proceeds of Class C Units.
Once total underwriting compensation, including, but not limited
to, the fees mentioned in the preceding paragraph, paid on any
Class A Unit, Class B Unit, Class C Unit or
Class D Unit reaches 10% of the gross offering proceeds,
the Class A Unit, Class B Unit, Class C Unit or
Class D Unit will automatically be re-designated as
Class E Units, which are identical to Class A Units,
Class B Units, Class C Units and Class D Units
except that Class E Units do not pay any offering expenses,
selling agent fee, broker-dealer custodial fee payable to the
selling agents and, if applicable, redemption fees.
Selling agents and registered representatives as described above
may receive additional selling commissions from
Campbell & Company, paid on the same basis as the
ongoing payments, provided that the maximum compensation to be
paid to underwriters and related persons regardless of the
source of payment, including, but not limited to, wholesaling
salaries, bonus or sales incentives, sales commissions, expense
reimbursements, and continuing compensation to non-duly
registered selling agents, will not exceed 10% of the initial
gross proceeds of such Units initial sales price. Such
ongoing payments, salaries and bonuses, and additional selling
commissions may be deemed to constitute underwriting
compensation.
Certain of the offering expenses paid by Campbell &
Company might be deemed to constitute costs properly allocated
to the accounts of the selling agents. Such costs will, for
example, cover the expenses of producing a selling brochure,
organizing seminars to promote the Funds and related travel
expenses. Such costs are estimated at approximately $150,000 for
the Classic Trend Fund and $100,000 for the Strategic Allocation
Fund, and in no event will the aggregate amount of (i) such
costs and (ii) the selling commission exceed, over the life
of the Fund, 10% of the gross proceeds of the offering of the
Units.
Other than as described above, Campbell & Company will
pay no person any commissions or other fees from the Funds in
connection with the solicitation of purchases for Units.
Campbell & Company will pay the Funds offering
expenses related to the continuing offering and the Funds will
reimburse Campbell & Company. Such reimbursement,
however, will not exceed 2.5% of the aggregate subscriptions
accepted by Campbell & Company as general partner.
Organization and offering expenses related to the initial
offering of the Classic Trend Fund will be reimbursed in the
same manner. See Charges to the Funds Offering
Expenses.
In the Selling Agreement with each selling agent,
Campbell & Company has agreed to indemnify the selling
agents against certain liabilities that the selling agents may
incur in connection with the offering and sale of the Units,
including liabilities under the Securities Act of 1933. The
Selling Agreement also requires the selling agents to comply
fully with FINRA Rule 2310 which includes, among other
things, that there will be no sales of Units to discretionary
accounts without the prior specific written approval of the
investor.
Indemnification
of Selling Agents
Pursuant to the Selling Agreement with respect to the Funds, the
general partner on behalf of the respective Fund indemnifies and
holds harmless the selling agent and each person, who controls
such person against any and all losses, claims, damages, costs,
expenses, liabilities, joint or several (including
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any investigatory, legal and other expenses incurred in
connection with, and any amount paid in settlement of, any
action, suit or proceeding or any claim asserted), and actions
to which they may become subject under any federal or state
statutory law or regulation, at common law or otherwise, insofar
as such losses, claims, damages, costs, expenses, liabilities or
actions arise out of or are based upon any untrue statement of a
material fact contained in any preliminary prospectus,
registration statement, this prospectus or any amendment of
supplement thereto, or promotional material, or the omission to
state therein a material fact required to be stated therein or
necessary to make the statements therein not misleading);
provided, however, that in no event will the indemnification
agreement inure to the benefit of any of the indemnified parties
(or any person controlling any such party) on account of any
losses, claims, damages, costs, expenses and liabilities arising
from the sale of the Funds Units to any person if such
losses, claims, damages, costs, expenses, liabilities or actions
arise out of or are based upon, an untrue statement or omission
in a preliminary prospectus or this prospectus or a supplement
or amendment thereto, if a preliminary prospectus, the
prospectus, the prospectus as amended or supplemented or as
further amended or supplemented, respectively, will correct,
prior to the delivery to such person of his subscription, the
untrue statement or omission which is the basis of the loss,
claim, damage, liability or action for which indemnification is
sought and a copy of a preliminary prospectus, this prospectus
or this prospectus as amended or supplemented or as further
amended or supplemented, as the case may be, had not been sent
or given to such indemnified person at or prior to the receipt
of the subscription
The general partner shall have no obligation to indemnify the
selling agent for more than the amount of proceeds resulting
from the sale of Units by the selling agent during the
continuing offering plus the selling agents actual
expenses incurred in connection with any loss, claim, damage,
charge or liability (including reasonable attorneys and
accountants fees incurred in defense thereof). See
Section 10 of each Funds Selling Agreement.
[REMAINDER OF THIS PAGE LEFT BLANK INTENTIONALLY.]
-70-
Selling
Agent Compensation Tables
Strategic
Allocation Fund
|
|
|
|
|
|
|
Nature of Payment
|
|
|
Recipient
|
|
|
Amount of Payment
|
Initial Selling Fee
|
|
|
Selling Agents
|
|
|
Selling Agents shall receive from the Strategic Allocation Fund,
in conjunction with the sale of Units, an initial selling fee of
up to 4% of the gross offering proceeds of the Units sold by the
Selling Agents.
|
On-going Selling Fee
|
|
|
Selling Agents
|
|
|
Selling Agents shall receive from the Strategic Allocation Fund
an on-going selling fee (commencing the
13th
month after sale of each unit) of 0.334% of the month-end net
asset value of the Units sold and outstanding, subject to a
limit of 5% of the gross offering proceeds of the Units sold.
|
Transaction and Non-transaction based Compensation to Wholesalers
|
|
|
Wholesalers
|
|
|
Wholesalers will receive transaction and non-transaction based
compensation of up to 0.75% of the gross proceeds of the Units
sold.
|
Expense Reimbursements for training and education meetings,
travel expenses, etc.
|
|
|
General Partner
|
|
|
The general partner will be reimbursed for expenses incurred for
training and education meetings, travel expenses, etc. of up to
0.25% of the gross offering proceeds of the Units sold. When
added with the initial and on-going selling fees and transaction
and non-transaction based payments to wholesalers, the total
amount shall not exceed 10% of the gross offering proceeds of
the Units sold.
|
|
|
|
|
|
|
|
Classic
Trend Fund
|
|
|
|
|
|
|
Nature of Payment
|
|
|
Recipient
|
|
|
Amount of Payment
|
Initial Selling Fee
|
|
|
Selling Agents
|
|
|
Selling Agents shall receive from the Classic Trend Fund, in
conjunction with the sale of Units, an initial selling fee of up
to 2% of the gross offering proceeds of the Class A and B
Units sold by the Selling Agents.
|
On-going Selling Fee
|
|
|
Selling Agents
|
|
|
Selling Agents shall receive from the Classic Trend Fund an
on-going selling fee (commencing the
13th
month after sale of each unit) of 0.167% of the month-end net
asset value of the Class A and B Units sold and
outstanding, subject to a limit of 6% of the gross offering
proceeds of the Class A Units sold and 7% of the gross
offering proceeds of the Class B Units sold.
|
Transaction and Non-transaction based Compensation to Wholesalers
|
|
|
Wholesalers
|
|
|
Wholesalers will receive transaction and non-transaction based
compensation of up to 0.75% of the gross offering proceeds of
the Class A and B Units sold, up to 3% of the of the gross
offering proceeds of the Class C Units sold, and up to 6%
of the of the gross offering proceeds of the Class D Units
sold.
|
Expense Reimbursements for training and education meetings,
travel expenses, etc.
|
|
|
General Partner
|
|
|
The general partner will be reimbursed for expenses incurred for
training and education meetings, travel expenses, etc. of up to
0.25% of the gross offering proceeds of the Units sold. When
added with initial and on-going selling fees and transaction and
non-transaction based payments to wholesalers, the total amount
shall not exceed 10% of the gross offering proceeds of the Units
sold.
|
Broker Dealer Custodial Fee
|
|
|
Selling Agent/Custodian
|
|
|
Selling Agents and/or custodians will receive a broker-dealer
custodial fee of 0.0208% of the month-end net asset value of the
Class A and Class C Units sold and outstanding,
subject to a limit of 1% of the gross offering proceeds of
Class A Units sold and a limit of 6% of the gross offering
proceeds of Class C Units sold.
|
|
|
|
|
|
|
|
There are no other items of compensation paid in respect of the
sale of the Funds Units.
-71-
Items of
Compensation Pursuant to FINRA RULE 2310
The following tables set forth the items of compensation, and
the maximum amounts thereof in respect of the offering of the
Units of the Funds, paid to members of FINRA pursuant to FINRA
Rule 2310 on a
fund-by-fund
and
class-by-class
basis. These items of compensation are set forth in detail below
and more fully described above:
Strategic
Allocation Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transaction and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Transaction
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based
|
|
|
|
|
|
|
|
|
|
On-Going Selling
|
|
|
|
|
|
Compensation to
|
|
|
Expense
|
|
|
|
|
|
|
Fee (Commencing
|
|
|
|
|
|
Registered
|
|
|
Reimbursements
|
|
|
|
|
|
|
the 13 Month
|
|
|
|
|
|
Representatives
|
|
|
for Training and
|
|
|
|
|
|
|
After the Sale of
|
|
|
|
|
|
of CFS, Including
|
|
|
Education Meetings, Travel
|
|
|
|
Initial Selling Fee
|
|
|
Each Unit)
|
|
|
Custodial Fee
|
|
|
Wholesalers
|
|
|
Expenses, etc.
|
|
|
Total
|
4% of the gross offering proceeds of the units sold.
|
|
|
0.334% of the month-end net asset value of the Units sold and
outstanding, subject to a limit of 5% of the gross offering
proceeds of the Units sold
|
|
|
This item of compensation not paid by these Units.
|
|
|
Up to 0.75% of the gross proceeds of the Units sold.
|
|
|
Up to 0.25% of the gross offering proceeds of the Units sold.
|
|
|
Up to 10% of the gross proceeds of the Units sold.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Classic
Trend Fund Class A
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transaction and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Transaction
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based
|
|
|
Expense
|
|
|
|
|
|
|
On-Going Selling
|
|
|
|
|
|
Compensation to
|
|
|
Reimbursements
|
|
|
|
|
|
|
Fee (Commencing
|
|
|
|
|
|
Registered
|
|
|
for Training and
|
|
|
|
|
|
|
the 13 Month
|
|
|
|
|
|
Representatives of
|
|
|
Education
|
|
|
|
|
|
|
After the Sale of
|
|
|
|
|
|
CFS, Including
|
|
|
Meetings, Travel
|
|
|
|
Initial Selling Fee
|
|
|
Each Unit)
|
|
|
Custodial Fee
|
|
|
Wholesalers
|
|
|
Expenses, etc.
|
|
|
Total
|
2% of the gross offering proceeds of the units sold.
|
|
|
0.167% of the month-end net asset value of the Units sold and
outstanding, subject to a limit of 6% of the gross offering
proceeds of the Units sold.
|
|
|
0.0208% of the month-end net asset value of the Units sold and
outstanding, subject to a limit of 1% of the gross offering
proceeds of the Units sold.
|
|
|
Up to 0.75% of the gross proceeds of the Units sold.
|
|
|
Up to 0.25% of the gross offering proceeds of the Units sold.
|
|
|
Up to 10% of the gross proceeds of the Units sold.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
-72-
Classic
Trend Fund Class B
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transaction and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Transaction
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based
|
|
|
Expense
|
|
|
|
|
|
|
On-Going Selling
|
|
|
|
|
|
Compensation to
|
|
|
Reimbursements
|
|
|
|
|
|
|
Fee (Commencing
|
|
|
|
|
|
Registered
|
|
|
for Training and
|
|
|
|
|
|
|
the 13 Month
|
|
|
|
|
|
Representatives
|
|
|
Education
|
|
|
|
|
|
|
After the Sale of
|
|
|
|
|
|
of CFS, Including
|
|
|
Meetings, Travel
|
|
|
|
Initial Selling Fee
|
|
|
Each Unit)
|
|
|
Custodial Fee
|
|
|
Wholesalers
|
|
|
Expenses, etc.
|
|
|
Total
|
2% of the gross offering proceeds of the units sold.
|
|
|
0.167% of the month-end net asset Value of the Units sold and
outstanding, subject to a limit of 7% of the gross offering
proceeds of the Units sold.
|
|
|
This item of compensation not paid by these Units.
|
|
|
Up to 0.75% of the gross proceeds of the Units sold.
|
|
|
Up to 0.25% of the gross offering proceeds of the Units sold.
|
|
|
Up to 10% of the gross proceeds of the Units sold.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Classic
Trend Fund Class C
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transaction and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Transaction
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based
|
|
|
Expense
|
|
|
|
|
|
|
On-Going Selling
|
|
|
|
|
|
Compensation to
|
|
|
Reimbursements
|
|
|
|
|
|
|
Fee (Commencing
|
|
|
|
|
|
Registered
|
|
|
for Training and
|
|
|
|
|
|
|
the 13 Month
|
|
|
|
|
|
Representatives
|
|
|
Education
|
|
|
|
|
|
|
After the Sale of
|
|
|
|
|
|
of CFS, Including
|
|
|
Meetings, Travel
|
|
|
|
Initial Selling Fee
|
|
|
Each Unit)
|
|
|
Custodial Fee
|
|
|
wholesalers
|
|
|
Expenses, etc.
|
|
|
Total
|
This item of compensation not paid by these Units.
|
|
|
This item of compensation not paid by these Units.
|
|
|
0.0208% of the month-end net asset value of the Units sold and
outstanding, subject to a limit of 6% of the gross offering
proceeds of the Units sold.
|
|
|
Up to 3% of the gross proceeds of the Units sold.
|
|
|
Up to 1% of the gross offering proceeds of the Units sold.
|
|
|
Up to 10% of the gross proceeds of the Units sold.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Classic
Trend Fund Class D
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transaction and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Transaction
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based
|
|
|
Expense
|
|
|
|
|
|
|
On-Going Selling
|
|
|
|
|
|
Compensation to
|
|
|
Reimbursements
|
|
|
|
|
|
|
Fee (Commencing
|
|
|
|
|
|
Registered
|
|
|
for Training and
|
|
|
|
|
|
|
the 13 Month
|
|
|
|
|
|
Representatives
|
|
|
Education
|
|
|
|
|
|
|
after the Sale of
|
|
|
|
|
|
of CFS, Including
|
|
|
Meetings, Travel
|
|
|
|
Initial Selling Fee
|
|
|
Each Unit)
|
|
|
Custodial Fee
|
|
|
Wholesalers
|
|
|
Expenses, etc.
|
|
|
Total
|
This item of compensation not paid by these Units.
|
|
|
This item of compensation not paid by these Units.
|
|
|
This item of compensation not paid by these Units.
|
|
|
Up to 6% of the gross proceeds of the Units sold.
|
|
|
Up to 4% of the gross offering proceeds of the Units sold.
|
|
|
Up to 10% of the gross proceeds of the Units sold.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
-73-
Classic
Trend Fund Class E
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transaction and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Transaction
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based
|
|
|
Expense
|
|
|
|
|
|
|
On-Going Selling
|
|
|
|
|
|
Compensation to
|
|
|
Reimbursements
|
|
|
|
|
|
|
Fee (Commencing
|
|
|
|
|
|
Registered
|
|
|
for Training and
|
|
|
|
|
|
|
the 13 Month
|
|
|
|
|
|
Representatives
|
|
|
Education
|
|
|
|
|
|
|
After the Sale of
|
|
|
|
|
|
of CFS, Including
|
|
|
Meetings, Travel
|
|
|
|
Initial Selling Fee
|
|
|
Each Unit)
|
|
|
Custodial Fee
|
|
|
Wholesalers
|
|
|
Expenses, etc.
|
|
|
Total
|
This item of compensation not paid by these Units.
|
|
|
This item of compensation not paid by these Units.
|
|
|
This item of compensation not paid by these Units.
|
|
|
This item of compensation not paid by these Units.
|
|
|
This item of compensation not paid by these Units.
|
|
|
No items of underwriting compensation are paid by these Units
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIMITED
PARTNER PRIVACY NOTICE
The Funds and Campbell & Company believe that
investors are entitled to the best service they can
offer and that includes the right to feel
comfortable about the personal non-public information investors
share with the Funds and Campbell & Company.
In the normal course of business, investors give the Funds and
Campbell & Company personal non-public information.
The Funds and Campbell & Company use this information
to manage each investors account, direct transactions and
provide each investor with valuable information. The Funds and
Campbell & Company may collect this information
through forms, interviews, transaction history of an
investors account, or third parties. The information
includes each investors name, address, telephone number,
social security number, transactional and financial information,
as well as other personal non-public information the Funds and
Campbell & Company may need to service an
investors account. The Funds and Campbell &
Company maintain physical, electronic, and procedural safeguards
that comply with federal standards to protect confidentiality.
Neither the Funds nor Campbell & Company provides
customer names and addresses, or other non-public information,
to outside firms, organizations or individuals, except as
necessary to service investor accounts or as permitted by law.
For example, in the course of regular business, the Funds may
share relevant information with service providers that support
the Funds and Campbell & Company in servicing investor
accounts. These companies may use this information only for the
services for which they are hired, and are not permitted to use
or share this information for any other purpose.
The Funds and Campbell & Company require service
providers to the Funds to maintain policies and procedures
designed to assure that access to personal non-public
information about investors is restricted to employees who need
to know that information in order to provide products or
services to those investors, and that the use of such
information is limited to the purposes for which it was
disclosed or as otherwise permitted by law. The Funds and
Campbell & Company also require that service providers
maintain strict physical, electronic and procedural safeguards
designed to protect the personal information of investors that
comply with federal standards.
The Funds and Campbell & Company will continue to
adhere to the privacy policies and practices described in this
prospectus with respect to information about former limited
partners who have redeemed their Units in the Funds.
-74-
RELATED
PERFORMANCE INFORMATION OF THE COMMODITY POOL OPERATOR AND THE
TRADING ADVISOR
TABLE
1
PERFORMANCE OF TRADING PORTFOLIOS OFFERED BY
CAMPBELL & COMPANY, INC.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
|
|
|
|
|
|
|
|
|
|
Financial, Metal & Energy
|
|
|
Global Diversified
|
|
|
|
Large
Portfolio(4)
|
|
|
Large
Portfolio(5)
|
Commodity Trading Advisor:
|
|
|
Campbell & Company, Inc.
|
|
|
|
|
|
|
|
Inception of CTAs Trading:
|
|
|
January 1972
|
|
|
|
|
|
|
|
Total Assets Under Management By CTA:
|
|
|
$3.5 Billion
|
|
|
|
|
|
|
|
Inception of Trading of the Portfolio:
|
|
|
April 1983
|
|
|
February 1986
|
|
|
|
|
|
|
|
Total Assets/Accounts Currently Traded in the Portfolio:
|
|
|
$3.1 Billion/13 Accounts
|
|
|
$413.7 Million/2 Accounts
|
|
|
|
|
|
|
|
Worst Monthly Percentage
Draw-down(2):
|
|
|
July 2007/10.81%
|
|
|
July 2007/10.58%
|
|
|
|
|
|
|
|
Worst
Peak-to-Valley
Draw-down(2):
|
|
|
June 2007 August 2009 / 25.48%
|
|
|
June 2007 August 2009/23.24%
|
|
|
|
|
|
|
|
Annual
Returns(1):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009 through September
|
|
|
−5.62%
|
|
|
−4.63%
|
|
|
|
|
|
|
|
2008
|
|
|
−0.28%
|
|
|
1.25%
|
|
|
|
|
|
|
|
2007
|
|
|
−13.35%
|
|
|
−12.89%
|
|
|
|
|
|
|
|
2006
|
|
|
5.48%
|
|
|
6.30%
|
|
|
|
|
|
|
|
2005
|
|
|
11.01%
|
|
|
11.87%
|
|
|
|
|
|
|
|
2004
|
|
|
6.93%
|
|
|
8.63%
|
|
|
|
|
|
|
|
-75-
TABLE
2
PERFORMANCE OF POOLS OPERATED BY CAMPBELL & COMPANY,
INC.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Campbell Strategic
|
|
|
Campbell
|
|
|
Campbell
|
|
|
Campbell
|
|
|
|
Allocation Fund,
|
|
|
Fund Trust
|
|
|
Fund Trust
|
|
|
Fund Trust
|
|
|
|
L.P.
|
|
|
(Series A)
|
|
|
(Series B)
|
|
|
(Series W)
|
Type of Pool:
|
|
|
Publicly Offered
|
|
|
Privately Offered
|
|
|
Privately Offered
|
|
|
Privately Offered
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Inception of Trading:
|
|
|
April 1994
|
|
|
October 2008
|
|
|
January 1972
|
|
|
March 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aggregate Subscriptions:
|
|
|
$6,078,611,354
|
|
|
$18,382,066
|
|
|
$1,154,642,279
|
|
|
$3,651,993
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Current Net Asset Value:
|
|
|
$1,872,271,808
|
|
|
$16,474,695
|
|
|
$371,734,184
|
|
|
$3,653,816
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Current Net Asset Value Per Unit:
|
|
|
$2,446.74
|
|
|
$2,399.21
|
|
|
$2,411.16
|
|
|
$2,425.43
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Worst Monthly Percentage
|
|
|
July 2007
|
|
|
April 2009
|
|
|
July 2007
|
|
|
April 2009
|
Draw-down(3):
|
|
|
10.92%
|
|
|
4.60%
|
|
|
10.59%
|
|
|
4.48%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Worst
Peak-to-Valley
|
|
|
June 2007 August 2009
|
|
|
October 2008 August 2009
|
|
|
June 2007 August 2009
|
|
|
March August 2009
|
Draw-down(3):
|
|
|
28.12%
|
|
|
9.84%
|
|
|
23.26%
|
|
|
9.10%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading Portfolio Used:
|
|
|
Financial, Metal &
Energy Large
|
|
|
Global Diversified
Large
|
|
|
Global Diversified
Large
|
|
|
Global Diversified
Large
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Annual
Returns(1):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009 through September
|
|
|
6.96%
|
|
|
−4.98%
|
|
|
−4.62%
|
|
|
−5.41% (seven month)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2008
|
|
|
−1.53%
|
|
|
−1.38% (three months)
|
|
|
1.25%
|
|
|
N/A
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2007
|
|
|
−14.65%
|
|
|
N/A
|
|
|
−12.91%
|
|
|
N/A
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2006
|
|
|
4.04%
|
|
|
N/A
|
|
|
6.26%
|
|
|
N/A
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2005
|
|
|
9.53%
|
|
|
N/A
|
|
|
11.96%
|
|
|
N/A
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2004
|
|
|
4.35%
|
|
|
N/A
|
|
|
8.45%
|
|
|
N/A
|
|
|
|
|
|
|
|
|
|
|
|
|
|
-76-
TABLE
2 (Continued)
PERFORMANCE OF POOLS OPERATED BY CAMPBELL & COMPANY,
INC.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
Campbell Global
|
|
|
Campbell Global
|
|
|
|
|
|
|
Assets Fund
|
|
|
Assets Fund
|
|
|
Campbell Financial
|
|
|
|
Limited SAC
|
|
|
Limited SAC
|
|
|
Futures Fund
|
|
|
|
(Class A)
|
|
|
(Class D)
|
|
|
Limited Partnership
|
Type of Pool:
|
|
|
Offshore
|
|
|
Offshore
|
|
|
Privately Offered
|
|
|
|
|
|
|
|
|
|
|
Inception of Trading:
|
|
|
February 1998
|
|
|
July 2004
|
|
|
August 1992
|
|
|
|
|
|
|
|
|
|
|
Aggregate Subscriptions:
|
|
|
$1,015,661,327
|
|
|
$33,444,683
|
|
|
$167,587,860
|
|
|
|
|
|
|
|
|
|
|
Current Net Asset Value:
|
|
|
$21,876,384
|
|
|
$2,675,017
|
|
|
$27,227,064
|
|
|
|
|
|
|
|
|
|
|
Current Net Asset Value Per Unit:
|
|
|
$3,035.16
|
|
|
$3,093.17
|
|
|
$5,213.26
|
|
|
|
|
|
|
|
|
|
|
Worst Monthly Percentage
|
|
|
July 2007
|
|
|
July 2007
|
|
|
July 2007
|
Draw-down(3):
|
|
|
10.49%
|
|
|
10.56%
|
|
|
9.89%
|
|
|
|
|
|
|
|
|
|
|
Worst
Peak-to-Valley
|
|
|
June 2007 August 2009
|
|
|
June 2007 April 2008
|
|
|
June 2007 August 2009
|
Draw-down(4):
|
|
|
17.70%
|
|
|
16.75%
|
|
|
18.17%
|
|
|
|
|
|
|
|
|
|
|
Trading Portfolio Used:
|
|
|
Financial, Metal &
|
|
|
Financial, Metal &
|
|
|
Financial, Metal &
|
|
|
|
Energy Large
|
|
|
Energy Large
|
|
|
Energy Large
|
|
|
|
|
|
|
|
|
|
|
Annual
Returns(1):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009 through September
|
|
|
−3.36%
|
|
|
2.42%*
|
|
|
−2.59%
|
|
|
|
|
|
|
|
|
|
|
2008
|
|
|
5.83%
|
|
|
4.78%
|
|
|
4.61%
|
|
|
|
|
|
|
|
|
|
|
2007
|
|
|
−10.37%
|
|
|
−11.08%
|
|
|
−10.93%
|
|
|
|
|
|
|
|
|
|
|
2006
|
|
|
9.17%
|
|
|
8.20%
|
|
|
9.00%
|
|
|
|
|
|
|
|
|
|
|
2005
|
|
|
14.55%
|
|
|
13.73%
|
|
|
12.98%
|
|
|
|
|
|
|
|
|
|
|
2004
|
|
|
9.55%
|
|
|
5.32% (6 months)
|
|
|
11.29%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
The
year-to-date
rate of return does not contain trading results for
March April 2009 as there were no assets in
Class D during this time. Class Ds
year-to-date
rate of return would be lower, and Class Ds worst
peak-to-valley
decline would be higher, if it had been trading during those two
months. |
NOTES TO
PERFORMANCE TABLES
|
|
(1) |
In the accompanying performance tables, for the Financial,
Metal & Energy Large Portfolio, the Global Diversified
Large Portfolio and for each pool, the Annual Return
is calculated by compounding the monthly rates of return during
the year. The rate of return for a month is calculated by
dividing the net profit or loss by the net assets at the
beginning of such month. Additions and withdrawals occurring
during the month are included as an addition to or deduction
from beginning net assets in the calculations of rates of
return, except for accounts which close on the last day of a
month in which case the withdrawal is not subtracted from
beginning net assets for purposes of this calculation. Rate of
return for the period May 1, 2004 through
September 30, 2009 is calculated using the Modified Only
Accounts Traded (Modified OAT) method of computation. This
computation method is one of the three methods approved by the
CFTC (pursuant to NFA Compliance
Rule 2-34)
to reduce the distortion caused by significant additions or
withdrawals of capital during a month. NFA Compliance
Rule 2-34
also requires that rates of return be calculated on the nominal
account size (i.e., actual funds plus notional funds) for the
periods beginning on or after May 1, 2004. The rate of
return prior to May 1, 2004 is calculated using the Only
Accounts Traded (OAT) method of computation. This computation
method was one of the methods approved by the CFTC prior to
May 1, 2004 to reduce the distortion caused by significant
additions or withdrawals of capital during a month. The OAT
method excludes accounts that had material intra-month additions
or withdrawals and accounts that were open for only part of the
month. CFTC Rules require the
|
-77-
|
|
|
|
|
disclosure of performance information for the last five full
calendar years and
year-to-date
and consider older performance information less material to an
investment decision.
|
|
|
(2)
|
In the portfolio composite tables, draw-down means
losses experienced by the portfolio over a specified period.
Worst monthly percentage draw-down is the largest monthly loss
experienced by the portfolio during the period presented in any
calendar month expressed as a percentage of the total equity in
the portfolio and includes the month and year of such draw-down.
Worst
peak-to-valley
draw-down is the largest cumulative loss experienced by the
portfolio during the period presented in any consecutive monthly
period on a compounded basis and includes the time frame of such
draw-down. A small number of accounts in the portfolio
composites have experienced draw-downs which are materially
larger than the draw-downs reported for the composite. These
variances result from such factors as small account size
(i.e., accounts with net assets of less than the
prescribed Portfolio minimum, which therefore trade fewer
contracts than the standard Portfolio), intra-month account
opening or closing, significant intra-month additions or
withdrawals, trading commissions in excess of the stated average
and investment restrictions imposed by the client.
|
|
(3)
|
In the performance tables for the pools, draw-down
means losses experienced by that pool over a specified period.
Worst monthly percentage drawdown is the largest monthly loss
experienced by the pool during the period presented in any
calendar month expressed as a percentage of the total equity in
the pool and includes the month and year of such draw-down.
Worst
peak-to-valley
draw-down is the largest cumulative loss experienced by the pool
during the period presented in any consecutive monthly period on
a compounded basis and includes the time frame of such draw-down.
|
|
(4)
|
The first column of Table 1 contains the composite performance
of accounts traded pursuant to the Financial, Metal &
Energy Large Portfolio. The data presented reflects the
composite performance of 48 accounts traded according to the
Financial, Metal & Energy Large Portfolio. The data
below is as of September 30, 2009. During the period
presented, 35 accounts have been closed; 25 closed with a profit
and 10 closed with a loss. 13 accounts remained open, of
which 6 accounts were profitable and 7 accounts were
unprofitable. The open accounts ranged in size from $2,500,000
to in excess of $1,914,000,000, with an average account size of
approximately $234,400,000. The average composite monthly return
for the period from January 2004 through September 2009 was
0.10% compared to the average of average monthly returns for all
accounts of 0.13% over the same time period. The data in this
composite table do not reflect the performance of any one
account. Therefore, an individual account may have realized more
or less favorable results than the composite results indicate.
|
|
(5)
|
The second column of Table 1 reflects the composite performance
of all accounts (a total of 2 accounts) traded according to the
Global Diversified Large Portfolio. During the period presented,
0 accounts have been closed. The 2 open accounts are profitable.
The data below is as of September 30, 2009. During the
period presented, 0 accounts have been closed; 0 closed with a
profit and 0 closed with a loss. 2 accounts remained open, both
of which were profitable. The open accounts ranged in size from
$14,800,000 to in excess of $398,000,000, with an average
account size of approximately $206,850,000. The average
composite monthly return for the period from January 2004
through September 2009 is 0.18% compared to the average of
average monthly returns for all accounts of 0.23% over the same
time period. The data in this composite table do not reflect the
performance of any one account. Therefore, an individual account
may have realized more or less favorable results than the
composite results indicate.
|
-78-
LEGAL
MATTERS
Sidley Austin LLP, New York, New York will advise
Campbell & Company on all legal matters in connection
with the Units. In the future, Sidley Austin LLP may advise
Campbell & Company (and its affiliates) with respect
to its responsibilities as general partner and trading advisor
of, and with respect to, matters relating to the Funds. The
statements under Federal Income Tax Aspects have
been reviewed by Sidley Austin LLP. Sidley Austin LLP has not
represented, nor will it represent, either the Funds or the
limited partners in matters relating to the Fund and no other
counsel has been engaged to act on their behalf. Certain
opinions of counsel have been filed with the SEC as exhibits to
the Registration Statement of which this prospectus is a part.
EXPERTS
The financial statements of the Strategic Allocation Fund for
the years ended December 31, 2008, 2007 and 2006, included
in this prospectus, have been audited by Deloitte &
Touche LLP, an independent registered public accounting firm, as
stated in their report appearing herein. Such audited statements
have been so included in reliance upon such report, given upon
the authority of that firm as experts in auditing and
accounting. The Classic Trend Fund will also be audited by
Deloitte & Touche LLP.
The consolidated balance sheet of Campbell & Company
as of December 31, 2008, included in this prospectus, has
been audited by Arthur F. Bell, Jr. & Associates,
L.L.C., independent auditors, as stated in their report
appearing herein, and has been included in reliance upon such
report, given upon the authority of that firm as experts in
auditing and accounting.
The financial statements of the Strategic Allocation Fund as of
September 30, 2009 and for the three month and nine month
periods ended September 30, 2009 and 2008 are unaudited. In
the opinion of Campbell & Company, such unaudited
statements reflect all adjustments which were of a normal and
recurring nature, necessary for a fair presentation of the
Strategic Allocation Funds financial position as of
September 30, 2009.
The balance sheet of Campbell & Company as of
September 30, 2009 is unaudited. In the opinion of
Campbell & Company, such unaudited statement reflects
all adjustments which were of a normal and recurring nature,
necessary for a fair presentation of Campbell &
Companys financial position as of September 30, 2009.
[REMAINDER OF THIS PAGE LEFT BLANK INTENTIONALLY.]
-79-
INDEX TO
FINANCIAL STATEMENTS
|
|
|
|
|
|
|
Page
|
|
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
|
|
|
|
|
|
|
|
82
|
|
|
|
|
83
|
|
|
|
|
87
|
|
|
|
|
88
|
|
|
|
|
89
|
|
|
|
|
90
|
|
|
|
|
91
|
|
|
|
|
100
|
|
|
|
|
101
|
|
|
|
|
102
|
|
|
|
|
104
|
|
|
|
|
105
|
|
|
|
|
106
|
|
|
|
|
107
|
|
|
|
|
108
|
|
CAMPBELL & COMPANY, INC.
|
|
|
|
|
|
|
|
114
|
|
|
|
|
115
|
|
|
|
|
124
|
|
|
|
|
125
|
|
|
|
|
126
|
|
Schedules are omitted for the reason that they are not required
or are not applicable or that equivalent information has been
included in the financial statements or notes thereto.
-81-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
September 30,
2009 (Unaudited) and December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
September 30,
|
|
|
December 31,
|
|
|
|
2009
|
|
|
2008
|
|
|
ASSETS
|
|
|
|
|
|
|
|
|
Equity in broker trading accounts
|
|
|
|
|
|
|
|
|
Cash
|
|
$
|
138,228,442
|
|
|
$
|
1,278,536,649
|
|
Restricted cash
|
|
|
0
|
|
|
|
41,411,655
|
|
Fixed income securities (cost $299,995,528 and $1,099,934,669,
respectively)
|
|
|
299,995,528
|
|
|
|
1,099,934,669
|
|
Net unrealized gain (loss) on open futures contracts
|
|
|
4,672,573
|
|
|
|
206,159
|
|
|
|
|
|
|
|
|
|
|
Total equity in broker trading accounts
|
|
|
442,896,543
|
|
|
|
2,420,089,132
|
|
Cash and cash equivalents
|
|
|
14,099,063
|
|
|
|
30,721,976
|
|
Restricted cash deposits with forwards broker
|
|
|
0
|
|
|
|
42,515,724
|
|
Fixed income securities (cost $1,400,517,636 and $37,000,000,
respectively)
|
|
|
1,400,990,261
|
|
|
|
37,000,000
|
|
Options purchased, at fair value (premiums paid
$2,333,466 and $969,001, respectively)
|
|
|
1,652,374
|
|
|
|
519,315
|
|
Net unrealized gain (loss) on open forward currency contracts
|
|
|
68,539,382
|
|
|
|
10,828,848
|
|
Interest receivable
|
|
|
750,215
|
|
|
|
41,698
|
|
Other assets
|
|
|
20,688
|
|
|
|
0
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
1,928,948,526
|
|
|
$
|
2,541,716,693
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES
|
|
|
|
|
|
|
|
|
Accounts payable
|
|
$
|
615,300
|
|
|
$
|
668,492
|
|
Brokerage fee
|
|
|
11,238,756
|
|
|
|
14,801,625
|
|
Options written, at fair value (premiums received
$1,465,854 and $3,537,352, respectively)
|
|
|
1,285,080
|
|
|
|
3,202,653
|
|
Accrued commissions and other trading fees on open contracts
|
|
|
225,924
|
|
|
|
114,176
|
|
Offering costs payable
|
|
|
178,346
|
|
|
|
309,964
|
|
Redemptions payable
|
|
|
43,133,312
|
|
|
|
66,725,891
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
56,676,718
|
|
|
|
85,822,801
|
|
|
|
|
|
|
|
|
|
|
PARTNERS CAPITAL (Net Asset Value)
|
|
|
|
|
|
|
|
|
General Partner 6,637.982 and 10,367.982 redeemable
units outstanding at September 30, 2009 and
December 31, 2008
|
|
|
16,241,416
|
|
|
|
27,266,756
|
|
Limited Partners 758,574.125 and 923,465.791
redeemable units outstanding at September 30, 2009 and
December 31, 2008
|
|
|
1,856,030,392
|
|
|
|
2,428,627,136
|
|
|
|
|
|
|
|
|
|
|
Total partners capital (Net Asset Value)
|
|
|
1,872,271,808
|
|
|
|
2,455,893,892
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and partners capital (Net Asset Value)
|
|
$
|
1,928,948,526
|
|
|
$
|
2,541,716,693
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes to Financial Statements.
-82-
(Unaudited)
FIXED
INCOME SECURITIES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Maturity
|
|
|
Maturity
|
|
|
|
|
|
|
|
% of Net
|
|
Face Value
|
|
|
Date
|
|
|
Description
|
|
Values ($)
|
|
|
Asset Value
|
|
|
|
|
|
|
|
|
|
|
Bank Deposits
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (cost $64,333,000)
|
|
$
|
64,355,881
|
|
|
|
3.44
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Paper
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Germany
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (cost $17,223,643)
|
|
$
|
17,247,196
|
|
|
|
0.92
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United Kingdom
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (cost $31,069,670)
|
|
$
|
31,096,733
|
|
|
|
1.66
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary
|
|
$
|
21,822,784
|
|
|
|
1.17
|
%
|
|
|
|
|
|
|
|
|
Consumer Staples
|
|
$
|
44,464,321
|
|
|
|
2.37
|
%
|
|
|
|
|
|
|
|
|
Financials
|
|
$
|
229,137,346
|
|
|
|
12.24
|
%
|
|
|
|
|
|
|
|
|
Healthcare
|
|
$
|
32,215,282
|
|
|
|
1.72
|
%
|
|
|
|
|
|
|
|
|
Industrials
|
|
$
|
148,994,656
|
|
|
|
7.96
|
%
|
|
|
|
|
|
|
|
|
Municipal
|
|
$
|
140,575,158
|
|
|
|
7.51
|
%
|
|
|
|
|
|
|
|
|
Services
|
|
$
|
64,453,111
|
|
|
|
3.44
|
%
|
|
|
|
|
|
|
|
|
Utilities
|
|
$
|
84,236,262
|
|
|
|
4.50
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total United States (cost $765,672,506)
|
|
$
|
765,898,920
|
|
|
|
40.91
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Commercial Paper (cost $813,965,819)
|
|
$
|
814,242,849
|
|
|
|
43.49
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (cost $153,865,322)
|
|
$
|
153,765,828
|
|
|
|
8.21
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Government And Agency Obligations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Bonds
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal
|
|
$
|
28,102,842
|
|
|
|
1.50
|
%
|
|
|
|
|
|
|
|
|
US Government Agency
|
|
$
|
276,507,522
|
|
|
|
14.77
|
%
|
|
|
|
|
|
|
|
|
US Treasury Bill
|
|
|
|
|
|
|
|
|
$
|
34,000,000
|
|
|
|
10/01/2009
|
|
|
U.S. Treasury Bills*
|
|
$
|
34,000,000
|
|
|
|
1.82
|
%
|
$
|
300,000,000
|
|
|
|
10/08/2009
|
|
|
U.S. Treasury Bills*
|
|
$
|
299,995,528
|
|
|
|
16.02
|
%
|
$
|
30,000,000
|
|
|
|
10/22/2009
|
|
|
U.S. Treasury Bills*
|
|
$
|
29,999,387
|
|
|
|
1.60
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total United States (cost $668,333,071)
|
|
$
|
668,605,279
|
|
|
|
35.71
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short Term Investment Funds
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short Term Investment Funds (cost $15,952)
|
|
$
|
15,952
|
|
|
|
0.00
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Fixed Income Securities (cost $1,700,513,164)
|
|
$
|
1,700,985,789
|
|
|
|
90.85
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes to Financial Statements.
-83-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
CONDENSED
SCHEDULE OF INVESTMENTS
SEPTEMBER
30, 2009
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LONG FUTURES CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Net
|
|
|
|
|
|
|
|
Description
|
|
Values ($)
|
|
|
Asset Value
|
|
|
|
|
|
|
|
|
|
|
Agricultural
|
|
$
|
(16,645
|
)
|
|
|
0.00
|
%
|
|
|
|
|
|
|
|
|
Metals
|
|
$
|
(581,439
|
)
|
|
|
(0.03
|
)%
|
|
|
|
|
|
|
|
|
Stock indices
|
|
$
|
579,746
|
|
|
|
0.03
|
%
|
|
|
|
|
|
|
|
|
Short-term interest rates
|
|
$
|
880,436
|
|
|
|
0.05
|
%
|
|
|
|
|
|
|
|
|
Long-term interest rates
|
|
$
|
5,401,958
|
|
|
|
0.29
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total long futures contracts
|
|
$
|
6,264,056
|
|
|
|
0.34
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT FUTURES CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Net
|
|
|
|
|
|
|
|
Description
|
|
Values ($)
|
|
|
Asset Value
|
|
|
|
|
|
|
|
|
|
|
Agricultural
|
|
$
|
159,544
|
|
|
|
0.01
|
%
|
|
|
|
|
|
|
|
|
Energy
|
|
$
|
(3,868,476
|
)
|
|
|
(0.21
|
)%
|
|
|
|
|
|
|
|
|
Metals
|
|
$
|
241,276
|
|
|
|
0.01
|
%
|
|
|
|
|
|
|
|
|
Stock indices
|
|
$
|
(2,454
|
)
|
|
|
0.00
|
%
|
|
|
|
|
|
|
|
|
Short-term interest rates
|
|
$
|
892,174
|
|
|
|
0.05
|
%
|
|
|
|
|
|
|
|
|
Long-term interest rates
|
|
$
|
986,453
|
|
|
|
0.05
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total short futures contracts
|
|
$
|
(1,591,483
|
)
|
|
|
(0.09
|
) %
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts
|
|
$
|
4,672,573
|
|
|
|
0.25
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FORWARD CURRENCY CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Net
|
|
|
|
|
|
|
|
Description
|
|
Values ($)
|
|
|
Asset Value
|
|
|
|
|
|
|
|
|
|
|
Various long forward currency contracts
|
|
$
|
85,051,317
|
|
|
|
4.54
|
%
|
|
|
|
|
|
|
|
|
Various short forward currency contracts
|
|
$
|
(16,511,935
|
)
|
|
|
(0.88
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total forward currency contracts
|
|
$
|
68,539,382
|
|
|
|
3.66
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
|
|
|
|
|
|
|
|
|
% of Net
|
|
|
|
|
Description
|
|
Values ($)
|
|
Asset Value
|
|
|
|
|
|
|
|
|
|
Purchased options on forward currency contracts (premiums
paid $2,333,466)
|
|
$
|
1,652,374
|
|
|
|
0.09
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
|
|
|
|
|
|
|
|
|
% of Net
|
|
|
|
|
Description
|
|
Values ($)
|
|
Asset Value
|
|
|
|
|
|
|
|
|
|
Written options on forward currency contracts (premiums
received $1,465,854)
|
|
$
|
(1,285,080
|
)
|
|
|
(0.07
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Pledged as collateral for the trading of futures, forward and
option positions. |
See Accompanying Notes to Financial Statements.
-84-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
CONDENSED
SCHEDULE OF INVESTMENTS
DECEMBER 31,
2008
FIXED
INCOME SECURITIES
UNITED
STATES GOVERNMENT SECURITIES*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Maturity
|
|
|
|
|
|
|
|
|
|
|
% of Net
|
|
Face Value
|
|
|
Maturity Date
|
|
|
Description
|
|
Values ($)
|
|
|
Asset Value
|
|
|
$
|
800,000,000
|
|
|
|
03/19/2009
|
|
|
U.S. Treasury Bills
|
|
$
|
799,948,669
|
|
|
|
32.57
|
%
|
$
|
300,000,000
|
|
|
|
03/26/2009
|
|
|
U.S. Treasury Bills
|
|
$
|
299,986,000
|
|
|
|
12.21
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
37,000,000
|
|
|
|
01/22/2009
|
|
|
U.S. Treasury Bills
|
|
$
|
37,000,000
|
|
|
|
1.51
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total United States government securities (cost, including
accrued interest, $1,136,934,669)
|
|
$
|
1,136,934,669
|
|
|
|
46.29
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LONG FUTURES CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Net
|
|
|
|
|
|
|
|
Description
|
|
Values ($)
|
|
|
Asset Value
|
|
|
|
|
|
|
|
|
|
|
Metals
|
|
$
|
94,925
|
|
|
|
0.00
|
%
|
|
|
|
|
|
|
|
|
Stock indices
|
|
$
|
771,700
|
|
|
|
0.03
|
%
|
|
|
|
|
|
|
|
|
Short-term interest rates
|
|
$
|
3,840,778
|
|
|
|
0.16
|
%
|
|
|
|
|
|
|
|
|
Long-term interest rates
|
|
$
|
4,905,228
|
|
|
|
0.20
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total long futures contracts
|
|
$
|
9,612,631
|
|
|
|
0.39
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT FUTURES CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Net
|
|
|
|
|
|
|
|
Description
|
|
Values ($)
|
|
|
Asset Value
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
$
|
(801,546
|
)
|
|
|
(0.03
|
)%
|
|
|
|
|
|
|
|
|
Metals
|
|
$
|
(1,664,930
|
)
|
|
|
(0.07
|
)%
|
|
|
|
|
|
|
|
|
Stock indices
|
|
$
|
(3,375,148
|
)
|
|
|
(0.14
|
)%
|
|
|
|
|
|
|
|
|
Short-term interest rates
|
|
$
|
(27,625
|
)
|
|
|
0.00
|
%
|
|
|
|
|
|
|
|
|
Long-term interest rates
|
|
$
|
(3,537,223
|
)
|
|
|
(0.14
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total short futures contracts
|
|
$
|
(9,406,472
|
)
|
|
|
(0.38
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts
|
|
$
|
206,159
|
|
|
|
0.01
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes to Financial Statements.
-85-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
CONDENSED
SCHEDULE OF INVESTMENTS
DECEMBER 31,
2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FORWARD CURRENCY CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Net
|
|
|
|
|
|
|
|
Description
|
|
Values ($)
|
|
|
Asset Value
|
|
|
|
|
|
|
|
|
|
|
Various long forward currency contracts
|
|
$
|
26,680,445
|
|
|
|
1.09
|
%
|
|
|
|
|
|
|
|
|
Various short forward currency contracts
|
|
$
|
(15,851,597
|
)
|
|
|
(0.65
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total forward currency contracts
|
|
$
|
10,828,848
|
|
|
|
0.44
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
|
|
|
|
|
|
|
|
|
% of Net
|
|
|
|
|
Description
|
|
Values ($)
|
|
Asset Value
|
|
|
|
|
|
|
|
|
|
Purchased options on forward currency contracts (premiums
paid $969,001)
|
|
$
|
519,315
|
|
|
|
0.02
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
|
|
|
|
|
|
|
|
|
% of Net
|
|
|
|
|
Description
|
|
Values ($)
|
|
Asset Value
|
|
|
|
|
|
|
|
|
|
Written options on forward currency contracts (premiums
received $3,537,352)
|
|
$
|
(3,202,653
|
)
|
|
|
(0.13
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Pledged as collateral for the trading of futures, forward and
option positions. |
See Accompanying Notes to Financial Statements.
-86-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS
OF OPERATIONS
For the
Three Months and Nine Months Ended September 30, 2009 and
2008
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended
|
|
|
Nine Months Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
|
2009
|
|
|
2008
|
|
|
2009
|
|
|
2008
|
|
|
TRADING GAINS (LOSSES)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures trading gains (losses)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized
|
|
$
|
10,450,421
|
|
|
$
|
119,992,807
|
|
|
$
|
(98,941,018
|
)
|
|
$
|
200,497,144
|
|
Change in unrealized
|
|
|
7,628,026
|
|
|
|
(113,558,756
|
)
|
|
|
4,466,414
|
|
|
|
(32,119,788
|
)
|
Brokerage commissions
|
|
|
(631,027
|
)
|
|
|
(1,063,015
|
)
|
|
|
(1,893,725
|
)
|
|
|
(3,116,295
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gain (loss) from futures trading
|
|
|
17,447,420
|
|
|
|
5,371,036
|
|
|
|
(96,368,329
|
)
|
|
|
165,261,061
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward currency and options on forward currency trading gains
(losses)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized
|
|
|
(4,788,900
|
)
|
|
|
(12,495,201
|
)
|
|
|
(10,585,535
|
)
|
|
|
(35,870,012
|
)
|
Change in unrealized
|
|
|
66,584,403
|
|
|
|
(77,910,424
|
)
|
|
|
57,325,202
|
|
|
|
24,551,508
|
|
Brokerage commissions
|
|
|
(90,967
|
)
|
|
|
(92,603
|
)
|
|
|
(233,887
|
)
|
|
|
(360,086
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gain (loss) from forward currency and options on forward
currency trading
|
|
|
61,704,536
|
|
|
|
(90,498,228
|
)
|
|
|
46,505,780
|
|
|
|
(11,678,590
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total net trading gain (loss)
|
|
|
79,151,956
|
|
|
|
(85,127,192
|
)
|
|
|
(49,862,549
|
)
|
|
|
153,582,471
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET INVESTMENT INCOME (LOSS)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest income
|
|
|
862,133
|
|
|
|
11,759,779
|
|
|
|
1,301,843
|
|
|
|
52,037,243
|
|
Change in unrealized gain (loss) on fixed income securities
|
|
|
472,625
|
|
|
|
0
|
|
|
|
472,625
|
|
|
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment income
|
|
|
1,334,758
|
|
|
|
11,759,779
|
|
|
|
1,774,468
|
|
|
|
52,037,243
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Brokerage fee
|
|
|
33,841,330
|
|
|
|
50,532,819
|
|
|
|
112,819,855
|
|
|
|
170,103,319
|
|
Operating expenses
|
|
|
586,057
|
|
|
|
409,370
|
|
|
|
1,333,933
|
|
|
|
1,328,039
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
34,427,387
|
|
|
|
50,942,189
|
|
|
|
114,153,788
|
|
|
|
171,431,358
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
|
|
|
(33,092,629
|
)
|
|
|
(39,182,410
|
)
|
|
|
(112,379,320
|
)
|
|
|
(119,394,115
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET INCOME (LOSS)
|
|
$
|
46,059,327
|
|
|
$
|
(124,309,602
|
)
|
|
$
|
(162,241,869
|
)
|
|
$
|
34,188,356
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT
(based on weighted average number of units outstanding during
the period)
|
|
$
|
57.43
|
|
|
$
|
(118.24
|
)
|
|
$
|
(189.08
|
)
|
|
$
|
28.66
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND
LIMITED PARTNER UNIT
|
|
$
|
58.93
|
|
|
$
|
(119.34
|
)
|
|
$
|
(183.16
|
)
|
|
$
|
19.32
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes to Financial Statements.
-87-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS
OF CASH FLOWS
For the Nine
Months Ended September 30, 2009 and 2008
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
Nine Months Ended
|
|
|
|
September 30,
|
|
|
|
2009
|
|
|
2008
|
|
|
Cash flows from (for) operating activities
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
(162,241,869
|
)
|
|
$
|
34,188,356
|
|
Adjustments to reconcile net income (loss) to net cash from
(for) operating activities
|
|
|
|
|
|
|
|
|
Net change in unrealized
|
|
|
(62,264,241
|
)
|
|
|
7,568,280
|
|
(Increase) decrease in restricted cash
|
|
|
83,927,379
|
|
|
|
0
|
|
(Increase) decrease in option premiums paid
|
|
|
(1,364,465
|
)
|
|
|
7,408,972
|
|
Increase (decrease) in option premiums received
|
|
|
(2,071,498
|
)
|
|
|
(4,122,315
|
)
|
(Increase) decrease in interest receivable
|
|
|
(708,517
|
)
|
|
|
249,957
|
|
(Increase) decrease in other assets
|
|
|
(20,688
|
)
|
|
|
(2,911
|
)
|
Increase (decrease) in accounts payable and accrued expenses
|
|
|
(3,504,313
|
)
|
|
|
(7,757,565
|
)
|
Net maturities (purchases) of investments in Fixed income
securities
|
|
|
(563,578,496
|
)
|
|
|
1,548,629,029
|
|
|
|
|
|
|
|
|
|
|
Net cash from (for) operating activities
|
|
|
(711,826,708
|
)
|
|
|
1,586,161,803
|
|
|
|
|
|
|
|
|
|
|
Cash flows from (for) financing activities
|
|
|
|
|
|
|
|
|
Addition of units
|
|
|
0
|
|
|
|
38,172,639
|
|
Redemption of units
|
|
|
(442,861,293
|
)
|
|
|
(1,270,024,605
|
)
|
Offering costs paid
|
|
|
(2,243,119
|
)
|
|
|
(4,137,640
|
)
|
|
|
|
|
|
|
|
|
|
Net cash from (for) financing activities
|
|
|
(445,104,412
|
)
|
|
|
(1,235,989,606
|
)
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) in cash and cash equivalents
|
|
|
(1,156,931,120
|
)
|
|
|
350,172,197
|
|
Cash and cash equivalents
|
|
|
|
|
|
|
|
|
Beginning of period
|
|
|
1,309,258,625
|
|
|
|
516,188,570
|
|
|
|
|
|
|
|
|
|
|
End of period
|
|
$
|
152,327,505
|
|
|
$
|
866,360,767
|
|
|
|
|
|
|
|
|
|
|
End of period cash and cash equivalents consists of:
|
|
|
|
|
|
|
|
|
Cash in broker trading accounts
|
|
$
|
138,228,442
|
|
|
$
|
853,377,908
|
|
Cash and cash equivalents
|
|
|
14,099,063
|
|
|
|
12,982,859
|
|
|
|
|
|
|
|
|
|
|
Total end of period cash and cash equivalents
|
|
$
|
152,327,505
|
|
|
$
|
866,360,767
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes to Financial Statements.
-88-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS
OF CHANGES IN PARTNERS CAPITAL (NET ASSET VALUE)
For the Nine
Months Ended September 30, 2009 and 2008
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Partners Capital
|
|
|
|
General Partner
|
|
|
Limited Partners
|
|
|
Total
|
|
|
|
Units
|
|
|
Amount
|
|
|
Units
|
|
|
Amount
|
|
|
Units
|
|
|
Amount
|
|
|
Nine Months Ended September 30, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balances at December 31, 2008
|
|
|
10,367.982
|
|
|
$
|
27,266,756
|
|
|
|
923,465.791
|
|
|
$
|
2,428,627,136
|
|
|
|
933,833.773
|
|
|
$
|
2,455,893,892
|
|
Net income (loss) for the nine months ended September 30,
2009
|
|
|
|
|
|
|
(2,096,089
|
)
|
|
|
|
|
|
|
(160,145,780
|
)
|
|
|
|
|
|
|
(162,241,869
|
)
|
Redemptions
|
|
|
(3,730.000
|
)
|
|
|
(8,906,531
|
)
|
|
|
(164,891.666
|
)
|
|
|
(410,362,183
|
)
|
|
|
(168,621.666
|
)
|
|
|
(419,268,714
|
)
|
Offering costs
|
|
|
|
|
|
|
(22,720
|
)
|
|
|
|
|
|
|
(2,088,781
|
)
|
|
|
|
|
|
|
(2,111,501
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balances at September 30, 2009
|
|
|
6,637.982
|
|
|
$
|
16,241,416
|
|
|
|
758,574.125
|
|
|
$
|
1,856,030,392
|
|
|
|
765,212.107
|
|
|
$
|
1,872,271,808
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nine Months Ended September 30, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balances at December 31, 2007
|
|
|
19,227.982
|
|
|
$
|
51,351,210
|
|
|
|
1,404,914.962
|
|
|
$
|
3,752,040,355
|
|
|
|
1,424,142.944
|
|
|
$
|
3,803,391,565
|
|
Net income (loss) for the nine months ended September 30,
2008
|
|
|
|
|
|
|
458,041
|
|
|
|
|
|
|
|
33,730,315
|
|
|
|
|
|
|
|
34,188,356
|
|
Additions
|
|
|
0.000
|
|
|
|
0
|
|
|
|
14,098.315
|
|
|
|
38,088,526
|
|
|
|
14,098.315
|
|
|
|
38,088,526
|
|
Redemptions
|
|
|
(6,240.000
|
)
|
|
|
(16,825,973
|
)
|
|
|
(420,508.937
|
)
|
|
|
(1,134,122,167
|
)
|
|
|
(426,748.937
|
)
|
|
|
(1,150,948,140
|
)
|
Offering costs
|
|
|
|
|
|
|
(45,996
|
)
|
|
|
|
|
|
|
(3,787,584
|
)
|
|
|
|
|
|
|
(3,833,580
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balances at September 30, 2008
|
|
|
12,987.982
|
|
|
$
|
34,937,282
|
|
|
|
998,504.340
|
|
|
$
|
2,685,949,445
|
|
|
|
1,011,492.322
|
|
|
$
|
2,720,886,727
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per General and Limited Partner Unit
|
|
|
September 30,
|
|
December 31,
|
|
September 30,
|
|
December 31,
|
|
|
2009
|
|
2008
|
|
2008
|
|
2007
|
|
|
|
$
|
2,446.74
|
|
|
$
|
2,629.90
|
|
|
$
|
2,689.97
|
|
|
$
|
2,670.65
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes to Financial Statements.
-89-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
FINANCIAL
HIGHLIGHTS
For the
Three Months and Nine Months Ended September 30, 2009 and
2008
(UNAUDITED)
The following information presents per unit operating
performance data and other supplemental financial data for the
three months and nine months ended September 30, 2009 and
2008. This information has been derived from information
presented in the financial statements.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended
|
|
|
Nine Months Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
|
2009
|
|
|
2008
|
|
|
2009
|
|
|
2008
|
|
|
Per Unit Performance
(for a unit outstanding throughout the entire period)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value per unit at beginning of period
|
|
$
|
2,387.81
|
|
|
$
|
2,809.31
|
|
|
$
|
2,629.90
|
|
|
$
|
2,670.65
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Income (loss) from operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total net trading gains
(losses)(1)
|
|
|
100.82
|
|
|
|
(81.02
|
)
|
|
|
(49.73
|
)
|
|
|
122.63
|
|
Net investment income
(loss)(1)
|
|
|
(41.26
|
)
|
|
|
(37.27
|
)
|
|
|
(130.97
|
)
|
|
|
(100.10
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total net income (loss) from operations
|
|
|
59.56
|
|
|
|
(118.29
|
)
|
|
|
(180.70
|
)
|
|
|
22.53
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offering
costs(1)
|
|
|
(0.63
|
)
|
|
|
(1.05
|
)
|
|
|
(2.46
|
)
|
|
|
(3.21
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value per unit at end of period
|
|
$
|
2,446.74
|
|
|
$
|
2,689.97
|
|
|
$
|
2,446.74
|
|
|
$
|
2,689.97
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Return(3)
|
|
|
2.47
|
%
|
|
|
(4.25
|
)%
|
|
|
(6.96
|
)%
|
|
|
0.72
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to average net asset value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses prior to performance
fee(4)
|
|
|
7.21
|
%
|
|
|
7.08
|
%
|
|
|
7.14
|
%
|
|
|
7.20
|
%
|
Performance
fee(3)
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
7.21
|
%
|
|
|
7.08
|
%
|
|
|
7.14
|
%
|
|
|
7.20
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
(loss)(2),(4)
|
|
|
(6.93
|
)%
|
|
|
(5.45
|
)%
|
|
|
(7.03
|
)%
|
|
|
(5.02
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total returns are calculated based on the change in value of
a unit during the period. An individual partners total
returns and ratios may vary from the above total returns and
ratios based on the timing of additions and redemptions.
|
|
|
(1) |
|
Net investment income (loss) net of expenses per unit and
offering costs per unit are calculated by dividing the net
investment income (loss) net of expenses and offering costs by
the average number of units outstanding during the period. Total
net trading gains (losses) is a balancing amount necessary to
reconcile the change in net asset value per unit with the other
per unit information. |
|
(2) |
|
Excludes performance fee. |
|
(3) |
|
Not annualized |
|
(4) |
|
Annualized |
See Accompanying Notes to Financial Statements.
-90-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS
September
30, 2009 (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 currency contracts and options on
forward currency contracts.
Effective June 14, 2008, units in the Fund were no longer
offered for sale. For existing investors in the Fund, business
will continue to be conducted as usual. There will be no change
in trading, operations or monthly statements, etc. and
redemptions will continue to be offered on a monthly basis.
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 market makers through which
the Fund trades.
The Funds financial statements are presented in accordance
with accounting principles generally accepted in the United
States of America, which may require the use of certain
estimates made by the Funds management. Actual results may
differ from these estimates. Investment 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 (FASB) Accounting Standards
Codification (ASC)
210-20,
Offsetting Balance Sheet, (formerly
FAS No. 39 Offsetting of Amounts
Related to Certain Contracts). The market value of futures
(exchange-traded) contracts is determined by the various futures
exchanges, 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 forward currency (non-exchange
traded) contracts was extrapolated on a forward basis from the
spot prices quoted as of 3:00 P.M. (E.T.) of the last
business day of the reporting period or based on the market
value of its exchange-traded equivalent.
The market value of option (non-exchange traded) contracts is
calculated by applying an industry-standard adaptation of the
Black-Scholes options valuation model to foreign currency
options, using as input, the spot prices, interest rates and
option implied volatilities quoted as of 3:00 P.M. (E.T.)
on the last business day of the reporting period. Any change in
net unrealized gain or loss from the preceding period is
reported in the statement of operations.
When the Fund writes an option, an amount equal to the premium
received by the Fund is reflected as an asset and an equivalent
liability. The amount of the liability is subsequently
marked-to-market
to reflect the current market value of option written. Brokerage
commissions include other trading fees and are charged to
expense when contracts are opened.
-91-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS (Continued)
September
30, 2009 (Unaudited)
|
|
Note 1.
|
ORGANIZATION
AND SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES (Continued)
|
The fixed income investments, other than U.S. Treasury
bills held at the brokers or interbank market makers, are
marked-to-market
on the last business day of the reporting period by a custodian
who utilizes a third party vendor hierarchy of pricing providers
who specialize in such markets. The prices furnished by the
providers consider the yield or price of bonds of comparable
quality, coupon, maturity, and type, as well as prices quoted by
dealers who make makers in such securities. U.S. Treasury
bills not held by the custodian are stated at cost plus accrued
interest, which approximates fair value. Premiums and discounts
on debt securities are amortized for financial reporting
purposes.
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.
The Fund adopted the provisions of ASC 820, Fair Value
Measurements and Disclosures (formerly FASB No. 157,
Fair Value Measurements), as of January 1,
2008. ASC 820 provides guidance for determining fair value and
requires increased increased disclosure regarding the inputs to
valuation techniques used to measure fair value. ASC 820 defines
fair value as the price that would be received to sell an asset
or paid to transfer a liability in an orderly transaction
between market participants at the measurement date.
ASC 820 establishes a fair value hierarchy which prioritizes the
inputs to valuation techniques used to measure fair value into
three broad levels. The fair value hierarchy gives the highest
priority to quoted prices (unadjusted) in active markets for
identical assets or liabilities (Level 1) and the
lowest priority to unobservable inputs (Level 3).
Level 1 inputs are quoted prices (unadjusted) in active
markets for identical assets or liabilities that the Fund has
the ability to access at the measurement date. An active market
for the asset or liability is a market in which transactions for
the asset or liability occur with sufficient frequency and
volume to provide pricing information on an ongoing basis. The
value of the Funds exchange-traded futures contracts fall
into this category.
Level 2 inputs are inputs other than quoted prices included
in Level 1 that are observable for the asset or liability,
either directly or indirectly. This category includes forward
currency contracts and options on forward currency contracts
that the Fund values using models or other valuation
methodologies derived from observable market data. This category
also includes fixed income investments.
Level 3 inputs are unobservable inputs for an asset or
liability (including the Funds own assumptions used in
determining the fair value of investments). Unobservable inputs
shall be used to measure fair value to the extent that
observable inputs are not available, thereby allowing for
situations in which there is little, if any, market activity for
the asset or liability at the measurement date. As of and for
the period ended September 30, 2009, the Fund did not have
any Level 3 assets or liabilities.
-92-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS (Continued)
September
30, 2009 (Unaudited)
|
|
Note 1.
|
ORGANIZATION
AND SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES (Continued)
|
The following tables set forth by level within the fair value
hierarchy the Funds investments accounted for at fair
value on a recurring basis as of September 30, 2009 and
December 31, 2008.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value at September 30, 2009
|
|
Description
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
|
Investments
|
|
$
|
0
|
|
|
$
|
1,700,985,789
|
|
|
$
|
0
|
|
|
$
|
1,700,985,789
|
|
Fixed income securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments
|
|
|
4,672,573
|
|
|
|
0
|
|
|
|
0
|
|
|
|
4,672,573
|
|
Exchange-traded futures contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward currency contracts
|
|
|
0
|
|
|
|
68,539,382
|
|
|
|
0
|
|
|
|
68,539,382
|
|
Options purchased
|
|
|
0
|
|
|
|
1,652,374
|
|
|
|
0
|
|
|
|
1,652,374
|
|
Options written
|
|
|
0
|
|
|
|
(1,285,080
|
)
|
|
|
0
|
|
|
|
(1,285,080
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
4,672,573
|
|
|
$
|
1,769,892,465
|
|
|
$
|
0
|
|
|
$
|
1,774,565,038
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value at December 31, 2008
|
|
Description
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
|
Investments
|
|
$
|
0
|
|
|
$
|
1,136,934,669
|
|
|
$
|
0
|
|
|
$
|
1,136,934,669
|
|
Fixed income securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments
|
|
|
206,159
|
|
|
|
0
|
|
|
|
0
|
|
|
|
206,159
|
|
Exchange-traded futures contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward currency contracts
|
|
|
0
|
|
|
|
10,828,848
|
|
|
|
0
|
|
|
|
10,828,848
|
|
Options purchased
|
|
|
0
|
|
|
|
519,315
|
|
|
|
0
|
|
|
|
519,315
|
|
Options written
|
|
|
0
|
|
|
|
(3,202,653
|
)
|
|
|
0
|
|
|
|
(3,202,653
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
206,159
|
|
|
$
|
1,145,080,179
|
|
|
$
|
0
|
|
|
$
|
1,145,286,338
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
D.
|
Cash and Cash Equivalents
|
Cash and cash equivalents includes cash and overnight money
market investments at financial institutions.
The Fund prepares calendar year U.S. and applicable state
information tax returns and reports to the partners their
allocable shares of the Funds income, expenses and trading
gains or losses. No provision for income taxes has been made in
the accompanying financial statements as each partner is
individually responsible for reporting income or loss based on
such partners respective share of the Funds income
and expenses as reported for income tax purposes.
Management has continued to evaluate the application of ASC 740,
Income Taxes (formerly FAS No. 48, Accounting for
Uncertainty in Income Taxes) to the Fund, and has
determined that no reserves for uncertain tax positions were
required to have been recorded as a result of the adoption of
ASC 740. There are no tax positions for which it is reasonably
possible that the total amounts of unrecognized tax benefits
will significantly increase or decrease within twelve months.
The Fund files federal and state tax returns.
-93-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS (Continued)
September
30, 2009 (Unaudited)
|
|
Note 1.
|
ORGANIZATION
AND SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES (Continued)
|
The 2005 through 2008 tax years generally remain subject to
examination by the U.S. federal and most state tax
authorities.
Campbell & Company, Inc. (Campbell &
Company) has incurred all costs in connection with the initial
and continuous offering of units of the Fund (offering costs).
In addition, Campbell & Company continues to
compensate wholesalers for services rendered to Limited
Partners. The Funds 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. The Fund is only liable for payment of offering costs
on a monthly basis as calculated based on the limitations stated
above. At September 30, 2009, and December 31, 2008,
the Fund reflects a liability in the statement of financial
condition for offering costs payable to Campbell &
Company of $178,346 and $309,964, respectively. 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
September 30, 2009 and December 31, 2008, the amount
of unreimbursed offering costs incurred by Campbell &
Company is $321,423 and $926,519, respectively.
|
|
|
|
G.
|
Foreign Currency Transactions
|
The Funds 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.
|
|
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 & Companys 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.
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 $5 per round turn to the broker for
execution and clearing costs. 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
-94-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS (Continued)
September
30, 2009 (Unaudited)
|
|
Note 2.
|
GENERAL
PARTNER AND COMMODITY TRADING
ADVISOR (Continued)
|
and interbank market makers for execution and clearing costs is
limited to 1/12 of 1% (1% annualized) of month-end net assets.
Campbell & Company is also paid a quarterly
performance fee of 20% of the Funds aggregate cumulative
appreciation in the Net Asset Value per unit, exclusive of
appreciation attributable to interest income. More specifically,
the performance fee is paid on the cumulative increase, if any,
in the Net Asset Value per Unit over the highest previous
cumulative Net Asset Value per Unit (commonly referred to as a
High Water Mark) adjusting for investment income. In determining
the brokerage and performance, adjustments shall be made for
capital additions and withdrawals and Net Assets shall not be
reduced by the fees being calculated for such current period.
The performance fee is not subject to any clawback provisions.
The brokerage fee and performance fee are typically paid in the
month following the month in which they are earned. The
brokerage fee and performance fee are paid from the available
cash at the Funds bank, broker or cash management accounts.
|
|
Note 3.
|
CASH
MANAGER AND CUSTODIAN
|
In July 2009 the Fund appointed Wilmington Trust Investment
Management LLC, a wholly owned subsidiary of Wilmington
Trust Corporation, and Horizon Cash Management LLC as cash
managers under the Non-Custody Investment Advisory Agreements to
manage and control the liquid assets of the Fund. Each cash
manager is registered as an investment adviser with the
Securities and Exchange Commission of the United States under
the Investment Advisers Act of 1940.
The Fund opened custodial accounts at The Northern
Trust Company (the custodian) and has granted the cash
managers authority to make certain investments on behalf of the
Fund provided such investments are consistent with the
investment guidelines created by the managing operator. All
securities purchased by the cash managers on behalf of the Fund
will be held in the Funds custody accounts at the
custodian. The cash managers will have no beneficial or other
interest in the securities and cash in such custody accounts.
The cash managers began trading on behalf of the Fund in August
2009.
|
|
Note 4.
|
DEPOSITS
WITH BROKERS
|
The Fund deposits assets with brokers 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 brokers.
The Fund earns interest income on its assets deposited with the
brokers.
|
|
Note 5.
|
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 nine months ended
September 30, 2009, and 2008.
|
|
Note 6.
|
SUBSCRIPTIONS,
DISTRIBUTIONS AND REDEMPTIONS
|
Investments in the Fund were made by subscription agreement,
subject to acceptance by Campbell & Company.
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. Units are transferable, but no market exists for
their sale and none is expected to
-95-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS (Continued)
September
30, 2009 (Unaudited)
|
|
Note 6.
|
SUBSCRIPTIONS,
DISTRIBUTIONS AND
REDEMPTIONS (Continued)
|
develop. Monthly redemptions are permitted upon ten
(10) business days advance written notice to
Campbell & Company.
Redemption fees, which are paid to Campbell & Company,
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. For the nine months ended September 30, 2009 and
2008, Campbell & Company received redemption fees of
$11,966 and $184,858 respectively.
|
|
Note 7.
|
TRADING
ACTIVITIES AND RELATED RISKS
|
The Fund engages in the speculative trading of U.S. and
foreign futures contracts, forward currency contracts and
options on forward currency contracts (collectively,
derivatives). Specifically, the Fund trades a
portfolio primarily focused on financial futures, which are
instruments designed to hedge or speculate on changes in
interest rates, currency exchange rates or stock index values. A
secondary emphasis is on metals, energy and agriculture values.
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. The market sensitive instruments held by
the Fund are acquired for speculative trading purposes, and all
or a substantial amount of the Funds 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 Funds main line of business.
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 brokers proprietary activities. A customers
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 brokers segregation
requirements. In the event of a brokers insolvency,
recovery may be limited to a pro rata share of segregated Funds
available. It is possible that the recovered amount could be
less than total cash and other property deposited.
The amount of required margin and good faith deposits with the
broker and interbank market makers usually range from 10% to 30%
of Net Asset Value. The market value of securities held to
satisfy such requirements at September 30, 2009 and
December 31, 2008 was $363,994,915 and $1,136,934,669,
respectively, which equals 19% and 46% of Net Asset Value,
respectively. The cash deposited with interbank market makers at
September 30, 2009 and December 31, 2008 was
$14,012,129 and $73,104,593, respectively, which equals 1% and
3% of Net Asset Value, respectively. These amounts are included
in cash and cash equivalents. Included in cash deposits with the
broker and interbank market maker at September 30, 2009 and
December 31, 2008 was restricted cash for margin
requirements of $0 and $41,411,655 respectively, which equals 0%
and 2% of Net Asset Value respectively.
The Fund trades forward currency and options on forward currency
contracts in unregulated markets between principals and assumes
the risk of loss from counterparty nonperformance. Accordingly,
the risks associated with forward currency and options on
foreign currency contracts are generally greater than those
associated with exchange traded contracts because of the greater
risk of counterparty default. Additionally, the trading of
forward currency and options on forward currency 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
institutions insolvency, recovery of Fund assets on
deposit may be limited to account insurance or other protection
afforded such deposits.
-96-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS (Continued)
September
30, 2009 (Unaudited)
|
|
Note 7.
|
TRADING
ACTIVITIES AND RELATED
RISKS (Continued)
|
For derivatives, risks arise from changes in the market value of
the contracts. Market movements result in frequent changes in
the fair market value of the Funds open positions and,
consequently, in its earnings and cash flow. The Funds
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
Funds open positions and the liquidity of the markets in
which it trades. Theoretically, the Fund is exposed to a market
risk equal to the notional contract value of futures and forward
currency contracts purchased and unlimited liability on such
contracts sold short. As both a buyer and seller of options, the
Fund pays or receives a premium at the outset and then bears the
risk of unfavorable changes in the price of the contract
underlying the option. Written options expose the Fund to
potentially unlimited liability, and purchased options expose
the Fund to a risk of loss limited to the premiums paid. See
Note 1. C. for an explanation of how the Fund determines
its valuation for derivatives as well as the netting of
derivatives.
The unrealized gain (loss) on open futures, forward currency and
options on forward currency contracts is comprised of the
following:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Currency and Options on
|
|
|
|
Futures Contracts
|
|
|
Forward Currency Contracts
|
|
|
|
(exchange traded)
|
|
|
(non-exchange traded)
|
|
|
|
September 30,
|
|
|
December 31,
|
|
|
September 30,
|
|
|
December 31,
|
|
|
|
2009
|
|
|
2008
|
|
|
2009
|
|
|
2008
|
|
|
Gross unrealized gains
|
|
$
|
17,407,762
|
|
|
$
|
14,648,19
|
|
|
$
|
121,518,782
|
|
|
$
|
64,296,837
|
|
Gross unrealized losses
|
|
|
(12,735,189
|
)
|
|
|
(14,441,860
|
)
|
|
|
(53,479,718
|
)
|
|
|
(53,582,976
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized gain (loss)
|
|
$
|
4,672,573
|
|
|
$
|
206,159
|
|
|
$
|
68,039,064
|
|
|
$
|
10,713,861
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
In March 2008, the FASB issued ASC 815, Derivatives and
Hedging (formerly SFAS No. 161,
Disclosures about Dervative instruments and Hedging
Activities). ASC 815 provides enhanced disclosures about
how and why an entity uses derivative instruments, how
derivative instruments are accounted for, and how derivative
instruments affect an entitys financial position,
financial performance and cash flows. ASC 815 is effective for
financial statements issued for the Funds first fiscal
year beginning after November 15, 2008. The Fund adopted
ASC 815 effective January 1, 2009.
-97-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS (Continued)
September
30, 2009 (Unaudited)
|
|
Note 7.
|
TRADING
ACTIVITIES AND RELATED
RISKS (Continued)
|
The following tables summarize quantitative information required
by ASC 815.
The trading revenue of the Funds derivatives by instrument
type, as well as the location of those gains and losses on the
Statement of Operations, for the period ended September 30,
2009 is as follows:
|
|
|
|
|
|
|
|
|
|
|
Trading Revenue for
|
|
|
Trading Revenue for
|
|
|
|
the Three Months Ended
|
|
|
the Nine Months Ended
|
|
Type of Instrument
|
|
September 30, 2009
|
|
|
September 30, 2009
|
|
|
Agricultural Contracts
|
|
$
|
(2,712,614
|
)
|
|
$
|
(2,712,614
|
)
|
Energy Contracts
|
|
|
(21,928,205
|
)
|
|
|
(17,492,421
|
)
|
Metal Contracts
|
|
|
20,544,888
|
|
|
|
475,116
|
|
Stock Indices Contracts
|
|
|
39,637,152
|
|
|
|
(25,898,450
|
)
|
Short-Term Interest Rate Contracts
|
|
|
3,106,421
|
|
|
|
(10,650,946
|
)
|
Long Term Interest Rate Contracts
|
|
|
(20,583,409
|
)
|
|
|
(38,988,767
|
)
|
Forward Currency Contracts
|
|
|
60,372,823
|
|
|
|
15,885,429
|
|
Purchased Options on Forward Currency Contracts
|
|
|
(12,173,990
|
)
|
|
|
(23,724,057
|
)
|
Written Options on Forward Currency Contracts
|
|
|
13,596,671
|
|
|
|
54,578,296
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
79,859,737
|
|
|
$
|
(48,528,414
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading Revenue for
|
|
|
Trading Revenue for
|
|
|
|
the Three Months Ended
|
|
|
the Nine Months Ended
|
|
Line Item in the Statement of Operations
|
|
September 30, 2009
|
|
|
September 30, 2009
|
|
|
Futures trading gains (losses):
|
|
|
|
|
|
|
|
|
Realized
|
|
$
|
10,436,208
|
|
|
$
|
(99,734,495
|
)
|
Change in unrealized
|
|
|
7,628,026
|
|
|
|
4,466,414
|
|
Forward currency and options on forward currency trading gains
(losses):
|
|
|
|
|
|
|
|
|
Realized
|
|
|
(4,788,900
|
)
|
|
|
(10,585,535
|
)
|
Change in unrealized
|
|
|
66,584,403
|
|
|
|
57,325,202
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
79,859,737
|
|
|
$
|
(48,528,414
|
)
|
|
|
|
|
|
|
|
|
|
For the three months and nine months ended September 30,
2009, the monthly average of futures contracts bought and sold
was approximately 90,600 and 81,800 respectively, and the
monthly average of notional value of forward currency and
options on forward currency contracts was $11,087,400,000 and
$9,548,200,000 respectively.
Open contracts generally mature within three months; as of
September 30, 2009, the latest maturity date for open
futures contracts is December 2010, the latest maturity date for
open forward currency contracts is December 2009, and the latest
expiry date for options on forward currency contracts is October
2009. However, the Fund intends to close all futures and foreign
currency 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 & Companys 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 &
Companys attempt to manage the risk of the Funds
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
-98-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS (Continued)
September
30, 2009 (Unaudited)
|
|
Note 7.
|
TRADING
ACTIVITIES AND RELATED
RISKS (Continued)
|
formulated in terms of the balanced volatility between markets
and correlated groups), as well as precalculating
stop-loss points at which systems will signal to
close open positions. Campbell & Company controls the
risk of the Funds non-trading fixed income instruments by
limiting the duration of such instruments and requiring a
minimum credit quality of the issuers of those instruments.
Campbell & Company seeks to minimize credit risk
primarily by depositing and maintaining the Funds assets
at financial institutions and brokers which Campbell &
Company believes to be credit worthy. The limited partners bears
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.
In the normal course of business, the Fund enters into contracts
and agreements that contain a variety of representations and
warranties which provide general indemnifications. The
Funds maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made
against the Fund that have not yet occurred. The Fund expects
the risk of any future obligation under these indemnifications
to be remote.
|
|
Note 9.
|
INTERIM
FINANCIAL STATEMENTS
|
The statement of financial condition, including the condensed
schedule of investments, as of September 30, 2009, the
statements of operations and financial highlights for the three
months and nine months ended September 30, 2009 and 2008,
and the statements of cash flows and changes in partners
capital (Net Asset Value) for the nine months ended
September 30, 2009 and 2008 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
September 30, 2009, and the results of operations and
financial highlights for the three months and nine months ended
September 30, 2009 and 2008, and cash flows and changes in
partners capital (Net Asset Value) for the nine months
ended September 30, 2009 and 2008.
|
|
Note 10.
|
SUBSEQUENT
EVENTS
|
Management of the Fund evaluated subsequent events through
November 16, 2009, the date the financial statements were
issued. There are no subsequent events to disclose.
-99-
|
|
|
|
|
Deloitte & Touche LLP
750 College Road East
Third Floor
Princeton, NJ 08540
USA
Tel: +1 609 514 3600
Fax: +1 609 514 3603
www.deloitte.com
|
REPORT OF
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
Campbell Strategic Allocation Fund, L.P.
We have audited the accompanying statements of financial
condition of Campbell Strategic Allocation Fund, L.P. (the
Partnership), including the condensed schedules of
investments, as of December 31, 2008 and 2007, and the
related statements of operations, cash flows, changes in
partners capital (net asset value) and financial
highlights for each of the three years in the period ended
December 31, 2008. These financial statements and financial
highlights are the responsibility of the Partnerships
management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those
standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. The
Partnership is not required to have, nor were we engaged to
perform, an audit of its internal control over financial
reporting. Our audits included consideration of internal control
over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not
for the purpose of expressing an opinion on the effectiveness of
the Partnerships internal control over financial
reporting. Accordingly, we express no such opinion. An audit
also includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial
highlights referred to above present fairly, in all material
respects, the financial position of Campbell Strategic
Allocation Fund, L.P. as of December 31, 2008 and 2007, the
results of its operations, cash flows, changes in its
partners capital (net asset value) and financial
highlights for each of the three years in the period ended
December 31, 2008, in conformity with accounting principles
generally accepted in the United States of America.
Member of
Deloitte Touche Tohmatsu
March 23, 2009
-100-
|
|
|
|
|
|
|
|
|
|
|
2008
|
|
|
2007
|
|
|
ASSETS
|
Equity in broker trading accounts
|
|
|
|
|
|
|
|
|
Cash
|
|
$
|
1,278,536,649
|
|
|
$
|
274,531,263
|
|
Restricted cash
|
|
|
41,411,655
|
|
|
|
0
|
|
United States government securities
|
|
|
1,099,934,669
|
|
|
|
1,691,871,056
|
|
Net unrealized gain (loss) on open futures contracts
|
|
|
206,159
|
|
|
|
26,023,256
|
|
|
|
|
|
|
|
|
|
|
Total equity in broker trading accounts
|
|
|
2,420,089,132
|
|
|
|
1,992,425,575
|
|
Cash and cash equivalents
|
|
|
30,721,976
|
|
|
|
241,657,307
|
|
Restricted cash deposits with forwards broker
|
|
|
42,515,724
|
|
|
|
0
|
|
United States government securities
|
|
|
37,000,000
|
|
|
|
1,846,461,931
|
|
Options purchased, at fair value (premiums paid
$969,001 and $7,987,556, respectively)
|
|
|
519,315
|
|
|
|
5,400,578
|
|
Net unrealized gain (loss) on open forward currency contracts
|
|
|
10,828,848
|
|
|
|
(87,540,444
|
)
|
Interest receivable
|
|
|
41,698
|
|
|
|
1,096,076
|
|
Subscriptions receivable
|
|
|
0
|
|
|
|
84,113
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
2,541,716,693
|
|
|
$
|
3,999,585,136
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES
|
Accounts payable
|
|
$
|
668,492
|
|
|
$
|
802,775
|
|
Brokerage fee
|
|
|
14,801,625
|
|
|
|
23,262,515
|
|
Options written, at fair value (premiums received
$3,537,352 and $4,485,004, respectively)
|
|
|
3,202,653
|
|
|
|
2,090,429
|
|
Accrued commissions and other trading fees on open contracts
|
|
|
114,176
|
|
|
|
692,664
|
|
Offering costs payable
|
|
|
309,964
|
|
|
|
659,698
|
|
Redemptions payable
|
|
|
66,725,891
|
|
|
|
168,685,490
|
|
|
|
|
|
|
|
|
|
|
Total Liabilities
|
|
|
85,822,801
|
|
|
|
196,193,571
|
|
|
|
|
|
|
|
|
|
|
PARTNERS CAPITAL (Net Asset Value)
|
|
|
|
|
|
|
|
|
General Partner 10,367.982 and 19,227.982 units
outstanding at December 31, 2008 and December 31, 2007
|
|
|
27,266,756
|
|
|
|
51,351,210
|
|
Limited Partners 923,465.791 and
1,404,914.962 units outstanding at December 31, 2008
and December 31, 2007
|
|
|
2,428,627,136
|
|
|
|
3,752,040,355
|
|
|
|
|
|
|
|
|
|
|
Total partners capital (Net Asset Value)
|
|
|
2,455,893,892
|
|
|
|
3,803,391,565
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and partners capital (Net Asset Value)
|
|
$
|
2,541,716,693
|
|
|
$
|
3,999,585,136
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes to Financial Statements.
-101-
UNITED
STATES GOVERNMENT SECURITIES*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Maturity
|
|
|
|
|
|
|
|
|
|
|
% of Net
|
|
Face Value
|
|
|
Maturity Date
|
|
|
Description
|
|
Values ($)
|
|
|
Asset Value
|
|
|
$
|
800,000,000
|
|
|
|
03/19/2009
|
|
|
U.S. Treasury Bills
|
|
$
|
799,948,669
|
|
|
|
32.57
|
%
|
$
|
300,000,000
|
|
|
|
03/26/2009
|
|
|
U.S. Treasury Bills
|
|
$
|
299,986,000
|
|
|
|
12.21
|
%
|
$
|
37,000,000
|
|
|
|
01/22/2009
|
|
|
U.S. Treasury Bills
|
|
$
|
37,000,000
|
|
|
|
1.51
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total United States government securities (cost, including
accrued interest, $1,136,934,669)
|
|
$
|
1,136,934,669
|
|
|
|
46.29
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LONG FUTURES CONTRACTS
|
|
|
|
|
|
|
|
Description
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals
|
|
$
|
94,925
|
|
|
|
0.00
|
%
|
|
|
|
|
|
|
|
|
Stock indices
|
|
$
|
771,700
|
|
|
|
0.03
|
%
|
|
|
|
|
|
|
|
|
Short-term interest rates
|
|
$
|
3,840,778
|
|
|
|
0.16
|
%
|
|
|
|
|
|
|
|
|
Long-term interest rates
|
|
$
|
4,905,228
|
|
|
|
0.20
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total long futures contracts
|
|
$
|
9,612,631
|
|
|
|
0.39
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT FUTURES CONTRACTS
|
|
|
|
|
|
|
|
Description
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
$
|
(801,546
|
)
|
|
|
(0.03
|
)%
|
|
|
|
|
|
|
|
|
Metals
|
|
$
|
(1,664,930
|
)
|
|
|
(0.07
|
)%
|
|
|
|
|
|
|
|
|
Stock indices
|
|
$
|
(3,375,148
|
)
|
|
|
(0.14
|
)%
|
|
|
|
|
|
|
|
|
Short-term interest rates
|
|
$
|
(27,625
|
)
|
|
|
0.00
|
%
|
|
|
|
|
|
|
|
|
Long-term interest rates
|
|
$
|
(3,537,223
|
)
|
|
|
(0.14
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total short futures contracts
|
|
$
|
(9,406,472
|
)
|
|
|
(0.38
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts
|
|
$
|
206,159
|
|
|
|
0.01
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FORWARD CURRENCY CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Net
|
|
|
|
|
|
|
|
Description
|
|
Values ($)
|
|
|
Asset Value
|
|
|
|
|
|
|
|
|
|
|
Various long forward currency contracts
|
|
$
|
26,680,445
|
|
|
|
1.09
|
%
|
|
|
|
|
|
|
|
|
Various short forward currency contracts
|
|
$
|
(15,851,597
|
)
|
|
|
(0.65
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total forward currency contracts
|
|
$
|
10,828,848
|
|
|
|
0.44
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
|
|
|
|
|
|
|
|
Description
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchased options on forward currency contracts (premiums
paid $969,001)
|
|
$
|
519,315
|
|
|
|
0.02
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
|
|
|
|
|
|
|
|
Description
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Written options on forward currency contracts (premiums
received $3,537,352)
|
|
$
|
(3,202,653
|
)
|
|
|
(0.13
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Pledged as collateral for the trading of futures, forward and
option positions. |
See Accompanying Notes to Financial Statements.
-102-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
December 31,2007
UNITED
STATES GOVERNMENT SECURITIES*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Maturity
|
|
|
|
|
|
|
|
|
|
|
% of Net
|
|
Face Value
|
|
|
Maturity Date
|
|
|
Description
|
|
Values ($)
|
|
|
Asset Value
|
|
|
$
|
1,000,000,000
|
|
|
|
03/13/2008
|
|
|
U.S. Treasury Bills
|
|
$
|
994,400,000
|
|
|
|
26.15
|
%
|
$
|
950,000,000
|
|
|
|
01/31/2008
|
|
|
U.S. Treasury Bills
|
|
$
|
946,956,042
|
|
|
|
24.90
|
%
|
$
|
500,000,000
|
|
|
|
01/03/2008
|
|
|
U.S. Treasury Bills
|
|
$
|
499,893,889
|
|
|
|
13.14
|
%
|
$
|
500,000,000
|
|
|
|
02/14/2008
|
|
|
U.S. Treasury Bills
|
|
$
|
497,952,778
|
|
|
|
13.09
|
%
|
$
|
400,000,000
|
|
|
|
01/10/2008
|
|
|
U.S. Treasury Bills
|
|
$
|
399,612,000
|
|
|
|
10.51
|
%
|
$
|
200,000,000
|
|
|
|
01/24/2008
|
|
|
U.S. Treasury Bills
|
|
$
|
199,518,278
|
|
|
|
5.25
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total United States government securities (cost, including
accrued interest,
$3,538,332,987)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,538,332,987
|
|
|
|
93.04
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LONG
FUTURES CONTRACTS
|
|
|
|
|
|
|
|
|
Description
|
|
|
|
|
|
|
|
Energy
|
|
$
|
9,164,371
|
|
|
|
0.24
|
%
|
Metals
|
|
$
|
3,590,807
|
|
|
|
0.09
|
%
|
Stock indices
|
|
$
|
12,447,403
|
|
|
|
0.33
|
%
|
Short-term interest rates
|
|
$
|
5,705,646
|
|
|
|
0.15
|
%
|
Long-term interest rates
|
|
$
|
3,926,133
|
|
|
|
0.10
|
%
|
|
|
|
|
|
|
|
|
|
Total long futures contracts
|
|
$
|
34,834,360
|
|
|
|
0.91
|
%
|
|
|
|
|
|
|
|
|
|
SHORT
FUTURES CONTRACTS
|
|
|
|
|
|
|
|
|
Description
|
|
|
|
|
|
|
|
Energy
|
|
$
|
(6,965,096
|
)
|
|
|
(0.18
|
)%
|
Metals
|
|
$
|
977,188
|
|
|
|
0.03
|
%
|
Stock indices
|
|
$
|
1,128,791
|
|
|
|
0.03
|
%
|
Short-term interest rates
|
|
$
|
(4,858,209
|
)
|
|
|
(0.13
|
)%
|
Long-term interest rates
|
|
$
|
906,222
|
|
|
|
0.02
|
%
|
|
|
|
|
|
|
|
|
|
Total short futures contracts
|
|
$
|
(8,811,104
|
)
|
|
|
(0.23
|
)%
|
|
|
|
|
|
|
|
|
|
Total futures contracts
|
|
$
|
26,023,256
|
|
|
|
0.68
|
%
|
|
|
|
|
|
|
|
|
|
FORWARD
CURRENCY CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Net
|
|
Description
|
|
Values ($)
|
|
|
Asset Value
|
|
|
Various long forward currency contracts
|
|
$
|
(63,863,691
|
)
|
|
|
(1.68
|
)%
|
Various short forward currency contracts
|
|
$
|
(23,676,753
|
)
|
|
|
(0.62
|
)%
|
|
|
|
|
|
|
|
|
|
Total forward currency contracts
|
|
$
|
(87,540,444
|
)
|
|
|
(2.30
|
)%
|
|
|
|
|
|
|
|
|
|
PURCHASED
OPTIONS ON FORWARD CURRENCY CONTRACTS
|
|
|
|
|
|
|
|
|
Description
|
|
|
|
|
|
|
|
Purchased options on forward currency contracts (premiums
paid $7,987,556)
|
|
$
|
5,400,578
|
|
|
|
0.14
|
%
|
|
|
|
|
|
|
|
|
|
WRITTEN
OPTIONS ON FORWARD CTTRRENCY CONTRACTS
|
|
|
|
|
|
|
|
|
Description
|
|
|
|
|
|
|
|
Written options on forward currency contracts (premiums
received $4,485,004)
|
|
$
|
(2,090,429
|
)
|
|
|
(0.05
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Pledged as collateral for the trading of futures, forward and
option positions. |
See Accompanying Notes to Financial Statements.
-103-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2008
|
|
|
2007
|
|
|
2006
|
|
|
TRADING GAINS (LOSSES)
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures trading gains (losses)
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized
|
|
$
|
179,004,073
|
|
|
$
|
(90,020,404
|
)
|
|
$
|
131,759,999
|
|
Change in unrealized
|
|
|
(25,817,098
|
)
|
|
|
(122,751,393
|
)
|
|
|
147,687,919
|
|
Brokerage commissions
|
|
|
(3,568,175
|
)
|
|
|
(7,474,048
|
)
|
|
|
(8,756,027
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gain (loss) from futures trading
|
|
|
149,618,800
|
|
|
|
(220,245,845
|
)
|
|
|
270.691.891
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward currency and options on forward currency trading gains
(losses)
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized
|
|
|
(108,527,108
|
)
|
|
|
(116,006,270
|
)
|
|
|
(280,907,717
|
)
|
Change in unrealized
|
|
|
98,446,709
|
|
|
|
(280,170,992
|
)
|
|
|
361,269,635
|
|
Brokerage commissions
|
|
|
(403,740
|
)
|
|
|
(3,674,992
|
)
|
|
|
(2,878,200
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gain (loss) from forward currency and options on forward
currency trading
|
|
|
(10,484,139
|
)
|
|
|
(399,912,254
|
)
|
|
|
77,483,718
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total net trading gain (loss)
|
|
|
139,134,661
|
|
|
|
(620,158,099
|
)
|
|
|
348,175,609
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
INTEREST INCOME NET OF EXPENSES
|
|
|
|
|
|
|
|
|
|
|
|
|
Income
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest income
|
|
|
53,353,643
|
|
|
|
231,682,261
|
|
|
|
261,724,377
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses
|
|
|
|
|
|
|
|
|
|
|
|
|
Brokerage fee
|
|
|
215,712,348
|
|
|
|
348,527,101
|
|
|
|
390,856,239
|
|
Performance fee
|
|
|
0
|
|
|
|
0
|
|
|
|
4,818,187
|
|
Operating expenses
|
|
|
1,715,745
|
|
|
|
2,177,186
|
|
|
|
2,228,483
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
217,428,093
|
|
|
|
350,704,287
|
|
|
|
397,902,909
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest income net of expenses
|
|
|
(164,074,450
|
)
|
|
|
(119,022,026
|
)
|
|
|
(136,178,532
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET INCOME (LOSS)
|
|
$
|
(24,939,789
|
)
|
|
$
|
(739,180,125
|
)
|
|
$
|
211,997,077
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT
|
|
|
|
|
|
|
|
|
|
|
|
|
(based on weighted average number of units outstanding during
the year)
|
|
$
|
(21.87
|
)
|
|
$
|
(440.33
|
)
|
|
$
|
113.86
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND
LIMITED PARTNER UNIT
|
|
$
|
(40.75
|
)
|
|
$
|
(458.41
|
)
|
|
$
|
121.64
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes to Financial Statements.
-104-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2008
|
|
|
2007
|
|
|
2006
|
|
|
Cash flows from (for) operating activities
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
(24,939,789
|
)
|
|
$
|
(739,180,125
|
)
|
|
$
|
211,997,077
|
|
Adjustments to reconcile net income (loss) to net cash from
(for) operating activities
|
|
|
|
|
|
|
|
|
|
|
|
|
Net change in unrealized
|
|
|
(72,629,611
|
)
|
|
|
402,922,385
|
|
|
|
(508,957,554
|
)
|
(Increase) decrease in restricted cash
|
|
|
(83,927,379
|
)
|
|
|
64,472,902
|
|
|
|
(64,472,902
|
)
|
(Increase) decrease in option premiums paid
|
|
|
7,018,555
|
|
|
|
(3,996,452
|
)
|
|
|
(3,991,104
|
)
|
Increase (decrease) in option premiums received
|
|
|
(947,652
|
)
|
|
|
2,165,305
|
|
|
|
2,319,699
|
|
(Increase) decrease in interest receivable
|
|
|
1,054,378
|
|
|
|
5,249,167
|
|
|
|
(5,045,324
|
)
|
Increase (decrease) in accounts payable and accrued expenses
|
|
|
(9,173,661
|
)
|
|
|
(11,714,926
|
)
|
|
|
5,192,027
|
|
Net maturities (purchases) of investments in United States
government securities
|
|
|
2,401,398,318
|
|
|
|
116,703,926
|
|
|
|
336,630,893
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net cash from (for) operating activities
|
|
|
2,217,853,159
|
|
|
|
(163,377,818
|
)
|
|
|
(26,327,188
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash flows from (for) financing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
Addition of units
|
|
|
38,172,639
|
|
|
|
86,659,011
|
|
|
|
849,723,054
|
|
Increase (decrease) in subscription deposits
|
|
|
0
|
|
|
|
0
|
|
|
|
(150,000
|
)
|
Redemption of units
|
|
|
(1,457,812,994
|
)
|
|
|
(1,108,096,252
|
)
|
|
|
(510,552,792
|
)
|
Offering costs paid
|
|
|
(5,142,749
|
)
|
|
|
(6,074,654
|
)
|
|
|
(13,455,560
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net cash from (for) financing activities
|
|
|
(1,424,783,104
|
)
|
|
|
(1,027,511,895
|
)
|
|
|
325,564,702
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) in cash and cash equivalents
|
|
|
793,070,055
|
|
|
|
(1,190,889,713
|
)
|
|
|
299,237,514
|
|
Cash and cash equivalents
|
|
|
|
|
|
|
|
|
|
|
|
|
Beginning of year
|
|
|
516,188,570
|
|
|
|
1,707,078,283
|
|
|
|
1,407,840,769
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
End of year
|
|
$
|
1,309,258,625
|
|
|
$
|
516,188,570
|
|
|
$
|
1,707,078,283
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
End of year cash and cash equivalents consists of:
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash in broker trading accounts
|
|
$
|
1,278,536,649
|
|
|
$
|
274,531,263
|
|
|
$
|
1,230,053,812
|
|
Cash and cash equivalents
|
|
|
30,721,976
|
|
|
|
241,657,307
|
|
|
|
477,024,471
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total end of year cash and cash equivalents
|
|
$
|
1,309,258,625
|
|
|
$
|
516,188,570
|
|
|
$
|
1,707,078,283
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes to Financial Statements.
-105-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS
OF CHANGES IN PARTNERS CAPITAL (NET ASSET VALUE)
For the
Years Ended December 31, 2008, 2007 and 2006
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Partners Capital
|
|
|
|
General Partner
|
|
|
Limited Partners
|
|
|
Total
|
|
|
|
Units
|
|
|
Amount
|
|
|
Units
|
|
|
Amount
|
|
|
Units
|
|
|
Amount
|
|
|
Balances at December 31, 2005
|
|
|
17,240.171
|
|
|
$
|
51,848,435
|
|
|
|
1,703,733.918
|
|
|
$
|
5,123,850,224
|
|
|
|
1,720,974.089
|
|
|
$
|
5,175,698,659
|
|
Net income (loss) for the year ended December 31, 2006
|
|
|
|
|
|
|
2,327,389
|
|
|
|
|
|
|
|
209,669,688
|
|
|
|
|
|
|
|
211,997,077
|
|
Additions
|
|
|
1,982.811
|
|
|
|
6,100,000
|
|
|
|
276,043.383
|
|
|
|
843,623,054
|
|
|
|
278,026.194
|
|
|
|
849,723,054
|
|
Redemptions
|
|
|
0.000
|
|
|
|
0
|
|
|
|
(191,894.596
|
)
|
|
|
(570,371,209
|
)
|
|
|
(191,894.596
|
)
|
|
|
(570,371,209
|
)
|
Offering costs
|
|
|
|
|
|
|
(125,960
|
)
|
|
|
|
|
|
|
(12,381,455
|
)
|
|
|
|
|
|
|
(12,507,415
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balances at December 31, 2006
|
|
|
19,222.982
|
|
|
|
60,149,864
|
|
|
|
1,787,882.705
|
|
|
|
5,594,390,302
|
|
|
|
1,807,105.687
|
|
|
|
5,654,540,166
|
|
Net income (loss) for the year ended December 31, 2007
|
|
|
|
|
|
|
(8,740,910
|
)
|
|
|
|
|
|
|
(730,439,215
|
)
|
|
|
|
|
|
|
(739,180,125
|
)
|
Additions
|
|
|
5.000
|
|
|
|
13,617
|
|
|
|
29,737.090
|
|
|
|
86,729,507
|
|
|
|
29,742.090
|
|
|
|
86,743,124
|
|
Redemptions
|
|
|
0.000
|
|
|
|
0
|
|
|
|
(412,704.833
|
)
|
|
|
(1,192,493,381
|
)
|
|
|
(412,704.833
|
)
|
|
|
(1,192,493,381
|
)
|
Offering costs
|
|
|
|
|
|
|
(71,361
|
)
|
|
|
|
|
|
|
(6,146,858
|
)
|
|
|
|
|
|
|
(6,218,219
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balances at December 31, 2007
|
|
|
19,227.982
|
|
|
|
51,351,210
|
|
|
|
1,404,914.962
|
|
|
|
3,752,040,355
|
|
|
|
1,424,142.944
|
|
|
|
3,803,391,565
|
|
Net income (loss) for the year ended December 31, 2008
|
|
|
|
|
|
|
(239,626
|
)
|
|
|
|
|
|
|
(24,700,163
|
)
|
|
|
|
|
|
|
(24,939,789
|
)
|
Additions
|
|
|
0.000
|
|
|
|
0
|
|
|
|
14,098.315
|
|
|
|
38,088,526
|
|
|
|
14,098.315
|
|
|
|
38,088,526
|
|
Redemptions
|
|
|
(8,860.000
|
)
|
|
|
(23,787,863
|
)
|
|
|
(495,547.486
|
)
|
|
|
(1,332,065,532
|
)
|
|
|
(504,407.486
|
)
|
|
|
(1,355,853,395
|
)
|
Offering costs
|
|
|
|
|
|
|
(56,965
|
)
|
|
|
|
|
|
|
(4,736,050
|
)
|
|
|
|
|
|
|
(4,793,015
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balances at December 31, 2008
|
|
|
10,367.982
|
|
|
$
|
27,266,756
|
|
|
|
923,465.791
|
|
|
$
|
2,428,627,136
|
|
|
|
933,833.773
|
|
|
$
|
2,455,893,892
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per General and Limited Partner Unit
|
December 31,
|
2008
|
|
2007
|
|
2006
|
|
$2,629.90
|
|
$2,670.65
|
|
$3,129.06
|
|
|
|
|
|
See Accompanying Notes to Financial Statements.
-106-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
FINANCIAL
HIGHLIGHTS
For the
Years Ended December 31, 2008, 2007 and 2006
The following information presents per unit operating
performance data and other supplemental financial data for the
years ended December 31, 2008, 2007 and 2006. This information
has been derived from information presented in the financial
statements.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2008
|
|
|
2007
|
|
|
2006
|
|
|
Per Unit Performance
|
|
|
|
|
|
|
|
|
|
|
|
|
(for a unit outstanding throughout the entire year)
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value per unit at beginning of year
|
|
$
|
2,670.65
|
|
|
$
|
3,129.06
|
|
|
$
|
3,007.42
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Income (loss) from operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
Total net trading gains (losses)(1)
|
|
|
107.33
|
|
|
|
(383.81
|
)
|
|
|
201.50
|
|
Interest income net of expenses(1)
|
|
|
(143.88
|
)
|
|
|
(70.90
|
)
|
|
|
(73.14
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total net income (loss) from operations
|
|
|
(36.55
|
)
|
|
|
(454.71
|
)
|
|
|
128.36
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offering costs(1)
|
|
|
(4.20
|
)
|
|
|
(3.70
|
)
|
|
|
(6.72
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value per unit at end of year
|
|
$
|
2,629.90
|
|
|
$
|
2,670.65
|
|
|
$
|
3,129.06
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
|
|
|
(1.53
|
)%
|
|
|
(14.65
|
)%
|
|
|
4.04
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to average net asset value:
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses prior to performance fee
|
|
|
7.19
|
%
|
|
|
7.11
|
%
|
|
|
7.08
|
%
|
Performance fee
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
0.09
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
7.19
|
%
|
|
|
7.11
|
%
|
|
|
7.17
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest income net of expenses(2,3)
|
|
|
(5.43
|
)%
|
|
|
(2.41
|
)%
|
|
|
(2.37
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total returns are calculated
based-
on the change in value of a unit during the year. An
individual partners total returns and ratios may vary from the
above total returns and ratios based on the timing of additions
and redemptions.
|
|
|
(1) |
|
Interest income net of expenses per unit and offering costs per
unit are calculated by dividing the interest income net of
expenses and offering costs by the average number of units
outstanding during the year. Total net trading gains (losses) is
a balancing amount necessary to reconcile the change in net
asset value per unit with the other per unit information. |
|
(2) |
|
Excludes performance fee. |
|
(3) |
|
Interest income net of expenses is shown as a positive amount
when the interest income exceeds expenses for the year and a
negative number when expenses exceed interest income for the
year. |
See Accompanying Notes to Financial Statements.
-107-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
December 31, 2008
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 currency contracts and options on
forward currency contracts.
Effective June 14, 2008, units in the Fund were no longer
offered for sale. For existing investors in the Fund, business
will continue to be conducted as usual. There will be no change
in trading, operations or monthly statements, etc. and
redemptions will continue to be offered on a monthly basis.
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 market makers through which
the Fund trades.
The Funds financial statements are presented in accordance
with accounting principles generally accepted in the United
States of America, which may require the use of certain
estimates made by the Funds management. Actual results may
differ from these estimates. Investment 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. The market value of futures
(exchange-traded) contracts is determined by the various futures
exchanges, 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 forward currency (non-exchange
traded) contracts was extrapolated on a forward basis from the
spot prices quoted as of 3:00 P.M. (E.T.) of the last business
day of the reporting period or based on the market value of its
exchange-traded equivalent.
The market value of option (non-exchange traded) contracts is
calculated by applying an industry-standard adaptation of the
Black-Scholes options valuation model to foreign currency
options, using as input, the spot prices, interest rates and
option implied volatilities quoted as of 3:00 P.M. (E.T.)
on the last business day of the reporting period. Any change in
net unrealized gain or loss from the preceding period is
reported in the statement of operations.
When the Fund writes an option, an amount equal to the premium
received by the Fund is reflected as an asset and an equivalent
liability. The amount of the liability is subsequently
marked-to-market
to reflect the current market value of option written. Brokerage
commissions include other trading fees and are charged to
expense when contracts are opened. United States government
securities are stated at cost plus accrued interest, which
approximates market value.
-108-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS (Continued)
December 31,
2008
|
|
Note 1.
|
ORGANIZATION
AND SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES (Continued)
|
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.
The Fund adopted the provisions of Statement of Financial
Accounting Statement No. 157 Fair Value
Measurement, or SFAS 157, as of January 1, 2008.
SFAS 157 provides guidance for determining fair value and
requires increased disclosure regarding the inputs to valuation
techniques used to measure fair value. SFAS 157 defines
fair value as the price that would be received to sell an asset
or paid to transfer a liability in an orderly transaction
between market participants at the measurement date.
SFAS No. 157 establishes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure
fair value into three broad levels. The fair value hierarchy
gives the highest priority to quoted prices (unadjusted) in
active markets for identical assets or liabilities
(Level 1) and the lowest priority to unobservable
inputs (Level 3).
Level 1 inputs are quoted prices (unadjusted) in active
markets for identical assets or liabilities that the Fund has
the ability, to access at the measurement date. An active market
for the asset or liability is a market in which transactions for
the asset or liability occur with sufficient frequency and
volume to provide pricing information on an ongoing basis. The
value of the Funds exchange-traded futures contracts fall
into this category.
Level 2 inputs are inputs other than quoted prices included
in Level 1 that are observable for the asset or liability,
either directly or indirectly. This category includes forward
currency contracts and options on forward currency contracts
that the Fund values using models or other valuation
methodologies derived from observable market data.
Level 3 inputs are unobservable inputs for an asset or
liability (including the Funds own assumptions used in
determining the fair value of investments). Unobservable inputs
shall be used to measure fair value to the extent that
observable inputs are not available, thereby allowing for
situations in which there is little, if any, market activity for
the asset or liability at the measurement date. As of and for
the year ended December 31, 2008, the Fund did not have any
Level 3 assets or liabilities.
The following table sets forth by level within the fair value
hierarchy the Funds investments accounted for at fair
value on a reoccurring basis as of December 31, 2008.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value at December 31, 2008
|
|
Description
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
|
Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Bills
|
|
$
|
0
|
|
|
$
|
1,136,934,669
|
|
|
$
|
0
|
|
|
$
|
1,136,934,669
|
|
Other Financial Instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange-traded futures contracts
|
|
|
206,159
|
|
|
|
0
|
|
|
|
0
|
|
|
|
206,159
|
|
Forward currency contracts
|
|
|
0
|
|
|
|
10,828,848
|
|
|
|
0
|
|
|
|
10,828,848
|
|
Options purchased
|
|
|
0
|
|
|
|
519,315
|
|
|
|
0
|
|
|
|
519,315
|
|
Options written
|
|
|
0
|
|
|
|
(3,202,653
|
)
|
|
|
0
|
|
|
|
(3,202,653
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
206,159
|
|
|
$
|
1,145,080,179
|
|
|
$
|
0
|
|
|
$
|
1,145,286,338
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
-109-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS (Continued)
December 31,
2008
|
|
Note 1.
|
ORGANIZATION
AND SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES (Continued)
|
|
|
|
|
D.
|
Cash and Cash Equivalents
|
Cash and cash equivalents includes cash and short-term
investments in fixed income securities held at financial
institutions.
The Fund prepares calendar year U.S. and applicable state
information tax returns and reports to the partners their
allocable shares of the Fluids income, expenses and
trading gains or losses. No provision for income taxes has been
made in the accompanying financial statements as each partner is
individually responsible for reporting income or loss based on
such partners respective share of the Funds income
and expenses as reported for income tax purposes.
Management has continued to evaluate the application of
Financial Accounting Standards Board (FASB)Interpretation
No. 48, Accounting for Uncertainty in Income
Taxes an interpretation of FASB Statement
No. 109(FIN 48), to the Fund, and has determined
that FIN 48 does not have a material impact on the
Funds financial statements. The Fund files federal and
state tax returns. The 2005 through 2008 tax years generally
remain subject to examination by the U.S. federal and most
state tax authorities.
Campbell & Company, Inc. {Campbell &
Company) has incurred all costs in connection with the initial
and continuous offering of units of the Fund (offering costs).
In addition, Campbell & Company continues to
compensate wholesalers for services rendered to Limited
Partners. The Funds 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. The Fund is only liable for payment of offering costs
on a monthly basis as calculated based on the limitations stated
above. At December 31, 2008, and December 31, 2007,
the Fund reflects a liability in the statement of financial
condition for offering costs payable to Campbell &
Company of $309,964 and $659,698, respectively. 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 December 31,
2008 and December 31, 2007, the amount of unreimbursed
offering costs incurred by Campbell & Company
is $926,519 and $1,164,118, respectively.
|
|
|
|
G.
|
Foreign Currency Transactions
|
The Funds 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.
|
|
|
|
H.
|
Recently Issued Accounting Pronouncements
|
In March 2008, the Financial Accounting Standards Board (FASB)
issued Statement of Financial Accounting Standards No. 161,
Disclosures about Derivative Instruments and Hedging
Activities
-110-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS (Continued)
December 31,
2008
|
|
Note 1.
|
ORGANIZATION
AND SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES (Continued)
|
an amendment of FASB Statement No. 133
(SFAS 161). SFAS 161 establishes, amoung other things,
the disclosure requirements for derivative instruments and for
hedging activities. SFAS 161 is effective for financial
statements issued for fiscal years beginning after
November 15, 2008, and interim periods within those fiscal
years. The impact on the Funds financial statement
disclosures, if any, is currently being assessed.
|
|
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 & Companys 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.
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. 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.
Campbell & Company is also paid a quarterly
performance fee of 20% of the Funds aggregate cumulative
appreciation in the Net Asset Value per unit, exclusive of
appreciation attributable to interest income.
|
|
Note 3.
|
DEPOSITS
WITH BROKERS
|
The Fund deposits assets with brokers 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 brokers.
The Fund earns interest income on its assets deposited with the
brokers.
|
|
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 years ended December 31, 2008,2007 and 2006.
|
|
Note 5.
|
SUBSCRIPTIONS,
DISTRIBUTIONS AND REDEMPTIONS
|
Investments in the Fund were made by subscription agreement,
subject to acceptance by Campbell & Company.
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
-111-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS (Continued)
December 31,
2008
Note 5. SUBSCRIPTIONS,
DISTRIBUTIONS AND
REDEMPTIONS (Continued)
Agreement of Limited Partnership. Redemption fees, which are
paid to Campbell & Company, 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. For the years ended
December 31, 2008 and 2007, Campbell & Company
received redemption fees of $192,892 and $170,797 respectively.
Note 6. TRADING
ACTIVITIES AND RELATED RISKS
The Fund engages in the speculative trading of U.S. and
foreign futures contracts, forward currency contracts and
options on forward currency 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 brokers proprietary activities. A customers
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 brokers segregation
requirements. In the event of a brokers insolvency,
recovery may be limited to a pro rata share of segregated Funds
available. It is possible that the recovered amount could be
less than total cash and other property deposited.
The amount of required margin and good faith deposits with the
broker and interbank market makers usually range from 10% to 30%
of Net Asset Value. The market value of securities held to
satisfy such requirements at December 31, 2008 and
December 31, 2007 was $1,136,934,669 and $3,538,332,987,
respectively, which equals 46% and 93% of Net Asset Value,
respectively. The cash balance with interbank market makers at
December 31, 2008 and December 31, 2007 was
$73,104,593 and $234,111,805, respectively, which equals 3% and
6% of Net Asset Value, respectively. These amounts are included
in cash and cash equivalents. Included in cash deposits with the
broker and interbank market maker at December 31, 2008 and
December 31, 2007 was restricted cash for margin
requirements of $83,927,379 and $0 respectively, which equals 3%
and 0% of Net Asset Value respectively.
The Fund trades forward currency and options on forward currency
contracts in unregulated markets between principals and assumes
the risk of loss from counterparty nonperformance. Accordingly,
the risks associated with forward currency and options on
foreign currency contracts are generally greater than those
associated with exchange traded contracts because of the greater
risk of counterparty default. Additionally, the trading of
forward currency and options on forward currency 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
institutions 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 and forward
currency contracts purchased and unlimited liability on such
contacts sold short. As both a buyer and seller of options, the
Fund pays or receives a premium at the outset and then bears the
risk of unfavorable changes in the price of the contract
underlying the option. Written options expose the Fund to
potentially unlimited liability, and purchased options expose
the Fund to a risk of loss limited to the premiums paid.
-112-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS (Continued)
December 31,
2008
Note 6. TRADING
ACTIVITIES AND RELATED
RISKS (Continued)
The unrealized gain (loss) on open futures, forward currency and
options on forward currency contracts is comprised of the
following:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Currency and Options
|
|
|
|
Futures Contracts
|
|
|
on Forward Currency Contracts
|
|
|
|
(exchange traded)
|
|
|
(non-exchange traded)
|
|
|
|
December 31,
|
|
|
December 31,
|
|
|
December 31,
|
|
|
December 31,
|
|
|
|
2008
|
|
|
2007
|
|
|
2008
|
|
|
2007
|
|
|
Gross unrealized gains
|
|
$
|
14,648,019
|
|
|
$
|
58,463,410
|
|
|
$
|
64,296,837
|
|
|
$
|
76,353,401
|
|
Gross unrealized losses
|
|
|
(14,441,860
|
)
|
|
|
(32,440,154
|
)
|
|
|
(53,582,976
|
)
|
|
|
(164,086,248
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized gain (loss)
|
|
$
|
206,159
|
|
|
$
|
26,023,256
|
|
|
$
|
10,713,861
|
|
|
$
|
(87,732,847
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Open contracts generally mature within three months; as of
December 31,2008, the latest maturity date for open futures
contracts is September 2009, the latest maturity date for open
forward currency contracts is March 2009, and the latest expiry
date for options on forward currency contracts is January 2009.
However, the Fund intends to close all futures and forward
currency 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 & Companys 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 Funds 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.
In the normal course of business, the Fund enters into contracts
and agreements that contain a variety of representations and
warranties which provide general indemnifications. The
Funds maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made
against the Fund that have not yet occurred. The Fund expects
the risk of any future obligation under these indemnifications
to be remote.
-113-
CAMPBELL &
COMPANY, INC.
CONSOLIDATED BALANCE SHEET
September 30, 2009
(Unaudited)
|
|
|
|
|
ASSETS
|
Current assets
|
|
|
|
|
Cash and cash equivalents
|
|
$
|
44,343,713
|
|
Accounts receivable
|
|
|
|
|
Advisory and performance fees
|
|
|
9,487,114
|
|
Receivable from Campbell Strategic Allocation Fund, L.P.
|
|
|
6,600,491
|
|
Other receivables
|
|
|
1,019,350
|
|
|
|
|
|
|
Total current assets
|
|
|
61,450,668
|
|
|
|
|
|
|
Property and equipment
|
|
|
|
|
Furniture and office equipment
|
|
|
18,100,948
|
|
Leasehold improvements
|
|
|
5,755,048
|
|
|
|
|
|
|
|
|
|
23,855,996
|
|
Less accumulated depreciation and amortization
|
|
|
(9,967,615
|
)
|
|
|
|
|
|
Total property and equipment
|
|
|
13,888,381
|
|
|
|
|
|
|
Other assets
|
|
|
|
|
Cash surrender value of life insurance, net of policy loans of
$358,068
|
|
|
551,885
|
|
Investments in sponsored funds
|
|
|
96,195,260
|
|
Investment in other fund
|
|
|
5,014,909
|
|
Other
|
|
|
5,596,322
|
|
|
|
|
|
|
Total assets
|
|
$
|
182,697,425
|
|
|
|
|
|
|
|
LIABILITIES
|
Current liabilities
|
|
|
|
|
Accounts payable and accrued expenses
|
|
$
|
33,917,734
|
|
Current portion of subordinated debt
|
|
|
49,986,477
|
|
|
|
|
|
|
Total current liabilities
|
|
|
83,904,211
|
|
Deferred rent expense
|
|
|
3,198,626
|
|
Subordinated debt
|
|
|
75,283,523
|
|
Capital stock subject to repurchase, at current redemption value
|
|
|
1,579,721
|
|
|
|
|
|
|
Total liabilities
|
|
|
163,966,081
|
|
|
|
|
|
|
Minority interest
|
|
|
11,000,000
|
|
|
|
|
|
|
STOCKHOLDERS EQUITY
|
|
|
|
|
Retained earnings
|
|
|
7,731,344
|
|
|
|
|
|
|
Total liabilities and stockholders equity
|
|
$
|
182,697,425
|
|
|
|
|
|
|
See accompanying notes.
-114-
CAMPBELL &
COMPANY, INC.
(Unaudited)
|
|
Note 1.
|
ORGANIZATION
AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
|
The consolidated balance sheet of Campbell & Company,
Inc. includes the accounts of Campbell & Company, Inc.
and its wholly-owned subsidiary, Campbell & Company
Investment Adviser LLC (CCIA) and its majority owned subsidiary,
The Campbell Gold Plus Fund, L.P (CGPF). Campbell &
Company, Inc. is incorporated in Maryland and earns fees as a
commodity trading advisor. CCIA was formed on January 31,
2005 as a limited liability company under the laws of Delaware.
CCIA is registered under the Investment Advisers Act of 1940, as
amended, as an investment adviser. Campbell & Company,
Inc. is the sole member of CCIA. CCGPF is a limited partnership
formed on July 2, 2009 under the laws of Delaware. CCGPF is
an investment partnership that is majority owned by
Campbell & Company, Inc. and Campbell &
Company, Inc.s majority stockholder. Campbell &
Company, Inc. intends to solicit additional outside investment
in CGPF and will re-assess the need to consolidate CGPF in
future periods.
Both Campbell & Company, Inc. and CGPF are 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. They are also
subject to the rules of the National Futures Association, an
industry self-regulatory organization, and the requirements of
commodity exchanges, Futures Commission Merchants (brokers), and
interbank market makers through which they trade. CCIA is
subject to the regulations of the Securities and Exchange
Commission under the Investment Advisers Act of 1940.
The consolidated balance sheet includes the accounts of
Campbell & Company, Inc., CCIA and CGPF (collectively,
the Company). Significant intercompany accounts and
transactions have been eliminated in consolidation. As of
September 30, 2009, Campbell & Company, Inc. is
deemed to be the controlling investor of CGPF. The interest of
CGPF not owned by Campbell & Company, Inc. is
presented as Minority Interest in the consolidated balance sheet.
The Companys consolidated balance sheet is presented in
accordance with accounting principles generally accepted in the
United States of America. The preparation of the consolidated
balance sheet in conformity with accounting principles generally
accepted in the United States of America requires management to
make estimates and assumptions that affect the reported amounts
of assets and liabilities and disclosures of contingent assets
and liabilities at the date of the consolidated balance sheet.
Actual results could differ from those estimates, and such
differences may be material to the consolidated balance sheet.
|
|
|
|
B.
|
Cash and Cash Equivalents
|
Cash and cash equivalents consist of cash, certificates of
deposit and money market mutual funds readily convertible into
cash.
Advisory and management fees accrue monthly based on a
percentage of assets under management. Performance fees may be
earned by achieving defined performance objectives. Performance
fees are accrued when the conditions of the applicable
performance fee agreements are satisfied.
-115-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE SHEET (Continued)
(Unaudited)
|
|
Note 1.
|
ORGANIZATION
AND SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES (Continued)
|
|
|
|
|
D.
|
Property and Equipment
|
Property and equipment are stated at cost. Depreciation and
amortization is provided for over the estimated useful lives of
the assets using straight-line and accelerated methods. Such
lives range from 3 to 39 years.
The Companys Asset and Liabilities measured on a recurring
basis are reported at fair value pursuant to the provisions of
Accounting Standards Codification (ASC) 820, Fair Value
Measurements & Disclosures (formerly Statement of
Financial Accounting Standards No. 157, Fair Value
Measurements). ASC 820 defines fair value, establishes a
framework for measuring fair value and expands disclosure about
fair value measurement. ASC 820 defines fair value as the price
that would be received to sell an asset or paid to transfer a
liability in an orderly transaction between market participants
at the measurement date. ASC 820 requires use of a fair value
hierarchy that prioritizes the inputs to valuation techniques
used to measure fair value into three broad levels: quoted
market prices in active markets for identical assets or
liabilities (Level 1); inputs other than quoted market
prices that are observable for the asset or liability, either
directly or indirectly (Level 2); and unobservable inputs
for an asset or liability (Level 3).
|
|
|
|
F.
|
Investments in Sponsored Funds & Other Funds
|
Investments in sponsored funds & other funds are
reported at fair value at the date of the consolidated balance
sheet. Fair value ordinarily is the value determined for each
fund in accordance with such funds valuation policies and
reported at the time of the Companys valuation. Generally,
the fair value of the Companys investment in a fund equals
the underlying net asset value and represents the amount the
Company could reasonable expect to receive from such fund if the
Companys investment was redeemed at the time of valuation.
The Company has elected S corporation status under the
Internal Revenue Code, pursuant to which the Company does not
pay U.S. or Maryland income taxes. The Company is subject
to state income taxes in certain states in which it conducts
business and adequate provision for such is provided for in the
consolidated balance sheet. The Companys taxable income is
taxable to the stockholders on an individual basis.
The Company has continued to evaluate the application of ASC
740, Income Taxes (formerly FASB No. 48
(FIN 48) entitled Accounting For Uncertainty in
Income Taxes) to the Company, and has determined that ASC
740 does not have a material impact on the Companys
consolidated balance sheet. The Company files U.S. federal
and state tax returns. The 2005 through 2008 tax years generally
remain subject to examination by U.S. federal and most
state tax authorities.
-116-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE SHEET (Continued)
(Unaudited)
The following summarizes the Companys assets accounted for
at fair value at September 30, 2009 using the fair value
hierarchy of ASC 820:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
|
Cash equivalents
|
|
$
|
681,905
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
681,905
|
|
Investments in sponsored funds
|
|
|
|
|
|
|
96,195,260
|
|
|
|
|
|
|
|
96,195,260
|
|
Investments in other funds
|
|
|
|
|
|
|
5,014,909
|
|
|
|
|
|
|
|
5,014,909
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
681,905
|
|
|
$
|
101,210,169
|
|
|
$
|
|
|
|
$
|
101,892,074
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following summarizes the carrying amount and fair value of
the Companys other financial instruments at
September 30, 2009:
|
|
|
|
|
|
|
|
|
|
|
Carrying
|
|
|
Fair
|
|
|
|
Amount
|
|
|
Value
|
|
|
Assets
|
|
|
|
|
|
|
|
|
Cash surrender value of life insurance
|
|
$
|
551,885
|
|
|
$
|
551,885
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
Subordinated debt
|
|
$
|
125,270,000
|
|
|
$
|
125,270,000
|
|
|
|
|
|
|
|
|
|
|
|
|
Note 3.
|
THE
CAMPBELL GOLD PLUS FUND, L.P.
|
The Company is the General Partner and commodity trading advisor
of The Campbell Gold Plus Fund, L.P. (CGPF). As of
September 30, 2009 the Fund has not commenced trading and
does not have any performance history. The Net Asset Value of
CGPF at September 30, 2009 is $21,000,000. The capital
contributions and related net asset value at September 30,
2009 consists of $10,000,000 from Campbell & Company,
Inc., $10,000,000 from the majority stockholder of
Campbell & Company, Inc., and another $1,000,000 from
an affiliate of the majority stockholder of Campbell &
Company, Inc.
|
|
Note 4.
|
INVESTMENTS
IN SPONSORED FUNDS
|
Investments in sponsored funds consist of the following at
September 30, 2009:
|
|
|
|
|
The Campbell Multi-Strategy Trust
|
|
$
|
47,957,711
|
|
Campbell Strategic Allocation Fund, L.P.
|
|
|
16,241,416
|
|
The Campbell Global Assets Fund Limited SAC- Class B
|
|
|
10,131,552
|
|
The Campbell Global Assets Fund Limited SAC- Class A
|
|
|
9,229,500
|
|
The Campbell Qualified Multi-Strategy Fund L.L.C.
|
|
|
8,214,876
|
|
Campbell Alternative Asset Trust
|
|
|
2,198,301
|
|
Campbell Financial Futures Fund Limited Partnership
|
|
|
2,172,813
|
|
The Campbell Fund Trust
|
|
|
49,091
|
|
|
|
|
|
|
Total
|
|
$
|
96,195,260
|
|
|
|
|
|
|
-117-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE SHEET (Continued)
(Unaudited)
|
|
Note 4.
|
INVESTMENTS
IN SPONSORED FUNDS (Continued)
|
In addition to its investments in these sponsored funds, the
Company has General Partner, Adviser, Managing Owner, Managing
Member, or Managing Operator responsibilities with regards to
the following:
The
Campbell Multi-Strategy Trust
The Company acts as Adviser of The Campbell Multi-Strategy Trust
(CMST).
Summarized financial information with respect to CMST as of
September 30, 2009 is as follows:
|
|
|
|
|
Balance Sheet Data
|
|
|
|
|
Assets
|
|
$
|
279,056,638
|
|
Liabilities
|
|
|
108,074,056
|
|
|
|
|
|
|
Net Asset Value
|
|
$
|
170,982,582
|
|
|
|
|
|
|
The Company has agreed to advance funds to CMST necessary to pay
organization and offering costs related to CMSTs initial
and continuous offerings. The Company is reimbursed such amounts
by CMST at the rate of 0.75% per annum of CMSTs net
assets. The Company reflects a receivable of $113,185 as of
September 30, 2009 from CMST for offering costs due to be
reimbursed. Such amount is included in Other receivables in the
consolidated balance sheet. The remaining unreimbursed offering
costs of $1,655,778 at September 30, 2009 is included in
Other assets in the consolidated balance sheet. They are carried
on the Companys books as an asset because of the probable
future economic benefit to be obtained from the eventual receipt
from CMST of these reimbursements, even though CMST is not
liable for this amount at the current time. In the event CMST
terminates prior to the completion of any reimbursement of the
offering costs, the Company will not be entitled to any
additional reimbursement from CMST. The Company analyzes the
value of the unreimbursed organization and offering costs on its
consolidated balance sheet on a quarterly basis to ensure that
the carrying value is an accurate estimate of what the Company
can expect to receive over time, and expenses any excess value
on its books.
Campbell
Strategic Allocation Fund, L.P.
The Company is the General Partner and commodity trading advisor
of Campbell Strategic Allocation Fund, L.P. (Strategic). As
General Partner, the Company receives from Strategic a monthly
brokerage fee and a quarterly performance fee. Such fees
represented approximately 69% of the Companys advisory and
performance fee revenues. Of these fees, $4,827,532 is included
in advisory and performance fees receivable at
September 30, 2009. The Net Asset Value of Strategic at
September 30, 2009 is $1,872,271,808.
The Company has committed to maintaining an investment in
Strategic equal to at least 1% of the net aggregate capital
contributions of all partners. The Company is further bound by
Strategics Amended Agreement of Limited Partnership to
maintain net worth equal to at least 5% of the capital
contributed by all the limited partnerships for which the
Company acts as General Partner. 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.
As General Partner, the Company incurs costs in connection with
Strategics initial and continuous offerings. The Company
reflects a current receivable of $178,345 as of
September 30, 2009, from Strategic for offering costs due
to be reimbursed. Such amount is included in Receivable from
Campbell Strategic Allocation Fund, L.P. in the consolidated
balance sheet. The remaining unreimbursed offering costs of
$75,825 at September 30, 2009 is included in Other assets
in the consolidated balance sheet. They are carried on the
Companys books as an asset because of the probable future
economic benefit to be obtained from the eventual receipt from
Strategic of these reimbursements, even though Strategic is not
liable for this amount at the current time. The Company
recognizes the
-118-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE SHEET (Continued)
(Unaudited)
|
|
Note 4.
|
INVESTMENTS
IN SPONSORED FUNDS (Continued)
|
newly recalculated amount due from Strategic each month as a
receivable, which reduces the balance remaining as an Other
asset. The Company analyzes the value of the remaining Other
asset on its consolidated balance sheet on a quarterly basis to
ensure that the carrying value is an accurate estimate of what
the Company can expect to receive over time, and expenses any
excess value on its books.
Prior to July 1, 2008, the Company also paid, up-front, a
4% commission to selling agents for Strategic. The Company is
then reimbursed by Strategic for this cost, over twelve months,
through a brokerage fee which is based on the monthly net asset
value of Strategic. At September 30, 2009, $6,422,146 in
selling agent commissions are subject to future reimbursement,
all of which is included in a Receivable from Campbell Strategic
Allocation Fund, L.P. in the consolidated balance sheet.
In the event Strategic terminates prior to the completion of any
reimbursement of the aforementioned costs, the Company will not
be entitled to any additional reimbursement from Strategic.
The
Campbell Global Assets Fund Limited SAC
The Company is the Trading Advisor of The Campbell Global Assets
Fund Limited SAC (CGAF), an international business company
incorporated in The Bahamas.
Summarized financial information with respect to CGAF as of
September 30, 2009 is as follows:
|
|
|
|
|
Balance Sheet Data
|
|
|
|
|
Assets
|
|
$
|
56,947,040
|
|
Liabilities
|
|
|
16,674,880
|
|
|
|
|
|
|
Net Asset Value
|
|
$
|
40,272,160
|
|
|
|
|
|
|
The
Campbell Qualified Multi-Strategy Fund L.L.C.
The Company acts as Managing Member of The Campbell Qualified
Multi-Strategy Fund L.L.C. (CQMSF).
Summarized financial information with respect to CQMSF as of
September 30, 2009 is as follows:
|
|
|
|
|
Balance Sheet Data
|
|
|
|
|
Assets
|
|
$
|
138,388,921
|
|
Liabilities
|
|
|
58,580,418
|
|
|
|
|
|
|
Net Asset Value
|
|
$
|
79,808,503
|
|
|
|
|
|
|
Campbell
Alternative Asset Trust
The Company is the Managing Owner and commodity trading advisor
of Campbell Alternative Asset Trust (CAAT). The Trustee of CAAT
has delegated to the Managing Owner all of the power and
authority to manage the business affairs of CAAT. The Net Asset
Value of CAAT at September 30, 2009 is $31,410,216.
The Company has committed to maintaining an investment in CAAT
equal to at least 1% of the total capital accounts of CAAT. The
Companys capital account balance as of September 30,
2009 is $2,198,301. The Company is further bound by CAATs
Third Amended and Restated Declaration of Trust and
Trust Agreement to maintain net worth equal to at least
$1,000,000.
-119-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE SHEET (Continued)
(Unaudited)
|
|
Note 4.
|
INVESTMENTS
IN SPONSORED FUNDS (Continued)
|
As Managing Owner, the Company has agreed to advance funds to
CAAT necessary to pay organization and offering costs related to
CAATs initial and continuous offerings. The Company is
reimbursed such amounts by CAAT at the rate of 0.9% per annum of
CAATs net assets. The Company reflects a current
receivable of $6,522 at September 30, 2009 from CAAT for
offering costs due to be reimbursed. Such amount is included in
Other receivables in the consolidated balance sheet. The
remaining unreimbursed offering costs of $37,208 at
September 30, 2009 is included in Other assets in the
consolidated balance sheet. They are carried on the
Companys books as an asset because of the probable future
economic benefit to be obtained from the eventual receipt from
CAAT of these reimbursements, even though CAAT is not liable for
this amount at the current time. In the event CAAT terminates
prior to the completion of any reimbursement of the offering
costs, the Company will not be entitled to any additional
reimbursement from CAAT. The Company analyzes the value of the
unreimbursed organization and offering costs on its consolidated
balance sheet on a quarterly basis to ensure that the carrying
value is an accurate estimate of what the Company can expect to
receive over time, and expenses any excess value on its books.
Campbell
Financial Futures Fund Limited Partnership
The Company acts as General Partner of Campbell Financial
Futures Fund Limited Partnership (Financial Futures). The
Net Asset Value of Financial Futures as of September 30,
2009 is $27,227,064.
The
Campbell Fund Trust
The Company is the Managing Operator of The Campbell
Fund Trust (the Trust). The Trustee of the Trust has
delegated to the Managing Operator all of the power and
authority to manage the business affairs of the Trust. The Net
Asset Value of the Trust at September 30, 2009 is
$391,862,696.
As Managing Operator, the Company has agreed to advance funds to
the Trust necessary to pay organization and offering costs
related to the Trusts initial and continuous offerings.
The Company is reimbursed by the Trust for the amount of such
costs applicable to certain Series of the Trust at the rate of
0.5% per annum of the applicable Series net assets. The
Company reflects a current receivable as of September 30,
2009 of $5,992 from CFT Series A and $1,445 from CFT
Series W for offering costs due to be reimbursed. Such
amount is included in Other receivables in the consolidated
balance sheet. The remaining unreimbursed offering costs of
$1,034,681 for CFT Series A, and $257,672 for CFT
Series W at September 30, 2009 is included in Other
assets in the consolidated balance sheet. They are carried on
the Companys books as an asset because of the probable
future economic benefit to be obtained from the eventual receipt
from the Trust of these reimbursements, even though the Trust is
not liable for this amount at the current time. The Company
analyzes the value of the unreimbursed organization and offering
costs on its consolidated balance sheet on a quarterly basis to
ensure that the carrying value is an accurate estimate of what
the Company can expect to receive over time, and expenses any
excess value on its books.
The Company also pays, up-front, a 2% commission to selling
agents who sell units of Series A of the Trust. The Company
is then reimbursed by the Trust for this cost, over twelve
months, through a fee, which is based on the monthly net asset
value of the Series A units. At September 30, 2009,
$238,165 in selling agent commissions are subject to future
reimbursement, of which $23,968 is included in Other receivables
in the consolidated balance sheet. The remaining $214,197 is
included in Other assets in the consolidated balance sheet.
In the event the Trust terminates prior to the completion of
reimbursement of the aforementioned costs, the Company will not
be entitled to any additional reimbursement from the Trust.
Generally, all investments in sponsored funds can be redeemed
from the sponsored funds either monthly or quarterly, subject to
any minimum investment requirements or other restrictions.
-120-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE SHEET (Continued)
(Unaudited)
|
|
Note 5.
|
INVESTMENTS
IN OTHER FUNDS
|
Investments in other funds consist of the following at
September 30, 2009:
|
|
|
|
|
Lyxor/Campbell Fund Limited
|
|
$
|
5,014,909
|
|
In September 2009, Campbell & Company made an
investment in an offshore fund, the Lyxor/Campbell
Fund Limited. The fund engages in the speculative trading
of futures, options, currencies, forward contracts and other
financial contracts and instruments. Campbell &
Company, Inc. acts as the Trading Advisor of the Fund.
|
|
Note 6.
|
INVESTING
ACTIVITIES AND RELATED RISKS
|
The sponsored or other funds for which the Company is either the
General Partner, Adviser, Managing Owner, Managing Member,
Managing Operator or Trading Advisor engage in the speculative
trading of U.S. and foreign futures contracts, forward
currency contracts and other derivative contracts (collectively,
derivatives). The sponsored funds are exposed to
both market risk, the risk arising from changes in the fair
value of the contracts, and credit risk, the risk of failure by
another party to perform according to the terms of a contract.
As the sponsored funds trade forward currency contracts and
options on forward currency contracts in unregulated markets
between principals, the sponsored funds also assume the risk of
loss from counterparty nonperformance.
Certain sponsored or other funds engage in the trading of
securities which are typically traded on an exchange or in the
over-the-counter market. Such sponsored or other funds also sell
securities not owned at the time of sale (a short
sale). Risks arise from short sales due to the possible
illiquidity of the securities markets and from potential adverse
movements in security values. Theoretically, short sales expose
such sponsored funds and the Company to potentially unlimited
liability as the ultimate obligation to purchase a security sold
short may exceed the amount recorded in such funds balance
sheet.
The Company maintains a large portion of its cash and cash
equivalents on deposit with financial institutions in connection
with its operating and cash management activities. In the event
of a financial institutions insolvency, recovery of
Company assets on deposit may be limited to account insurance or
other protection afforded such deposits.
For derivatives, risks arise from changes in the fair value of
the contracts. Theoretically, the sponsored or other funds and
the Company, as General Partner, Adviser, Managing Owner,
Managing Member, Managing Operator or Trading Advisor of the
sponsored or other funds, and as a direct investor in the
sponsored funds, are exposed to a market risk equal to the
notional contract value of derivatives purchased and unlimited
liability on derivatives sold short. As both a buyer and seller
of options, the sponsored or other funds pay or receive a
premium at the outset and then bear the risk of unfavorable
changes in the price of the contract underlying the option.
Written options expose the sponsored or other funds to
potentially unlimited liability, and purchased options expose
the sponsored or other funds to a risk of loss limited to the
premiums paid.
The Company has established procedures to actively monitor the
market risk and minimize the credit risk of such sponsored or
other funds, although there can be no assurance that it will, in
fact, succeed in doing so. Additionally, the Company, in its
capacity as General Partner, Managing Owner, Managing Member or
Managing Operator of the sponsored funds, is subject to certain
additional risks of loss and liability for the activities of the
sponsored funds.
In the normal course of business, the Company enters into
contracts and agreements that contain a variety of
representations and warranties and which provide general
indemnifications. The Companys maximum exposure under
these arrangements is unknown, as this would involve future
claims that may be made against the Company
-121-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE SHEET (Continued)
(Unaudited)
|
|
Note 7.
|
INDEMNIFICATIONS (Continued)
|
that have not yet occurred. The Company expects the risk of any
future obligation under these indemnifications to be remote.
|
|
Note 8.
|
CAPITAL
STOCK SUBJECT TO REPURCHASE
|
The Company has entered into agreements with its stockholders
which stipulate that upon the death or disability of a
stockholder or upon the retirement or termination of a
stockholders employment with the Company, the Company will
purchase the stockholders capital stock at an amount equal
to that shareholders proportionate share of ownership of
the net book asset value of the Company, excluding the retained
earnings of the Company accumulated over the past twelve
(12) months. Such redemption value shall be determined as
of the last day of the calendar quarter immediately preceding
the calendar month in which the terminating event occurred. In
accordance with ASC 480, Distinguishing Liabilities from Equity
(formerly FASB No. 150, Accounting for Certain
Financial Instruments with Characteristics of both Liabilities
and Equity), the redemption value of all capital stock
has been reclassified from retained earnings to liabilities
(Capital stock subject to repurchase, at current
redemption value) within the consolidated balance sheet.
Capital stock subject to repurchase at September 30, 2009
consists of:
|
|
|
|
|
Capital stock
|
|
|
|
|
Class A voting, no par, $100 stated value;
2,500 shares authorized; 80.32 shares issued and
outstanding
|
|
$
|
8,032
|
|
Additional paid-in capital, attributable to those shares
|
|
|
35,701
|
|
Retained earnings, attributable to those shares
|
|
|
1,535,988
|
|
|
|
|
|
|
|
|
$
|
1,579,721
|
|
|
|
|
|
|
|
|
Note 9.
|
SUBORDINATED
DEBT
|
The Company has entered into a working capital agreement with
its stockholders. This agreement provides for the issuance of
unsecured notes to the Company which are subordinated to any
future borrowings of the Company. Interest on any notes issued
in accordance with this agreement is payable annually at a rate
of 12.0%. Any unpaid principal balance is due on the sixth
anniversary date of the commencement date of each note, or if
sooner, five years after a stockholder (a noteholder) ceases to
be in the employ of the Company. At September 30, 2009,
$125,270,000 was outstanding under this agreement. Under the
terms of the notes, maturities by year are as follows:
|
|
|
|
|
2010
|
|
|
59,834,177
|
|
2011
|
|
|
4,923,850
|
|
2012
|
|
|
7,934,223
|
|
2014
|
|
|
27,567,750
|
|
2015
|
|
|
25,010,000
|
|
|
|
|
|
|
|
|
$
|
125,270,000
|
|
|
|
|
|
|
|
|
Note 10.
|
LEASE
OBLIGATIONS
|
The Company leases and occupies office facilities under
agreements which provide for minimum base annual rentals plus a
proportionate share of operating expenses. The leases for the
currently occupied office facilities expire
-122-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE SHEET (Continued)
(Unaudited)
|
|
Note 10.
|
LEASE
OBLIGATIONS (Continued)
|
on October 31, 2012 and January 31, 2021, but the
company has the option to renew the leases for 60 months
and two additional five-year terms, respectively.
Minimum base annual rentals through the original lease terms are
as follows:
|
|
|
|
|
Year ending Sept 30
|
|
|
|
|
2010
|
|
|
2,130,098
|
|
2011
|
|
|
2,172,700
|
|
2012
|
|
|
2,216,154
|
|
2013
|
|
|
2,202,975
|
|
2014
|
|
|
2,241,785
|
|
Thereafter
|
|
|
15,271,355
|
|
|
|
|
|
|
Total base annual rentals
|
|
$
|
26,235,067
|
|
|
|
|
|
|
|
|
Note 11.
|
PROFIT
SHARING PLAN
|
The Company has established a qualified 401(k) savings and
profit sharing plan (the Plan) for the benefit of its employees.
The Company is the plan administrator and certain Company
employees are trustees of the Plan. Under terms of the Plan,
employees may elect to defer a portion of their compensation.
The Company matches employee contributions up to a maximum of
8.75% of the employees compensation. The Company may also
make optional additional contributions to the Plan.
|
|
Note 12.
|
SUBSEQUENT
EVENTS
|
The Company purchased all common stock outstanding of Campbell
Financial Services, Inc. (CFS), an affiliated broker and dealer
in securities on October 20, 2009. Campbell &
Company, Inc. became the sole shareholder of CFS as a result of
the sale of the common stock. Effective October 20, 2009,
CFS is now a wholly-owned subsidiary which will be consolidated
for the Companys financial reporting purposes.
Management of the Company evaluated subsequent events through
December 17, 2009, the date the consolidated balance sheet
was issued.
|
|
Note 13.
|
INTERIM
CONSOLIDATED BALANCE SHEET
|
The consolidated balance sheet as of September 30, 2009 is
unaudited. In the opinion of management, it reflects all
adjustments, which were of a normal and recurring nature,
necessary for a fair presentation of the Companys
consolidated financial position as of September 30, 2009.
-123-
|
|
|
|
|
201 International Circle, Suite 400
Hunt Valley, Maryland 21030 USA
Tel: 410-771-0001 Fax: 410-785-9784
www.arthurbellepas.com
|
INDEPENDENT
AUDITORS REPORT
To the Stockholders and Board of Directors
Campbell & Company, Inc.
We have audited the accompanying consolidated balance sheet of
Campbell & Company, Inc. and subsidiary (collectively,
the Company) as of December 31, 2008. This
financial statement is the responsibility of the Companys
management. Our responsibility is to express an opinion on this
financial statement based on our audit.
We conducted our audit in accordance with auditing standards
generally accepted in the United States of America. Those
standards require that we plan and perform the audit to obtain
reasonable assurance about whether the consolidated balance
sheet is free of material misstatement. An audit includes
consideration of internal control over financial reporting as a
basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion
on the effectiveness of the Companys internal control over
financial reporting. Accordingly, we express no such opinion. An
audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the consolidated balance sheet.
An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as
evaluating the overall consolidated balance sheet presentation.
We believe that our audit provides a reasonable basis for our
opinion.
In our opinion, the consolidated balance sheet referred to above
presents fairly, in all material respects, the financial
position of Campbell & Company, Inc. and subsidiary as
of December 31, 2008, in conformity with accounting
principles generally accepted in the United States of America.
Hunt Valley, Maryland
May 13, 2009
-124-
|
|
|
|
|
ASSETS
|
|
|
|
|
Current assets
|
|
|
|
|
Cash and cash equivalents
|
|
$
|
35,781,756
|
|
Accounts receivable
|
|
|
|
|
Advisory and performance fees
|
|
|
9,686,784
|
|
Receivable from Campbell Strategic Allocation Fund, L.P.
|
|
|
8,768,035
|
|
Other receivables
|
|
|
1,859,328
|
|
|
|
|
|
|
Total current assets
|
|
|
56,095,903
|
|
|
|
|
|
|
Property and equipment
|
|
|
|
|
Furniture and office equipment
|
|
|
15,538,897
|
|
Leasehold improvements
|
|
|
1,676,410
|
|
|
|
|
|
|
|
|
|
17,215,307
|
|
Less accumulated depreciation and amortization
|
|
|
(10,882,814
|
)
|
|
|
|
|
|
Total property and equipment
|
|
|
6,332,493
|
|
|
|
|
|
|
Other assets
|
|
|
|
|
Cash surrender value of life insurance, net of policy loans of
$358,068
|
|
|
551,885
|
|
Investments in sponsored funds
|
|
|
108,332,936
|
|
Other
|
|
|
14,495,297
|
|
|
|
|
|
|
Total assets
|
|
$
|
185,808,514
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES
|
|
|
|
|
Current liabilities
|
|
|
|
|
Accounts payable and accrued expenses
|
|
$
|
33,658,956
|
|
Current portion of subordinated debt
|
|
|
31,980,000
|
|
|
|
|
|
|
Total current liabilities
|
|
|
65,638,956
|
|
Deferred rent expense
|
|
|
3,087,095
|
|
Subordinated debt
|
|
|
100,260,000
|
|
Capital stock subject to repurchase, at current redemption value
|
|
|
1,744,921
|
|
|
|
|
|
|
Total liabilities
|
|
|
170,730,972
|
|
|
|
|
|
|
STOCKHOLDERS EQUITY
|
|
|
|
|
Retained earnings
|
|
|
15,077,542
|
|
|
|
|
|
|
Total liabilities and stockholders equity
|
|
$
|
185,808,514
|
|
|
|
|
|
|
See accompanying notes.
-125-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE SHEET
|
|
Note 1.
|
ORGANIZATION
AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
|
The consolidated balance sheet of Campbell & Company,
Inc. includes the accounts of Campbell & Company, Inc.
and its wholly-owned subsidiary, Campbell & Company
Investment Adviser LLC (CCIA). Campbell & Company,
Inc. is incorporated in Maryland and earns fees as a commodity
trading advisor. CCIA was formed on January 31, 2005 as a
limited liability company under the laws of Delaware. CCIA is
registered under the Investment Advisers Act of 1940, as
amended, as an investment adviser. Campbell & Company,
Inc. is the sole member of CCIA.
Campbell & Company, Inc. 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. It is also subject to the rules
of the National Futures Association, an industry self-regulatory
organization, and the requirements of commodity exchanges,
Futures Commission Merchants (brokers), and interbank market
makers through which it trades. CCIA is subject to the
regulations of the Securities and Exchange Commission under the
Investment Advisers Act of 1940.
The consolidated balance sheet includes the accounts of
Campbell & Company, Inc. and CCIA (collectively, the
Company). Significant intercompany accounts and
transactions have been eliminated in consolidation.
The Companys consolidated balance sheet is presented in
accordance with accounting principles generally accepted in the
United States of America. The preparation of the consolidated
balance sheet in conformity with accounting principles generally
accepted in the United States of America requires management to
make estimates and assumptions that affect the reported amounts
of assets and liabilities and disclosures of contingent assets
and liabilities at the date of the consolidated balance sheet.
Actual results could differ from those estimates, and such
differences may be material to the consolidated balance sheet.
|
|
|
|
B.
|
Cash and Cash Equivalents
|
Cash and cash equivalents consist of cash, certificates of
deposit and money market mutual funds readily convertible into
cash.
Advisory and management fees accrue monthly based on a
percentage of assets under management. Performance fees may be
earned by achieving defined performance objectives. Performance
fees are accrued when the conditions of the applicable
performance fee agreements are satisfied. For the period
January 1, 2008 to December 31, 2008, CCIA waived the
advisory fees of all accounts managed by CCIA of approximately
$7,080,632.
|
|
|
|
D.
|
Property and Equipment
|
Property and equipment are stated at cost. Depreciation and
amortization is provided for over the estimated useful lives of
the assets using straight-line and accelerated methods. Such
lives range from 3 to 39 years.
Effective January 1, 2008, the Company adopted Statement of
Financial Accounting Standards No. 157, Fair Value
Measurements (FAS 157). FAS 157 defines fair
value, establishes a framework for measuring fair value and
expands disclosure about fair value measurement. FAS 157 defines
fair value
-126-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE
SHEET (Continued)
|
|
Note 1.
|
ORGANIZATION
AND SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES (Continued)
|
as the price that would be received to sell an asset or paid to
transfer a liability in an orderly transaction between market
participants at the measurement date. FAS 157 requires use
of a fair value hierarchy that prioritizes the inputs to
valuation techniques used to measure fair value into three broad
levels: quoted market prices in active markets for identical
assets or liabilities (Level 1); inputs other than quoted
market prices that are observable for the asset or liability,
either directly or indirectly (Level 2); and unobservable
inputs for an asset or liability (Level 3).
The adoption of FAS 157 did not have a material impact on
the Companys consolidated balance sheet.
|
|
|
|
F.
|
Investments in Sponsored Funds
|
Investments in sponsored funds are reported at fair value at the
date of the consolidated balance sheet. Fair value ordinarily is
the value determined for each sponsored fund in accordance with
such sponsored funds valuation policies and reported at
the time of the Companys valuation. Generally, the fair
value of the Companys investment in a sponsored fund
equals the underlying net asset value and represents the amount
the Company could reasonable expect to receive from such
sponsored fund if the Companys investment was redeemed at
the time of valuation.
The Company has elected S corporation status under the
Internal Revenue Code, pursuant to which the Company does not
pay U.S. or Maryland income taxes. The Company is subject
to state income taxes in certain states in which it conducts
business and adequate provision for such is provided for in the
consolidated balance sheet. The Companys taxable income is
taxable to the stockholders on an individual basis.
The Company has continued to evaluate the application of
Financial Accounting Standards Board (FASB) Interpretation
No. 48 (FIN 48) entitled Accounting For
Uncertainty in Income Taxes an interpretation of
FASB Statement No. 109 to the Company, and has
determined that FIN 48 does not have a material impact on
the Companys consolidated balance sheet. The Company files
U.S. federal and state tax returns. The 2005 through 2008
tax years generally remain subject to examination by
U.S. federal and most state tax authorities.
The following summarizes the Companys assets accounted for
at fair value at December 31, 2008 using the fair value
hierarchy of FAS 157:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
|
Cash equivalents
|
|
$
|
29,638,754
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
29,638,754
|
|
Investments in sponsored funds
|
|
|
|
|
|
|
108,332,936
|
|
|
|
|
|
|
|
108,332,936
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
29,638,754
|
|
|
$
|
108,332,936
|
|
|
$
|
|
|
|
$
|
137,971,690
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
-127-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE
SHEET (Continued)
|
|
Note 2.
|
FAIR
VALUE (Continued)
|
The following summarizes the carrying amount and fair value of
the Companys other financial instruments at
December 31, 2008:
|
|
|
|
|
|
|
|
|
|
|
Carrying
|
|
|
Fair
|
|
Assets
|
|
Amount
|
|
|
Value
|
|
|
Cash surrender value of life insurance
|
|
$
|
551,885
|
|
|
$
|
551,885
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
Subordinated debt
|
|
$
|
132,240,000
|
|
|
$
|
132,240,000
|
|
|
|
|
|
|
|
|
|
|
|
|
Note 3.
|
INVESTMENTS
IN SPONSORED FUNDS
|
Investments in sponsored funds consist of the following at
December 31, 2008:
|
|
|
|
|
The Campbell Multi-Strategy Trust
|
|
$
|
48,591,288
|
|
Campbell Strategic Allocation Fund, L.P.
|
|
|
27,266,756
|
|
The Campbell Global Assets Fund Limited SAC
|
|
|
10,084,318
|
|
The Campbell Qualified Multi-Strategy Fund L.L.C.
|
|
|
17,801,475
|
|
Campbell Alternative Asset Trust
|
|
|
2,306,948
|
|
Campbell Financial Futures Fund Limited Partnership
|
|
|
2,230,680
|
|
The Campbell Fund Trust
|
|
|
51,471
|
|
|
|
|
|
|
Total
|
|
$
|
108,332,936
|
|
|
|
|
|
|
In addition to its investments in these sponsored funds, the
Company has General Partner, Adviser, Managing Owner, Managing
Member, or Managing Operator responsibilities with regards to
the following:
The
Campbell Multi-Strategy Trust
The Company acts as Adviser of The Campbell Multi-Strategy Trust
(CMST).
The Campbell Multi-Strategy Trust (continued)
Summarized financial information with respect to CMST as of
December 31, 2008 is as follows:
|
|
|
|
|
Balance Sheet Data
|
|
|
|
|
Assets
|
|
$
|
307,457,679
|
|
Liabilities
|
|
|
109,228,698
|
|
|
|
|
|
|
Net Asset Value
|
|
$
|
198,228,981
|
|
|
|
|
|
|
The Company has agreed to advance funds to CMST necessary to pay
organization and offering costs related to CMSTs initial
and continuous offerings. The Company is reimbursed such amounts
by CMST at the rate of 0.75% per annum of CMSTs net
assets. The Company reflects a receivable of $132,691 as of
December 31, 2008 from CMST for offering costs due to be
reimbursed. Such amount is included in Other receivables in the
consolidated balance sheet. The remaining unreimbursed offering
costs of $1,929,856 at December 31, 2008 is included in
Other assets in the consolidated balance sheet. They are carried
on the Companys books as an asset because of the probable
future economic benefit to be obtained from the eventual receipt
from CMST of these reimbursements, even though CMST is not
liable for this amount at the current time. In the event CMST
terminates prior to the completion of any reimbursement of the
offering costs, the Company will not be entitled to any
-128-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE
SHEET (Continued)
|
|
Note 3.
|
INVESTMENTS
IN SPONSORED FUNDS (Continued)
|
additional reimbursement from CMST. The Company analyzes the
value of the unreimbursed organization and offering costs on its
consolidated balance sheet on a quarterly basis to ensure that
the carrying value is an accurate estimate of what the Company
can expect to receive over time, and expenses any excess value
on its books.
Campbell
Strategic Allocation Fund, L.P.
The Company is the General Partner and commodity trading advisor
of Campbell Strategic Allocation Fund, L.P. (Strategic). As
General Partner, the Company receives from Strategic a monthly
brokerage fee and a quarterly performance fee. Such fees
represented approximately 64% of the Companys advisory and
performance fee revenues. Of these fees, $6,357,880 is included
in advisory and performance fees receivable at December 31,
2008. The Net Asset Value of Strategic at December 31, 2008
is $2,455,893,892.
The Company has committed to maintaining an investment in
Strategic equal to at least 1% of the net aggregate capital
contributions of all partners. The Company is further bound by
Strategics Amended Agreement of Limited Partnership to
maintain net worth equal to at least 5% of the capital
contributed by all the limited partnerships for which the
Company acts as General Partner. 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.
As General Partner, the Company incurs costs in connection with
Strategics initial and continuous offerings. The Company
reflects a receivable of $309,964 as of December 31, 2008,
from Strategic for offering costs due to be reimbursed. Such
amount is included in Receivable from Campbell Strategic
Allocation Fund, L.P. in the consolidated balance sheet. The
remaining unreimbursed offering costs of $616,555 at
December 31, 2008 is included in Other assets in the
consolidated balance sheet. They are carried on the
Companys books as an asset because of the probable future
economic benefit to be obtained from the eventual receipt from
Strategic of these reimbursements, even though Strategic is not
liable for this amount at the current time. The Company
recognizes the newly recalculated amount due from Strategic each
month as a receivable, which reduces the balance remaining as an
Other asset. The Company analyzes the value of the remaining
Other asset on its consolidated balance sheet on a quarterly
basis to ensure that the carrying value is an accurate estimate
of what the Company can expect to receive over time, and
expenses any excess value on its books.
Prior to July 1, 2008, the Company also paid, up-front, a
4% commission to selling agents for Strategic. The Company is
then reimbursed by Strategic for this cost, over twelve months,
through a brokerage fee which is based on the monthly net asset
value of Strategic. At December 31, 2008, $8,906,473 in
selling agent commissions are subject to future reimbursement,
of which $8,458,071 is included in Receivable from Campbell
Strategic Allocation Fund, L.P. and $448,402 is included in
Other assets in the consolidated balance sheet.
In the event Strategic terminates prior to the completion of any
reimbursement of the aforementioned costs, the Company will not
be entitled to any additional reimbursement from Strategic.
The
Campbell Global Assets Fund Limited SAC
The Company is the Trading Advisor of The Campbell Global Assets
Fund Limited SAC (CGAF), an international business company
incorporated in The Bahamas.
Summarized financial information with respect to CGAF as of
December 31, 2008 is as follows:
|
|
|
|
|
Balance Sheet Data
|
|
|
|
|
Assets
|
|
$
|
59,717,345
|
|
Liabilities
|
|
|
10,167,839
|
|
|
|
|
|
|
Net Asset Value
|
|
$
|
49,549,506
|
|
|
|
|
|
|
-129-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE
SHEET (Continued)
|
|
Note 3.
|
INVESTMENTS
IN SPONSORED FUNDS (Continued)
|
The
Campbell Qualified Multi-Strategy Fund L.L.C.
The Company acts as Managing Member of The Campbell Qualified
Multi-Strategy Fund L.L.C. (CQMSF).
Summarized financial information with respect to CQMSF as of
December 31, 2008 is as follows:
|
|
|
|
|
Balance Sheet Data
|
|
|
|
|
Assets
|
|
$
|
128,319,997
|
|
Liabilities
|
|
|
40,116,522
|
|
|
|
|
|
|
Net Asset Value
|
|
$
|
88,203,475
|
|
|
|
|
|
|
Campbell
Alternative Asset Trust
The Company is the Managing Owner and commodity trading advisor
of Campbell Alternative Asset Trust (CAAT). The Trustee of CAAT
has delegated to the Managing Owner all of the power and
authority to manage the business affairs of CAAT. The Net Asset
Value of CAAT at December 31, 2008 is $35,835,483.
The Company has committed to maintaining an investment in CAAT
equal to at least 1% of the total capital accounts of CAAT. The
Companys capital account balance as of December 31,
2008 is $2,306,948. The Company is further bound by CAATs
Third Amended and Restated Declaration of Trust and
Trust Agreement to maintain net worth equal to at least
$1,000,000.
As Managing Owner, the Company has agreed to advance funds to
CAAT necessary to pay organization and offering costs related to
CAATs initial and continuous offerings. The Company is
reimbursed such amounts by CAAT at the rate of 0.9% per annum of
CAATs net assets. The Company reflects a receivable of
$9,025 at December 31, 2008 from CAAT for offering costs
due to be reimbursed. Such amount is included in Other
receivables in the consolidated balance sheet. The remaining
unreimbursed offering costs of $105,026 at December 31,
2008 is included in Other assets in the consolidated balance
sheet. They are carried on the Companys books as an asset
because of the probable future economic benefit to be obtained
from the eventual receipt from CAAT of these reimbursements,
even though CAAT is not liable for this amount at the current
time. In the event CAAT terminates prior to the completion of
any reimbursement of the offering costs, the Company will not be
entitled to any additional reimbursement from CAAT. The Company
analyzes the value of the unreimbursed organization and offering
costs on its consolidated balance sheet on a quarterly basis to
ensure that the carrying value is an accurate estimate of what
the Company can expect to receive over time, and expenses any
excess value on its books.
Campbell
Financial Futures Fund Limited Partnership
The Company acts as General Partner of Campbell Financial
Futures Fund Limited Partnership (Financial Futures). The
Net Asset Value of Financial Futures as of December 31,
2008 is $32,276,165.
The
Campbell Fund Trust
The Company is the Managing Operator of The Campbell
Fund Trust (the Trust). The Trustee of the Trust has
delegated to the Managing Operator all of the power and
authority to manage the business affairs of the Trust. The Net
Asset Value of the Trust at December 31, 2008 is
$501,206,565.
As Managing Operator, the Company has agreed to advance funds to
the Trust necessary to pay organization and offering costs
related to the Trusts initial and continuous offerings.
The Company is reimbursed by the Trust for the amount of such
costs applicable to certain Series of the Trust at the rate of
0.5% per annum of the applicable
-130-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE
SHEET (Continued)
|
|
Note 3.
|
INVESTMENTS
IN SPONSORED FUNDS (Continued)
|
Series net assets. The Company reflects a receivable of
$143,583 at December 31, 2008 for such unreimbursed
offering costs which is included in Other assets in the
consolidated balance sheet. They are carried on the
Companys books as an asset because of the probable future
economic benefit to be obtained from the eventual receipt from
the Trust of these reimbursements, even though the Trust is not
liable for this amount at the current time. The Company analyzes
the value of the unreimbursed organization and offering costs on
its consolidated balance sheet on a quarterly basis to ensure
that the carrying value is an accurate estimate of what the
Company can expect to receive over time, and expenses any excess
value on its books.
The Company also pays, up-front, a 2% commission to selling
agents who sell units of Series A of the Trust. The Company
is then reimbursed by the Trust for this cost, over twelve
months, through a fee, which is based on the monthly net asset
value of the Series A units. At December 31, 2008,
$50,768 in selling agent commissions are subject to future
reimbursement, which is included in Other receivables in the
consolidated balance sheet.
In the event the Trust terminates prior to the completion of
reimbursement of the aforementioned costs, the Company will not
be entitled to any additional reimbursement from the Trust.
Generally, all investments in sponsored funds can be redeemed
from the sponsored funds either monthly or quarterly, subject to
any minimum investment requirements or other restrictions.
|
|
Note 4.
|
INVESTING
ACTIVITIES AND RELATED RISKS
|
The sponsored funds for which the Company is either the General
Partner, Adviser, Managing Owner, Managing Member or Managing
Operator engage in the speculative trading of U.S. and
foreign futures contracts, forward currency contracts and other
derivative contracts (collectively, derivatives).
The sponsored funds are exposed to both market risk, the risk
arising from changes in the fair value of the contracts, and
credit risk, the risk of failure by another party to perform
according to the terms of a contract. As the sponsored funds
trade forward currency contracts and options on forward currency
contracts in unregulated markets between principals, the
sponsored funds also assume the risk of loss from counterparty
nonperformance.
Certain sponsored funds engage in the trading of securities
which are typically traded on an exchange or in the
over-the-counter market. Such sponsored funds also sell
securities not owned at the time of sale (a short
sale). Risks arise from short sales due to the possible
illiquidity of the securities markets and from potential adverse
movements in security values. Theoretically, short sales expose
such sponsored funds and the Company to potentially unlimited
liability as the ultimate obligation to purchase a security sold
short may exceed the amount recorded in such sponsored funds
balance sheet.
The Company maintains a large portion of its cash and cash
equivalents on deposit with financial institutions in connection
with its operating and cash management activities. In the event
of a financial institutions insolvency, recovery of
Company assets on deposit may be limited to account insurance or
other protection afforded such deposits.
For derivatives, risks arise from changes in the fair value of
the contracts. Theoretically, the sponsored funds and the
Company, as General Partner, Adviser, Managing Owner, Managing
Member or Managing Operator of the sponsored funds, and as a
direct investor in the sponsored funds, are exposed to a market
risk equal to the notional contract value of derivatives
purchased and unlimited liability on derivatives sold short. As
both a buyer and seller of options, the sponsored funds pay or
receive a premium at the outset and then bear the risk of
unfavorable changes in the price of the contract underlying the
option. Written options expose the sponsored funds to
potentially unlimited liability, and purchased options expose
the sponsored funds to a risk of loss limited to the premiums
paid.
The Company has established procedures to actively monitor the
market risk and minimize the credit risk of such sponsored
funds, although there can be no assurance that it will, in fact,
succeed in doing so. Additionally, the
-131-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE
SHEET (Continued)
|
|
Note 4.
|
INVESTING
ACTIVITIES AND RELATED
RISKS (Continued)
|
Company, in its capacity as General Partner, Managing Owner,
Managing Member or Managing Operator of the sponsored funds, is
subject to certain additional risks of loss and liability for
the activities of the sponsored funds.
In the normal course of business, the Company enters into
contracts and agreements that contain a variety of
representations and warranties and which provide general
indemnifications. The Companys maximum exposure under
these arrangements is unknown, as this would involve future
claims that may be made against the Company that have not yet
occurred. The Company expects the risk of any future obligation
under these indemnifications to be remote.
|
|
Note 6.
|
CAPITAL
STOCK SUBJECT TO REPURCHASE
|
The Company has entered into agreements with its stockholders
which stipulate that upon the death or disability of a
stockholder or upon the retirement or termination of a
stockholders employment with the Company, the Company will
purchase the stockholders capital stock at an amount equal
to that shareholders proportionate share of ownership of
the net book asset value of the Company, excluding the retained
earnings of the Company accumulated over the past twelve
(12) months. Such redemption value shall be determined as
of the last day of the calendar quarter immediately preceding
the calendar month in which the terminating event occurred. In
accordance with Statement of Financial Accounting Standards
No. 150, Accounting for Certain Financial
Instruments with Characteristics of both Liabilities and
Equity, the redemption value of all capital stock has
been reclassified from retained earnings to liabilities
(Capital stock subject to repurchase, at current
redemption value) within the consolidated balance sheet.
Capital stock subject to repurchase at December 31, 2008
consists of:
|
|
|
|
|
Capital stock
|
|
|
|
|
Class A voting, no par, $100 stated value;
2,500 shares authorized; 88.73 shares issued and
outstanding
|
|
$
|
8,873
|
|
Additional paid-in capital, attributable to those shares
|
|
|
39,434
|
|
Retained earnings, attributable to those shares
|
|
|
1,696,614
|
|
|
|
|
|
|
|
|
$
|
1,744,921
|
|
|
|
|
|
|
|
|
Note 7.
|
SUBORDINATED
DEBT
|
The Company has entered into a working capital agreement with
its stockholders. This agreement provides for the issuance of
unsecured notes to the Company which are subordinated to any
future borrowings of the Company. Interest on any notes issued
in accordance with this agreement is payable annually at a rate
of 12.0%. Any unpaid principal balance is due on the sixth
anniversary date of the commencement date of each note, or if
sooner, five years
-132-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE
SHEET (Continued)
|
|
Note 7.
|
SUBORDINATED
DEBT (Continued)
|
after a stockholder (a noteholder) ceases to be in the employ of
the Company. At December 31, 2008, $132,240,000 was
outstanding under this agreement. Under the terms of the notes,
maturities by year are as follows:
|
|
|
|
|
2009
|
|
$
|
31,980,000
|
|
2010
|
|
|
59,834,177
|
|
2011
|
|
|
4,923,850
|
|
2012
|
|
|
7,934,223
|
|
2014
|
|
|
27,567,750
|
|
|
|
|
|
|
|
|
$
|
132,240,000
|
|
|
|
|
|
|
|
|
Note 8.
|
LEASE
OBLIGATIONS
|
The Company leases and occupies office facilities under
agreements which provide for minimum base annual rentals plus a
proportionate share of operating expenses. The leases for the
currently occupied office facilities originally expired on
September 30, 2010 and October 31, 2012. The Company
had the option to renew the leases for an additional
60 months. During November 2008, the Company entered into
an agreement with the landlord to buy out the remaining portion
of the Companys primary office location lease, expiring on
September 30, 2010, as of March 31, 2009 for a
termination amount of approximately $1.2 million.
In May 2007, the Company signed a lease to occupy new office
facilities under construction, with rent payment and occupancy
occurring during February 2009. The lease expires on
January 31, 2021, but the Company has the option to renew
the lease for two additional five-year terms. The lease
commencement date, which is the date the facilities were
delivered to the Company, was November 1, 2008. The
remaining book value of leasehold improvements associated with
the currently occupied office facilities is being amortized
through February 2009.
Minimum base annual rentals through the original lease terms are
as follows:
|
|
|
|
|
Year ending December 31
|
|
|
|
|
2009
|
|
$
|
2,164,715
|
|
2010
|
|
|
2,147,256
|
|
2011
|
|
|
2,190,201
|
|
2012
|
|
|
2,223,604
|
|
2013
|
|
|
2,215,725
|
|
Thereafter
|
|
|
17,014,222
|
|
|
|
|
|
|
Total base annual rentals
|
|
$
|
27,955,723
|
|
|
|
|
|
|
|
|
Note 9.
|
PROFIT
SHARING PLAN
|
The Company has established a qualified 401(k) savings and
profit sharing plan (the Plan) for the benefit of its employees.
The Company is the plan administrator and certain Company
employees are trustees of the Plan. Under terms of the Plan,
employees may elect to defer a portion of their compensation.
The Company matches employee contributions up to a maximum of
8.75% of the employees compensation. The Company may also
make optional additional contributions to the Plan.
-133-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE
SHEET (Continued)
|
|
Note 10.
|
SUBSEQUENT
EVENTS
|
During January 2009, the Company authorized distributions to its
stockholders aggregating $15,077,542. Such distributions were
made in cash to stockholders during February 2009.
During 2009, the Company intends on purchasing all common stock
outstanding of Campbell Financial Services, Inc. (CFS), an
affiliated broker and dealer in securities and, accordingly,
will become sole shareholder of common stock of CFS. CFS would
then become a wholly-owned subsidiary which would be
consolidated for the Companys financial reporting purposes.
-134-
PART TWO
STATEMENT OF ADDITIONAL
INFORMATION
CAMPBELL STRATEGIC ALLOCATION
FUND, L.P.
$331,000,000
CAMPBELL CLASSIC TREND FUND,
L.P.
$100,000,000 Class A
Limited Partnership Units
$100,000,000 Class B Limited Partnership Units
$100,000,000 Class C Limited Partnership Units
$100,000,000 Class D Limited Partnership Units
Class E Limited Partnership Units
Units of Limited Partnership Interest
These are speculative, leveraged investments which involve
the risk of loss.
Past performance is not necessarily indicative of future
results.
See The Risks You Face and Conflicts of
Interest in Part One.
THIS PROSPECTUS IS IN TWO PARTS: A DISCLOSURE
DOCUMENT AND A STATEMENT OF ADDITIONAL INFORMATION. THESE PARTS
ARE BOUND TOGETHER, AND BOTH CONTAIN IMPORTANT INFORMATION.
CAMPBELL & COMPANY,
INC.
General Partner of Both Funds
,
20
PART TWO
STATEMENT OF ADDITIONAL INFORMATION
TABLE OF CONTENTS
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139
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146
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156
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158
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APP-1
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A-1
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B-1
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C-1
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D-1
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E-1
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F-1
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Futures
Contracts
Futures contracts are standardized agreements traded on
commodity exchanges that call for the future delivery of the
commodity or financial instrument at a specified time and place.
A futures trader that enters into a contract to take delivery of
the underlying commodity is long the contract, or
has bought the contract. A trader that is obligated
to make delivery is short the contract or has
sold the contract. Actual delivery on the contract
rarely occurs. Futures traders usually offset (liquidate) their
contract obligations by entering into equal but offsetting
futures positions. For example, a trader who is long one
September Treasury bond contract on the Chicago Board of Trade
can offset the obligation by entering into a short position in a
September Treasury bond contract on that exchange. Futures
positions that have not yet been liquidated are known as
open contracts or positions.
Futures contracts are traded on a wide variety of commodities,
including agricultural products, metals, energies, livestock
products, government securities, currencies and stock market
indices. Options on futures contracts are also traded on
U.S. and foreign commodity exchanges. The Fund concentrates
its futures trading in financial instruments, such as interest
rate, foreign exchange and stock index contracts, and metal and
energy contracts.
Forward
Contracts
Currencies and other commodities may be purchased or sold for
future delivery or cash settlement through banks or dealers
pursuant to forward, option or swap contracts. Currencies also
can be traded pursuant to futures contracts on organized futures
exchanges; however, Campbell & Company will use the
dealer market in foreign exchange contracts for most of the
Funds trading in currencies. Such dealers will act as
principals in these transactions and will include
their profit in the price quoted on the contracts. Unlike
futures contracts, foreign exchange contracts are not
standardized. In addition, the forward market is largely
unregulated. Forward contracts are not cleared or
guaranteed by a third party. Thus, the Funds are subject to the
creditworthiness of the
over-the-counter
counterparties with whom it maintains all assets and positions
relating to the Funds forward and option contract
investments. There also is no daily settlement of unrealized
gains or losses on open foreign exchange contracts as there is
with futures contracts on U.S. exchanges.
Option
Contracts
An option on a futures contract or on a physical commodity or
currency gives the buyer of the option the right to take a
position of a specified amount at a specified price in a
specific underlying instrument (the striking,
strike or exercise price). The buyer of
a call option acquires the right to take a long
position (i.e., the obligation to take delivery of a specified
amount at a specified price in a specific underlying
instrument). The buyer of a put option acquires the
right to take a short position (i.e., the obligation to make
delivery of a specified amount at a specified price in a
specific underlying instrument).
The purchase price of an option is referred to as its
premium. The seller (or writer) of an
option is obligated to take a position at a specified price
opposite to the option buyer if the option is exercised. Thus,
the seller of a call option must stand ready to sell (take a
short position in) the underlying instrument at the striking
price if the buyer should exercise the option. The seller of a
put option, on the other hand, must stand ready to buy (take a
long position in) the underlying instrument at the striking
price if the buyer should exercise the option.
A call option is said to be in the money if the
striking price is below current market levels, and out of
the money if the striking price is above current market
levels. Conversely, a put option is said to be in the
money if the striking price is above current market
levels, and out of the money if the striking price
is below current market levels.
Options have limited lifespans. An option that is out of the
money and not offset by the time it expires becomes worthless.
Options usually trade at a premium above their intrinsic value
(i.e., the difference between the market price for the
underlying instrument and the striking price), because the
option trader is speculating on (or hedging against) future
movements in the price of the underlying instrument. As an
option nears its expiration date, the market value and intrinsic
value typically move into parity. The difference between an
options intrinsic value and market value is referred to as
the time value of the option.
Swap
Transactions
In the future, the Funds may periodically enter into
transactions in the forward or other markets which
-137-
could be characterized as swap transactions and which may
involve interest rates, currencies, securities interests,
commodities and other items. A swap transaction is an
individually negotiated, non-standardized agreement between two
parties to exchange cash flows measured by different interest
rates, exchange rates, or prices, with payments calculated by
reference to a principal (notional) amount or
quantity. Transactions in these markets present risks similar to
those in the futures, forward and options markets:
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(1)
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the swap markets are generally not regulated by any United
States or foreign governmental authorities;
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(2)
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there are generally no limitations on daily price moves in swap
transactions;
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(3)
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speculative position limits are not applicable to swap
transactions, although the counterparties with which the Funds
may deal may limit the size or duration of positions available
as a consequence of credit considerations;
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(4)
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participants in the swap markets are not required to make
continuous markets in swaps contracts; and
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(5)
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the swap markets are principal markets, in which
performance with respect to a swap contract is the
responsibility only of the counterparty with which the trader
has entered into a contract (or its guarantor, if any), and not
of any exchange or clearinghouse. As a result, the Funds will be
subject to the risk of the inability of or refusal to perform
with respect to such contracts on the part of the counterparties
with which the Funds trade.
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In 1993, the CFTC adopted Part 35 to its Rules which
provides non-exclusive safe harbor treatment from regulation
under the Commodity Exchange Act for swap transactions which
meet certain specified criteria, over which the CFTC will not
exercise its jurisdiction and regulate as futures or commodity
option transactions. In addition, on December 21, 2000, the
Commodity Futures Modernization Act of 2000 amended the
Commodity Exchange Act so that it does not apply to any
agreement, contract, or transaction in a commodity, other than
an agricultural commodity (including swap transactions), if the
agreement, contract, or transaction is entered into only between
eligible contract participants (which includes commodity pools
meeting certain capitalization requirements), is subject to
individual negotiation by the parties, and is not executed or
traded on a trading facility. It is expected that the Funds will
engage only in swap transactions for which such exemptive/safe
harbor relief is available. If the Funds were restricted in its
ability to trade in the swap markets, the activities of
Campbell & Company, to the extent that it trades in
such markets on behalf of the Funds, might be materially
affected.
In 2008, various federal and state regulators have discussed
adopting or enacting new regulatory and legal requirements for
swap transactions, including the clearing of such transactions
through a centralized clearinghouse. It is possible that new
regulatory or legal requirements could materially affect or
restrict the ability of Campbell & Company to trade in
the swap markets on behalf of the Funds.
Regulation
The U.S. futures markets are regulated under the Commodity
Exchange Act, which is administered by the CFTC, a federal
agency created in 1974. The CFTC licenses and regulates
commodity exchanges, commodity pool operators, commodity trading
advisors and clearing firms which are referred to in the futures
industry as futures commission merchants.
Campbell & Company is licensed by the CFTC as a
commodity pool operator and commodity trading advisor. Futures
professionals are also regulated by the NFA, a self-regulatory
organization for the futures industry that supervises the
dealings between futures professionals and their customers. If
its pertinent CFTC licenses or NFA memberships were to lapse, be
suspended or be revoked, Campbell & Company would be
unable to act as the Funds commodity pool operator and
commodity trading advisor.
The CFTC has adopted disclosure, reporting and recordkeeping
requirements for commodity pool operators and disclosure and
recordkeeping requirements for commodity trading advisors. The
reporting rules require pool operators to furnish to the
participants in their pools a monthly statement of account,
showing the pools income or loss and change in net asset
value, and an annual financial report, audited by an independent
certified public accountant.
The CFTC and the exchanges have pervasive powers over the
futures markets, including the emergency power to suspend
trading and order trading for liquidation of existing positions
only. The exercise of such powers could adversely affect the
Funds trading.
-138-
The CFTC does not regulate forward contracts. Federal and state
banking authorities also do not regulate forward trading or
forward dealers. Trading in foreign currency forward contracts
may be less liquid and the Funds trading results may be
adversely affected.
Margin
The Fund will use margin in its trading. In order to establish
and maintain a futures position, a trader must make a type of
good-faith deposit with its broker, known as margin,
of approximately 2%-10% of contract value. Minimum margins are
established for each futures contract by the exchange on which
the contract is traded. The exchanges alter their margin
requirements from time to time, sometimes significantly. For
their protection, futures brokers may require higher margins
from their customers than the exchange minimums. Margin also is
deposited in connection with forward contracts, but is not
required by any applicable regulation.
There are two types of margin. Initial margin is the
amount a trader is required to deposit with its broker to open a
futures position. The other type of margin is
maintenance margin. When the contract value of a
traders futures position falls below a certain percentage,
typically about 75%, of its value when the trader established
the position, the trader is required to deposit additional
margin in an amount equal to the loss in value.
INVESTMENT
FACTORS
The
Advantages of Non-Correlation and Diversification of Your
Portfolio
The Nobel Prize for Economics in 1990 was awarded to
Dr. Harry Markowitz for demonstrating that the total return
can increase,
and/or risk
can be reduced, when portfolios have positively performing asset
categories that are essentially non-correlated. Even many
seemingly diverse portfolios may actually be quite correlated.
For instance, over time, alternative investment classes such as
real estate and international stocks and bonds may correlate
closely with domestic equities as the global economy expands and
contracts.
Historically, alternative investments such as managed futures
funds have had very little correlation to the stock and bond
markets. Campbell & Company believes that the
performance of the Fund should also exhibit a substantial degree
of non-correlation (not, however, necessarily negative
correlation) with the performance of traditional equity and debt
portfolio components, in part because of the ease of selling
futures short. This feature of futures being able to
be long or short a futures position with similar
ease means that profit and loss from futures trading
is not dependent upon economic or geopolitical prosperity or
stability.
However, non-correlation will not provide any diversification
advantages unless the non-correlated assets are outperforming
other portfolio assets, and there is no guarantee that the Fund
will outperform other sectors of an investors portfolio
(or not produce losses). Additionally, although adding managed
futures funds to a portfolio may provide diversification,
managed futures funds are not a hedging mechanism and there is
no guarantee that managed futures funds will appreciate during
periods of inflation or stock and bond market declines.
Non-correlated performance should not be confused with
negatively correlated performance. Non-correlation means only
that the Funds performance will likely have no relation to
the performance of equity and debt instruments, reflecting
Campbell & Companys belief that factors that
affect equity and debt prices may affect the Fund differently
and that certain factors which affect the former may not affect
the latter. The net asset value per Unit may decline or increase
more or less than equity and debt instruments during both rising
and falling markets. Campbell & Company has no
expectation that the Funds performance will be negatively
correlated to the general debt and equity markets, i.e.,
likely to be profitable when the latter are unprofitable or vice
versa.
Advantages
of Managed Futures Fund Investments
Both the futures, forward and option markets and funds investing
in those markets offer many structural advantages that make
managed futures an efficient way to participate in global
markets.
Profit
or Loss Potential
Futures and related contracts can easily be leveraged, which
magnifies the potential profit or loss.
100%
Interest Credit
Unlike some other alternative investment funds, the Funds do not
borrow money in order to obtain leverage, so the Funds do not
incur any interest expense. Rather, the Funds margin
deposits are
-139-
maintained in cash and cash equivalents, such as
U.S. Treasury bills, and the Funds earn interest on 100% of
the Funds available assets, which include unrealized
profits credited to the Funds accounts held at the futures
brokers.
Global
Diversification Within a Single Investment
Futures and related contracts can be traded in many countries,
which makes it possible to diversify risk around the world. This
diversification is available both geographically and across
market sectors. For example, an investor can trade interest
rates, stock indices and currencies in several countries around
the world, as well as energy, metals, soft commodities and other
commodities.
While the Funds themselves trade across a diverse selection of
global markets, an investment in the Funds is not a substitute
for overall portfolio diversification.
Ability
to Profit or Lose in a Rising or Falling Market
Environment
The Funds can establish short positions and thereby profit from
declining markets as easily as they can establish long
positions. This potential to make or lose money, whether markets
are rising or falling around the world, makes managed futures
particularly attractive to sophisticated investors. Of course,
if markets go higher while the Funds have a short position, the
Funds will lose money until the short position is exited and
vice versa.
Professional
Trading
Campbell & Company is one of the worlds largest
and most experienced futures trading advisors.
Campbell & Companys approach includes the
following elements:
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Disciplined Money
Management. Campbell & Company
generally allocates between 1% and 5% of portfolio equity to any
single market position. However, no guarantee is provided that
losses will be limited to these percentages.
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Balanced Risk. Campbell & Company
allocates the Funds capital to approximately
60 markets around the world 24 hours a day. Among the
factors considered for determining the portfolio mix are market
volatility, liquidity and trending characteristics.
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Capital Management. When proprietary
risk/reward indicators reach predetermined levels,
Campbell & Company may increase or decrease
commitments in certain markets in an attempt to reduce
performance volatility.
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Multiple Systems. Campbell & Company
utilizes a multi-system trading strategy on behalf of the Funds
that divides capital among different trading systems in an
attempt to reduce performance volatility and manage risk.
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Campbell & Company receives from the Strategic
Allocation Fund a 7% brokerage fee, of which 3% is retained as
management fees (2% for providing advisory services and 1% for
acting as general partner) and 4% is remitted to the selling
agents for ongoing administrative services provided to limited
partners. Campbell & Company receives from the Classic
Trend Fund advisory fees of 2% and general partner fees of 1%.
Campbell & Company receives from both Funds a 20%
performance fee in exchange for these services.
Convenience
Through the Funds, investors can participate in global markets
and opportunities without needing to master complex trading
strategies and monitor multiple international markets.
Liquidity
In most cases, the underlying markets have sufficient liquidity.
Some markets trade 24 hours a day when global markets are
open. While there can be cases where there may be no buyer or
seller for a particular contract, the Funds try to select
markets for investment based upon, among other things, their
perceived liquidity. However, unexpected market illiquidity has
caused major losses in recent years in such sectors as emerging
markets and mortgage-backed securities. There can be no
assurance that the same will not happen to the Funds at any time
or from time to time. Some exchanges impose limits on the amount
that a futures price can move in one day. Situations in which
markets have moved the price limit for several days in a row
have not been common, but do occur. See The Risks You
Face Market Risks Your Investment Could
be Illiquid.
Generally, investors may redeem all or a portion of their Units
on a monthly basis, subject to a declining redemption fee during
the first year for the Strategic Allocation Fund and the Classic
Trend Fund Class A
-140-
Units and Class B Units. See Distributions and
Redemptions.
Limited
Liability
Investors liability is limited to the value of their
investment in the Funds and no investor will be required to
contribute additional capital to the Funds. The Funds will cease
trading and Campbell & Company will declare a special
redemption period if the net asset value per Unit as of the end
of any business day declines by 50% or more from either the
prior year-end or prior month-end unit value.
[REMAINDER OF THIS PAGE LEFT BLANK INTENTIONALLY.]
-141-
VALUE OF
DIVERSIFICATION MANAGED FUTURES INDUSTRY
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
Historical
Correlation
The chart below shows the historical correlation of the monthly
returns of the NASDAQ Composite Index, Europe, Australasia, Far
East (EAFE) Index, Barclays Capital Long-Term T-Bond Index and
CISDM Index with that of the S&P 500 Index. Note that
stocks associated with the NASDAQ and EAFE indices have
historically had a higher correlation with the S&P 500
Index than managed futures investments, as represented by the
CISDM Index. This low correlation shows that managed futures
have a tendency to behave somewhat independently from stocks.
Historical
Correlation of Monthly Returns
with the S&P 500 Index
January 1980* September 2009
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* |
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CISDM data was not available prior to 1980. |
This chart was prepared by Campbell & Company.
See the glossary following this section for information integral
to this chart.
-142-
VALUE OF
DIVERSIFICATION MANAGED FUTURES INDUSTRY
(Continued)
PAST
PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
Volatility
(Risk) Comparison
A common measure of risk is standard deviation, which measures
the variability of returns around the average return for that
particular investment. Generally, the higher the standard
deviation, the higher the volatility. Shown below are three
comparisons of volatility: overall, upside and downside.
Overall volatility is the most common measure of volatility or
risk. Upside volatility measures the volatility of only the
profitable months. Downside volatility measures the volatility
of only the unprofitable months. Investors are typically more
concerned with downside volatility, which is perhaps a better
historical indication of the risk of actually losing money. As
can be seen from the chart, managed futures investments, as
represented by the CISDM Index, have shown comparable upside
volatility and less downside volatility than the other
benchmarks with the exception of bonds. There is no guarantee
that historical volatility levels will persist into the future,
nor is this representative of future returns through an
investment in either Fund.
Standard
Deviation of Monthly Returns
January 1980* September 2009
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* |
CISDM data was not available prior to 1980.
|
This chart was prepared by Campbell & Company.
See the glossary following this section for information integral
to this chart.
-143-
VALUE OF
DIVERSIFICATION MANAGED FUTURES INDUSTRY
(Continued)
PAST
PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
Risk
Perspective
The proper evaluation of any investment must include an
assessment of the risk which must be taken to achieve the
prospective return. Another measure of risk, in addition to
standard deviation, is historical worst decline, or largest
draw-down. In other words, if you had purchased an investment at
a month-end peak in performance and then subsequently sold at
the lowest month-end price thereafter, the worst decline would
be the largest percentage loss experienced. The chart below
shows the worst cumulative monthly decline in the Barclays
Capital Long-Term T-Bond Index, CISDM Index, S&P 500 Index,
EAFE Index and NASDAQ Composite Index since 1980. The CISDM
Index experienced a smaller peak to valley decline than three of
the other indices. This does not imply that managed futures are
necessarily safer than the benchmarks compared; it is merely
intended to put risk in a historical perspective.
Worst
Declines
January 1980* September 2009
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* |
CISDM data was not available prior to 1980.
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This chart was prepared by Campbell & Company.
See the glossary following this section for information integral
to this chart.
-144-
VALUE OF
DIVERSIFICATION MANAGED FUTURES INDUSTRY
(Continued)
PAST
PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
Managed
Futures vs. Stocks During Draw-downs
The following charts show the comparison between the performance
of managed futures and stocks during the five worst declines for
each since 1980. These charts demonstrate the historical
non-correlation between these two asset classes over the stated
time periods. The managed futures portion is represented by the
CISDM Index and the stocks portion is represented by the
S&P 500 Index.
Managed
Futures vs. Stocks During Managed Futures Draw-downs
January 1980* September 2009
Managed
Futures vs. Stocks During Stock Draw-downs
January 1980* September 2009
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* |
CISDM data was not available prior to 1980.
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These charts were prepared by Campbell &
Company. See the glossary following this section for information
integral to these charts.
-145-
VALUE OF
DIVERSIFICATION CAMPBELL STRATEGIC ALLOCATION
FUND
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
The
Effect of Adding Strategic Allocation Fund
The chart below demonstrates the potential benefit of
incorporating Strategic Allocation Fund into a balanced
investment portfolio of stocks and bonds. As the chart shows, a
portfolio consisting of 10% Strategic Allocation Fund, 55%
stocks and 35% bonds would have produced comparable returns with
a slightly lower standard deviation, one measure of risk, than a
60% stock and 40% bond portfolio.
Prospective investors must be aware that this hypothetical
analysis includes periods in which the Strategic Allocation Fund
outperforms other asset classes in the portfolio. There can be
no assurance that the Strategic Allocation Fund will outperform
the other asset classes during any particular time period. This
chart does not constitute a recommendation that anyone invest
more than 10% of his or her net worth; the maximum investment
permitted.
The
Effect of Adding Strategic Allocation Fund
to a Hypothetical Portfolio Consisting of Stocks and Bonds
April 1994 September 2009
This chart,
prepared by Campbell & Company, contains historical
trading results hypothetically blended. The stocks are
represented by the S&P 500 Index and the bonds are
represented by the Barclays Capital Long-Term T-Bond Index.
See the glossary following this section for information integral
to this chart.
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT
LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO
REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY
TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT,
THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL
PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED
BY ANY PARTICULAR TRADING PROGRAM.
ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS
THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT.
IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL
RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT
FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE,
THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR
TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS
WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE
ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR
TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH
CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL
PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL
TRADING RESULTS.
-146-
VALUE OF
DIVERSIFICATION CAMPBELL STRATEGIC ALLOCATION
FUND (Continued)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
Correlation
of Monthly Returns
The more similarly two markets behave, the higher their
correlation. Generally, asset allocation models attempt to
reduce overall portfolio volatility by combining instruments
that behave differently from one another. The first chart shows
the correlation between the Strategic Allocation Fund and
various stock, bond, managed futures and hedge fund indices. The
second chart shows the correlation between the S&P 500
Index and the same indices. The first chart uses the Strategic
Allocation Fund as the benchmark for comparison, while the
second chart uses the S&P 500 Index as the benchmark
against which the others are correlated.
Historical
Correlation of Monthly Returns with Campbell Strategic
Allocation Fund
April 1994 September 2009
Historical
Correlation of Monthly Returns with the S&P 500 Index
April 1994 September 2009
These charts were prepared by Campbell & Company. See
the glossary following this section for information integral to
these charts.
-147-
VALUE OF
DIVERSIFICATION CAMPBELL STRATEGIC ALLOCATION
FUND (Continued)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
Correlation
Analysis
This chart shows that, historically, the Strategic Allocation
Funds returns are not negatively correlated with stocks
but rather non-correlated, and therefore perform independently
from stocks. As displayed below, in a small percentage of time,
the Strategic Allocation Fund and stocks have experienced losses
simultaneously. In a larger percentage of time, the Strategic
Allocation Fund has had positive returns during periods when
stocks were also experiencing positive performance. However, in
45% of the 186 months represented in these charts, the
performance of the Strategic Allocation Fund and stocks have
moved in opposite directions.
Correlation
Analysis Between Campbell Strategic Allocation Fund
and S&P 500 Index
April 1994 September 2009
This chart was prepared by Campbell & Company. See the
glossary following this section for information integral to this
chart.
-148-
VALUE OF
DIVERSIFICATION CAMPBELL STRATEGIC ALLOCATION
FUND (Continued)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
Past
Consistency Analysis Between the Campbell Strategic Allocation
Fund and the S&P 500 Index
Campbell & Company believes that an investment in the
Strategic Allocation Fund should be considered as a medium- to
long-term investment and should not be purchased with the intent
to redeem the investment within the first three years. The
benefits of this philosophy are illustrated by the table shown
below.
On a monthly basis, 54.30% of all months have been profitable
with an average rate of return of 3.55% and 45.70% were
unprofitable with an average rate of return of −2.97%.
Consider the investment time horizon when compared to the
profitability of the Strategic Allocation Funds
performance over time. This clearly demonstrates that an
investment held for any ten year rolling window would have been
profitable every period, or 100% of the time, whereas a shorter
time horizon, such as twelve month windows, produced
profitability in 73.14% of the time periods.
On a historical basis this demonstrates that for the Strategic
Allocation Fund, the longer the investment time horizon, the
greater the probability of positive returns. Performance can be
volatile. The net asset value per Unit has fluctuated in a
single month by as much as 12%. This table should in no way be
considered an assurance of profitability if the investment is
held for at least ten years.
The following tables compare the Strategic Allocation
Funds profitable versus unprofitable periods to those of
the S&P 500 Index.
Campbell
Strategic Allocation Fund
April 1994 September 2009
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Number of
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Number
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Number
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Percentage
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April
1994 September 2009
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Time Periods
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Profitable
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Unprofitable
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Profitable
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Total Months
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186
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101
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85
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54.30
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%
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Total Years*
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15
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12
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3
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|
|
|
80.00
|
%
|
12-Month
Rolling Windows
|
|
|
|
175
|
|
|
|
|
128
|
|
|
|
|
47
|
|
|
|
|
73.14
|
%
|
24-Month
Rolling Windows
|
|
|
|
163
|
|
|
|
|
136
|
|
|
|
|
27
|
|
|
|
|
83.44
|
%
|
36-Month
Rolling Windows
|
|
|
|
151
|
|
|
|
|
130
|
|
|
|
|
21
|
|
|
|
|
86.09
|
%
|
60-Month
Rolling Windows
|
|
|
|
127
|
|
|
|
|
117
|
|
|
|
|
10
|
|
|
|
|
92.13
|
%
|
120-Month
Rolling Windows
|
|
|
|
67
|
|
|
|
|
67
|
|
|
|
|
0
|
|
|
|
|
100.00
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The
S&P 500 Index
April 1994 September 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
Number
|
|
|
|
Number
|
|
|
|
Percentage
|
|
April
1994 September 2009
|
|
|
Time Periods
|
|
|
|
Profitable
|
|
|
|
Unprofitable
|
|
|
|
Profitable
|
|
Total Months
|
|
|
|
186
|
|
|
|
|
120
|
|
|
|
|
66
|
|
|
|
|
64.52
|
%
|
Total Years*
|
|
|
|
15
|
|
|
|
|
11
|
|
|
|
|
4
|
|
|
|
|
73.33
|
%
|
12-Month
Rolling Windows
|
|
|
|
175
|
|
|
|
|
124
|
|
|
|
|
51
|
|
|
|
|
70.86
|
%
|
24-Month
Rolling Windows
|
|
|
|
163
|
|
|
|
|
118
|
|
|
|
|
45
|
|
|
|
|
72.39
|
%
|
36-Month
Rolling Windows
|
|
|
|
151
|
|
|
|
|
108
|
|
|
|
|
43
|
|
|
|
|
71.52
|
%
|
60-Month
Rolling Windows
|
|
|
|
127
|
|
|
|
|
85
|
|
|
|
|
42
|
|
|
|
|
66.93
|
%
|
120-Month
Rolling Windows
|
|
|
|
67
|
|
|
|
|
56
|
|
|
|
|
11
|
|
|
|
|
83.58
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
For the period April 1994 December 2008. April 1994
to December 1994 is considered one year. |
These tables were prepared by Campbell & Company. See
the glossary following this section for information integral to
these tables.
-149-
VALUE OF
DIVERSIFICATION CAMPBELL STRATEGIC ALLOCATION
FUND (Continued)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
Volatility
(Risk) Comparison (ending September 2009)
A common measure of risk is standard deviation, which measures
the variability of returns around the average return for that
specific investment. Generally, the higher the standard
deviation, the higher the volatility or risk. A comparison of
overall volatility (measured by standard deviation) of monthly
returns for the Barclays Capital Long-Term T-Bond Index, the
Strategic Allocation Fund, EAFE Index, S&P 500 Index and
NASDAQ Composite Index is shown in the first chart below. Past
performance is not necessarily indicative of future results, and
there is no guarantee that historical volatility levels will
persist into the future. Upside volatility measures the
volatility of only the profitable months. Downside volatility
measures the volatility of only the unprofitable months.
Investors are typically more concerned with downside volatility,
which is perhaps a better historical indicator of the risk of
actually losing money. The second chart compares the upside
volatility and the third chart compares the downside volatility
for the Strategic Allocation Fund and the same indices. Once
again, there is no guarantee that historical volatility levels
will persist into the future.
Overall
Volatility
Upside
Volatility
Downside
Volatility
These charts were prepared by Campbell & Company. See
the glossary following this section for information integral to
these charts.
-150-
VALUE OF
DIVERSIFICATION CAMPBELL STRATEGIC ALLOCATION
FUND (Continued)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
Risk
Perspective
The proper evaluation of any investment must include an
assessment of the risk which must be taken to achieve the
prospective return. Another measure of risk, in addition to
standard deviation, is historical worst decline, or largest
draw-down. In other words, if you had purchased an investment at
a month-end peak in performance and then subsequently sold at
the lowest month-end price thereafter, the worst decline would
be the largest percentage loss experienced. The chart below
shows the worst cumulative monthly decline in the CISDM Index,
Barclays Capital Long-Term T-Bond Index, HFRI Fund of Funds
Composite Index, S&P 500 Index, EAFE Index, NASDAQ
Composite Index and the Strategic Allocation Fund since the
Strategic Allocation Funds inception of trading in 1994.
Worst
Declines
April 1994 September 2009
This chart was prepared by Campbell & Company. See the
glossary following this section for information integral to this
chart.
-151-
VALUE OF
DIVERSIFICATION CAMPBELL STRATEGIC ALLOCATION
FUND (Continued)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
|
|
|
The
Periodic Table of Index Returns (January 1999
September 2009)
|
The table below charts the annual rates of returns for various
indices or asset categories for the past ten years and
year-to-date, and illustrates that all sectors behave
differently from year to year. An index or asset category that
is ranked at the top one year may be ranked toward the bottom in
subsequent years. The Strategic Allocation Fund is intended to
be a medium- to long-term investment. No one can predict which
sectors are likely to outperform the others during any specific
period in the future.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009 YTD
|
1999
|
|
|
2000
|
|
|
2001
|
|
|
2002
|
|
|
2003
|
|
|
2004
|
|
|
2005
|
|
|
2006
|
|
|
2007
|
|
|
2008
|
|
|
(9 Months)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NAS
|
|
|
BCBI
|
|
|
CISDM
|
|
|
BCBI
|
|
|
NAS
|
|
|
EAFE
|
|
|
EAFE
|
|
|
EAFE
|
|
|
HFRI
|
|
|
BCBI
|
|
|
NAS
|
84.55%
|
|
|
20.11%
|
|
|
7.52%
|
|
|
16.31%
|
|
|
50.01%
|
|
|
17.60%
|
|
|
10.85%
|
|
|
23.46%
|
|
|
10.26%
|
|
|
25.08%
|
|
|
34.57%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
HFRI
|
|
|
CSAF
|
|
|
BCBI
|
|
|
CSAF
|
|
|
EAFE
|
|
|
S&P
|
|
|
CSAF
|
|
|
S&P
|
|
|
NAS
|
|
|
CISDM
|
|
|
EAFE
|
26.47%
|
|
|
10.70%
|
|
|
5.34%
|
|
|
13.12%
|
|
|
35.27%
|
|
|
10.87%
|
|
|
9.53%
|
|
|
15.79%
|
|
|
9.81%
|
|
|
16.28%
|
|
|
25.49%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EAFE
|
|
|
CISDM
|
|
|
CSAF
|
|
|
CISDM
|
|
|
S&P
|
|
|
NAS
|
|
|
HFRI
|
|
|
HFRI
|
|
|
EAFE
|
|
|
CSAF
|
|
|
S&P
|
25.26%
|
|
|
9.37%
|
|
|
2.91%
|
|
|
11.99%
|
|
|
28.69%
|
|
|
8.60%
|
|
|
7.50%
|
|
|
10.39%
|
|
|
8.61%
|
|
|
−1.53%
|
|
|
18.78%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
S&P
|
|
|
HFRI
|
|
|
HFRI
|
|
|
HFRI
|
|
|
CSAF
|
|
|
BCBI
|
|
|
BCBI
|
|
|
NAS
|
|
|
CISDM
|
|
|
HFRI
|
|
|
HFRI
|
21.04%
|
|
|
4.07%
|
|
|
2.80%
|
|
|
1.01%
|
|
|
17.68%
|
|
|
7.97%
|
|
|
6.70%
|
|
|
9.51%
|
|
|
8.57%
|
|
|
−21.39%
|
|
|
9.84%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CSAF
|
|
|
S&P
|
|
|
S&P
|
|
|
EAFE
|
|
|
CISDM
|
|
|
HFRI
|
|
|
CISDM
|
|
|
CISDM
|
|
|
BCBI
|
|
|
S&P
|
|
|
CISDM
|
4.45%
|
|
|
−9.09%
|
|
|
−11.87%
|
|
|
−17.52%
|
|
|
12.17%
|
|
|
6.87%
|
|
|
5.97%
|
|
|
8.30%
|
|
|
8.52%
|
|
|
−37.01%
|
|
|
−0.56%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CISDM
|
|
|
EAFE
|
|
|
NAS
|
|
|
S&P
|
|
|
HFRI
|
|
|
CSAF
|
|
|
S&P
|
|
|
CSAF
|
|
|
S&P
|
|
|
NAS
|
|
|
CSAF
|
1.48%
|
|
|
−15.20%
|
|
|
−21.04%
|
|
|
−22.10%
|
|
|
11.62%
|
|
|
4.35%
|
|
|
4.89%
|
|
|
4.04%
|
|
|
5.50%
|
|
|
−40.53%
|
|
|
−6.96%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BCBI
|
|
|
NAS
|
|
|
EAFE
|
|
|
NAS
|
|
|
BCBI
|
|
|
CISDM
|
|
|
NAS
|
|
|
BCBI
|
|
|
CSAF
|
|
|
EAFE
|
|
|
BCBI
|
−8.71%
|
|
|
−39.28%
|
|
|
−22.61%
|
|
|
−31.52%
|
|
|
2.06%
|
|
|
3.22%
|
|
|
1.38%
|
|
|
0.85%
|
|
|
−14.65%
|
|
|
−45.09%
|
|
|
−8.32%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BCBI = Barclays Capital Long-Term T-Bond Index
CISDM = CISDM Index
CSAF = Campbell Strategic Allocation Fund, L.P.
EAFE = Europe, Australasia, Far East Index
HFRI = HFRI Fund of Funds Composite Index
NAS = NASDAQ Composite Index
S&P = S&P 500 Index
This table
was prepared by Campbell & Company. See the glossary
following this section for information integral to this table.
-152-
VALUE OF
DIVERSIFICATION CAMPBELL STRATEGIC ALLOCATION
FUND (Continued)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
Performance
History (ending September 2009)
The charts below illustrate how the Campbell Strategic
Allocation Fund has performed relative to various stock and bond
indices over the past one, five and ten year time periods.
These charts
were prepared by Campbell & Company. See the glossary
following this section for information integral to these charts.
-153-
VALUE OF
DIVERSIFICATION CAMPBELL STRATEGIC ALLOCATION
FUND (Continued)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
Performance
Statistics
This table compares various performance statistics for the
Strategic Allocation Fund, the S&P 500 Index, the EAFE
Index, the NASDAQ Composite Index and the Barclays Capital
Long-Term T-Bond Index through September 2009.
Performance
Statistics
Through September 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Barclays Capital
|
|
|
|
|
|
Campbell
|
|
|
S&P 500
|
|
|
|
|
|
NASDAQ
|
|
|
Long-Term
|
Performance Statistics Through September 2009
|
|
|
Strategic
|
|
|
Index
|
|
|
EAFE Index
|
|
|
Index
|
|
|
T-Bond Index
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rate-of-Return:
|
|
September 2009
|
|
|
3.79%
|
|
|
3.57%
|
|
|
3.59%
|
|
|
5.64%
|
|
|
1.84%
|
|
|
Year To Date
|
|
|
-6.96%
|
|
|
18.78%
|
|
|
25.49%
|
|
|
34.57%
|
|
|
-8.32%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Compounded Annual Rate-of-Return:
|
|
12-Month
|
|
|
-9.04%
|
|
|
-7.30%
|
|
|
-0.03%
|
|
|
1.46%
|
|
|
7.37%
|
(Average Annual Rate-of-Return)
|
|
36-Month
|
|
|
-4.83%
|
|
|
-5.56%
|
|
|
−6.27%
|
|
|
-2.05%
|
|
|
7.77%
|
|
|
36-Month
|
|
|
-1.01%
|
|
|
0.93%
|
|
|
3.32%
|
|
|
2.27%
|
|
|
6.27%
|
|
|
60-Month
|
|
|
-1.01%
|
|
|
0.93%
|
|
|
3.32%
|
|
|
2.27%
|
|
|
6.27%
|
|
|
120-Month
|
|
|
3.43%
|
|
|
-0.19%
|
|
|
0.28%
|
|
|
-2.54%
|
|
|
7.83%
|
|
|
Since Inception (4/94)
|
|
|
5.94%
|
|
|
7.70%
|
|
|
2.83%
|
|
|
6.97%
|
|
|
8.04%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cumulative Return:
|
|
12-Month
|
|
|
-9.04%
|
|
|
-7.30%
|
|
|
-0.03%
|
|
|
1.46%
|
|
|
7.37%
|
(Total Return)
|
|
36-Month
|
|
|
-13.80%
|
|
|
-15.78%
|
|
|
-17.66%
|
|
|
-6.02%
|
|
|
25.17%
|
|
|
60-Month
|
|
|
-4.96%
|
|
|
4.72%
|
|
|
17.76%
|
|
|
11.90%
|
|
|
35.54%
|
|
|
120-Month
|
|
|
40.17%
|
|
|
-1.92%
|
|
|
2.85%
|
|
|
-22.67%
|
|
|
112.61%
|
|
|
Since Inception (4/94)
|
|
|
144.67%
|
|
|
215.74%
|
|
|
54.01%
|
|
|
184.05%
|
|
|
231.51%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Annualized Standard Deviation of Monthly
|
|
12-Month
|
|
|
6.91%
|
|
|
28.27%
|
|
|
33.36%
|
|
|
30.17%
|
|
|
20.65%
|
Returns (measures the dispersion of returns
|
|
36-Month
|
|
|
13.07%
|
|
|
19.38%
|
|
|
23.54%
|
|
|
22.27%
|
|
|
12.96%
|
around the mean or average return):
|
|
60-Month
|
|
|
12.15%
|
|
|
15.81%
|
|
|
19.62%
|
|
|
19.20%
|
|
|
11.11%
|
|
|
120-Month
|
|
|
13.38%
|
|
|
16.17%
|
|
|
17.90%
|
|
|
27.96%
|
|
|
10.27%
|
|
|
Since Inception (4/94)
|
|
|
14.07%
|
|
|
15.55%
|
|
|
16.41%
|
|
|
25.63%
|
|
|
9.65%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Worst Decline:
|
|
Last 60 Months
|
|
|
−28.12%
|
|
|
−50.96%
|
|
|
-58.24%
|
|
|
−51.80%
|
|
|
−14.74%
|
|
|
Duration of Decline
|
|
|
6/07 - 8/09
|
|
|
10/07 - 2/09
|
|
|
10/07 -2/09
|
|
|
10/07 - 2/09
|
|
|
12/08 - 5/09
|
|
|
Last 120 Months
|
|
|
−28.12%
|
|
|
−50.96%
|
|
|
-58.24%
|
|
|
-75.03%
|
|
|
-14.74%
|
|
|
Duration of Decline
|
|
|
6/07 - 8/09
|
|
|
10/07 - 2/09
|
|
|
10/07 -2/09
|
|
|
2/00 - 9/02
|
|
|
12/08 - 5/09
|
|
|
Since Inception (4/94)
|
|
|
−28.12%
|
|
|
−50.96%
|
|
|
-58.24%
|
|
|
−75.03%
|
|
|
-14.74%
|
|
|
Duration of Decline
|
|
|
6/07 - 8/09
|
|
|
10/07 - 2/09
|
|
|
10/07 -2/09
|
|
|
2/00 - 9/02
|
|
|
12/08 - 5/09
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Correlation With S&P 500:
|
|
Last 60 Months
|
|
|
0.09
|
|
|
1.00
|
|
|
0.91
|
|
|
0.93
|
|
|
-0.04
|
|
|
Last 120 Months
|
|
|
-0.17
|
|
|
1.00
|
|
|
0.88
|
|
|
0.81
|
|
|
-0.17
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Correlation During S&P 500 Positive Months:
|
|
Last 60 Months
|
|
|
-0.16
|
|
|
1.00
|
|
|
0.68
|
|
|
0.82
|
|
|
-0.22
|
|
|
Last 120 Months
|
|
|
-0.28
|
|
|
1.00
|
|
|
0.64
|
|
|
0.62
|
|
|
-0.20
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Correlation During S&P 500 Negative Months:
|
|
Last 60 Months
|
|
|
-0.16
|
|
|
1.00
|
|
|
0.91
|
|
|
0.89
|
|
|
0.23
|
|
|
Last 120 Months
|
|
|
-0.22
|
|
|
1.00
|
|
|
0.83
|
|
|
0.63
|
|
|
0.07
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
This table was prepared by Campbell & Company. See the
glossary following this section for information integral to this
table.
-154-
VALUE OF
DIVERSIFICATION CAMPBELL STRATEGIC ALLOCATION
FUND (Continued)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
Sector
Allocation
Sector allocation for each sector is calculated using the dollar
value of margin posted as collateral to support trading in each
sector as a percentage of the total dollar value of margin
posted to support trading in all sectors. This chart reports
average sector allocation for each sector as of the previous six
month-ends through September 30, 2009 as follows: 35% to
Foreign Exchange, 24% to Interest Rates, 27% to Equity Indices
and 14% to Commodities. Sector allocation and the specific
markets traded, may frequently fluctuate in response to changes
in market volatility.
Sector
Allocation
Average of Last Six Month-ends Through September 2009
This chart was prepared by Campbell & Company. See the
glossary following this section for information integral to this
chart.
-155-
VALUE OF
DIVERSIFICATION CAMPBELL STRATEGIC ALLOCATION
FUND (Continued)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
Value-at-Risk
(VAR) for the Period Ending September 30,
2009
VaR expresses market risk as a percentage of a portfolios
value. Normally, VaR is measured over a specific time horizon
and at a specific confidence level. Campbell & Company
produces a daily VaR using a quarterly look back at a 97.5%
confidence level, which represents approximately 2 standard
deviations using a standard normal distribution. This allows us
to make the statement that we have 97.5% confidence that our
daily loss will not exceed the VaR percentage of a
portfolios value. This means that we would expect
daily losses to exceed our VaR metric approximately 2.5% of the
time. Because the risk of a whole portfolio is generally less
than the sum of the risks of the individual sectors, component
risk is used to describe the contribution of each sectors
risk to the overall portfolio risk. In some cases, a sector may
hedge the portfolio, and thus reduce risk, in which
case the component risk for that sector would be negative.
The information contained herein conforms to emerging industry
standards and should enhance your ability to monitor the risk in
your investment. We report daily VaR as of the end of the period
using a quarterly look back. VaR as calculated may not be
comparable to similarly titled measures used by other entities.
These charts were prepared by Campbell & Company. See
the glossary following this section for information integral to
these charts.
-156-
SUPPLEMENTAL
PERFORMANCE
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
Campbell
Strategic Allocation Fund
This chart shows the value of an initial $1,000 investment in
the Strategic Allocation Fund from inception through September
2009.
Worst
Monthly Percentage
Draw-down(1):
July 2007/10.92%
Worst
Peak-to-Valley
Draw-down(1):
June 2007 August 2009/28.12%
Campbell
Strategic Allocation Fund
Value of Initial $1,000 Investment
April 1994 September 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rate of
Return(2)
|
|
|
|
(Computed on a compounded monthly basis)
|
Month
|
|
|
2009
|
|
|
2008
|
|
|
|
2007
|
|
|
|
2006
|
|
|
|
2005
|
|
|
|
2004
|
|
|
|
2003
|
|
|
|
2002
|
|
|
|
2001
|
|
|
|
2000
|
|
|
|
1999
|
|
|
|
1998
|
|
|
|
1997
|
|
|
|
1996
|
|
|
|
1995
|
|
|
|
1994
|
January
|
|
|
−0.08%
|
|
|
|
−0.46
|
%
|
|
|
|
2.50
|
%
|
|
|
|
1.97
|
%
|
|
|
|
−2.22
|
%
|
|
|
|
1.85
|
%
|
|
|
|
7.74
|
%
|
|
|
|
−0.98
|
%
|
|
|
|
−1.30
|
%
|
|
|
|
3.53
|
%
|
|
|
|
−5.02
|
%
|
|
|
|
2.74
|
%
|
|
|
|
4.52
|
%
|
|
|
|
5.79
|
%
|
|
|
|
−4.67
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
February
|
|
|
0.82%
|
|
|
|
1.44
|
%
|
|
|
|
−5.89
|
%
|
|
|
|
−1.85
|
%
|
|
|
|
−1.32
|
%
|
|
|
|
10.65
|
%
|
|
|
|
7.46
|
%
|
|
|
|
−2.27
|
%
|
|
|
|
0.11
|
%
|
|
|
|
−0.60
|
%
|
|
|
|
1.67
|
%
|
|
|
|
−2.81
|
%
|
|
|
|
2.03
|
%
|
|
|
|
−5.97
|
%
|
|
|
|
4.21
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March
|
|
|
−2.23%
|
|
|
|
−0.23
|
%
|
|
|
|
−3.38
|
%
|
|
|
|
4.40
|
%
|
|
|
|
−0.07
|
%
|
|
|
|
0.83
|
%
|
|
|
|
−4.52
|
%
|
|
|
|
−1.81
|
%
|
|
|
|
7.02
|
%
|
|
|
|
−2.67
|
%
|
|
|
|
0.46
|
%
|
|
|
|
4.68
|
%
|
|
|
|
−2.47
|
%
|
|
|
|
4.72
|
%
|
|
|
|
8.77
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
April
|
|
|
−4.77%
|
|
|
|
−2.69
|
%
|
|
|
|
2.07
|
%
|
|
|
|
−2.94
|
%
|
|
|
|
0.40
|
%
|
|
|
|
−6.84
|
%
|
|
|
|
2.51
|
%
|
|
|
|
−4.57
|
%
|
|
|
|
−8.42
|
%
|
|
|
|
−1.80
|
%
|
|
|
|
5.33
|
%
|
|
|
|
−6.69
|
%
|
|
|
|
−3.60
|
%
|
|
|
|
3.59
|
%
|
|
|
|
1.13
|
%
|
|
|
0.16%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
May
|
|
|
−0.79%
|
|
|
|
1.95
|
%
|
|
|
|
5.61
|
%
|
|
|
|
−2.91
|
%
|
|
|
|
4.86
|
%
|
|
|
|
−0.61
|
%
|
|
|
|
1.89
|
%
|
|
|
|
3.88
|
%
|
|
|
|
0.95
|
%
|
|
|
|
2.15
|
%
|
|
|
|
−3.69
|
%
|
|
|
|
4.07
|
%
|
|
|
|
−2.92
|
%
|
|
|
|
−2.18
|
%
|
|
|
|
−0.84
|
%
|
|
|
−2.42%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June
|
|
|
−2.43%
|
|
|
|
5.26
|
%
|
|
|
|
4.33
|
%
|
|
|
|
−0.55
|
%
|
|
|
|
6.54
|
%
|
|
|
|
−3.30
|
%
|
|
|
|
−0.94
|
%
|
|
|
|
7.74
|
%
|
|
|
|
−1.98
|
%
|
|
|
|
1.87
|
%
|
|
|
|
4.81
|
%
|
|
|
|
1.29
|
%
|
|
|
|
2.48
|
%
|
|
|
|
0.75
|
%
|
|
|
|
−1.77
|
%
|
|
|
5.15%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
July
|
|
|
0.05%
|
|
|
|
−1.30
|
%
|
|
|
|
−10.92
|
%
|
|
|
|
−0.21
|
%
|
|
|
|
0.90
|
%
|
|
|
|
−0.73
|
%
|
|
|
|
−4.85
|
%
|
|
|
|
7.78
|
%
|
|
|
|
1.15
|
%
|
|
|
|
−2.07
|
%
|
|
|
|
−0.32
|
%
|
|
|
|
−4.00
|
%
|
|
|
|
9.12
|
%
|
|
|
|
−0.78
|
%
|
|
|
|
−3.82
|
%
|
|
|
−3.93%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
August
|
|
|
−1.32%
|
|
|
|
−1.64
|
%
|
|
|
|
−6.79
|
%
|
|
|
|
−0.51
|
%
|
|
|
|
−5.68
|
%
|
|
|
|
−1.37
|
%
|
|
|
|
2.23
|
%
|
|
|
|
3.33
|
%
|
|
|
|
1.94
|
%
|
|
|
|
2.82
|
%
|
|
|
|
0.82
|
%
|
|
|
|
9.48
|
%
|
|
|
|
−5.69
|
%
|
|
|
|
1.84
|
%
|
|
|
|
5.47
|
%
|
|
|
−3.89%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September
|
|
|
3.79%
|
|
|
|
−1.37
|
%
|
|
|
|
1.74
|
%
|
|
|
|
−2.92
|
%
|
|
|
|
3.59
|
%
|
|
|
|
−1.78
|
%
|
|
|
|
−1.72
|
%
|
|
|
|
3.62
|
%
|
|
|
|
6.66
|
%
|
|
|
|
−3.71
|
%
|
|
|
|
1.36
|
%
|
|
|
|
2.47
|
%
|
|
|
|
4.51
|
%
|
|
|
|
1.77
|
%
|
|
|
|
−3.93
|
%
|
|
|
5.20%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
October
|
|
|
|
|
|
|
−1.22
|
%
|
|
|
|
5.48
|
%
|
|
|
|
1.60
|
%
|
|
|
|
3.97
|
%
|
|
|
|
2.16
|
%
|
|
|
|
2.63
|
%
|
|
|
|
−4.98
|
%
|
|
|
|
5.01
|
%
|
|
|
|
2.88
|
%
|
|
|
|
−4.31
|
%
|
|
|
|
3.97
|
%
|
|
|
|
1.83
|
%
|
|
|
|
12.44
|
%
|
|
|
|
0.79
|
%
|
|
|
−0.14%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
November
|
|
|
|
|
|
|
−1.46
|
%
|
|
|
|
−6.32
|
%
|
|
|
|
0.68
|
%
|
|
|
|
2.02
|
%
|
|
|
|
3.78
|
%
|
|
|
|
0.71
|
%
|
|
|
|
−1.61
|
%
|
|
|
|
−10.14
|
%
|
|
|
|
6.25
|
%
|
|
|
|
0.58
|
%
|
|
|
|
−0.75
|
%
|
|
|
|
0.17
|
%
|
|
|
|
11.00
|
%
|
|
|
|
−0.15
|
%
|
|
|
−6.67%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December
|
|
|
|
|
|
|
0.44
|
%
|
|
|
|
−2.46
|
%
|
|
|
|
7.76
|
%
|
|
|
|
−3.16
|
%
|
|
|
|
0.59
|
%
|
|
|
|
4.14
|
%
|
|
|
|
3.31
|
%
|
|
|
|
3.49
|
%
|
|
|
|
2.05
|
%
|
|
|
|
3.28
|
%
|
|
|
|
0.30
|
%
|
|
|
|
4.46
|
%
|
|
|
|
−4.41
|
%
|
|
|
|
5.35
|
%
|
|
|
−4.98%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
−8.38%
(9 months)
|
|
|
|
−1.53
|
%
|
|
|
|
−14.65
|
%
|
|
|
|
4.04
|
%
|
|
|
|
9.53
|
%
|
|
|
|
4.35
|
%
|
|
|
|
17.68
|
%
|
|
|
|
13.12
|
%
|
|
|
|
2.91
|
%
|
|
|
|
10.70
|
%
|
|
|
|
4.45
|
%
|
|
|
|
14.60
|
%
|
|
|
|
14.31
|
%
|
|
|
|
30.46
|
%
|
|
|
|
9.99
|
%
|
|
|
−11.62%
(9 months)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
|
Draw-down means losses experienced by the Fund over
a specified period. |
|
(2) |
|
The Rate of Return for a period is calculated by
dividing the net profit or loss by the assets at the beginning
of such period. Additions and withdrawals occurring during the
period are included as an addition to or deduction from
beginning net asset value in the calculations of Rates of
Return. |
These charts were prepared by
Campbell & Company. The performance of the Strategic
Allocation Fund does not reflect the performance of all
investors
in the Strategic Allocation Fund. See the glossary following
this section for information integral to these charts.
-157-
SUPPLEMENTAL
PERFORMANCE (Continued)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
Campbell
Strategic Allocation
Fund (Continued)
|
|
|
|
Compounded Annual Rates of Return
|
April 1994 September 2009
|
12-month
|
|
|
−9.04%
|
|
|
|
|
24-month
|
|
|
−6.03%
|
|
|
|
|
36-month
|
|
|
−4.83%
|
|
|
|
|
Since Inception
|
|
|
5.94%
|
|
|
|
|
|
|
|
|
|
|
|
Statistics
|
|
|
|
4/94 9/09
|
Compounded Monthly Annual Rate of Return
|
|
|
5.94%
|
|
|
|
|
Average Monthly Rate of Return
|
|
|
0.56%
|
|
|
|
|
Standard Deviation of Monthly Returns
|
|
|
4.06%
|
|
|
|
|
Annualized Standard Deviation
|
|
|
14.07%
|
|
|
|
|
Sharpe Ratio
|
|
|
0.17
|
|
|
|
|
Average Monthly Gain
|
|
|
3.52%
|
|
|
|
|
Average Monthly Loss
|
|
|
−2.95%
|
|
|
|
|
Number of Profitable Months
|
|
|
101
|
|
|
|
|
Number of Unprofitable Months
|
|
|
85
|
|
|
|
|
Average Duration of Decline (Months)
|
|
|
2.94
|
|
|
|
|
Average Recovery Period (Months)
|
|
|
2.97
|
|
|
|
|
Latest Months Margin to Equity
|
|
|
12.00
|
|
|
|
|
This graph shows the magnitude of the five largest declines for
the Strategic Allocation Fund since inception through September
2009. It also shows the duration of the declines, the subsequent
recovery period and the Strategic Allocation Funds return
over the following
12-month
period.
A draw-down is any losing period during an investment record. It
is defined as the percent retrenchment from any peak in
performance to the valley or trough. A draw-down is in effect
from the time a retrenchment begins until a new high is reached.
In terms of time, a draw-down encompasses both the period from
peak to valley (length) and the time from the valley to a new
high (recovery).
These tables and graphs were
prepared by Campbell & Company. The performance of the
Strategic Allocation Fund does not reflect the performance of
all investors in the Strategic Allocation Fund. See the glossary
following this section for information integral to these tables
and graphs.
-158-
GLOSSARY
OF TERMS
Bonds
Barclays
Capital Long-Term T-Bond Index*
Utilized as a broad measure of the performance of long-term
government bonds. The index, which is a component of the
Barclays U.S. Treasury Bond Index, consists of Treasury
bonds with maturities of ten years or greater.
Hedge
Funds
Hedge
Fund Research Performance Index (HFRI) Fund of Funds
Composite Index
The HFRI monthly performance indices are equally weighted
performance indices used as industry standard benchmarks of
hedge fund performance. Fund of funds invest with multiple
managers through funds or managed accounts. The strategy designs
a diversified portfolio of managers with the objective of
significantly lowering the risk (volatility) of investing with
an individual manager. Investors cannot invest in this index.
Managed
Futures
Campbell
Strategic Allocation Fund, L.P.
The Strategic Allocation Fund, which began trading in April
1994, is an actively managed account with speculative trading
profits as its objective. Performance information for the
Strategic Allocation Fund is net of all fees and commissions.
Campbell
Classic Trend Fund, L.P.
The Classic Fund will be an actively managed account with
speculative trading profits as its objective. The Classic Trend
Fund has not commenced trading and does not have any performance
history.
Credit
Agricole Structured Asset Management Center for International
Securities and Derivatives Markets CPO Asset Weighted Index
(CISDM)
The CISDM Index is a dollar weighted index that includes the
performance of current as well as retired public futures funds,
private pools and offshore funds that have the objective of
speculative trading profits. The CISDM Index is utilized as a
broad measure of overall managed futures returns, as compared to
other indices that measure the overall returns of stocks and
bonds as separate asset classes. The CISDM Index is not the same
as an investment in the Fund, and the Fund may perform quite
differently than the Index, just as an individual stock may
perform quite differently from the S&P 500 Index. Investors
cannot invest in this index.
Stocks
Morgan
Stanley Capital International Europe, Australasia, Far East
Index (EAFE)*
A cap weighted index that is designed to measure the investment
returns of developed economies outside of North America. The
Index includes publicly traded stocks from 21 countries that are
divided into industry groups and then representative stocks are
selected from each industry group. In addition, cross-ownership
is tracked to ensure that the market weight given each company
is accurate.
NASDAQ
Composite Index*
Measures all NASDAQ domestic and
non-U.S. based
common stocks listed on the NASDAQ Stock Market (currently over
5,000 companies). The Index is market-value weighted. This
means that each companys security affects the Index in
proportion to its market value. The market value, the last sale
price multiplied by total shares outstanding, is calculated
throughout the trading day, and is related to the total value of
the Index.
-158-
Standard &
Poors 500 Composite Stock Index (S&P
500)*
The 500 stocks in the S&P 500 are chosen by Standard and
Poors based on industry representation, liquidity and
stability. The stocks in the S&P 500 are not the 500
largest companies, rather the Index is designed to capture the
returns of many different sectors of the U.S. economy. This
is the only index that includes dividends reinvested.
|
|
|
* |
|
Passive, unmanaged indices of equity and debt securities
generally purchased by investors with an investment objective of
capital preservation, growth or income. Investors cannot invest
in an index; performance of any of these indices (which, by
definition, are averages of many individual investments) may not
be representative of any specific investment within that
indexs asset class. |
|
|
|
Performance information for (1) the stock and hedge fund
indices was obtained through Per Trac 2000, (2) the bond
index was obtained through Barclays Capital, and (3) the
CISDM Index was obtained through casam-hedge.com. Some
information contained herein may not have been audited. |
-159-
APPENDIX I
BLUE SKY
GLOSSARY
The following definitions are included in this Appendix I
in compliance with the requirements of various state securities
administrators who review public futures fund offerings for
compliance with the Guidelines for the Registration of
Commodity Pool Programs Statement of Policy promulgated by
the North American Securities Administrators Association, Inc.
The following definitions are reprinted verbatim from such
Guidelines and may, accordingly, not in all cases be relevant to
an investment in the Fund.
Definitions As used in the Guidelines, the
following terms have the following meanings:
Administrator The official or agency
administering the security laws of a state.
Advisor Any person who for any consideration
engages in the business of advising others, either directly or
indirectly, as to the value, purchase, or sale of commodity
contracts or commodity options.
Affiliate An Affiliate of a Person means:
(a) any Person directly or indirectly owning, controlling
or holding with power to vote 10% or more of the outstanding
voting securities of such Person; (b) any Person 10% or
more of whose outstanding voting securities are directly or
indirectly owned, controlled or held with power to vote, by such
Person; (c) any Person, directly or indirectly,
controlling, controlled by, or under common control of such
Person; (d) any officer, director or partner of such
Person; or (e) if such Person is an officer, director or
partner, any Person for which such Person acts in any such
capacity.
Capital Contributions The total investment in
a Program by a Participant or by all Participants, as the case
may be.
Commodity Broker Any Person who engages in
the business of effecting transactions in commodity contracts
for the account of others or for his own account.
Commodity Contract A contract or option
thereon providing for the delivery or receipt at a future date
of a specified amount and grade of a traded commodity at a
specified price and delivery point.
Cross Reference Sheet A compilation of the
Guideline sections, referenced to the page of the prospectus,
Program agreement, or other exhibits, and justification of any
deviation from the Guidelines.
Net Assets The total assets, less total
liabilities, of the Program determined on the basis of generally
accepted accounting principles. Net Assets shall include any
unrealized profits or losses on open positions, and any fee or
expense including Net Asset fees accruing to the Program.
Net Asset Value Per Program Interest The Net
Assets divided by the number of Program Interests outstanding.
Net Worth The excess of total assets over
total liabilities are determined by generally accepted
accounting principles. Net Worth shall be determined exclusive
of home, home furnishings and automobiles.
New Trading Profits The excess, if any, of
Net Assets at the end of the period over Net Assets at the end
of the highest previous period or Net Assets at the date trading
commences, whichever is higher, and as further adjusted to
eliminate the effect on Net Assets resulting from new Capital
Contributions, redemptions, or capital distributions, if any,
made during the period decreased by interest or other income,
not directly related to trading activity, earned on Program
assets during the period, whether the assets are held separately
or in a margin account.
Organizational and Offering Expenses All
expenses incurred by the Program in connection with and in
preparing a Program for registration and subsequently offering
and distributing it to the public, including, but not limited
to, total underwriting and brokerage discounts and commissions
(including fees of the underwriters attorneys), expenses
for printing, engraving, mailing, salaries of employees while
engaged in sales activity, charges of transfer agents,
registrars, trustees, escrow holders, depositories, experts,
expenses of qualification of the sale of its Program Interest
under federal and state law, including taxes and fees,
accountants and attorneys fees.
Participant The holder of a Program Interest.
APP-1
Person Any natural Person, partnership,
corporation, association or other legal entity.
Pit Brokerage Fee Pit Brokerage Fee shall
include floor brokerage, clearing fees, National Futures
Association fees, and exchange fees.
Program A limited partnership, joint venture,
corporation, trust or other entity formed and operated for the
purpose of investing in Commodity Contracts.
Program Broker A Commodity Broker that
effects trades in Commodity Contracts for the account of a
Program.
Program Interest A limited partnership
interest or other security representing ownership in a program.
Pyramiding A method of using all or a part of
an unrealized profit in a Commodity Contract position to provide
margin for any additional Commodity Contracts of the same or
related commodities.
Sponsor Any Person directly or indirectly
instrumental in organizing a Program or any Person who will
manage or participate in the management of a Program, including
a Commodity Broker who pays any portion of the Organizational
Expenses of the Program, and the general partner(s) and any
other Person who regularly performs or selects the Persons who
perform services for the Program. Sponsor does not include
wholly independent third parties such as attorneys, accountants,
and underwriters whose only compensation is for professional
services rendered in connection with the offering of the Units.
The term Sponsor shall be deemed to include its
Affiliates.
Valuation Date The date as of which the Net
Assets of the Program are determined.
Valuation Period A regular period of time
between Valuation.
APP-2
EXHIBIT A
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
AMENDED AGREEMENT OF LIMITED PARTNERSHIP
ARTICLE 1.
FORMATION AND NAME
The parties to this Amended Agreement of Limited Partnership
(the Agreement) dated as of August 1, 1997 have
formed Campbell Strategic Allocation Fund, L.P. (the
Partnership) under the Delaware Revised Uniform
Limited Partnership Act in effect on the date thereof (the
Act) and do hereby continue the Partnership pursuant
to the terms herein as of September 23, 1993. Each Limited
Partner hereby undertakes to furnish to the General Partner a
power of attorney which may be filed with this Agreement and any
amendment hereto and such additional information as is required
from him to complete such documents and to execute and cooperate
in the filing, recording or publishing of such documents at the
request of the General Partner.
ARTICLE 2.
PRINCIPAL OFFICE AND REGISTERED AGENT
The principal office of the Partnership shall be 210 West
Pennsylvania Avenue, Baltimore, Maryland 21204, or such
other place as the General Partner may designate from time to
time. The Registered Agent for the Limited Partnership is D.
Keith Campbell, 210 West Pennsylvania Avenue, Baltimore,
Maryland 21204. The Tax Matters Partner for the Limited
Partnership is Campbell & Company, Inc.
ARTICLE 3.
BUSINESS AND PURPOSE OF THE PARTNERSHIP
The Partnerships business and purpose is to trade, buy,
sell or otherwise acquire, hold or dispose of futures and other
related investment interests and any activities incidental or
related thereto. The objective of the Partnership business is
appreciation of its assets through speculative trading.
ARTICLE 4.
TERM, DISSOLUTION AND FISCAL YEAR
4.1 Term. The term of the
Partnership commenced upon the execution and filing of the
Certificate of Limited Partnership, as amended, and shall end
upon the first to occur of the following:
(i) December 31, 2023; (ii) an election to
dissolve the Partnership in accordance with the provisions of
Article 4.2 by Limited Partners owning more than 50% of the
Units then outstanding; (iii) the withdrawal of the General
Partner, as defined in, and subject to the limitations of
Article 13; (iv) a determination by the General
Partner that the purpose of the Partnership cannot be fulfilled;
or (v) any event which constitutes a dissolution of a
limited partnership under the Act or otherwise makes it unlawful
for the existence of the Partnership to be continued.
4.2 Dissolution. Upon the
occurrence of an event causing the dissolution of the
Partnership, the Partnership shall be wound up and terminated.
Upon dissolution and termination of the Partnership, the General
Partner shall contribute to the Partnership an amount equal in
the aggregate to the lesser of (a) the deficit balance in
their capital accounts, or (b) the excess of 1.01% of the
total capital contributions paid in by the Limited Partners over
any capital previously contributed by the General Partner.
Payment of creditors, and distribution of the Partnerships
assets shall be effected as soon as practicable in accordance
with the Act, and the General Partner and each Limited Partner
(and any assignee) shall share in the assets of the Partnership
pro rata in accordance with such Partners
respective capital account, less any amount owing by such
Partner (or assignee) to the Partnership.
4.3 Fiscal Year. The fiscal year of
the Partnership shall end on December 31, unless the
General Partner elects, with the approval of the Internal
Revenue Service and the CFTC, a different fiscal year.
A-1
ARTICLE 5.
GENERAL PARTNER
The General Partner is Campbell & Company, Inc., a
Maryland corporation, 210 West Pennsylvania Avenue,
Baltimore, Maryland 21204.
ARTICLE 6.
CAPITAL CONTRIBUTIONS AND
UNITS OF LIMITED PARTNERSHIP INTEREST
6.1 Units and Capital Contributions of Limited
Partners. Interests in the Partnership other than
the General Partners interests, shall be evidenced by
Units (individually a Unit).
6.2 Capital Contributions by General Partner; Net
Worth. The General Partner has contributed cash
to the capital of the Partnership in an amount equal to at least
1% of the net aggregate contributions of all Partners including
the General Partner. The General Partners contribution
shall be evidenced by Units of General Partnership Interest. The
General Partner may make withdrawals of its Units provided that
such withdrawals do not reduce the General Partners
aggregate percentage interest in the Partnership to less than 1%
of the net aggregate contributions. If additional Limited
Partners are admitted during any Continuing Offering pursuant to
the provisions of Article 11 herein, the General Partner
shall make such additional capital contributions as may be
required to maintain its interest at the required level in the
Partnership at all times during the term of the Partnership. The
General Partner shall maintain a net worth so long as it acts as
general partner equal to at least 5% of the capital contributed
by all the limited partnerships for which it acts as general
partner, including the Partnership. The minimum required net
worth shall in no case be less than $50,000 nor shall net worth
in excess of $1,000,000 be required.
6.3 Availability of
Contributions. The aggregate of all Partnership
contributions shall be available to the Partnership to carry on
its business and purpose, and no interest shall be paid to any
Partner on any such contributions.
ARTICLE 7.
ALLOCATION OF PROFITS AND LOSSES
7.1 Capital Accounts. A capital
account shall be established for each Partner, including the
General Partner. The initial balance of each Partners
capital account shall be the amount of his initial capital
contribution to the Partnership.
7.2 Monthly Allocations. As of the
close of business (as determined by the General Partner) of the
last day of each month, the following determinations and
allocations shall be made:
(1) The Net Assets of the Partnership (as defined in
Article 7.4) before the General Partners Brokerage
Fee, the direct administrative expenses and the General
Partners performance fees payable shall be determined.
(2) Brokerage Fees payable by the Partnership and the
direct administrative expenses shall then be charged against the
Net Assets.
(3) Accrued performance fees, if any, shall then be charged
against the Net Assets.
(4) Any increase or decrease in the Net Assets as of the
end of the month (after the adjustments in subparagraphs
(2) and (3)) shall then be credited or charged to the
capital accounts of each Partner in the ratio that the balance
of each account bears to the balance of all accounts.
(5) The amount of any distribution to a Partner, any amount
paid to a Limited Partner on redemption of Units, and any amount
paid to the General Partner by way of distribution or redemption
of Units of General Partnership Interest, shall be charged to
such Partners capital account.
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7.3 Allocation of Profit and Loss for Federal
Income Tax Purposes. At the end of each taxable
year, each item of Partnership taxable income, gain, loss,
deduction, or credit will be allocated among the Partners in
accordance with the following provisions:
(1) Capital gain shall be allocated first to each Partner
who has redeemed Units (Units of General Partnership Interest in
the case of the General Partner) during the year to the extent
that the amount the Partner received on redemption exceeds the
amount paid for the redeemed Units (as set forth in
subparagraph (5));
(2) Capital gain remaining after the allocation in
subparagraph (1) shall be allocated among all Partners in
the ratio that each Partners capital account bears to all
Partners capital accounts;
(3) Capital losses shall be allocated first to each Partner
who has redeemed Units (Units of General Partnership Interest in
the case of the General Partner) during the year to the extent
that the amount the Partner paid for the redeemed Units (as set
forth in subparagraph (5)) exceeds the amount the Partner
received on redemption;
(4) Capital losses remaining after the allocation in
subparagraph (3) shall be allocated among all Partners in
the ratio that each Partners capital account bears to all
Partners capital accounts;
(5) For the purpose of the allocations of capital gain and
loss in subparagraphs (1) and (3), the amount each Partner
paid for each of his Units shall be deemed to have increased by
the amount of capital gain allocated to him with respect to such
Unit pursuant to subparagraph (2) or ordinary income
pursuant to subparagraph 6; decreased by the amount of any
capital loss allocated to him with respect to such Unit pursuant
to subparagraph (4) or ordinary expense pursuant to
subparagraph 6; and decreased by the amount of any distributions
to him with respect to such Unit pursuant to Article 7.8;
(6) Items of ordinary income and expense will be allocated
pro rata among the Partners based upon their respective
capital accounts as of the end of each month in which the items
of ordinary income or expense accrue; provided that any
performance fee paid to the General Partner shall be allocated
among the Units outstanding at any time during the fiscal year
based upon the ratio that each such Units net performance
fee (the excess, if any, of the aggregate of all performance
fees allocated to the capital account relating to such Unit over
the aggregate of all reversals of performance fees allocated to
such Unit) bears to the net performance fee of all Units;
(7) Notwithstanding subparagraphs (4) and (6), if the
allocation of such loss would cause a Limited Partner to have a
capital account deficit, then such loss shall be allocated to
the General Partner, according to its capital account, to the
extent of such losses;
(8) For purposes of this Paragraph 7.3, capital
gain and capital loss shall mean gain or loss
characterized as gain or loss from the sale or exchange of a
capital asset by the Internal Revenue Code of 1986, as amended
(the Code), including but not limited to gain or
loss required to be taken into account pursuant to
Section 1256 thereof and any income, gain or loss
determined under Section 988 of the Code; and
(9) Allocations of capital gain or loss will be made pro
rata from each category of capital gain or loss determined
under Section 1(h) of the Code and income or loss
determined under Section 988 of the Code.
7.4 Definitions; Accounting.
(1) Net Assets. Net
Assets of the Partnership shall mean the total assets of
the Partnership, including all cash and cash equivalents (valued
at cost), plus accrued interest thereon, and the market value of
all open commodity positions and other assets of the
Partnership, less all liabilities of the Partnership, including
accrued performance fees determined in accordance with the
principles specified in this subparagraph and, where no
principle is specified, in accordance with generally accepted
accounting principles consistently applied under the accrual
basis of accounting. The market value of a commodity or
commodity futures contract traded on an exchange, or through a
clearing firm or through a bank, shall mean the most recent
available settlement price or closing quotation, as appropriate
on the exchange, or of the clearing firm or bank on or through
which the commodity or contract is traded by the Partnership on
the day with respect to which Net Assets are being determined.
If such contract cannot be liquidated, due to the operation of
daily limits or otherwise, on a day as of which Net Assets are
determined, the liquidating value on the first subsequent day on
which the contract would be
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liquidated may be used or such other value as the General
Partner may deem fair and reasonable. The market value of a
commodity forward contract or a commodity futures contract
traded on a foreign exchange shall mean its market value as
determined by the General Partner on a basis consistently
applied.
(2) Net Asset Value. The Net
Asset Value of the Partnership shall mean the total
capital accounts of all Partners. The Net Asset
Value of a Unit shall be the total capital accounts of all
Partners, divided by the number of Units owned by all Partners.
(3) Blue Sky Glossary. The
definitions in the Blue Sky Glossary in Appendix I to the
Partnerships Prospectus are hereby incorporated herein by
reference.
7.5 Expenses.
(1) The General Partner shall advance the organization and
offering expenses of the initial and continuous offerings of the
Units, and no such expenses shall be deducted from the proceeds
of the offerings. Subject to the limitation described below, the
General Partner shall be reimbursed such advanced amounts by the
Partnership in approximately 30 equal installments commencing
after the closing of the initial offering and monthly during the
continuous offering. The General Partner shall have discretion
to adopt reasonable procedures to implement the amortization of
such expenses, including grouping expenses related to the same
offering period and expensing de minimis amounts as they are
incurred. In no event shall the General Partner be entitled to
receive reimbursement in an amount greater than 2.5% of the
aggregate subscriptions accepted during the initial and
continuous offerings, as the case may be. In the event the
Partnership terminates prior to completion of the reimbursement,
the General Partner will not be entitled to receive additional
reimbursement and the Partnership will have no obligation to
make further reimbursement payments to the General Partner. For
purposes of this Agreement, organization and offering expenses
shall mean all costs paid or incurred by the General Partner or
the Partnership in organizing the Partnership and offering the
Units, including legal and accounting fees incurred, bank
account charges, all blue sky filing fees, filing fees payable
upon formation and activation of the Partnership, and expenses
of preparing, printing and distributing the prospectus and
registration statement, but in no event shall exceed limits set
forth in Article 8 herein or guidelines imposed by
appropriate regulatory bodies.
(2) The Partnership shall be obligated to pay all
liabilities incurred by it, including without limitation,
(i) Brokerage Fees; (ii) operating expenses and
performance fees; (iii) legal and accounting fees; and
(iv) taxes and other extraordinary expenses incurred by the
Partnership. During any year of operations, the General Partner
shall be responsible for payment of operating expenses in excess
of 0.5% of the Partnerships month-end Net Asset Value
during that year. Indirect expenses of the General Partner, such
as indirect salaries, rent and other overhead expenses, shall
not be liabilities of the Partnership. The Partnership shall
receive all interest earned on its assets.
(3) Compensation to any party, including the General
Partner (or any advisor which may be retained in the future),
shall not exceed the limitations imposed as of the date hereof
by the North American Securities Administrators Association
(NASAA). In the event the compensation exceeds such
limitations, the General Partner shall promptly reimburse the
Partnership for such excess. NASAA limitations on fees are as
follows: management fees, advisory fees and all other fees,
except for performance fees and commodity brokerage commissions,
when added to the customary and routine administrative expenses,
shall not exceed 6% annually of net asset value. The aggregate
performance fees shall not exceed 15% of new trading profits.
The sponsor or advisor will be entitled to an additional 2%
performance fee for each 1% by which the net asset value fee is
reduced below 6%. Commodity brokerage rates will be
presumptively reasonable if they satisfy either 80% of the
published retail rate plus pit brokerage fees or 14% annually of
average net assets, including pit brokerage fees. The
Partnership will pay an 8% per annum Brokerage Fee, of which 3%
will be for management services, allowing the performance fee to
be 20%, as discussed above. The remaining 5% from the Brokerage
Fee will be paid for brokerage services (including the initial
distribution of the Units, execution of commodity transactions,
and ongoing services to the Limited Partners), which is less
than the 14% limit imposed by NASAA.
(4) The Partnership shall also be obligated to pay any
costs of indemnification to the extent permitted under
Article 15 of this Agreement.
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7.6 Limited Liability of Limited
Partners. Each Unit purchased by a Limited
Partner is fully paid and non-assessable. A Limited Partner
shall be liable for the Partnerships obligations to the
extent of the capital contributed by him plus his share of
profits remaining in the Partnership, if any.
In addition, if a Limited Partner receives a return of any part
of his capital contribution, he shall be liable to the
Partnership for a period of one year thereafter for the amount
of the returned contribution, but only to the extent necessary
to discharge the Partnerships liabilities to creditors who
extended credit to the Partnership during the period the
contribution was held by the Partnership.
A Limited Partner shall also be liable to the Partnership for
return of any part of his capital contribution returned to him,
for a period of six years, if such return was in violation of
this Agreement or the Act.
7.7 Return of Limited Partners Capital
Contribution. Except to the extent that a Limited
Partner shall have the right to redeem Units, no Limited Partner
shall have any right to demand the return of his capital
contribution or any profits added thereto, except upon
dissolution and termination of the Partnership. In no event
shall a Limited Partner be entitled to demand or receive
property other than cash.
7.8 Distributions. The General
Partner shall have sole discretion in determining what
distributions (other than on redemption of Units or
dissolution), if any, the Partnership will make to its Partners
(or any assignee thereof). Distributions shall be made pro
rata in accordance with the respective capital accounts of
the Partners.
ARTICLE 8.
MANAGEMENT
8.1 General.
(1) The General Partner, to the exclusion of the Limited
Partners, shall conduct and manage the business of the
Partnership including, without limitation, all functions
necessary for administration of the Partnership. The General
Partner shall have the fiduciary responsibility for the
safekeeping and use of all assets of the Partnership, whether or
not in its immediate possession or control, shall not contract
away such duty and shall not employ or permit another to employ
such assets in any manner except for the exclusive benefit of
the Partnership. The General Partner, on behalf of the
Partnership, shall make all investment decisions regarding the
Partnership and shall have complete trading discretion. The
General Partner shall seek the best price and services available
in its futures brokerage transactions, and all brokerage
transactions for the Partnerships futures trades will be
effected at competitive rates.
(2) The General Partner shall receive from the Partnership:
(i) Brokerage Fees of 8% per annum of the month-end Net
Assets; and (ii) a quarterly performance
fee of 20% of the Partnerships aggregate cumulative
appreciation in the Net Asset Value per Unit, exclusive of
interest income. The performance fee is paid on the cumulative
increase, if any, in the Net Asset Value per Unit over the
highest previous cumulative Unit value or Unit value as of the
commencement of trading, whichever is higher. In determining the
fees in this paragraph, adjustments shall be made for capital
additions and withdrawals and Net Assets shall not be reduced by
the fees being calculated for such current period. Such fees may
be changed upon sixty days notice to the Limited Partners,
provided that prior to the imposition of the revised fees,
Limited Partners have an opportunity to redeem (and there are no
delays in receiving payment therefor) and the notice explains
their redemption and voting rights. Further, any new contract
with any advisor, including the General Partner, shall
carryforward all losses attributable to such advisor or General
Partner, as the case may be.
(3) The General Partner may take such other actions as it
deems necessary or desirable to manage the business of the
Partnership including, but not limited to, the following:
entering into commercially reasonable contracts, opening bank
accounts, paying or authorizing the payment of distributions to
the Partners and expenses of the Partnership including fees to
the General Partner, taxes and other fees of governmental
agencies.
(4) The General Partner shall keep and retain for at least
six years, at the principal office of the Partnership, such
books and records relating to the business of the Partnership as
it deems necessary to substantiate that Units were sold only to
purchasers for whom such securities were suitable and which are
required by the Commodity Exchange Act, and the rules and
regulations thereunder. Such books and records shall be
available to any Limited
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Partner or his authorized attorney or agent for inspection and
copying during normal business hours of the Partnership.
(5) The General Partner may engage in other business
activities and shall not refrain from any other activity nor
disgorge any profits from any such activity, whether as general
partner of additional partnerships for investment in commodity
futures or forward contracts or otherwise. Subject to the terms
and conditions set forth in this Agreement, the General Partner
may engage and compensate on behalf of the Partnership, from
funds of the Partnership, such persons, firms or corporations,
as the General Partner in its sole judgment shall deem advisable
for the conduct and operation of the business of the
Partnership. The General Partner may develop and implement a
cash management facility. In such event, the General Partner may
cause the Partnership to participate in such facility if doing
so would be in the best interests of the Partnership.
Competitive management fees may be paid to the General Partner
or an affiliate thereof.
(6) No person dealing with the General Partner shall be
required to determine its authority to make any undertaking on
behalf of the Partnership, nor to determine any fact or
circumstance bearing upon the existence of such authority.
(7) Except as provided by Article 13, the General
Partner may not sell, assign, or otherwise dispose of all or
substantially all of its General Partnership Interest in the
Partnership except for a sale or transfer of all Partnership
interests of all Partners or a sale of all or substantially all
of its interest to a corporation controlled by such General
Partner. The foregoing restriction shall not be applicable to
the General Partner mortgaging, pledging, hypothecating or
granting a security interest in its General Partnership Interest
as collateral for a loan or loans and any such assignment of all
or any portion of the General Partners Interest shall not
cause an event of withdrawal with respect to the General Partner
pursuant to Article 13 of this Agreement.
(8) The maximum period covered by any contract entered into
by the Partnership, except for certain provisions which survive
the stated term, shall be one year. Agreements between the
Partnership and the General Partner or any affiliate shall be
terminable by the Partnership without penalty on
60 days written notice. All sales of Units in the
United States shall be made by registered brokers. No sales will
be made by the General Partner or an affiliate.
8.2 Prohibitions. The Partnership
shall not: (i) engage in pyramiding; (ii) commingle
its assets with the assets of any other person, except as
permitted by law; (iii) make loans to the General Partner
or any affiliate thereof or to any person; (iv) pay
per-trade compensation to the General Partner or any advisor or
any affiliate thereof or to any person who receives any other
form of compensation from the Partnership; or (v) permit
rebates or
give-ups to
be received by the General Partner or affiliates thereof nor
shall the General Partner participate in any reciprocal business
arrangements which would circumvent the foregoing or any other
provision of this Agreement; or (vi) borrow cash or other
assets from the General Partner.
ARTICLE 9.
REPORTS TO LIMITED PARTNERS
The books and records of the Partnership shall be audited
annually by an independent certified public accountant. Net
Assets and Net Asset Value per Unit shall be determined daily
and will be supplied in writing to any Limited Partner who
requests such information. The General Partner will cause each
Partner to receive (i) within ninety (90) days after
the close of each fiscal year an annual report with audited
financial statements (including a balance sheet and income
statement) for the fiscal year then ended, and (ii) within
seventy-five (75) days after the close of each fiscal year
such tax information as is necessary for the Partner to complete
his federal income tax return. In addition, the General Partner
will report within 30 days after the end of each month to
the Limited Partners the information required by the CFTC to be
reported, which information currently includes the following:
the total amount of realized net gain or loss on commodity
interest positions liquidated during the month; the change in
unrealized net gain or loss on commodity interest positions
during the month; the total amount of net gain or loss from all
other transactions engaged in by the Partnership during the
month, including interest earned; the total amount of all
Brokerage Fees and performance fees, and all other expenses
incurred or accrued by the Partnership during the month; the Net
Asset Value of a Unit as of the end of the month and as of the
end of the previous month;
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the total amount of additions to the Net Assets of the
Partnership made during the month; the total amount of
withdrawals from and redemptions of Units for the month; and the
total net income or loss of the Partnership during the month. In
the event either Net Asset Value per Unit as of the end of any
business day declines by more than 50% of the previous year-end
or month-end Net Asset Value per Unit, or there is a material
change in the advisory agreement with the General Partner or
otherwise affecting the compensation to any party, including the
General Partner, the General Partner will notify each Limited
Partner of such information, their redemption and voting rights
and any material effect on the Units within seven business days.
In the event of the 50% decline in Net Asset Value per Unit
referred to in the previous sentence, the General Partner will
declare a special redemption period and temporarily suspend the
Partnerships trading during such period.
ARTICLE 10.
DISPOSITIONS AND REDEMPTIONS OF PARTNERSHIP UNITS
10.1 Permissible Dispositions. A
Limited Partner may transfer, assign, pledge, or encumber his
Units only as provided in this Article 10.1. No such
transferee, pledgee, assignee, or secured creditor shall become
a substituted Limited Partner unless the General Partner
consents in writing to such substitution. The General Partner
has complete discretion to withhold consent but only intends to
do so in order to prevent or minimize potential adverse legal or
tax consequences to the Partnership. Any transfer or assignment
of Units which is permitted hereunder shall be effective as of
the beginning of the month following the month in which such
transfer or assignment is made; provided, however, that the
Partnership need not recognize any transfer, assignment, or
pledge until it has received at least 30 days prior
written notice thereof from the transferor, assignor, or
pledgor, which notice shall include (i) the name,
signature, address and social security or taxpayer
identification number of the transferee, assignee, or pledgee,
(ii) the number of Units transferred, assigned or pledged,
and (iii) the signature of the transferor, assignor, or
pledgor. The General Partner may, in its discretion, waive
receipt of the above described written notice or waive any
defect therein. No transfer or assignment shall be permitted
unless the General Partner is satisfied that (i) such
transfer or assignment would not be in violation of the Act,
(ii) the amount of the transfer is at least the minimum
subscription amount except for transfers by gift, inheritance,
or to affiliates, including family members of the person
transferring the Units, and (iii) notwithstanding such
transfer or assignment, the Partnership shall continue to be
classified as a partnership rather than as a corporation or an
association under the Internal Revenue Code, as amended. No
transfer or assignment of Units shall be effective or recognized
by the Partnership if following such transfer or assignment
there would result a termination of the Partnership for federal
income tax purposes as provided in Code 708(b) and any attempted
transfer or assignment in violation hereof shall be ineffective
to transfer or assign any such Units. Any transferee or assignee
of Units who has not been admitted to the Partnership as a
substituted Limited Partner shall not have any of the rights of
a Limited Partner, except that the assignee shall receive that
share of capital and profits and shall have that right of
redemption to which his assignor would otherwise have been
entitled and shall remain subject to the other terms of this
Agreement binding upon Limited Partners. The transfer or
assignment of Units shall be subject to all applicable
securities laws. The transferor or assignor shall bear all costs
(including any attorneys fees) related to such transfer or
assignment.
10.2 Redemptions.
(1) A Limited Partner (or any assignee thereof) may
withdraw all or part of his capital contribution and
undistributed profits, if any, by requiring the Partnership to
redeem all or part of his Units at the Net Asset Value per Unit,
reduced as hereinafter described (such withdrawal being herein
referred to as a Redemption).
(2) Redemptions shall be effective as of the end of any
month ending after a Request for Redemption in proper form has
been timely received by the General Partner (the
Redemption Date). Redemption fees apply through
the first twelve month-ends following purchase (from and
including the Closing Date on which the Unit is purchased) 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. As used herein, Request for Redemption shall
mean a written request of such withdrawal transmitted by the
Limited Partner (or any assignee thereof) to the General Partner
not less than ten business days prior to the end of the month or
such shorter period as established by the General Partner.
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Upon Redemption, a Limited Partner (or any assignee thereof)
shall receive, per Unit redeemed, an amount equal to the Net
Asset Value per Unit as of the Redemption Date, less any
amount owing by such Limited Partner (and his assignee, if any)
to the Partnership pursuant to Article 15.3, and less any
applicable redemption fees due to the General Partner. If
redemption is requested by an assignee, all amounts owed to the
Partnership under Article 15.3 by the Partner to whom such
Unit was sold, as well as all amounts owed by the assignees of
such Unit, shall be deducted from the amount payable upon
Redemption by any assignee. All Requests for Redemption in
proper form shall be honored and payment will be made within
twenty (20) business days following the
Redemption Date, except that under special circumstances,
including, but not limited to, the inability on the part of the
Partnership to liquidate commodity positions or the default or
delay in payments due the Partnership from commodity brokers,
banks, or other persons, the Partnership may delay payment to
Partners requesting Redemption of Units. In the event that
Redemptions are requested for more Units than the General
Partner is able to honor due to the foregoing contingencies, the
General Partner will honor Requests for Redemption in the order
actually received and will hold Requests for Redemption in such
order. Limited Partners will be notified within 10 days
after month-end if any Redemption cannot be honored under the
terms hereof and their Requests thereafter will be honored at
the first available opportunity. The Partnership shall not be
obligated to redeem Units that are subject to a pledge or
otherwise encumbered in any fashion.
(3) Subparagraph (2) notwithstanding, if the Net Asset
Value per Unit is determined for purposes of Redemption as of a
month-end which is not the end of a quarter, any performance
fees payable and applicable to such Unit, will be determined and
charged to such Unit as though such month-end were the end of a
quarter and such performance fees were payable and such
performance fees will be paid.
ARTICLE 11.
OFFERING OF UNITS; ADMISSION OF ADDITIONAL LIMITED
PARTNERS
The General Partner shall, from time to time, (i) cause the
Partnership to file a Registration Statement and such amendments
as the General Partner deems advisable, with the Securities and
Exchange Commission for the registration and public offering of
the Units; (ii) seek to qualify the Units for sale in
various jurisdictions as the General Partner deems advisable;
and (iii) take such other actions as the General Partner
deems advisable.
The General Partner, at its option, may admit additional Limited
Partners to the Partnership without the consent of the Limited
Partners at any time. Such additional Limited Partners shall
contribute capital to the Partnership, and shall be admitted as
Limited Partners as of the first business day of the month
immediately following the month-end as of which their
subscriptions were accepted by the General Partner at no less
than the Net Asset Value per Unit as of such month-end.
ARTICLE 12.
SPECIAL POWER OF ATTORNEY
By execution of this Agreement, each Limited Partner irrevocably
constitutes and appoints the General Partner with full power of
substitution, as his true and lawful attorney-in-fact, in his
name, place and stead, to execute, acknowledge, swear to, file
and record in his behalf in the appropriate public offices and
publish (i) this Agreement and any amendments thereto;
(ii) all instruments which the General Partner deems
necessary or appropriate to reflect any amendment, change, or
modification of the Limited Partnership Agreement or Certificate
of Limited Partnership in accordance with the terms of this
Agreement; and (iii) Certificates of Fictitious or Assumed
Name. The Power of Attorney granted herein shall be irrevocable
and deemed to be a power coupled with an interest and shall
survive the incapacity or death of a Limited Partner. Each
Limited Partner hereby agrees to be bound by any representation
made by the General Partner and by any successor thereto, acting
in good faith pursuant to such Power of Attorney.
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ARTICLE 13.
WITHDRAWAL OF A PARTNER
The Partnership shall terminate and be dissolved upon the
withdrawal, or insolvency of the General Partner (unless in the
case of the withdrawal of the General Partner, the actions
necessary to continue the Partnership are taken pursuant to
Article 16). The General Partner shall cease to be a
general partner of the Partnership upon the occurrence of any of
the following events of withdrawal: (i) the General
Partners bankruptcy or insolvency; (ii) any event
prescribed in the Act that is not encompassed in this
Article 13; or (iii) 120 days prior written
notice to the Limited Partners of the General Partners
intent to withdraw as a General Partner. If the General Partner
withdraws as general partner, it can redeem its interests in the
Partnership at Net Asset Value as of the next month-end in which
it is calculated. If the Limited Partners elect to continue the
Partnership, the withdrawing General Partner shall pay all
Partnership expenses incurred as a result of its withdrawal. The
death, incompetency, incapacity, withdrawal, insolvency, or
dissolution of a Limited Partner shall not dissolve or terminate
the Partnership, and said Limited Partner, his estate,
custodian, or personal representative shall have no right to
withdraw or value such Limited Partners Units except as
provided in Article 10 hereof. Each Limited Partner (and
any assignee of such Limited Partner) expressly agrees that in
the event of his death, he waives on behalf of himself and his
estate, and he directs the legal representative of his estate
and any person interested therein to waive the furnishing of any
inventory, accounting, or appraisal of the assets of the
Partnership and any right to a special audit of the books and
records of the Partnership, provided that the waiver shall not
relieve the General Partner from its reporting obligations set
forth in Article 9.
ARTICLE 14.
NO PERSONAL LIABILITY FOR RETURN OF CAPITAL
Subject to the provisions of Article 15 below, the General
Partner shall not be personally liable for the return or
repayment of all or any portion of the capital or profits of any
Partner (or assignee), it being expressly agreed that any such
return of capital or profits made pursuant to this Agreement
shall be made solely from the assets (which shall not include
any right of contribution from the General Partner) of the
Partnership.
ARTICLE 15.
STANDARD OF LIABILITY; INDEMNIFICATION
15.1 Standard of Liability. The
General Partner and its controlling persons shall have no
liability to the Partnership or any Limited Partner for any loss
suffered by the Partnership which arises out of any action of
the General Partner if the General Partner, in good faith,
determined that such course of conduct was in the best interests
of the Partnership and such course of conduct did not constitute
negligence or misconduct of the General Partner.
15.2 Indemnification by the
Partnership. The Partnership shall indemnify,
defend, and hold harmless the General Partner (including
controlling persons and a former General Partner who has
withdrawn from the Partnership) from and against any loss,
liability, damage, cost or expense (including attorneys
fees, and expenses incurred in defense of any demands, claims or
lawsuits) arising from actions or omissions concerning the
business or activities undertaken by or on behalf of the
Partnership, from any source only if all of the following
conditions are satisfied: (i) the General Partner has
determined, in good faith, that the course of conduct which
caused the loss or liability was in the best interests of the
Partnership, (ii) the General Partner was acting on behalf
of or performing services for the Partnership, (iii) such
liability or loss was not the result of negligence or misconduct
by the General Partner, and (iv) such indemnification is
recoverable only out of the Partnerships assets and not
from the Limited Partners. In no event shall the General Partner
or any of the selling agents receive indemnification from the
Partnership arising out of alleged violations of federal or
state securities laws unless the following conditions are
satisfied; (a) there has been a successful adjudication on
the merits of each count involving alleged securities law
violations, or (b) such claims have been dismissed with
prejudice on the merits by a court of competent jurisdiction, or
(c) a court of competent jurisdiction approves a settlement
of the claims and finds that indemnification of the settlement
and related costs should be made, and (d) in the case of
subparagraph (c), the court considering the request has been
advised of the position of the Securities and Exchange
Commission and the states in which Units were offered and sold
as to indemnification for violations of securities laws;
provided that the court need only be
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advised and consider the positions of the securities regulatory
authorities in those states in which plaintiffs claim they were
offered or sold Units. The Partnership shall not incur the cost
of that portion of liability insurance which insures the General
Partner for any liability as to which the General Partner is
prohibited from being indemnified herein.
15.3 Advance Payment. Expenses
incurred in defending a threatened or pending civil,
administrative or criminal action, suit or proceeding against
the General Partner may be paid by the Partnership in advance of
the final disposition of such action, suit or proceeding, if and
to the extent that (i) the legal action relates to acts or
omissions with respect to the performance of duties or services
on behalf of the Partnership, (ii) the legal action is
initiated by a party who is not a Limited Partner, or if by a
Limited Partner, then a court of competent jurisdiction
specifically approves such advancement, and (iii) the
General Partner shall agree to reimburse the Partnership,
together with the applicable legal rate of interest thereon, in
the event indemnification is not permitted under this
Article 15 upon final disposition.
ARTICLE 16.
AMENDMENTS; MEETINGS
16.1 Amendments with Consent of the General
Partner. If at any time during the term of the
Partnership the General Partner shall deem it necessary or
desirable to amend this Agreement, such amendment shall be
effective only if embodied in an instrument signed by the
General Partner and by the holders of more than fifty percent
(50%) of the Units then owned by the Limited Partners. Any such
supplemental or amendatory agreement shall be adhered to and
have the same effect from and after its effective date as if the
same had originally been embodied in and formed a part of this
Limited Partnership Agreement, provided, however, that no such
supplemental or amendatory agreement shall, without the consent
of all Limited Partners, change or alter this Section 16,
extend the term of the Partnership, reduce the capital account
of any Partner or modify the percentage of profits, losses or
distributions to which any Partner is entitled. In addition,
reduction of the capital account of any assignee or
modifications of the percentage of profits, losses or
distributions to which an assignee is entitled hereunder shall
not be effected by any amendment or supplement to this Limited
Partnership Agreement without such assignees written
consent. No meeting procedure or specified notice period is
required in the case of amendments made with the consent of the
General Partner, mere receipt of an adequate number of unrevoked
written consents being sufficient. The General Partner may amend
this Limited Partnership Agreement without the consent of the
Limited Partners in order (i) to clarify any clerical
inaccuracy or ambiguity or reconcile any inconsistency
(including any inconsistency between this Agreement and the
Prospectus), (ii) to effect the intent of the tax
allocations proposed herein (including, without limitation,
allocating capital gain and capital loss on a net rather than a
gross basis) to the maximum extent possible in the event of a
change in the Code or the interpretations thereof affecting such
allocations, (iii) to attempt to ensure that the
Partnership is not taxed as an association taxable as a
corporation for federal income tax purposes, (iv) to delete
or add any provision of or to this Limited Partnership Agreement
required to be deleted or added by the staff of the Securities
and Exchange Commission or any other federal agency or any state
Blue Sky official or similar official or in order to
opt to be governed by any amendment or successor statute to the
Act, (v) to change the name of the Partnership and to make
any modifications to this Limited Partnership Agreement to
reflect the admission of an additional or substitute general
partner, (vi) to make any amendment to this Limited
Partnership Agreement which the General Partner deems advisable,
provided that such amendment is not adverse to the Limited
Partners and does not alter the basic investment policies or
structure of the Partnership, or that is required by law, or
(vii) to make any amendment that is appropriate or
necessary, in the opinion of the General Partner, to prevent the
Partnership or the General Partner or their respective
directors, officers or controlling persons from in any manner
being subject to the provisions of the Investment Company Act of
1940, as amended, or plan asset regulations adopted
under ERISA as a result of their association with the
Partnership.
16.2 Meetings. The General Partner
will maintain at the office a list of the names and addresses of
all Limited Partners and the Units owned by them. Upon request
of any Limited Partner or his representative, the General
Partner shall make such list available for review by any Limited
Partner or his representative, and upon request, either in
person or by mail, the General Partner shall furnish a copy of
such list by mail to any Limited Partner or his representative,
for the cost of duplication and postage. Upon receipt of a
written request, signed by Limited Partners owning at least 10%
of the Units then owned by Limited Partners, that a meeting of
the Partnership
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be called to vote upon any matter which the Limited Partners may
vote upon pursuant to this Agreement, the General Partner shall,
by written notice, either in person or by certified mail, to
each Limited Partner of record mailed within 15 days after
such receipt, call a meeting of the Partnership. Such meeting
shall be held at least 30 days but not more than
60 days after the mailing of such notice, and such notice
shall specify the date, a reasonable place and time, and the
purpose of such meeting.
16.3 Amendments and Actions Without Consent of the
General Partner. At any meeting called pursuant
to Article 16.2, upon the affirmative vote (which may be in
person or by proxy) of Limited Partners owning more than a
majority of the Units then owned by the Limited Partners (any
Units held by the General Partner or its affiliates shall be
disregarded in calculating the percentage of outstanding Units
and the General Partner shall be prohibited from voting as a
Limited Partner) the following actions may be taken:
(i) this Agreement may be amended in accordance with and
only to the extent permissible under the Act, provided, however,
that consent of all Limited Partners shall be required in the
case of amendments requiring the consent of all Limited Partners
under the Act; (ii) the Partnership may be dissolved;
(iii) the General Partner may be removed and replaced;
(iv) a new general partner may be elected if the General
Partner withdraws from the Partnership; (v) any contracts
with the General Partner may be terminated on 60 days
written notice; and (vi) the sale of all the assets of the
Partnership may be approved; provided, however, that none of the
said actions may be taken unless the action is permitted under
the Act. In the event of the occurrence of an event described in
(iii) or (iv) above, the interest of the General
Partner shall be redeemed and paid to the General Partner on the
basis of the Net Assets allocable thereto on the date of such
event.
ARTICLE 17.
GOVERNING LAW
The General Partner and Limited Partners expressly agree that
all the terms and provisions hereof shall be construed under the
Delaware Revised Uniform Limited Partnership Act as now adopted
or as may be hereafter amended and shall govern the partnership
aspects of this Agreement absent contrary terms contained in
this Agreement.
ARTICLE 18.
MISCELLANEOUS
18.1 Priority Among Limited
Partners. No Limited Partner shall be entitled to
any priority or preference over any other Limited Partner in
regard to the affairs of the Partnership.
18.2 Notices. All notices under
this Agreement, other than Requests for Redemption of Units,
notices of assignment, transfer or pledge of Units, and reports
by the General Partner to the Limited Partners, shall be in
writing and shall be effective upon personal delivery, or if
sent by first class mail, postage prepaid, addressed to the last
known address of the party to whom such notice is to be given,
then, upon the deposit of such notice in the United States
mails. Reports by the General Partner to the Limited Partners
shall be in writing and shall be sent by first class mail to the
last known address of each Limited Partner. Requests for
Redemption and notices of assignment, transfer or pledge of
Units shall be effective upon receipt by the Partnership.
18.3 Binding Effect. This Agreement
shall inure to and be binding upon all of the parties, their
successors, assigns as permitted herein, custodians, estates,
heirs and personal representatives. For purposes of determining
the rights of any Partner or assignee hereunder, the Partnership
and the General Partner may rely upon the Partnership records as
to who are Partners and assignees, and all Partners and
assignees agree that their rights shall be determined and that
they shall be bound hereby, including all rights which they may
have under Article 16 hereof.
18.4 Captions. Captions in no way
define, limit, extend or describe the scope of this Agreement
nor the effect of any of its provisions.
18.5 Counterparts. This Agreement
may be executed in any number of counterparts, each of which
shall be deemed to be an original, and all of such counterparts
together shall constitute one and the same instrument.
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IN WITNESS WHEREOF, the parties hereto have executed this
Agreement on the date first appearing above.
CAMPBELL & COMPANY, INC.
Name: Bruce L. Cleland
Title: President
LIMITED PARTNERS
Bruce L. Cleland as attorney-in-fact for the
Limited Partners who have agreed by separate
instrument to be a party hereto.
Bruce L. Cleland
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EXHIBIT B
CAMPBELL
CLASSIC TREND FUND, L.P.
AGREEMENT OF LIMITED PARTNERSHIP
This Limited Partnership Agreement of Campbell Classic Trend
Fund, L.P. (the Fund or the
Partnership), is entered into as of December 1,
2009 (this Agreement), by and among
Campbell & Company, Inc., a Maryland corporation, as
general partner (the General Partner or
Campbell & Company), and those other parties who
may be hereafter admitted to the Fund and who shall execute this
Agreement, whether in counterpart, by separate instrument or
otherwise, as limited partners of the Fund (collectively the
Limited Partners) executed by Campbell &
Company, Inc. as general partner, in accordance with the
provisions hereinafter set forth.
WITNESSETH:
WHEREAS, the General Partner heretofore filed a Certificate of
Limited Partnership with the Office of the Secretary of State of
the State of Delaware under and pursuant to the Delaware Revised
Uniform Limited Partnership Act (6 Del.
C.§ 17-101
et seq., as amended from time to time, the
Act); and
WHEREAS, the parties desire to enter into this Agreement to:
(i) set forth their respective interests, rights, powers,
authority, duties, responsibilities, liabilities and obligations
in and with respect to the Fund, as well as the respective
interests, rights, powers, authority, duties, responsibilities,
liabilities and obligations of persons who may hereafter be
admitted to the Fund as Limited Partners in accordance with the
provisions hereof, and (ii) provide for the management and
conduct of the business and affairs of the Fund.
NOW, THEREFORE, in consideration of the mutual premises and
agreements made herein and other good and valuable
consideration, the receipt and sufficiency of which are hereby
acknowledged, the parties hereto hereby agree as follows:
ARTICLE 1.
NAME; APPOINTMENT OF GENERAL PARTNER; CONTINUATION
1.1. Name; Appointment of General
Partner. The name of the Fund is Campbell Classic
Trend Fund, L.P. (the Fund). Campbell &
Company, Inc. shall be the General Partner of the Fund and the
General Partner shall be the General Partner of each Series (as
defined herein). The General Partner shall determine in its sole
discretion the name or designation of any Series in the Fund.
The General Partner may, without the approval of the other
Limited Partners, establish and designate one or more additional
Series and Classes (which may invest in the same or different
portfolios), change the name of the Fund or the name or
designation of any Series or Class in the Fund, or cause the
Fund or any Series or Class in the Fund to transact business
under another name. The General Partner shall notify all Limited
Partners and their permitted assigns of which it has written
notice of any such change. Any use in this Agreement of the term
Fund shall, should the context so require, be deemed
to be a reference to any Series and any use in this Agreement of
the terms Limited Partner, Capital
Account, Capital Contribution or
Interest shall, should the context so require, be
deemed to be a reference to a Limited Partner, Capital Account,
Capital Contribution or Interest of any Series. The use of the
terms Fund or Series in this Agreement
shall in no event alter the intent of the parties hereto that
the Fund, may in the future, at the General Partners
discretion, receive the full benefit of the limitations on
inter-Series liability as set forth in the Act.
1.2. Formation and
Continuation. The General Partner has formed the
Fund as a series limited partnership containing one or more
series of limited partner interests pursuant to and in
accordance with the provisions of the Act. Although the Fund
currently only has one Series and therefore the Series of the
Fund are not segregated for purposes of liability, the General
Partner has caused to be executed and filed with the Secretary
of State of the State of Delaware a Certificate of Limited
Partnership conforming to the requirements of the Act which such
Certificate of Limited Partnership provides for the limitation
of liability of each Series (as may be so designated and
established) to the debts, liabilities, obligations and expenses
of such Series and not those of any other Series or the Fund in
general, so that the liability of each Series may be segregated
as such in the future, in the sole discretion of
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the General Partner. The General Partner and the Limited
Partners are entering into this Agreement in order to provide
for the establishment and continuation of the Fund as a series
limited partnership under the Act and the General Partner and
shall execute, file and record as appropriate such amendments,
assumed name certificates and other documents as are or become
necessary or advisable in connection with the Fund as determined
by the General Partner from time to time.
ARTICLE 2.
PRINCIPAL PLACE OF BUSINESS; REGISTERED OFFICE AND
REGISTERED AGENT; LIMITED PARTNERS NOT AGENTS
2.1. Principal Place of
Business. The principal office of the Fund shall
be located at 2850 Quarry Lake Drive, Baltimore, Maryland 21209,
or such other place as the General Partner may designate from
time to time.
2.2. Registered Office and Registered
Agent. The registered office of the Fund in the
State of Delaware shall be at Corporation Trust Center,
1209 Orange Street, Wilmington, New Castle County, Delaware
19801. The registered agent for service of process on the Fund
shall be The Corporation Trust Company. The General Partner
may from time to time change such registered agent and
registered office and shall give prompt notice of any such
change to each Limited Partner.
2.3. Limited Partners Not
Agents. Except as specifically provided herein,
nothing contained herein shall be construed to constitute any
Limited Partner the agent of any other Limited Partner.
ARTICLE 3.
BUSINESS AND PURPOSE OF THE FUND
The business and purpose of the Fund is to, directly or
indirectly, trade, buy, sell, swap or otherwise acquire, hold or
dispose of any and all commodities (including, but not limited
to, foreign currencies, money market instruments, and any other
financial instruments or items which are now, or may hereafter
be, the subject of futures contract trading), domestic and
foreign futures contracts, forward contracts, foreign exchange
commitments, options on physical commodities and on futures
contracts, spot (cash) commodities and currencies, and any
rights pertaining thereto, as well as swaps and other
derivatives of any type or nature whatsoever, whether currently
existing or hereafter developed, whether traded on an organized
exchange or otherwise, to engage in all activities necessary,
convenient or incidental thereto and to carry on such other
businesses, purposes, or activities as may be set forth from
time to time in the Funds Disclosure Document, as amended
or supplemented from time to time (the Prospectus).
The Fund may also engage in hedge, arbitrage and
cash trading of any of the foregoing instruments. The Fund may
engage in such business and purpose either directly or through
subsidiaries, joint ventures, entities or partnerships, provided
that the Funds participation in any of the foregoing has
no adverse economic or liability consequences for the Limited
Partners, which consequences would not be present had the Fund
engaged in that same business or purpose directly. The objective
of the Funds business is appreciation of its assets
through speculative trading.
The Fund shall possess and may exercise all the powers and
privileges granted by the Act or by any other law or by this
Agreement, together with any powers incidental thereto,
including such powers and privileges as are necessary,
appropriate, advisable or convenient to the conduct, promotion
or attainment of any business, purpose or activity of the Fund.
ARTICLE 4.
TERM, DISSOLUTION AND FISCAL YEAR
4.1 Term. The term of the
Partnership commenced upon the execution and filing of the
Certificate of Limited Partnership, as amended, and shall end
upon the first to occur of the following: (i) an election
to dissolve the Partnership in accordance with the provisions of
Article 4.2 by Limited Partners owning more than 50% of the
Units then outstanding; (ii) the withdrawal of the General
Partner, as defined in, and subject to the limitations of
Article 13; (iii) a determination by the General
Partner that the purpose of the Partnership cannot be fulfilled;
or
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(iv) any event which constitutes a dissolution of a limited
partnership under the Act or otherwise makes it unlawful for the
existence of the Partnership to be continued.
4.2 Dissolution. Upon the
occurrence of an event causing the dissolution of the
Partnership, the Partnership shall be wound up and terminated.
Upon dissolution and termination of the Partnership, the General
Partner shall contribute to the Partnership an amount equal in
the aggregate to the lesser of (a) the deficit balance in
their capital accounts, or (b) the excess of 1.01% of the
total capital contributions paid in by the Limited Partners over
any capital previously contributed by the General Partner.
Payment of creditors, and distribution of the Partnerships
assets shall be effected as soon as practicable in accordance
with the Act, and the General Partner and each Limited Partner
(and any assignee) shall share in the assets of the Partnership
pro rata in accordance with such Partners
respective capital account, less any amount owing by such
Partner (or assignee) to the Partnership.
4.3 Fiscal Year. The fiscal year
of the Partnership shall end on December 31, unless the
General Partner elects, with the approval of the Internal
Revenue Service and the CFTC, a different fiscal year.
ARTICLE 5.
GENERAL PARTNER
5.1 The General Partner is Campbell & Company,
Inc., a Maryland corporation, 2850 Quarry Lake Drive, Baltimore,
Maryland 21209.
ARTICLE 6.
CAPITAL CONTRIBUTIONS AND
UNITS OF LIMITED PARTNERSHIP INTEREST
6.1 Units and Capital Contributions of Limited
Partners. Interests in the Partnership, other
than the General Partners interests, shall be evidenced by
Units (individually a Unit).
6.2 Capital Contributions by General Partner; Net
Worth. The General Partner has contributed cash
to the capital of the Partnership in an amount equal to the
greater of (i) 1% of the net aggregate contributions of all
Partners including the General Partner or (ii) $25,000. The
General Partners contribution shall be evidenced by Units
of General Partnership Interest. The General Partner may make
withdrawals of its Units provided that such withdrawals do not
reduce the General Partners aggregate percentage interest
in the Partnership below the levels described in the previous
sentence. If additional Limited Partners are admitted during any
Continuing Offering pursuant to the provisions of
Article 11 herein, the General Partner shall make such
additional capital contributions as may be required to maintain
its interest at the required level in the Partnership at all
times during the term of the Partnership. The General Partner
shall maintain a net worth so long as it acts as general partner
equal to at least 5% of the capital contributed by all the
limited partnerships for which it acts as general partner,
including the Partnership. The minimum required net worth shall
in no case be less than $50,000 nor shall net worth in excess of
$1,000,000 be required.
6.3 Issuance and Sale of Units. The
Fund is authorized to issue an unlimited number of Units. The
General Partner is authorized to admit as Limited Partners, in
compliance with applicable law, any person and may issue Units
to such Limited Partners. In connection with the Funds
offering of Units, the General Partner, on behalf of the Fund,
shall: (i) qualify Units for sale initially and on a
continuing basis under the Blue Sky and securities laws of such
states of the United States or other jurisdictions as the
General Partner shall deem advisable; (ii) make such
arrangements for the offering and sale of Units as it shall deem
appropriate; and (iii) take such action with respect to the
matters described in clauses (i) and (ii) as it shall
deem advisable or necessary. The General Partner in its
discretion may, from time to time, without vote of the Limited
Partners, issue Units, in addition to the then issued and
outstanding Units, to such party or parties at the then current
net asset value of such Units in connection with the business of
the Fund. In connection with any issuance of Units, the General
Partner may issue fractional Units.
6.4 Establishment of Series. The
General Partner, on behalf of the Fund, may designate various
series of Units (each Series of units is referred to herein as a
Series), and each Series may have such general
partners, separate business purposes, investment objectives,
rights, powers or duties with respect to specified property or
B-3
obligations of such Series or the Fund, as applicable, or
profits and losses associated with specified property or
obligations, and such other rights as the General Partner shall
determine. The General Partner, in addition to being the general
partner of the Fund, shall be the general partner associated
with each Series designated and established hereunder. The
General Partner hereby establishes and designates the following
Series: the Trend Following Series. Additional
Series of Units may be offered from time to time in the
discretion of the General Partner and the terms of any such
Series shall be determined by the General Partner and set forth
in the Prospectus. Separate and distinct records may be
maintained for each Series and the Fund may hold and account for
the assets associated therewith separately from the other Fund
property and the assets associated with any other Series. Each
Unit of a Series (or a Class thereof,) shall represent an equal
beneficial interest in the net assets associated with that
Series (or Class thereof).
The General Partner, in its sole discretion, may organize the
Fund so that the debts, liabilities, obligations and expenses
incurred, contracted for or otherwise existing with respect to a
particular Series or a general partner associated with such
Series shall be enforceable only against the assets of such
Series or a general partner associated with such Series, and not
against the assets of the Fund generally, any other Series
thereof or any general partner not associated with such Series,
and none of the debts, liabilities, obligations and expenses
incurred, contracted for or otherwise existing with respect to
the Fund generally or any other Series thereof shall be
enforceable against the assets of such Series or a general
partner associated with such Series. With respect to debts,
liabilities, obligations and expenses which relate to the Fund
generally or more than one Series, the General Partner in its
discretion may allocate and apply such debts, liabilities,
obligations and expenses to and among certain Series as the
General Partner considers appropriate.
A Series may have a business purpose or investment strategy that
differs from other Series. A Series may be treated as a separate
partnership for U.S. federal income tax purposes, in the
General Partners discretion. Every written agreement,
instrument or other undertaking made or issued by or on behalf
of a particular Series may include a recitation limiting the
obligation or claim represented thereby to that Series and its
assets.
6.5 Classes. Within each Series the
General Partner may designate Units into any number of classes
(each a Class). The Trend Following Series shall
consist initially of Class A, Class B, Class C,
Class D and Class E Units. For the avoidance of doubt,
the creation of separate Classes of Units within a Series shall
be for accounting purposes only, and is not intended to separate
or segregate the assets and liabilities of one Class within a
Series from all other Classes in that same Series. Further, for
the avoidance of doubt, the General Partnership Units shall be
accounted for separately from all other Units and shall be
considered the functional equivalent of a separate
class of Units for all purposes hereunder. Such
General Partnership Units shall share in the profits, losses,
and expenses of the Partnership on a pro rata basis, excluding
any advisory fees, general partner fees, performance fees, and
certain other expenses (or a portion thereof) as determined by
the General Partner in its sole discretion
6.6 Establishment of Additional Series and
Classes. The establishment and designation of any
Series
and/or
Classes of Units other than those specifically named in
Sections 6.4 and 6.5 above shall be effective upon the
execution by the General Partner of an instrument setting forth
such establishment and designation and the relative rights and
preferences of such Series
and/or
Classes, or as otherwise provided in such instrument. At any
time that there are no Units outstanding of any particular
Series or Class previously established and designated, the
General Partner may, in its exclusive discretion, abolish that
Series
and/or Class
and the establishment and designation thereof. Each instrument
referred to in this Section 6.6 shall have the status of an
amendment to this Agreement.
6.7 Availability of Contributions. The
aggregate of all Partnership contributions shall be available to
the Partnership to carry on its business and purpose, and no
interest shall be paid to any Partner on any such contributions.
ARTICLE 7.
ALLOCATION OF PROFITS AND LOSSES
7.1 Capital Accounts. A separate
capital account shall be established and maintained for each
Limited Partner, including with respect to each Series. The
initial balance of each Limited Partners capital account
shall be the amount initially contributed to that capital
account, and shall be appropriately adjusted to reflect
allocations of
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net profits, net losses and distributions of cash or other
property, whether through redemption or otherwise. To the extent
that a Limited Partner purchases Units of different Series, the
Fund shall establish a separate memorandum account within the
Limited Partners primary capital account for each Series
of Units.
7.2 Periodic Allocations. The Fund
shall commence operations as a monthly liquidity fund. Profits
and losses, accordingly, initially will be allocated on a
monthly basis. However, the General Partner reserves the right,
without the consent of the Limited Partners, to provide
liquidity to the Limited Partners of any existing or future
Series or Class on a more frequent basis, employing periods
shorter than one month for, among other things, the allocation
of profits and losses. As of the close of business (as
determined by the General Partner) on the last day of each
period and on each Redemption Date, the following
determinations and allocations shall be made with respect to
each Series and each Class: (i) any increase or decrease in
the Net Assets (prior to the accrual of all fees and other
charges) shall be determined; (ii) fees and charges shall
then be charged against Net Assets; (iii) accrued
performance fees, if any, shall then be charged against Net
Assets; (iv) any remaining increase or decrease in the Net
Assets as compared to the last such determination of Net Assets
shall be credited or charged to the capital accounts of each
Limited Partner of such Series and Class in the ratio that the
balance of each capital account bears to the balance of all
capital accounts for such Series and Class; and (v) the
amount of any distribution to a Limited Partner and any amount
paid to a Limited Partner on redemption of Units shall be
charged to such Limited Partners capital account.
7.3 Allocation of Profit and Loss for Federal
Income Tax Purposes. At the end of each taxable
year, each item of Partnership taxable income, gain, loss,
deduction, or credit will be allocated among the Partners in
accordance with the following provisions:
(1) Capital gain shall be allocated first to each Partner
who has redeemed Units (Units of General Partnership Interest in
the case of the General Partner) during the year to the extent
that the amount the Partner received on redemption exceeds the
amount paid for the redeemed Units (as set forth in subparagraph
(5));
(2) Capital gain remaining after the allocation in
subparagraph (1) shall be allocated among all Partners in
the ratio that each Partners capital account bears to all
Partners capital accounts;
(3) Capital losses shall be allocated first to each Partner
who has redeemed Units (Units of General Partnership Interest in
the case of the General Partner) during the year to the extent
that the amount the Partner paid for the redeemed Units (as set
forth in subparagraph (5)) exceeds the amount the Partner
received on redemption;
(4) Capital losses remaining after the allocation in
subparagraph (3) shall be allocated among all Partners in
the ratio that each Partners capital account bears to all
Partners capital accounts;
(5) For the purpose of the allocations of capital gain and
loss in subparagraphs (1) and (3), the amount each Partner
paid for each of his Units shall be deemed to have increased by
the amount of capital gain allocated to him with respect to such
Unit pursuant to subparagraph (2) or ordinary income
pursuant to subparagraph (6); decreased by the amount of any
capital loss allocated to him with respect to such Unit pursuant
to subparagraph (4) or ordinary expense pursuant to
subparagraph (6); and decreased by the amount of any
distributions to him with respect to such Unit pursuant to
Article 7.8;
(6) Items of ordinary income and expense will be allocated
pro rata among the Partners based upon their respective
capital accounts as of the end of each month in which the items
of ordinary income or expense accrue; provided that any
performance fee paid to the General Partner shall be allocated
among the Units outstanding at any time during the fiscal year
based upon the ratio that each such Units net performance
fee (the excess, if any, of the aggregate of all performance
fees allocated to the capital account relating to such Unit over
the aggregate of all reversals of performance fees allocated to
such Unit) bears to the net performance fee of all Units;
(7) Notwithstanding subparagraphs (4) and (6), if the
allocation of such loss would cause a Limited Partner to have a
capital account deficit, then such loss shall be allocated to
the General Partner, according to its capital account, to the
extent of such losses;
(8) For purposes of this Paragraph 7.3, capital
gain and capital loss shall mean gain or loss
characterized as gain or loss from the sale or exchange of a
capital asset by the Internal Revenue Code of 1986, as amended
(the
B-5
Code), including but not limited to gain or loss
required to be taken into account pursuant to Section 1256
thereof and any income, gain or loss determined under
Section 988 of the Code; and
(9) Allocations of capital gain or loss will be made pro
rata from each category of capital gain or loss determined
under Section 1(h) of the Code and income or loss
determined under Section 988 of the Code.
7.4 Definitions; Accounting.
(1) Net Assets. Net
Assets of the Partnership shall mean the total assets of
the Partnership, including all cash and cash equivalents (valued
at cost), plus accrued interest thereon, and the market value of
all open commodity positions and other assets of the
Partnership, less all liabilities of the Partnership, including
accrued performance fees determined in accordance with the
principles specified in this subparagraph and, where no
principle is specified, in accordance with generally accepted
accounting principles consistently applied under the accrual
basis of accounting. The market value of a commodity or
commodity futures contract traded on an exchange, or through a
clearing firm or through a bank, shall mean the most recent
available settlement price or closing quotation, as appropriate
on the exchange, or of the clearing firm or bank on or through
which the commodity or contract is traded by the Partnership on
the day with respect to which Net Assets are being determined.
If such contract cannot be liquidated, due to the operation of
daily limits or otherwise, on a day as of which Net Assets are
determined, the liquidating value on the first subsequent day on
which the contract would be liquidated may be used or such other
value as the General Partner may deem fair and reasonable. The
market value of a commodity forward contract or a commodity
futures contract traded on a foreign exchange shall mean its
market value as determined by the General Partner on a basis
consistently applied. The Net Assets of a
Series or Class shall mean the Net
Assets of the Partnership, on a
Series-by-Series
or
Class-by-Class
basis.
(2) Net Asset Value. The Net
Asset Value of the Partnership shall mean the total
capital accounts of all Partners. The Net Asset
Value of a Series or Class shall mean the Net Asset Value
of the Partnership on a
Series-by-Series
or
Class-by-Class
basis. The Net Asset Value of a Unit shall be the
total capital accounts of all Partners, divided by the number of
Units owned by all Partners.
(3) Blue Sky Glossary. The
definitions in the Blue Sky Glossary in Appendix I to the
Partnerships Prospectus are hereby incorporated herein by
reference.
7.5 Expenses.
(1) The Fund, and in turn, each Class of Units (excluding
Class E Units), shall pay, monthly, its organization and
offering expenses (collectively, Offering Costs) as
incurred, subject to an annual cap of 0.50% of the Funds,
and in turn, each Class of Units, month end net asset
value. Such Offering Costs include all fees and expenses in
connection with the distribution of the Units, including legal,
accounting, printing, mailing, filing fees, escrow fees,
salaries and bonuses of employees while engaged in sales
activities (including wholesaling), and marketing expenses of
Campbell & Company and the selling agents which are
paid by the Fund. Any Offering Costs incurred in excess of the
aforementioned annual cap are initially paid by the trading
advisor; provided, however, that the Fund reimburses the
Offering Costs paid by the trading advisor at such time, if any,
as the Fund is able to do so within the limit of the
aforementioned cap. In its discretion, the General Partner may
require the Fund to reimburse the General Partner in any
subsequent calendar year for amounts that exceeded these limits
in any calendar year, provided that the maximum amount
reimbursed by the Fund in any calendar year not exceed the
overall limits set forth above. In no event will the
reimbursement exceed 2.5% of the total subscriptions accepted by
the Fund. In no event shall the Offering Costs paid by the Fund
exceed the limits set by the NASAA Guidelines during such time
as the Units are registered for sale to the public. Each Class
of Units (excluding Class E Units) shall be specifically
allocated its pro rata Share of the Offering Costs.
(2) The Partnership shall be obligated to pay all
liabilities incurred by it, including without limitation,
(i) advisory and general partner fees payable to
Campbell & Company; (ii) fees payable to the
futures broker and
over-the-counter
counterparty; (iii) selling commissions and broker-dealer
custodial fees as described in the Prospectus payable to the
selling agents; (iv) operating expenses and performance
fees; (v) administrative, legal and accounting fees; and
(vi) taxes and other extraordinary expenses incurred by the
Partnership. During any year of operations, the General Partner
shall be responsible for payment of operating expenses in excess
of 0.5% of the Partnerships month-end Net Asset Value
during that year. Indirect expenses of the General Partner, such
as indirect
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salaries, rent and other overhead expenses, shall not be
liabilities of the Partnership. The Partnership shall receive
all interest earned on its assets.
(3) Class A Units and Class C Units shall pay a
monthly broker-dealer custodial fee of 1/12th of 0.25% of
the Class A and Class C Units month-end net
asset value (0.25% per annum) to the selling agents (the firm,
not the individual) provided, however that the total of such
broker-dealer custodial fees per Unit do not exceed 1.0% of the
gross offering proceeds of Class A Units and 6% of the
gross offering proceeds of Class C Units.
(4) Compensation to any party, including the General
Partner (or any advisor which may be retained in the future),
shall not exceed the limitations imposed as of the date hereof
by the North American Securities Administrators Association
(NASAA). In the event the compensation exceeds such
limitations, the General Partner shall promptly reimburse the
Partnership for such excess. NASAA limitations on fees are as
follows: general partner fees, advisory fees and all other fees
paid to the General Partner, except for performance fees and
commodity brokerage commissions, when added to organization and
offering expenses, shall not exceed 6% annually of net asset
value. The aggregate performance fees shall not exceed 15% of
new trading profits. The sponsor or advisor will be entitled to
an additional 2% performance fee for each 1% by which the net
asset value fee (including any general partner or advisory fees
paid to the General Partner and organization and offering
expenses) is reduced below 6%. Commodity brokerage rates will be
presumptively reasonable if they satisfy either 80% of the
published retail rate plus pit brokerage fees or 14% annually of
average net assets, including pit brokerage fees. The
Class A Units, Class B Units, Class C Units,
Class D Units and Class E Units of the Partnership
will pay to the futures brokers and
over-the-counter
counterparty up to 1% of the net asset value of the Class A
Units, Class B Units, Class C Units, Class D
Units and Class E Units, respectively. The Class A
Units, Class B Units, Class C Units, Class D
Units and Class E Units will pay Campbell &
Company a monthly (i) advisory fee at the annual rate of 2%
and (ii) general partner fee at an annual rate of 1%, of
the net asset value of the Class A Units, Class B
Units, Class C Units, Class D Units and Class E
Units, respectively, prior to any accrual for or payment of any
general partner fee, advisory fee, performance fee, redemption
or subscription during said month, allowing the performance fee
to be 20%, as discussed above.
(5) The Partnership will pay to selected selling agents who
have sold Class A Units and Class B Units, selling
commissions of 2% of each subscription of Class A and
Class B Units (which includes the initial distribution of
the Units, execution of commodity transactions, and ongoing
services to the Limited Partners), which is less than the 14%
limit imposed by NASAA. The amount paid to selling agents of
Classic Trend Fund Class A Units and Class B
Units sold pursuant to each disclosure document will not,
however, exceed 8.0% of the gross offering proceeds of the
Classic Trend Fund Class A Units and 9.0% of the gross
offering proceeds of the Classic Trend Fund Class B
Units sold pursuant to this disclosure document. The Partnership
will pay selected selling agents (the firm and not the
individual) who have sold Class A Units and Class C
Units a broker-dealer custodial fee of
1/12th of
0.25% of Class A Units and Class C Units
month-end net asset value provided, however that the total of
such broker-dealer custodial fees per Unit do not exceed 1.0% of
the gross offering proceeds of Class A Units and 6% of the
gross offering proceeds of Class C Units.
Once total underwriting compensation, including, but not limited
to, the fees mentioned in the preceding paragraph, paid on any
Class A Unit, Class B Unit, Class C Unit or
Class D Unit reaches 10% of the gross offering proceeds,
the Class A Unit, Class B Unit, Class C Unit or
Class D Unit will automatically be
re-designated
as Class E Units., which are identical to Class A
Units, Class B Units, Class C Units and Class D
Units except that Class E Units do not pay any offering
expenses, selling agent fee, broker-dealer custodial fee payable
to the selling agents and, if applicable, redemption fees.
(6) The Partnership shall also be obligated to pay any
costs of indemnification to the extent permitted under
Article 15 of this Agreement.
7.6 Limited Liability of Limited
Partners. Each Unit purchased by a Limited
Partner is fully paid and non-assessable. A Limited Partner
shall be liable for the Partnerships obligations to the
extent of the capital contributed by him plus his share of
profits remaining in the Partnership, if any.
In addition, if a Limited Partner receives a return of any part
of his capital contribution, he shall be liable to the
Partnership for a period of one year thereafter for the amount
of the returned contribution, but only to the extent
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necessary to discharge the Partnerships liabilities to
creditors who extended credit to the Partnership during the
period the contribution was held by the Partnership.
A Limited Partner shall also be liable to the Partnership for
return of any part of his capital contribution returned to him,
for a period of six years, if such return was in violation of
this Agreement or the Act.
7.7 Return of Limited Partners Capital
Contribution. Except to the extent that a Limited
Partner shall have the right to redeem Units, no Limited Partner
shall have any right to demand the return of his capital
contribution or any profits added thereto, except upon
dissolution and termination of the Partnership. In no event
shall a Limited Partner be entitled to demand or receive
property other than cash.
7.8 Distributions. The General Partner shall
have sole discretion in determining what distributions (other
than on redemption of Units or dissolution), if any, the
Partnership will make to its Partners (or any assignee thereof).
Distributions shall be made pro rata in accordance with
the respective capital accounts of the Partners.
ARTICLE 8.
MANAGEMENT
8.1 General.
(1) The General Partner, to the exclusion of the Limited
Partners, shall conduct and manage the business of the
Partnership including, without limitation, all functions
necessary for administration of the Partnership. The General
Partner shall have the fiduciary responsibility for the
safekeeping and use of all assets of the Partnership, whether or
not in its immediate possession or control, shall not contract
away such duty and shall not employ or permit another to employ
such assets in any manner except for the exclusive benefit of
the Partnership. The General Partner, on behalf of the
Partnership, shall make all investment decisions regarding the
Partnership and shall have complete trading discretion. The
General Partner shall seek the best price and services available
in its futures brokerage transactions, and all brokerage
transactions for the Partnerships futures trades will be
effected at competitive rates.
(2) The General Partner shall receive from the Partnership:
(i) advisory fee of 2% per annum of the month-end Net Asset
Value of Class A Units, Class B Units, Class C
Units, Class D Units and Class E Units; general
partner fee of 1% per annum of the month-end Net Asset Value of
Class A Units, Class B Units, Class C Units,
Class D Units and Class E Units; and (ii) a
quarterly performance fee of 20% of the
Partnerships aggregate cumulative appreciation in the Net
Asset Value per Unit, exclusive of interest income. The
performance fee is paid on the cumulative increase, if any, in
the Net Asset Value per Unit over the highest previous
cumulative Unit value or Unit value as of the commencement of
trading, whichever is higher. In determining the fees in this
paragraph, adjustments shall be made for capital additions and
withdrawals and Net Assets shall not be reduced by the
performance fees being calculated for such current period. Such
fees may be changed upon sixty days notice to the Limited
Partners, provided that prior to the imposition of the revised
fees, Limited Partners have an opportunity to redeem (and there
are no delays in receiving payment therefor) and the notice
explains their redemption and voting rights. Further, any new
contract with any advisor, including the General Partner, shall
carryforward all losses attributable to such advisor or General
Partner, as the case may be.
(3) The General Partner may take such other actions as it
deems necessary or desirable to manage the business of the
Partnership including, but not limited to, the following:
entering into commercially reasonable contracts, opening bank
accounts, paying or authorizing the payment of distributions to
the Partners and expenses of the Partnership including fees to
the General Partner, taxes and other fees of governmental
agencies.
(4) The General Partner shall keep and retain for at least
six years, at the principal office of the Partnership, such
books and records relating to the business of the Partnership as
it deems necessary to substantiate that Units were sold only to
purchasers for whom such securities were suitable and which are
required by the Commodity Exchange Act, and the rules and
regulations thereunder. Such books and records shall be
available to any Limited Partner or his authorized attorney or
agent for inspection and copying during normal business hours of
the Partnership.
(5) The General Partner may engage in other business
activities and shall not refrain from any other activity nor
disgorge any profits from any such activity, whether as general
partner of additional partnerships for investment
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in commodity futures or forward contracts or otherwise. Subject
to the terms and conditions set forth in this Agreement, the
General Partner may engage and compensate on behalf of the
Partnership, from funds of the Partnership, such persons, firms
or corporations, as the General Partner in its sole judgment
shall deem advisable for the conduct and operation of the
business of the Partnership. The General Partner may develop and
implement a cash management facility. In such event, the General
Partner may cause the Partnership to participate in such
facility if doing so would be in the best interests of the
Partnership. Competitive management fees may be paid to the
General Partner or an affiliate thereof.
(6) No person dealing with the General Partner shall be
required to determine its authority to make any undertaking on
behalf of the Partnership, nor to determine any fact or
circumstance bearing upon the existence of such authority.
(7) Except as provided by Article 13, the General
Partner may not sell, assign, or otherwise dispose of all or
substantially all of its General Partnership Interest in the
Partnership except for a sale or transfer of all Partnership
interests of all Partners or a sale of all or substantially all
of its interest to a corporation controlled by such General
Partner. The foregoing restriction shall not be applicable to
the General Partner mortgaging, pledging, hypothecating or
granting a security interest in its General Partnership Interest
as collateral for a loan or loans and any such assignment of all
or any portion of the General Partners Interest shall not
cause an event of withdrawal with respect to the General Partner
pursuant to Article 13 of this Agreement.
(8) The maximum period covered by any contract entered into
by the Partnership, except for certain provisions which survive
the stated term, shall be one year. Agreements between the
Partnership and the General Partner or any affiliate shall be
terminable by the Partnership without penalty on
60 days written notice. All sales of Units in the
United States shall be made by registered brokers. No sales will
be made by the General Partner or an affiliate.
8.2 Prohibitions. The Partnership
shall not: (i) engage in pyramiding; (ii) commingle
its assets with the assets of any other person, except as
permitted by law; (iii) make loans to the General Partner
or any affiliate thereof or to any person; (iv) pay
per-trade compensation to the General Partner or any advisor or
any affiliate thereof or to any person who receives any other
form of compensation from the Partnership; or (v) permit
rebates or
give-ups to
be received by the General Partner or affiliates thereof nor
shall the General Partner participate in any reciprocal business
arrangements which would circumvent the foregoing or any other
provision of this Agreement; or (vi) borrow cash or other
assets from the General Partner.
ARTICLE 9.
REPORTS TO LIMITED PARTNERS
The books and records of the Partnership shall be audited
annually by an independent certified public accountant. Net
Assets and Net Asset Value per Unit shall be determined daily
and will be supplied in writing to any Limited Partner who
requests such information. The General Partner will cause each
Partner to receive (i) within ninety (90) days after
the close of each fiscal year an annual report with audited
financial statements (including a balance sheet and income
statement) for the fiscal year then ended, and (ii) within
seventy-five (75) days after the close of each fiscal year
such tax information as is necessary for the Partner to complete
his Federal income tax return. In addition, the General Partner
will report within 30 days after the end of each month to
the Limited Partners the information required by the CFTC to be
reported, which information currently includes the following:
the total amount of realized net gain or loss on commodity
interest positions liquidated during the month; the change in
unrealized net gain or loss on commodity interest positions
during the month; the total amount of net gain or loss from all
other transactions engaged in by the Partnership during the
month, including interest earned; the total amount of
(i) the general partner and advisory fees payable to
Campbell & Company; (ii) fees payable to the
futures broker and
over-the-counter
counterparty; (iii) fees payable by Class A Units and
Class B Units to the selling agents who have sold
Class A Units and Class B Units; and
(iv) performance fees, and all other expenses incurred or
accrued by the Partnership during the month; the Net Asset Value
of a Unit as of the end of the month and as of the end of the
previous month; the total amount of additions to the Net Assets
of the Partnership made during the month; the total amount of
withdrawals from and redemptions of Units for the month; and the
total net income or loss of the Partnership during the month. In
the event either Net Asset Value per Unit as of the end of any
business day declines
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by more than 50% of the previous year-end or month-end Net Asset
Value per Unit, or there is a material change in the advisory
agreement with the General Partner or otherwise affecting the
compensation to any party, including the General Partner, the
General Partner will notify each Limited Partner of such
information, their redemption and voting rights and any material
effect on the Units within seven business days. In the event of
the 50% decline in Net Asset Value per Unit referred to in the
previous sentence, the General Partner will declare a special
redemption period and temporarily suspend the Partnerships
trading during such period.
ARTICLE 10.
DISPOSITIONS AND REDEMPTIONS OF PARTNERSHIP UNITS
10.1 Permissible Dispositions. A
Limited Partner may transfer, assign, pledge, or encumber his
Units only as provided in this Article 10.1. No such
transferee, pledgee, assignee, or secured creditor shall become
a substituted Limited Partner unless the General Partner
consents in writing to such substitution. The General Partner
has complete discretion to withhold consent but only intends to
do so in order to prevent or minimize potential adverse legal or
tax consequences to the Partnership. Any transfer or assignment
of Units which is permitted hereunder shall be effective as of
the beginning of the month following the month in which such
transfer or assignment is made; provided, however, that the
Partnership need not recognize any transfer, assignment, or
pledge until it has received at least 30 days prior
written notice thereof from the transferor, assignor, or
pledgor, which notice shall include (i) the name,
signature, address and social security or taxpayer
identification number of the transferee, assignee, or pledgee,
(ii) the number of Units transferred, assigned or pledged,
and (iii) the signature of the transferor, assignor, or
pledgor. The General Partner may, in its discretion, waive
receipt of the above described written notice or waive any
defect therein. No transfer or assignment shall be permitted
unless the General Partner is satisfied that (i) such
transfer or assignment would not be in violation of the Act,
(ii) the amount of the transfer is at least the minimum
subscription amount except for transfers by gift, inheritance,
or to affiliates, including family members of the person
transferring the Units, and (iii) notwithstanding such
transfer or assignment, the Partnership shall continue to be
classified as a partnership rather than as a corporation or an
association under the Internal Revenue Code, as amended. No
transfer or assignment of Units shall be effective or recognized
by the Partnership if following such transfer or assignment
there would result a termination of the Partnership for federal
income tax purposes as provided in Code 708(b) and any attempted
transfer or assignment in violation hereof shall be ineffective
to transfer or assign any such Units. Any transferee or assignee
of Units who has not been admitted to the Partnership as a
substituted Limited Partner shall not have any of the rights of
a Limited Partner, except that the assignee shall receive that
share of capital and profits and shall have that right of
redemption to which his assignor would otherwise have been
entitled and shall remain subject to the other terms of this
Agreement binding upon Limited Partners. The transfer or
assignment of Units shall be subject to all applicable
securities laws. The transferor or assignor shall bear all costs
(including any attorneys fees) related to such transfer or
assignment.
10.2 Redemptions.
(1) A Limited Partner (or any assignee thereof) may
withdraw all or part of his capital contribution and
undistributed profits, if any, by requiring the Partnership to
redeem all or part of his Units at the Net Asset Value per Unit,
reduced as hereinafter described (such withdrawal being herein
referred to as a Redemption).
(2) Redemptions shall be effective as of the end of any
month ending after a Request for Redemption in proper form has
been timely received by the General Partner (the
Redemption Date). Redemption fees apply to the
Class A Units and Class B Units through the first
twelve month-ends following purchase as follows: 1.833% of net
asset value per Class A Unit or Class B Unit redeemed
through the second month-end, 1.666% of net asset value per
Class A Unit or Class B Unit redeemed through the
third month-end, 1.500% of net asset value per Class A Unit
or Class B Unit redeemed through the fourth month-end,
1.333% of net asset value per Class A Unit or Class B
Unit redeemed through the fifth month-end, 1.167% of net asset
value per Class A Unit or Class B Unit redeemed
through the sixth month-end, 1.000% of net asset value per
Class A Unit or Class B Unit redeemed through the
seventh month-end, 0.833% of net asset value per Class A
Unit or Class B Unit redeemed through the eighth month-end,
0.667% of net asset value per Class A Unit or Class B
Unit redeemed through the ninth month-end, 0.500% of net asset
value per Class A Unit or Class B Unit redeemed
through the tenth month-end, 0.333% of net asset value per
Class A Unit or Class B Unit redeemed through the
eleventh month-end, 0.167% of net asset value per Class A
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Unit or Class B Unit redeemed through the twelfth
month-end. The month-end as of which the Unit is purchased is
counted as the first month-end. After the twelfth month-end
following purchase of a Class A Unit or Class B Unit,
no redemption fees apply. Because the purchase date counts as
the first month-end in determining whether a redemption fee
applies, no redemption fee would be due in respect of a
Class A Unit or Class B Unit redeemed on the first
anniversary of the purchase. As used herein, Request for
Redemption shall mean a written request of such withdrawal
transmitted by the Limited Partner (or any assignee thereof) to
the General Partner not less than ten business days prior to the
end of the month or such shorter period as established by the
General Partner. Upon Redemption, a Limited Partner (or any
assignee thereof) shall receive, per Unit redeemed, an amount
equal to the Net Asset Value per Unit as of the
Redemption Date, less any amount owing by such Limited
Partner (and his assignee, if any) to the Partnership pursuant
to Article 15.3, and less any applicable redemption fees
due to the General Partner. If redemption is requested by an
assignee, all amounts owed to the Partnership under
Article 15.3 by the Partner to whom such Unit was sold, as
well as all amounts owed by the assignees of such Unit, shall be
deducted from the amount payable upon Redemption by any
assignee. All Requests for Redemption in proper form shall be
honored and payment will be made within twenty
(20) business days following the Redemption Date,
except that under special circumstances, including, but not
limited to, the inability on the part of the Partnership to
liquidate commodity positions or the default or delay in
payments due the Partnership from commodity brokers, banks, or
other persons, the Partnership may delay payment to Partners
requesting Redemption of Units. In the event that Redemptions
are requested for more Units than the General Partner is able to
honor due to the foregoing contingencies, the General Partner
will honor Requests for Redemption in the order actually
received and will hold Requests for Redemption in such order.
Limited Partners will be notified within 10 days after
month-end if any Redemption cannot be honored under the terms
hereof and their Requests thereafter will be honored at the
first available opportunity. The Partnership shall not be
obligated to redeem Units that are subject to a pledge or
otherwise encumbered in any fashion.
(3) Subparagraph (2) notwithstanding, if the Net Asset
Value per Unit is determined for purposes of Redemption as of a
month-end which is not the end of a quarter, any performance
fees payable and applicable to such Unit, will be determined and
charged to such Unit as though such month-end were the end of a
quarter and such performance fees were payable and such
performance fees will be paid.
ARTICLE 11.
OFFERING OF UNITS; ADMISSION OF ADDITIONAL LIMITED
PARTNERS
The General Partner shall, from time to time, (i) cause the
Partnership to file a Registration Statement and such amendments
as the General Partner deems advisable, with the Securities and
Exchange Commission for the registration and public offering of
the Units; (ii) seek to qualify the Units for sale in
various jurisdictions as the General Partner deems advisable;
and (iii) take such other actions as the General Partner
deems advisable.
The General Partner, at its option, may admit additional Limited
Partners to the Partnership without the consent of the Limited
Partners at any time. Such additional Limited Partners shall
contribute capital to the Partnership, and shall be admitted as
Limited Partners as of the first business day of the month
immediately following the month-end as of which their
subscriptions were accepted by the General Partner at no less
than the Net Asset Value per Unit as of such month-end.
ARTICLE 12.
SPECIAL POWER OF ATTORNEY
By execution of this Agreement, each Limited Partner irrevocably
constitutes and appoints the General Partner with full power of
substitution, as his true and lawful attorney-in-fact, in his
name, place and stead, to execute, acknowledge, swear to, file
and record in his behalf in the appropriate public offices and
publish (i) this Agreement and any amendments thereto;
(ii) all instruments which the General Partner deems
necessary or appropriate to reflect any amendment, change, or
modification of the Limited Partnership Agreement or Certificate
of Limited Partnership in accordance with the terms of this
Agreement; and (iii) Certificates of Fictitious or Assumed
Name. The Power of Attorney granted herein shall be irrevocable
and deemed to be a power coupled with an interest and shall
survive the incapacity or death of a Limited Partner. Each
Limited Partner hereby agrees to be bound by any
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representation made by the General Partner and by any successor
thereto, acting in good faith pursuant to such Power of Attorney.
ARTICLE 13.
WITHDRAWAL OF A PARTNER
The Partnership shall terminate and be dissolved upon the
withdrawal, or insolvency of the General Partner (unless in the
case of the withdrawal of the General Partner, the actions
necessary to continue the Partnership are taken pursuant to
Article 16). The General Partner shall cease to be a
general partner of the Partnership upon the occurrence of any of
the following events of withdrawal: (i) the General
Partners bankruptcy or insolvency; (ii) any event
prescribed in the Act that is not encompassed in this
Article 13; or (iii) 120 days prior written
notice to the Limited Partners of the General Partners
intent to withdraw as a General Partner. If the General Partner
withdraws as general partner, it can redeem its interests in the
Partnership at Net Asset Value as of the next month-end in which
it is calculated. If the Limited Partners elect to continue the
Partnership, the withdrawing General Partner shall pay all
Partnership expenses incurred as a result of its withdrawal. The
death, incompetency, incapacity, withdrawal, insolvency, or
dissolution of a Limited Partner shall not dissolve or terminate
the Partnership, and said Limited Partner, his estate,
custodian, or personal representative shall have no right to
withdraw or value such Limited Partners Units except as
provided in Article 10 hereof. Each Limited Partner (and
any assignee of such Limited Partner) expressly agrees that in
the event of his death, he waives on behalf of himself and his
estate, and he directs the legal representative of his estate
and any person interested therein to waive the furnishing of any
inventory, accounting, or appraisal of the assets of the
Partnership and any right to a special audit of the books and
records of the Partnership, provided that the waiver shall not
relieve the General Partner from its reporting obligations set
forth in Article 9.
ARTICLE 14.
NO PERSONAL LIABILITY FOR RETURN OF CAPITAL
Subject to the provisions of Article 15 below, the General
Partner shall not be personally liable for the return or
repayment of all or any portion of the capital or profits of any
Partner (or assignee), it being expressly agreed that any such
return of capital or profits made pursuant to this Agreement
shall be made solely from the assets (which shall not include
any right of contribution from the General Partner) of the
Partnership.
ARTICLE 15.
STANDARD OF LIABILITY; INDEMNIFICATION
15.1 Standard of Liability. The
General Partner and its controlling persons shall have no
liability to the Partnership or any Limited Partner for any loss
suffered by the Partnership which arises out of any action of
the General Partner if the General Partner, in good faith,
determined that such course of conduct was in the best interests
of the Partnership and such course of conduct did not constitute
negligence or misconduct of the General Partner.
15.2 Indemnification by the
Partnership. The Partnership shall indemnify,
defend, and hold harmless the General Partner (including
controlling persons and a former General Partner who has
withdrawn from the Partnership) from and against any loss,
liability, damage, cost or expense (including attorneys
fees, and expenses incurred in defense of any demands, claims or
lawsuits) arising from actions or omissions concerning the
business or activities undertaken by or on behalf of the
Partnership, from any source only if all of the following
conditions are satisfied: (i) the General Partner has
determined, in good faith, that the course of conduct which
caused the loss or liability was in the best interests of the
Partnership, (ii) the General Partner was acting on behalf
of or performing services for the Partnership, (iii) such
liability or loss was not the result of negligence or misconduct
by the General Partner, and (iv) such indemnification is
recoverable only out of the Partnerships assets and not
from the Limited Partners. In no event shall the General Partner
or any of the selling agents receive indemnification from the
Partnership arising out of alleged violations of federal or
state securities laws unless the following conditions are
satisfied; (a) there has been a successful adjudication on
the merits of each count involving alleged securities law
violations, or (b) such claims have been dismissed with
prejudice on the merits by a court of competent jurisdiction,
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or (c) a court of competent jurisdiction approves a
settlement of the claims and finds that indemnification of the
settlement and related costs should be made, and (d) in the
case of subparagraph (c), the court considering the request has
been advised of the position of the Securities and Exchange
Commission and the states in which Units were offered and sold
as to indemnification for violations of securities laws;
provided that the court need only be advised and consider the
positions of the securities regulatory authorities in those
states in which plaintiffs claim they were offered or sold
Units. The Partnership shall not incur the cost of that portion
of liability insurance which insures the General Partner for any
liability as to which the General Partner is prohibited from
being indemnified herein.
15.3 Advance Payment. Expenses
incurred in defending a threatened or pending civil,
administrative or criminal action, suit or proceeding against
the General Partner may be paid by the Partnership in advance of
the final disposition of such action, suit or proceeding, if and
to the extent that (i) the legal action relates to acts or
omissions with respect to the performance of duties or services
on behalf of the Partnership, (ii) the legal action is
initiated by a party who is not a Limited Partner, or if by a
Limited Partner, then a court of competent jurisdiction
specifically approves such advancement, and (iii) the
General Partner shall agree to reimburse the Partnership,
together with the applicable legal rate of interest thereon, in
the event indemnification is not permitted under this
Article 15 upon final disposition.
ARTICLE 16.
AMENDMENTS; MEETINGS
16.1. Amendments Not Requiring the Consent of the
Fund.
(a) The General Partner, without obtaining the
authorization or approval of any other Limited Partner and
without giving prior notification to any Limited Partner, may
amend this Agreement at any time and from time to time, whether
by changing any one or more of the provisions hereof, removing
any one or more provisions herefrom or adding one or more
provisions hereto, to the extent necessary, in the reasonable
judgment of the General Partner, to: (i) cause the
provisions of this Agreement to comply with the provisions of
Section 7704 of the Code and the Treasury Regulations
thereunder; (ii) otherwise cause the provisions of this
Agreement to comply with any requirement, condition or guideline
contained in any order, directive, opinion, ruling or regulation
of a federal or state agency or contained in federal or state
law; (iii) ensure the Funds continuing classification
as a partnership for U.S. federal income tax purposes;
(iv) prevent the Fund from being treated as a
publicly traded partnership within the meaning of
Section 7704 of the Code and the Treasury Regulations;
(v) take such action as may be necessary or appropriate to
avoid the assets of the Fund being treated for any purpose of
ERISA or Section 4975 of the Code as assets of any
employee benefit plan as defined in and subject to
ERISA or of any plan or account subject to Section 4975 of
the Code (or any corresponding provision of succeeding law);
(vi) prevent the Fund from being required to register as an
investment company under the Investment Company Act
of 1940; (vii) avoid the Fund engaging in any
prohibited transaction (within the meaning of
Section 406 of ERISA or Section 4975(c) of the Code);
(viii) add to the obligations of the General Partner for
the benefit of the Fund or the Limited Partners; (ix) make
any modification to this Agreement to reflect the admission of
additional or substitute General Partners (x) reflect the
admission, substitution, termination or redemption of Limited
Partners after the date hereof in accordance with the provisions
of this Agreement; (xi) cure any ambiguity in this
Agreement, or correct any provision in this Agreement that is
manifestly incorrect; or (xii) provide that any one or more
additional or substitute General Partner may possess and
exercise any one or more of the rights, powers and authority of
the General Partner hereunder; provided that such appointment of
an additional General Partner does not constitute an
assignment within the meaning of
Section 202(a)(1) of the Advisers Act.
(b) Upon giving notification to the Limited Partners, but
without obtaining the authorization or approval of any Limited
Partner, the General Partner may amend this Agreement at any
time and from time to time, whether by changing any one or more
of the provisions hereof, removing any one or more provisions
herefrom or adding one or more provisions hereto, for such
purpose of purposes as the General Partner may deem necessary,
appropriate, advisable or convenient, provided that, in the
General Partners reasonable judgment, such amendment could
not reasonably be expected to have a material adverse effect on
the Fund or any Limited Partner.
B-13
16.2. Amendment Requiring Consent of the
Fund. Subject to the provisions of
Section 16.3, the General Partner may amend this Agreement
at any time and from time to time, whether by changing any one
or more of the provisions hereof, removing any one or more
provisions herefrom or adding one or more provisions hereto, in
a manner that materially adversely affects or could reasonably
be expected to have a material affect on the Fund or the Limited
Partners; provided, however, that the General Partner may not
make any such Amendment without giving notification to the
Limited Partners, at least thirty (30) days prior to the
implementation of such amendment, setting forth all material
facts relating to such amendment, and obtaining the Consent of
the Fund to such amendment prior to the implementation thereof.
16.3. Consent of the Fund. For
purposes of this Agreement, the Consent of the
Fund, when used with respect to a particular
transaction, practice, amendment to this Agreement or other
action (any such transaction, practice, amendment or other
action being referred to in this Agreement as a Consent
Transaction), shall be deemed to have been obtained if a
Majority in Interest of the Limited Partners, approves such
Consent Transaction (it being understood and agreed that, for
purposes of the foregoing, (i) a Limited Partner shall be
deemed to approve a Consent Transaction if such Limited Partner
either (a) affirmatively approves such Consent Transaction
prior to the completion, consummation or implementation thereof
or (b) fails to give notification to the Fund of its
objection to such Consent Transaction prior to the completion,
consummation or implementation thereof and (ii) a Limited
Partner who withdraws or is required to withdraw all amounts
from its capital account(s) pursuant to the provisions of this
Agreement prior to the completion, consummation or
implementation of such a Consent Transaction shall thereupon
automatically cease to have any right to approve or withhold its
approval of such Consent Transaction and shall not be considered
a Limited Partner for purposes of determining whether a Majority
in Interest of the Limited Partners has approved such Consent
Transaction, notwithstanding that such Limited Partner may have
objected to such Consent Transaction). Majority in
Interest of the Limited Partners, means Limited Partners
(other than the General Partner and its affiliates), the opening
balances of whose capital accounts at such time exceed 50% of
the opening balances of the capital accounts at such time of all
Limited Partners (other than the General Partner and its
affiliates).
16.4. Certain Amendments Requiring Consent of
Affected Limited Partners. Notwithstanding any
other provision of this Article XVI, this Agreement may not
be amended so as to modify the limited liability of a Limited
Partner.
16.5. Amendments of Certificate.
(a) The General Partner shall cause the Certificate of
Limited Partnership to be amended
and/or
restated at such time or times, to such extent and in such
manner as may be required by the Act.
(b) The General Partner may cause the Certificate of
Limited Partnership to be amended
and/or
restated in accordance with the principles set forth in this
Article XVI, and any such amendment
and/or
restatement shall be effective immediately upon the filing of a
certificate of amendment in the office of the Secretary of State
of the State of Delaware or upon such future date as may be
stated therein.
ARTICLE 17.
GOVERNING LAW
The General Partner and Limited Partners expressly agree that
all the terms and provisions hereof shall be construed under the
Delaware Revised Uniform Limited Partnership Act as now adopted
or as may be hereafter amended and shall govern the partnership
aspects of this Agreement absent contrary terms contained in
this Agreement.
ARTICLE 18.
MISCELLANEOUS
18.1 Priority Among Limited
Partners. No Limited Partner shall be entitled to
any priority or preference over any other Limited Partner in
regard to the affairs of the Partnership.
B-14
18.2 Notices. All notices under
this Agreement, other than Requests for Redemption of Units,
notices of assignment, transfer or pledge of Units, and reports
by the General Partner to the Limited Partners, shall be in
writing and shall be effective upon personal delivery, or if
sent by first class mail, postage prepaid, addressed to the last
known address of the party to whom such notice is to be given,
then, upon the deposit of such notice in the United States
mails. Reports by the General Partner to the Limited Partners
shall be in writing or in such electronic format as permitted by
applicable rules. When such requests are in writing, they shall
be sent by first class mail to the last known address of each
Limited Partner. When such reports are in electronic format,
they shall be delivered consistent with applicable rules.
Requests for Redemption and notices of assignment, transfer or
pledge of Units shall be effective upon receipt by the
Partnership.
18.3 Binding Effect. This Agreement
shall inure to and be binding upon all of the parties, their
successors, assigns as permitted herein, custodians, estates,
heirs and personal representatives. For purposes of determining
the rights of any Partner or assignee hereunder, the Partnership
and the General Partner may rely upon the Partnership records as
to who are Partners and assignees, and all Partners and
assignees agree that their rights shall be determined and that
they shall be bound hereby, including all rights which they may
have under Article 16 hereof.
18.4 Captions. Captions in no way
define, limit, extend or describe the scope of this Agreement
nor the effect of any of its provisions.
18.5 Counterparts. This Agreement
may be executed in any number of counterparts, each of which
shall be deemed to be an original, and all of such counterparts
together shall constitute one and the same instrument.
IN WITNESS WHEREOF, the parties hereto have executed this
Agreement on the date first appearing above.
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LIMITED PARTNERS:
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GENERAL PARTNER:
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All Limited Partners now and hereafter admitted as limited
partners of the Fund pursuant to the power of attorney now or
hereafter executed in favor of and delivered to the General
Partner.
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CAMPBELL & COMPANY, INC.
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By: Campbell & Company, Inc. Attorney-in-fact
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Name: Thomas P. Lloyd
Title: General Counsel
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By: /s/ Gregory
T.
Donovan
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Name: Thomas P. Lloyd
Title: General Counsel
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Name: Gregory T. Donovan
Title: Chief Financial Officer
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By: /s/ Gregory
T.
Donovan
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Name: Gregory T. Donovan
Title: Chief Financial Officer
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B-15
EXHIBIT C
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
REQUEST FOR REDEMPTION
Please send original to:
Campbell & Company, Inc.
General Partner
2850 Quarry Lake Drive
Baltimore, Maryland 21209
Phone:
800-698-7235
Social Security Number/Taxpayer ID
Number
(must be
included)
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Client
Mailing Address
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City, State and Zip Code
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Client
Phone Number
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Broker Account Number
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Dear Sir/Madam:
The undersigned hereby requests redemption, as defined in and
subject to all the terms and conditions of the Limited
Partnership Agreement of CAMPBELL STRATEGIC ALLOCATION FUND,
L.P. (Fund), of the undersigneds limited
partnership units (units) in the Fund at the net
asset value per unit, as described in the prospectus, as of the
close of business at the end of the current month. Redemption
will be effective as of the month-end immediately following
receipt by you of this request for redemption, provided that
this request for redemption is received ten (10) business
days prior to the end of such month. Redemption fees apply
through the first twelve month ends following purchase (from and
including the closing date on which the unit is purchased) 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. The undersigned hereby represents and warrants that the
undersigned is the true, lawful and beneficial owner of the
units to which this request for redemption relates with full
power and authority to request redemption of such units. Such
units are not subject to any pledge or otherwise encumbered in
any fashion.
United
States Taxable Limited Partners Only
Under penalty of perjury, the undersigned hereby certifies that
the Social Security Number or Taxpayer ID Number indicated on
this request for redemption is the undersigneds true,
correct and complete Social Security Number or Taxpayer ID
Number and that the undersigned is not subject to backup
withholding under the provisions of section 3406(a)(1)(C)
of the Internal Revenue Code.
Non-United
States Limited Partners Only
Under penalty of perjury, the undersigned hereby certifies that
(a) the undersigned is not a citizen or resident of the
United States or (b) (in the case of an investor which is not an
individual) the investor is not a United States corporation,
partnership, estate or trust.
In order for this redemption request to be processed, it is
mandatory to complete the following:
Type
of Redemption (check one):
o Full
Redemption
o Partial
Redemption (specify number of units
or dollar amount
$ )
Remittance
of Redemption Funds:
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Forward redemption funds to the
undersigned at:
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Name
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Street
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City, State and Zip Code
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o Remit
funds directly to Brokerage Account
Number:
SIGNATURE(S)
MUST BE IDENTICAL TO NAME(S) IN WHICH UNITS ARE
REGISTERED.
ALL BENEFICIARIES MUST SIGN ON
THE SAME REDEMPTION FORM WHEN APPLICABLE.
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Entity Limited Partner
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Individual Limited
Partner(s)
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Printed Name of Entity Limited Partner (or assignee)
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Printed Limited Partner Name
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Signature of Limited Partner
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By:
Signature of Trustee, Custodian,
Fiduciary, Partner or Authorized Officer
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Printed Limited Partner Name/Custodian
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Signature of Limited Partner/Custodian
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Title:
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Additional Limited Partner Signature
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Additional Limited Partner Signature
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Custodian
Medallion Signature Guarantee
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Financial Advisor Name
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Broker/Dealer Name
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Branch Address
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Financial Advisor E-mail
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Branch Phone Number
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Branch Fax Number
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C-1
CAMPBELL
CLASSIC TREND FUND, L.P.
REQUEST FOR REDEMPTION
Please send original to:
Campbell & Company, Inc.
General Partner
2850 Quarry Lake Drive
Baltimore, Maryland 21209
Phone:
800-698-7235
Social Security Number/Taxpayer ID
Number
(must be
included)
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Client
Mailing Address
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City, State and Zip Code
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Client
Phone Number
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Broker Account Number
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Dear Sir/Madam:
The undersigned hereby requests redemption, as defined in and
subject to all the terms and conditions of the Limited
Partnership Agreement of CAMPBELL CLASSIC TREND FUND, L.P.
(Fund), of the undersigneds limited
partnership units (units) in the Fund at the net
asset value per unit, as described in the prospectus, as of the
close of business at the end of the current month. Redemption
will be effective as of the month-end immediately following
receipt by you of this request for redemption, provided that
this request for redemption is received ten (10) business
days prior to the end of such month. Redemption fees apply
through the first twelve month ends following purchase of the
Class A units and Class B units as follows: 1.833% of
net asset value (NAV) per Class A unit or Class B unit
redeemed through the second month-end, decreasing every month
thereafter to 1.666%, 1.500%, 1.333%, 1.167%, 1.000%, 0.833%,
0.667%, 0.500%, 0.333%, and 0.167%, respectively. After the
twelfth month-end following purchase of a unit, no redemption
fees apply. The undersigned hereby represents and warrants that
the undersigned is the true, lawful and beneficial owner of the
units to which this request for redemption relates with full
power and authority to request redemption of such units. Such
units are not subject to any pledge or otherwise encumbered in
any fashion.
United
States Taxable Limited Partners Only
Under penalty of perjury, the undersigned hereby certifies that
the Social Security Number or Taxpayer ID Number indicated on
this request for redemption is the undersigneds true,
correct and complete Social Security Number or Taxpayer ID
Number and that the undersigned is not subject to backup
withholding under the provisions of section 3406(a)(1)(C)
of the Internal Revenue Code.
Non-United
States Limited Partners Only
Under penalty of perjury, the undersigned hereby certifies that
(a) the undersigned is not a citizen or resident of the
United States or (b) (in the case of an investor which is not an
individual) the investor is not a United States corporation,
partnership, estate or trust.
In order for this redemption request to be processed, it is
mandatory to complete the following:
Type
of Redemption (check one)
o Full
Redemption
o Partial
Redemption (specify number of units or dollar amount):
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Class A
Units
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Class B Units
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Class C Units
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Class D Units
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Class E Units
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Remittance
of Redemption Funds:
o Remit
funds directly to Brokerage Account
Number:
SIGNATURE(S)
MUST BE IDENTICAL TO NAME(S) IN WHICH UNITS ARE
REGISTERED.
ALL BENEFICIARIES MUST SIGN ON
THE SAME REDEMPTION FORM WHEN APPLICABLE.
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Entity Limited Partner
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Individual Limited
Partner(s)
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Printed Name of Entity Limited Partner (or assignee)
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Printed Limited Partner Name
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Signature of Limited Partner
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By:
Signature of Trustee, Custodian,
Fiduciary, Partner or Authorized Officer
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Printed Limited Partner Name/Custodian
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Signature of Limited Partner/Custodian
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Title:
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Additional Limited Partner Signature
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Additional Limited Partner Signature
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Custodian
Medallion Signature Guarantee
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Financial Advisor Name
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Broker/Dealer Name
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Branch Address
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Financial Advisor E-mail
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Branch Phone Number
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Branch Fax Number
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C-2
EXHIBIT D
SUBSCRIPTION
REQUIREMENTS
Campbell
Strategic Allocation Fund, L.P.
By executing the Subscription Agreement for Campbell Strategic
Allocation Fund, L.P. (the Strategic Allocation
Fund), each purchaser (purchaser) of limited
partnership units in the Strategic Allocation Fund
(units) irrevocably subscribes for units at a price
equal to the net asset value per unit as of the end of the month
in which the subscription is accepted provided such subscription
is received at least five business days prior to such month end,
as described in this prospectus
dated ,
20 (the prospectus). The Strategic
Allocation Fund is only open to existing investors wishing to
make additions to their existing accounts. Limited partners may
increase their investment in the Strategic Allocation Fund with
a minimum additional investment of $1,000. Subscriptions must be
accompanied by a check or wire in the full amount of the
subscription and made payable to Campbell Strategic
Allocation Fund, L.P. Purchaser is also delivering to the
selling agent an executed Subscription Agreement (Exhibit E
to the prospectus). If purchasers Subscription Agreement
is accepted, purchaser agrees to contribute purchasers
subscription to the Strategic Allocation Fund and to be bound by
the terms of the Strategic Allocation Funds Limited
Partnership Agreement, attached as Exhibit A to the
prospectus.
Campbell
Classic Trend Fund, L.P.
By executing the Subscription Agreement for Campbell Classic
Trend Fund, L.P. (the Classic Trend Fund), each
purchaser (purchaser) of limited partnership units
of any of the classes of the Classic Trend Fund
(units) irrevocably subscribes for units at a price
equal to the net asset value per class of unit as of the end of
the month in which the subscription is accepted provided such
subscription is received at least five business days prior to
such month end, as described in this prospectus
dated ,
20 (the prospectus). The general partner
in its sole and absolute discretion may change the foregoing
notice requirement by written notice to you, as described in
this prospectus
dated ,
20 (the prospectus). The minimum initial
subscription for all classes is $1,000 from IRAs and other
tax-exempt accounts and $5,000 from all other investors. Limited
partners may increase their investment with a minimum additional
investment of $1,000. Subscriptions must be accompanied by a
check or wire in the full amount of the subscription and made
payable to Campbell Classic Trend Fund, L.P.
Purchaser is also delivering to the selling agent an executed
Subscription Agreement (Exhibit F to the prospectus). If
purchasers Subscription Agreement is accepted, purchaser
agrees to contribute purchasers subscription to the
Classic Trend Fund and to be bound by the terms of the Classic
Trend Funds Limited Partnership Agreement, attached as
Exhibit B to the prospectus.
Both
Funds
Purchaser agrees to reimburse the applicable Fund and
Campbell & Company, Inc., the general partner, for any
expense or loss incurred as a result of the cancellation of
purchasers units due to a failure of purchaser to deliver
good funds in the amount of the subscription price. By execution
of the applicable Funds Subscription Agreement, purchaser
will be deemed to have executed the respective Limited
Partnership Agreement and to be bound by the terms of the
respective Limited Partnership Agreement, which will be in
substantially the form of the Limited Partnership Agreements
included in the prospectus as Exhibits A and B.
In connection with this Exhibit D and the attached
Subscription Agreements, the term purchaser will
also include subscriptions from related investors such as the
spouse, children, step-children, siblings, parents or other
immediate relatives of a current limited partner living in the
same household, as well as any related investing entity, such as
a trust, 401K account, foundation or other entity, provided that
the current limited partner is the primary decision
maker on behalf of these related investors and further
provided that the limited partner exercises investment control
over such subscriptions.
As an inducement to the general partner to accept this
subscription, purchaser (for the purchaser and, if purchaser is
an entity, on behalf of and with respect to each of
purchasers shareholders, partners or beneficiaries), by
executing and delivering purchasers Subscription
Agreement, represents and warrants to the general partner, the
clearing broker and the selling agent who solicited
purchasers subscription and the Funds, as follows:
(a) Purchaser is of legal age to execute the Subscription
Agreement and is legally competent to do so. Purchaser
acknowledges that purchaser has received a copy of the
prospectus, including the respective Funds Limited
Partnership Agreement.
D-1
(b) All information that purchaser has furnished to the
general partner or that is set forth in the Subscription
Agreement submitted by purchaser is correct and complete as of
the date of such Subscription Agreement, and if there should be
any change in such information prior to acceptance of
purchasers subscription, purchaser will immediately
furnish such revised or corrected information to the general
partner.
(c) Unless (d) or (e) below is applicable,
purchasers subscription is made with purchasers
funds for purchasers own account and not as trustee,
custodian or nominee for another.
(d) The subscription, if made as custodian for a minor, is
a gift purchaser has made to such minor and is not made with
such minors funds or, if not a gift, the representations
as to net worth and annual income set forth below apply only to
such minor.
(e) If purchaser is subscribing in a representative
capacity, purchaser has full power and authority to purchase the
units and enter into and be bound by the Subscription Agreement
on behalf of the entity for which he is purchasing the units,
and such entity has full right and power to purchase such units
and enter into and be bound by the Subscription Agreement and
become a Limited Partner pursuant to the applicable Limited
Partnership Agreement attached to the prospectus as
Exhibits A and B.
(f) Purchaser either is not required to be registered with
the Commodity Futures Trading Commission (CFTC) or
to be a member of, the National Futures Association
(NFA) or if required to be so registered is duly
registered with the CFTC and is a member in good standing of the
NFA.
(g) If the undersigned is, or is acting on behalf of, an
employee benefit plan, as defined in and subject to
the Employee Retirement Income Security Act of 1974, as amended
(ERISA), or plan as defined in and
subject to Section 4975 of the Internal Revenue Code of
1986, as amended (the Code) (a Plan) or
an entity (Plan Assets Entity) deemed for any
purpose of ERISA or Section 4975 of the Code to hold assets
of any such Plan due to investments made in such entity by Plans
or other Plan Asset Entities (in which case, the representations
and warranties are made with respect to each Plan holding an
investment in such Plan Assets Entity), the individual signing
this Subscription Agreement on behalf of the undersigned hereby
further represents and warrants as, or on behalf of, the
fiduciary of the Plan responsible for purchasing units (the
Plan Fiduciary) that: (a) the Plan Fiduciary
has considered an investment in either or both Funds for such
plan in light of the risks relating thereto; (b) the Plan
Fiduciary has determined that, in view of such considerations,
the investment in either or both Funds is consistent with the
Plan Fiduciarys responsibilities under ERISA; (c) the
Plans investment in either or both Funds does not violate
and is not otherwise inconsistent with the terms of any legal
document constituting the Plan or any trust agreement
thereunder; (d) the Plans investment in either or
both Funds has been duly authorized and approved by all
necessary parties; (e) none of the general partner, the
Funds advisors, the Funds cash managers, the
Funds futures brokers, the Funds
over-the-counter
counterparties, the Funds escrow agent, any wholesaler,
any selling agent, any of their respective affiliates or any of
their respective agents or employees: (i) has investment
discretion with respect to the investment of assets of the Plan
used to purchase units; (ii) has authority or
responsibility to or regularly gives investment advice with
respect to the assets of the Plan used to purchase units for a
fee and pursuant to an agreement or understanding that such
advice will serve as a primary basis for investment decisions
with respect to the Plan and that such advice will be based on
the particular investment needs of the Plan; or (iii) is an
employer maintaining or contributing to the Plan; and
(f) the Plan Fiduciary (i) is authorized to make, and
is responsible for, the decision to invest in either or both
Funds, including the determination that such investment is
consistent with the requirement imposed by Section 404 of
ERISA that Plan investments be diversified so as to minimize the
risks of large losses, (ii) is independent of the general
partner, the Funds advisors, the Funds cash
managers, the Funds futures brokers, the Funds
over-the-counter
counterparties, the Funds escrow agent, each wholesaler,
any selling agent, each of their respective affiliates, and
(iii) is qualified to make such investment decision. The
undersigned will, at the request of the general partner, furnish
the general partner with such information as the general partner
may reasonably require to establish that the purchase of the
units by the Plan does not violate any provision of ERISA or the
Code, including without limitation, those provisions relating to
prohibited transactions by parties in
interest or disqualified persons as defined
therein.
(h) If the undersigned is acting on behalf of a trust (the
Subscriber Trust), the individual signing the
Subscription Agreement on behalf of the Subscriber Trust hereby
further represents and warrants that an investment in the Trust
is permitted under the trust agreement of the Subscriber Trust,
and that the undersigned is authorized to act on behalf of the
Subscriber Trust under the trust agreement thereof.
(i) Purchaser represents and warrants that purchaser has
(i) a net worth of at least $225,000 (exclusive of home,
furnishings and automobiles) or (ii) an annual gross income
of at least $70,000 and a net worth (similarly calculated) of at
least $70,000. Residents of the following states must meet the
requirements set forth below (net worth in all cases is
D-2
exclusive of home, furnishings and automobiles). In addition,
purchaser may not invest more than 10% of his net worth
(exclusive of home, furnishings and automobiles) in each Fund.
Kansas The Office of the Kansas
Securities Commissioner recommends that you should limit your
aggregate investment in the Fund and other managed futures
investments to not more than 10% of your liquid net worth.
Liquid net worth is that portion of your total net
worth (total assets minus liabilities) that is comprised of
cash, cash equivalents and readily marketable securities.
Kentucky Either (i) Net worth of
at least $300,000 (exclusive of home, home furnishings and
automobiles) or (ii) a net worth of at least $85,000
(exclusive of home, home furnishings and automobiles) and an
annual taxable income of $85,000. Kentucky investors should
limit their investment in any commodity pool program to not more
than 10% of their liquid net worth (cash, cash equivalents and
readily marketable securities).
D-3
EXHIBIT E
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
UNITS OF
LIMITED PARTNERSHIP INTEREST
SUBSCRIPTION
AGREEMENT
Campbell Strategic Allocation Fund, L.P.
c/o Campbell &
Company, Inc.
2850 Quarry Lake Drive
Baltimore, Maryland 21209
Dear Sir/Madam:
1. Subscription for Units. I hereby
subscribe for the number of Units of Limited Partnership
Interest (units) in Campbell Strategic Allocation
Fund, L.P. (the Fund) set forth on the reverse side
(minimum additional investment of $1,000) of this Subscription
Agreement, at net asset value per unit as set forth in the
prospectus of the Fund
dated ,
20
(the prospectus). The undersigneds wire or
check payable to Campbell Strategic Allocation Fund,
L.P., in the full amount of the undersigneds
subscription, accompanies the Subscription Agreement Signature
Page. If this subscription is rejected, all funds remitted by
the undersigned herewith will be returned, together with any
interest actually earned thereon. If this subscription is
accepted, subscribers will earn additional units in lieu of
interest earned on the undersigneds subscription while
held in escrow. The general partner, in its sole and absolute
discretion, accepts or rejects this subscription in whole or in
part. All subscriptions once submitted are irrevocable. All
units are offered subject to prior sale.
2. Representations and Warranties of
Subscriber. I have received the prospectus. By
submitting this Subscription Agreement I am making the
representations and warranties set forth in Exhibit D
Subscription Requirements contained in the
prospectus, including, without limitation, those representations
and warranties relating to my net worth and annual income set
forth therein.
3. Acceptance of Limited Partnership
Agreement. I agree that as of the date of the
acceptance of my subscription by the Fund I shall become a
Limited Partner, and I hereby (i) acknowledge that I have
received the Limited Partnership Agreement of the Fund,
(ii) agree to each and every term of the Limited
Partnership Agreement, (iii) agree that my execution of
this Subscription Agreement shall constitute (for all purposes)
my execution of the Limited Partnership Agreement and agreement
to the terms thereof, and (iv) acknowledge that the general
partner may rely upon my execution of this Subscription
Agreement as constituting execution of the Limited Partnership
Agreement and agreement to the terms thereof.
4. Irrevocability; Governing Law. I
hereby acknowledge and agree that I am not entitled to cancel,
terminate or revoke this subscription or any of my agreements
hereunder after the Subscription Agreement has been submitted
(and not rejected) and that this subscription and such
agreements shall survive my death or disability, but shall
terminate with the full redemption of all my units in the
Strategic Allocation Fund. This Subscription Agreement shall be
governed by and interpreted in accordance with the laws of the
State of Delaware.
READ AND
COMPLETE REVERSE SIDE
E-1
EXHIBIT E
Signature Page
CSAF
SUBSCRIPTION AGREEMENT
IMPORTANT: READ REVERSE SIDE BEFORE SIGNING
The investor named below, by execution and delivery of this
Subscription Agreement, by payment of the purchase price for
Units of Limited Partnership Interest in Campbell Strategic
Allocation Fund, L.P. and by either (i) enclosing a check
payable to Campbell Strategic Allocation Fund,
L.P., or (ii) authorizing the Selling Agent (or
Additional Seller, as the case may be) to debit investors
customer securities account in the amount set forth below,
hereby subscribes for the purchase of units at net asset value
per unit. The named investor further acknowledges receipt of the
prospectus
dated ,
20 , including the Strategic Allocation Funds
Limited Partnership Agreement, the Subscription Requirements and
the Subscription Agreement set forth therein, the terms of which
govern the investment in the units being subscribed for hereby.
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1) Total $ Amount
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2) Account
#
(must be completed)
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(minimum of $1,000 for additional
investments)
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o if payment is made by debit to investors securities account, check box
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3) Social
Security
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Joint
Accounts1
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Trust Accounts2
or 3
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o Individual1
o UGMA/UTMA3
o Corporation
or Limited Liability
Company2
o Partnership2
o Estate2
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o Tenants
by/in Entirety
o Tenants
in Common
o Joint
Tenancy with Rights of Survivorship
o Community
Property
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o Revocable
or Grantor
o Other
than Revocable or Grantor
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IRA
Accounts3
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Pension/Profit Sharing Plans
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o Traditional
o Rollover
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o SEP3
o 401(k)2
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Note: In connection with any subscription, the general
partner, in its sole discretion, may request a subscriber to
provide appropriate authorization documents.
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o Roth
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|
o DBP/DCP2
o Simple
IRA3
|
1 Primary
Owners Social Security Number is required.
2 EIN/TIN
is required.
3 Beneficial
Owners Social Security Number and Custodians TIN are
required.
|
4) o Check
here if this is an addition to an existing account.
Partner #:
4a) o Check
here if this account is related to an existing account.
Partner #:
5) Limited
Partner
Name
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6)
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Additional
Information (For Estates,
Partnerships, Trusts and Corporations)
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7)
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Resident
Address
of Limited Partner
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Street
(P.O.
Box not acceptable) |
City State Zip
Code |
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8)
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Mailing
Address
(if different)
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Street City State Zip Code
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9)
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Custodian
Name
and Mailing Address
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Name Street City State Zip Code
10)
INVESTOR(S) MUST SIGN
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X
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X
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Signature of
Investor Date
Telephone No.
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Signature of Joint Investor (if any) or
Custodian Date
|
Executing and delivering this Subscription Agreement shall in
no respect be deemed to constitute a waiver of any rights under
the Securities Act of 1933 or under the Securities Exchange Act
of 1934.
UNITED
STATES INVESTORS ONLY
I have checked the following box if I am subject to backup
withholding under the provisions of Section 3406(a)(1)(C)
of the Internal Revenue
Code: o.
Under penalties of perjury, by signature above I hereby
certify that the Social Security Number or Taxpayer ID Number
next to my name is my true, correct and complete Social Security
Number or Taxpayer ID Number and that the information given in
the immediately preceding sentence is true, correct and complete.
NON-UNITED
STATES INVESTORS ONLY
Under penalties of perjury, by signature above I hereby certify
that (a) I am not a citizen or resident of the United
States or (b) (in the case of an investor which is not an
individual) the investor is not a United States corporation,
partnership, estate or trust.
11)
FINANCIAL ADVISOR MUST
SIGN
I hereby certify that I have informed the investor of all
pertinent facts relating to the risks, tax consequences,
liquidity, marketability, management and control of the General
Partner with respect to an investment in the units, as set forth
in the prospectus
dated ,
20 . I have also informed the investor of the
unlikelihood of a public trading market developing for the
units. I have reasonable grounds to believe, based on
information obtained from this investor concerning his/ her
investment objectives, other investments, financial situation
and needs and any other information known by me, that investment
in the Fund is suitable for such investor in light of his/ her
financial position, net worth and other suitability
characteristics.
The Financial Advisor MUST sign below in order to substantiate
compliance with FINRA Rule 2310.
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X
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X
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Financial Advisor
Signature Date
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Office Manager
Signature Date
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(if required by Selling Agent
procedures)
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12)
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Selling
Firm
|
|
F.A. Name
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F.A. Number
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(print clearly for proper credit)
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|
F.A. Phone F.A. Fax F.A. Email
Address
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|
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F.A. Address
(for confirmations)
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|
Street (P.O. Box not
acceptable) City State Zip Code
|
E-2
EXHIBIT F
CAMPBELL
CLASSIC TREND FUND, L.P.
UNITS OF
LIMITED PARTNERSHIP INTEREST
SUBSCRIPTION
AGREEMENT
Campbell Classic Trend Fund, L.P.
c/o Campbell &
Company, Inc.
2850 Quarry Lake Drive
Baltimore, Maryland 21209
Dear Sir/Madam:
1. Subscription for Units. I hereby
subscribe for the number of Units of Limited Partnership
Interest (units) in Campbell Classic Trend Fund,
L.P. (the Fund) set forth on the reverse side
(minimum initial investment of $1,000 for IRAs and other
tax-exempt accounts and $5,000 for all other investors) of this
Subscription Agreement, at net asset value per unit as set forth
in the prospectus of the Fund
dated ,
20 (the prospectus). The
undersigneds wire or check payable to Campbell
Classic Trend Fund, L.P., in the full amount of the
undersigneds subscription (additions may be made with a
minimum investment of $1,000, as described in the prospectus),
accompanies the Subscription Agreement Signature Page. If this
subscription is rejected, all funds remitted by the undersigned
herewith will be returned, together with any interest actually
earned thereon. If this subscription is accepted, subscribers
will earn additional units in lieu of interest earned on the
undersigneds subscription while held in escrow. The
general partner, in its sole and absolute discretion, accepts or
rejects this subscription in whole or in part. All subscriptions
once submitted are irrevocable. All units are offered subject to
prior sale.
2. Representations and Warranties of
Subscriber. I have received the prospectus. By
submitting this Subscription Agreement I am making the
representations and warranties set forth in Exhibit D
Subscription Requirements contained in the
prospectus, including, without limitation, those representations
and warranties relating to my net worth and annual income set
forth therein.
3. Acceptance of Limited Partnership
Agreement. I agree that as of the date of the
acceptance of my subscription by the Fund I shall become a
Limited Partner, and I hereby (i) acknowledge that I have
received the Limited Partnership Agreement of the Fund,
(ii) agree to each and every term of the Limited
Partnership Agreement, (iii) agree that my execution of
this Subscription Agreement shall constitute (for all purposes)
my execution of the Limited Partnership Agreement and agreement
to the terms thereof, and (iv) acknowledge that the general
partner may rely upon my execution of this Subscription
Agreement as constituting execution of the Limited Partnership
Agreement and agreement to the terms thereof.
4. Irrevocability; Governing Law. I
hereby acknowledge and agree that I am not entitled to cancel,
terminate or revoke this subscription or any of my agreements
hereunder after the Subscription Agreement has been submitted
(and not rejected) and that this subscription and such
agreements shall survive my death or disability, but shall
terminate with the full redemption of all my units in the
Classic Trend Fund. This Subscription Agreement shall be
governed by and interpreted in accordance with the laws of the
State of Delaware.
READ AND
COMPLETE REVERSE SIDE
F-1
EXHIBIT F
Signature Page
CCTF
SUBSCRIPTION AGREEMENT
IMPORTANT: READ REVERSE SIDE BEFORE SIGNING
The investor named below, by execution and delivery of this
Subscription Agreement, by payment of the purchase price for
Units of Limited Partnership Interest in Campbell Classic Trend
Fund, L.P. and by either (i) enclosing a check payable to
Campbell Classic Trend Fund, L.P., or
(ii) authorizing the Selling Agent (or Additional Seller,
as the case may be) to debit investors customer securities
account in the amount set forth below, hereby subscribes for the
purchase of units at net asset value per unit. The named
investor further acknowledges receipt of the prospectus
dated ,
20 , including the Classic Trend Funds Limited
Partnership Agreement, the Subscription Requirements and the
Subscription Agreement set forth therein, the terms of which
govern the investment in the units being subscribed for hereby.
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1) Total Amount of: Class A Units $
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Class B Units $
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|
Class C Units $
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|
Class D Units $
|
(minimum of $1,000 from IRAs and
other tax-exempt accounts and $5,000 from all other investors;
$1,000 for additional investments)
|
Only Class A, B, C and D units
are being offered in the prospectus. Class E units are not
being offered in the prospectus and will be issued in exchange
for Class A, B, C and D units in certain circumstances
which are described in the prospectus.
|
2) Account #
|
|
(must be completed)
|
|
|
|
|
|
|
|
|
o
If payment is made by debit to investors securities
account, check box
|
|
3) Social Security #
-
-
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|
|
|
|
|
|
|
Taxpayer ID #
-
-
|
|
|
|
|
|
|
|
|
|
|
o Individual1
|
|
Joint
Accounts1
|
|
Trust
Accounts2
or 3
|
|
|
|
|
|
o UGMA/UTMA3
o Corporation or Limited Liability Company2
o Partnership2
o Estate2
|
|
o Tenants
by/in Entirety
o Tenants
in Common
o Joint
Tenancy with Rights of Survivorship
o Community
Property
|
|
o Revocable
or Grantor
o Other
than Revocable or Grantor
|
|
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IRA
Accounts3
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|
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|
Pension/Profit Sharing Plans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
o Traditional
o Roth
|
|
o Rollover
|
|
o SEP3
o DBP/DCP2
|
|
o 401(k)2
o Simple
IRA3
|
|
|
|
|
|
|
|
|
|
|
|
|
Note: In connection with any subscription, the general
partner, in its sole discretion, may request a subscriber to
provide appropriate authorization documents.
|
|
|
|
1 |
|
Primary Owners Social
Security Number is required.
2 EIN/TIN
is required.
3
Beneficial Owners Social Security Number and
Custodians TIN are required.
|
4) o Check
here if this is an addition to an existing account.
Partner #:
4a) o Check
here if this account is related to an existing account.
Partner #:
5) Limited
Partner
Name
|
|
6)
|
Additional
Information (For Estates,
Partnerships, Trusts and Corporations)
|
|
|
7)
|
Resident
Address
of Limited Partner
|
|
|
Street
(P.O.
Box not acceptable) |
City State Zip
Code |
|
|
8)
|
Mailing
Address
(if different)
|
Street City State Zip Code
|
|
9)
|
Custodian
Name
and Mailing Address
|
Name Street City State Zip Code
10)
INVESTOR(S) MUST SIGN
|
|
|
X
|
|
X
|
Signature of
Investor Date
Telephone No.
|
|
Signature of Joint Investor (if any) or
Custodian Date
|
Executing and delivering this Subscription Agreement shall in
no respect be deemed to constitute a waiver of any rights under
the Securities Act of 1933 or under the Securities Exchange Act
of 1934.
UNITED
STATES INVESTORS ONLY
I have checked the following box if I am subject to backup
withholding under the provisions of Section 3406(a)(1)(C)
of the Internal Revenue Code:
o.
Under penalties of perjury, by signature above I hereby certify
that the Social Security Number or Taxpayer ID Number next to my
name is my true, correct and complete Social Security Number or
Taxpayer ID Number and that the information given in the
immediately preceding sentence is true, correct and complete.
NON-UNITED
STATES INVESTORS ONLY
Under penalties of perjury, by signature above I hereby certify
that (a) I am not a citizen or resident of the United
States or (b) (in the case of an investor which is not an
individual) the investor is not a United States corporation,
partnership, estate or trust.
11)
FINANCIAL ADVISOR MUST
SIGN
I hereby certify that I have informed the investor of all
pertinent facts relating to the risks, tax consequences,
liquidity, marketability, management and control of the General
Partner with respect to an investment in the units, as set forth
in the prospectus
dated ,
20 . I have also informed the investor of the
unlikelihood of a public trading market developing for the
units. I have reasonable grounds to believe, based on
information obtained from this investor concerning his/her
investment objectives, other investments, financial situation
and needs and any other information known by me, that investment
in the Fund is suitable for such investor in light of his/her
financial position, net worth and other suitability
characteristics.
The Financial Advisor MUST sign below in order to substantiate
compliance with FINRA Rule 2310.
|
|
|
X
|
|
X
|
Financial Advisor
Signature Date
|
|
Office Manager
Signature Date
|
|
|
(if required by Selling Agent
procedures)
|
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|
|
|
|
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12)
|
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Selling
Firm
|
|
F.A. Name
|
|
|
|
F.A. Number
|
|
|
|
|
|
|
|
|
(print clearly for proper credit)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
F.A. Phone F.A. Fax F.A. Email
Address
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
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F.A. Address
(for confirmations)
|
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|
Street (P.O. Box not
acceptable) City State Zip Code
|
F-2
PART II
Information Not Required in Prospectus
Item 13. Other Expenses of Issuance and Distribution.
The following expenses reflect the estimated amounts required to prepare and file this
Registration Statement and complete the offering of the units (other than selling commissions).
Campbell Strategic Allocation Fund, L.P. and Campbell Classic Trend Fund, L.P.
|
|
|
|
|
|
|
Approximate |
|
|
|
Amount |
|
Securities and Exchange Commission Registration Fee |
|
$ |
25,000 |
|
The Financial Industry Regulatory Authority Filing Fee |
|
|
7,500 |
|
Printing Expenses |
|
|
150,000 |
|
Blue Sky Expenses (Excluding Legal Fees) |
|
|
300,000 |
|
Escrow Fees |
|
|
5,000 |
|
Fees of Certified Public Accountants |
|
|
50,000 |
|
Fees of Counsel |
|
|
200,000 |
|
Total |
|
$ |
687,500 |
|
|
|
|
|
Item 14. Indemnification of Directors and Officers.
Article 15 of the
respective Limited Partnership Agreement of the Strategic Allocation Fund
and the Classic Trend Fund filed as exhibits to this Registration Statement and, as amended from time-to-time, provides for
the indemnification of the general partner. The general partner and its controlling persons will
have no liability to the Funds or any limited partner of the Funds
for any loss suffered by the Funds which arises out of any
action of the general partner if the general partner, in good faith, determined that such course of
conduct was in the best interests of the Funds and such course of conduct did
not constitute negligence or misconduct of the general partner. The
Funds
indemnify, defend, and hold harmless the general partner (including controlling persons and a
former general partner who has withdrawn from the Strategic Allocation Fund) from and against any
loss, liability, damage, cost or expense (including attorneys fees, and expenses incurred in
defense of any demands, claims or lawsuits) arising from actions or omissions concerning the
business or activities undertaken by or on behalf of the Funds, from any source
only if all of the following conditions are satisfied: (i) the general partner has determined, in
good faith, that the course of conduct which caused the loss or liability was in the best interests
of the Funds, (ii) the general partner was acting on behalf of or performing
services for the Funds, (iii) such liability or loss was not the result of
negligence or misconduct by the general partner, and (iv) such indemnification is recoverable only
out of the respective Funds assets and not from the limited partners. In no
event will the general partner or any of the selling agents receive indemnification from the
Funds arising out of alleged violations of federal or state securities laws
unless the following conditions are satisfied: (a) there has been a successful adjudication on the
merits of each count involving alleged securities law violations, or (b) such claims have been
dismissed with prejudice on the merits by a court of competent jurisdiction, or (c) a court of
competent jurisdiction approves a settlement of the claims and finds that indemnification of the
settlement and related costs should be made, and (d) in the case of subparagraph (c), the court
considering the request has been advised of the position of the Securities and Exchange Commission
and the states in which Units were offered and
sold as to indemnification for violations of securities laws; provided that the court need
only be advised and consider the positions of the securities regulatory authorities in those states
in which plaintiffs claim they were offered or sold Units. The Funds will not incur the cost of
that portion of liability insurance which insures the general partner for any liability as to which
the general partner is prohibited from being indemnified herein.
1
Item 15. Recent Sales of Unregistered Securities.
On May 11, 1993, one Unit of limited partnership interest in the Campbell Strategic Fund was
sold to an individual affiliated with Campbell & Company in order to permit the filing of a
Certificate of Limited Partnership for the Campbell Strategic Fund. The sale of this Unit was
exempt from registration under the Securities Act of 1933 pursuant to Section 4(2) thereof. No
discounts or commissions were paid in connection with the sale, and no other offeree or purchaser
was solicited. There have been no other unregistered sales of Units.
Item 16. Exhibits and Financial Statement Schedules.
The following documents (unless otherwise indicated) are filed herewith and made a part of
this Registration Statement:
(a) Exhibits. The following exhibits are filed herewith:
|
|
|
Exhibit |
|
|
Number |
|
Description of Document |
|
|
|
1.1
|
|
Form of Selling Agreement for Campbell Strategic Allocation Fund, L.P. and Campbell Classic
Trend Fund, L.P. |
|
|
|
1.2
|
|
Form of Service Agreement for Campbell Strategic Allocation Fund, L.P. (2) |
|
|
|
3.1
|
|
Certificate of Limited Partnership of Campbell Strategic Allocation Fund, L.P. (1) |
|
|
|
3.2
|
|
Certificate of Limited Partnership of Campbell Classic Trend Fund, L.P. |
|
|
|
3.3
|
|
Agreement of Limited Partnership of Campbell Strategic Allocation Fund, L.P. dated May 11, 1993 (1) |
|
|
|
3.4
|
|
Amended Agreement of Limited Partnership of Campbell Strategic Allocation Fund, L.P.
(included to the Prospectus as Exhibit A) |
|
|
|
4.2
|
|
Agreement of Limited Partnership of Campbell Classic Trend Fund, L.P. (included to the
Prospectus as Exhibit B) |
|
|
|
5.1
|
|
Opinion of Sidley Austin LLP as to legality of the Units of Campbell Strategic Allocation Fund, L.P. |
|
|
|
5.2
|
|
Opinion of Sidley Austin LLP as to legality of the Units of Campbell Classic Trend Fund, L.P. |
|
|
|
8.1
|
|
Opinion of Sidley Austin LLP as to income tax matters of Campbell Strategic Allocation Fund, L.P. |
|
|
|
8.2
|
|
Opinion of Sidley Austin LLP as to income tax matters of Campbell Classic Trend Fund, L.P. |
|
|
|
10.1
|
|
Advisory Agreement between Campbell Strategic Allocation Fund, L.P. and Campbell & Company (1) |
|
|
|
10.2
|
|
Advisory Agreement between Campbell Classic Trend Fund, L.P. and Campbell & Company |
|
|
|
10.3
|
|
Commodity Customer Agreement with UBS Securities LLC with respect to Campbell Strategic
Allocation Fund, L.P. (3) |
|
|
|
10.4
|
|
Commodity Customer Agreement with Goldman, Sachs & Co. with respect to Campbell Strategic
Allocation Fund, L.P. (3) |
|
|
|
10.5
|
|
Commodity Customer Agreement with NewEdge USA, LLC with respect to Campbell Classic Trend
Fund, L.P. (5) |
|
|
|
10.6
|
|
Global Institutional Master Custody Agreement with respect to Campbell Strategic Allocation
Fund, L.P. |
2
|
|
|
Exhibit |
|
|
Number |
|
Description of Document |
|
|
|
10.7
|
|
Global Institutional Master Custody Agreement with respect to Campbell Classic Trend Fund,
L.P. (5) |
|
|
|
10.8
|
|
Over-the-Counter Counterparty Agreement with Deutsche Bank AG London with respect to Campbell
Strategic Allocation Fund, L.P. (4) |
|
|
|
10.9
|
|
Over-the-Counter Counterparty Agreement with Royal Bank of Scotland plc with respect to
Campbell Strategic Allocation Fund, L.P. |
|
|
|
10.10
|
|
Over-the-Counter Counterparty Agreement with Royal Bank of Scotland plc with respect to
Campbell Classic Trend Fund, L.P.(5) |
|
|
|
10.11
|
|
Non-Custody Investment Advisory Agreement with Wilmington Trust Investment Management LLC,
cash manager with respect to Campbell Strategic Allocation Fund, L.P. |
|
|
|
10.12
|
|
Non-Custody Investment Advisory Agreement with Wilmington Trust Investment Management LLC,
cash manager with respect to Campbell Classic Trend Fund, L.P. |
|
|
|
10.13
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|
Non-Custody Investment Advisory Agreement with and Horizon Cash Management L.L.C., cash
manager with respect to Campbell Strategic Allocation Fund, L.P. |
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10.14
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Request for Redemption for Campbell Strategic Allocation Fund, L.P. and Campbell Classic
Trend Fund, L.P. (included to the Prospectus as Exhibit C) |
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10.15
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Subscription Requirements for Campbell Strategic Allocation Fund, L.P. and Campbell Classic
Trend Fund, L.P. (included to the Prospectus as Exhibit D) |
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10.16
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Subscription Agreement for Campbell Strategic Allocation Fund, L.P. (included to the
Prospectus as Exhibit E) |
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10.17
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Subscription Agreement for Campbell Classic Trend Fund, L.P. (included to the Prospectus as Exhibit F) |
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10.18
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Escrow Agreement for Campbell Strategic Allocation Fund, L.P. (1) |
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10.19
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Escrow Agreement for Campbell Classic Trend Fund, L.P. (5) |
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23.1
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Consent of Sidley Austin LLP is included as part of Exhibits 5.1 and 5.2. |
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23.2
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Consent of Arthur F. Bell, Jr. & Associates, L.L.C. |
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23.3
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Consent of Sidley Austin LLP as tax counsel is included as part of Exhibits 8.1 and 8.2. |
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23.4
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Consent of Deloitte & Touche LLP. |
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(1) |
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Previously filed as an exhibit to Registration Statement on Form S-1 on August 9, 1993 and
incorporated herein by reference. |
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(2) |
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Previously filed as an exhibit to Post Effective Amendment No. 1 to the Registration
Statement on Form S-1 on May 22, 1995 and incorporated herein by reference. |
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(3) |
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Previously filed as an exhibit to Post Effective Amendment No. 4 to the Registration
Statement on Form S-1 on August 15, 2007 and incorporated herein by reference. |
3
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(4) |
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Previously filed as an exhibit to Registration Statement on Form S-1 on on May 18, 2001 and
incorporated herein by reference. |
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(5) |
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To be filed by amendment. |
(b) The following financial statements are included in the Prospectus:
No Financial Schedules are required to be filed herewith.
Item 17. Undertakings.
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(a) |
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Each undersigned registrant hereby undertakes: |
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(1) |
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To file, during any period in which offers or sales are being
made, a post-effective amendment to this registration statement; |
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(i) |
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To include any prospectus required by section 10(a)(3)
of the Securities Act of 1933, as amended; |
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(ii) |
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To reflect in the prospectus any facts or events
arising after the effective date of the registration statement (or the most
recent post-effective amendment thereof) which, individually or in the
aggregate, represent a fundamental change in the information set forth in
the registration statement. Notwithstanding the foregoing, any increase or
decrease in volume of securities offered (if the total dollar value of
securities offered would not exceed that which was registered) and any
deviation from the low or high end of the estimated maximum offering range
may be reflected in the form of prospectus filed with the Commission
pursuant to Rule 424(b) if, in the aggregate, the changes in volume and
price represent no more than a 20% change in the maximum aggregate offering
price set forth in the Calculation of Registration Fee table in the
effective registration statement; |
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(iii) |
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To include any material information with respect to
the plan of distribution not previously disclosed in the registration
statement or any material change to such information in the registration
statement; |
Provided, however, That:
(A) Paragraphs (a)(1)(i) and (a)(1)(ii) of this section do not apply if the
registration statement is on Form S-8, and the information required to be included in a
post-effective amendment by those paragraphs is contained in reports filed with or
furnished to the Commission by each registrant pursuant to section 13 or section 15(d)
of the Securities Exchange Act of 1934 that are incorporated by reference in the
registration statement; and
(B) Paragraphs (a)(1)(i), (a)(1)(ii) and (a)(1)(iii) of this section do not apply
if the registration statement is on Form S-3 or Form F-3 and the information required to
be included in a post-effective amendment by those paragraphs is contained in reports
filed with or furnished to the Commission by each registrant pursuant to section 13 or
section 15(d) of the Securities Exchange Act of 1934 that are incorporated by reference
in the registration statement, or is contained in a form of prospectus filed pursuant to
Rule 424(b) that is part of the registration statement.
(C) Provided further, however, that paragraphs (a)(1)(i) and (a)(1)(ii) do not
apply if the registration statement is for an offering of asset-backed securities on
Form S-1 (§ 239.11 of this chapter) or Form S-3 (§ 239.13 of this chapter), and the
information required to be included in a post-effective amendment is provided pursuant
to Item 1100(c) of Regulation AB (§ 229.1100(c)).
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(2) |
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That, for the purpose of determining any liability under the
Securities Act of 1933, each such post-effective amendment shall be deemed to
be a new registration statement relating to the
securities offered therein, and
the offering of such securities at that time shall be deemed to be the bona
fide offering thereof. |
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(3) |
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To remove from registration by means of a post-effective
amendment any of the securities being registered which remain unsold at the
termination of the offering. |
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(4) |
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If any registrant is a foreign private issuer, to file a
post-effective amendment to the registration statement to include any financial
statements required by Item 8.A. of Form 20-F at the start of any delayed
offering or throughout a continuous offering. Financial statements and
information otherwise required by Section 10(a)(3) of the Act need not be
furnished, provided that such registrant includes in the prospectus, by means
of a post-effective amendment, financial statements required pursuant to this
paragraph (a)(4) and other information necessary to ensure that all other
information in the prospectus is at least as current as the date of those
financial statements. Notwithstanding the foregoing, with respect to
registration statements on Form F-3, a post-effective amendment need not be
filed to include financial statements and information required by Section
10(a)(3) of the Act or Rule 3-19 of this chapter if such financial statements
and information are contained in periodic reports filed with or furnished to
the Commission by any registrant pursuant to section 13 or section 15(d) of the
Securities Exchange Act of 1934 that are incorporated by reference in the Form
F-3. |
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(5) |
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That, for the purpose of determining liability under the
Securities Act of 1933 to any purchaser: |
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(i) |
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If any registrant is relying on Rule 430B: |
(A) Each prospectus filed by each registrant pursuant to Rule 424(b)(3) shall be
deemed to be part of the registration statement as of the date the filed prospectus was
deemed part of and included in the registration statement; and
(B) Each prospectus required to be filed pursuant to Rule 424(b)(2), (b)(5), or
(b)(7) as part of a registration statement in reliance on Rule 430B relating to an
offering made pursuant to Rule 415(a)(1)(i), (vii), or (x) for the purpose of providing
the information required by section 10(a) of the Securities Act of 1933 shall be deemed
to be part of and included in the registration statement as of the earlier of the date
such form of prospectus is first used after effectiveness or the date of the first
contract of sale of securities in the offering described in the prospectus. As provided
in Rule 430B, for liability purposes of the issuer and any person that is at that date
an underwriter, such date shall be deemed to be a new effective date of the registration
statement relating to the securities in the registration statement to which that
prospectus relates, and the offering of such securities at that time shall be deemed to
be the initial bona fide offering thereof. Provided, however, that no statement made in
a registration statement or prospectus that is part of the registration statement or
made in a document incorporated or deemed incorporated by reference into the
registration statement or prospectus that is part of the registration statement will, as
to a purchaser with a time of contract of sale prior to such effective date, supersede
or modify any statement that was made in the registration statement or prospectus that
was part of the registration statement or made in any such document immediately prior to
such effective date; or
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(ii) |
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If any registrant is subject to Rule 430C, each
prospectus filed pursuant to Rule 424(b) as part of a registration
statement relating to an offering, other than registration statements
relying on Rule 430B or other than prospectuses filed in reliance on Rule
430A, shall be
deemed to be part of and included in the registration statement as of the
date it is first used after effectiveness. Provided, however, that no
statement made in a registration statement or prospectus that is part of the
registration statement or made in a document incorporated or deemed
incorporated by reference into the registration statement or prospectus that
is part of the registration statement will, as to a purchaser with a time of
contract of sale prior to such first use, supersede or modify any statement
that was made |
5
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in the registration statement or prospectus that was part of
the registration statement or made in any such document immediately prior to
such date of first use. |
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(6) |
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That, for the purpose of determining liability of each
registrant under the Securities Act of 1933 to any purchaser in the initial
distribution of the securities: |
Each undersigned registrant undertakes that in a primary offering of securities of such
undersigned registrant pursuant to this registration statement, regardless of the underwriting
method used to sell the securities to the purchaser, if the securities are offered or sold to
such purchaser by means of any of the following communications, each undersigned registrant will
be a seller to the purchaser and will be considered to offer or sell such securities to such
purchaser:
|
(i) |
|
Any preliminary prospectus or prospectus of each
undersigned registrant relating to the offering required to be filed
pursuant to Rule 424; |
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(ii) |
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Any free writing prospectus relating to the offering
prepared by or on behalf of each undersigned registrant or used or referred
to by the undersigned registrant; |
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(iii) |
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The portion of any other free writing prospectus
relating to the offering containing material information about each
undersigned registrant or its securities provided by or on behalf of each
undersigned registrant; and |
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(iv) |
|
Any other communication that is an offer in the
offering made by each undersigned registrant to the purchaser. |
(b) Insofar as indemnification for liabilities under the Securities Act of 1933 may be
permitted to officers, directors or controlling persons of each registrant pursuant to the
foregoing provisions, or otherwise, each registrant has been advised that in the opinion of the
Securities and Exchange Commission such indemnification is against public policy as expressed in
the Act and is, therefore, unenforceable. In the event that a claim for indemnification against
such liabilities (other than the payment by each registrant of expenses incurred or paid by an
officer, director, or controlling person of each registrant in the successful defense of any
action, suit or proceeding) is asserted by such officer, director or controlling person in
connection with the securities being registered, each registrant will, unless in the opinion of its
counsel the matter has been settled by controlling precedent, submit to a court of appropriate
jurisdiction the question whether such indemnification by it is against public policy as expressed
in the Act and will be governed by the final adjudication of such issue.
6
SIGNATURES
Pursuant to the requirements of the Securities Act of 1933, the General Partner of each
Registrant has duly caused this Registration Statement to be signed on their behalf by the
undersigned, thereunto duly authorized, in the city of Baltimore, State of Maryland, on December
18, 2009.
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Campbell Strategic Allocation Fund, L.P. |
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By:
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Campbell & Company, Inc., |
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its General Partner |
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By:
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/s/ Theresa D. Becks
Name: Theresa D. Becks
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Title: Chief Executive Officer |
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Campbell Classic Trend Fund, L.P. |
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By:
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Campbell & Company, Inc., |
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its General Partner |
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By:
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s/ Theresa D. Becks
Name: Theresa D. Becks
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Title: Chief Executive Officer |
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7
Pursuant to the requirements of the Securities Act of 1933, this Registration Statement has
been signed by the following persons on behalf of the General Partner of each Registrant in the
capacities and on the date indicated.
Campbell & Company, Inc.,
General Partner Of each Registrant
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/s/ D. Keith Campbell
Name: D. Keith Campbell |
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Chairman of the Board
and Director
|
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December 18, 2009 |
/s/ Bruce L. Cleland
Name: Bruce L. Cleland |
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Vice Chairman of the
Board and Director
|
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December 18, 2009 |
/s/ Theresa D. Becks
Name: Theresa D. Becks |
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President, Chief
Executive Officer and
Director
(Principal
Executive Officer)
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December 18, 2009 |
/s/ Gregory T. Donovan
Name: Gregory T. Donovan |
|
Chief Financial
Officer and Treasurer
(Principal Financial
Officer)
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|
December 18, 2009 |
(Being principal executive officer, the principal financial officer and a majority of the
directors of Campbell & Company, Inc.) |
CAMPBELL & COMPANY, INC. |
|
General Partner of each Registrant
|
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December 18, 2009 |
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By:
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/s/ Theresa D. Becks
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Name: Theresa D. Becks |
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Title: Chief Executive Officer |
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8