UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C.
20549
PRE-EFFECTIVE
AMENDMENT
NUMBER 1
TO
FORM S-1
REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933
CAMPBELL STRATEGIC ALLOCATION
FUND, L.P.
(Registrant)
CAMPBELL GLOBAL 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)
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(State of
Organization)
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(Primary Standard Industrial
Classification Code Number)
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27-1412568 (Global Trend
Fund)
(I.R.S. Employer
Identification Number)
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c/o Campbell &
Company, Inc.
2850 Quarry Lake Drive
Baltimore, Maryland 21209
(410) 413-2600
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Thomas P. Lloyd
Campbell & Company, Inc.
2850 Quarry Lake Drive
Baltimore, Maryland 21209
(410) 413-2600
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(Address, including zip code,
and telephone number, including area code, of registrants
principal executive offices)
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(Name, address, including zip
code, and telephone number,
including area code, of agent for service)
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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 o
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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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REGISTRANTS HEREBY AMEND THIS REGISTRATION STATEMENT ON SUCH
DATE OR DATES AS MAY BE NECESSARY TO DELAY ITS EFFECTIVE DATE
UNTIL THE REGISTRANTS SHALL FILE A FURTHER AMENDMENT WHICH
SPECIFICALLY STATES THAT THIS REGISTRATION STATEMENT SHALL
THEREAFTER BECOME EFFECTIVE IN ACCORDANCE WITH SECTION 8(a)
OF THE SECURITIES ACT OF 1933, OR UNTIL THE REGISTRATION
STATEMENT SHALL BECOME EFFECTIVE ON SUCH DATES AS THE
COMMISSION, ACTING UNDER SAID SECTION 8(a), MAY DETERMINE.
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Proposed Maximum
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Amount of
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Title of Each Class of
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Aggregate Offering
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Registration
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Securities to be Registered
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Price
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Fee(1)
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Class A (GLD) Units of Limited Partnership Interest of
Campbell Global Trend Fund, L.P.
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$100,000,000
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$7,130
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Class B (GLD) Units of Limited Partnership Interest of
Campbell Global Trend Fund, L.P.
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$100,000,000
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$7,130
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Class C (GLD) Units of Limited Partnership Interest of
Campbell Global 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
Global 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 Global
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 (GLD) Units and Class B (GLD) Units of
Campbell Global Trend Fund, L.P. in the event Limited Partners
holding Class A (GLD) Units and Class B (GLD) 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.
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CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
CAMPBELL
GLOBAL TREND FUND, L.P.
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Maximum Available Units
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Minimum Initial Investment
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Minimum Additional Investment
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Price Per Unit
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Campbell Strategic Allocation Fund, L.P.
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$331,000,000
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N/A
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$1,000
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Net Asset Value
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Campbell Global Trend Fund, L.P. Class A
(USD)1
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$100,000,000
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$1,000 from IRAs and other
tax-exempt accounts
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$1,000
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Initial Offering Period:
$1,0003
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Campbell Global Trend Fund, L.P. Class B
(USD)1
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$100,000,000
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Campbell Global Trend Fund, L.P. Class C
(USD)1
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$100,000,000
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$5,000 from all other investors
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Campbell Global Trend Fund, L.P. Class D
(USD)1
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$100,000,000
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Continuous Offering Period:
Net Asset Value
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Campbell Global Trend Fund, L.P. Class D
(USD)2
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$100,000,000
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$50,000
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$10,000
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Campbell Global Trend Fund, L.P. Class B
(GLD)2
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$100,000,000
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1 These
Units will be exchanged for Global Trend Fund Class E
(USD) Units as described in this disclosure document. The Classe
E (USD) Units are not being offered by this disclosure
document.
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2 These
Units will be exchanged for Global Trend Fund Class C
(GLD) Units as described in this disclosure document. The
Class C (GLD) Units are not being offered by this
disclosure document.
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3 This
price has been arbitrarily determined inasmuch as the Units have
no inherent value other than their subscription price until
trading.
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The
Offering
The Strategic Allocation Fund is being offered only to existing
investors during the continuing offering. Units of each Class of
the Global 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 an additional
ninety days. The subscription minimum for each Series of the
Global Trend Fund as of the end of the initial offering period
is $15,000,000. 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
$15,000,000. 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 $15,000,000 for
either Series have not been received and accepted by the end of
the initial offering period, all subscriptions will be promptly
returned to subscribers of that Series, with interest. After the
end of the initial offering period, each of the Classes will be
offered continuously.
The units are being 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. The selling agents are not required to
sell any specific number or dollar amount of Units. There is no
fixed termination date during the continuing offering of the
Units; however, 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 14 and
Conflicts of Interest on page 48.
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The Funds are speculative and leveraged.
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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. As of the date of this
disclosure document, the Global 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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By offering the Global Trend Series (GLD) neither the Fund nor
Campbell & Company is making any recommendation or
providing any investment or other advice with respect to the
possible future performance of gold, gold futures, or any other
gold-related product, nor is it a prediction or recommendation
as to the future performance of the U.S. Dollar. This
Series is offered solely to provide a gold-denominated exposure
to the Campbell Trend Following Portfolio to those investors who
prefer to have their investments denominated in gold, as opposed
to the U.S. Dollar.
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The long gold futures position in the Global Trend Series (GLD)
is not an actively managed position. Its performance depends
entirely on the performance of a long-only exposure to gold
futures.
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Gold prices historically have been extremely volatile and have
fluctuated widely in recent years. A drop in the price of gold
may cause significant loss in an investment of the Global Trend
Funds Global Trend Series (GLD).
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The trend following portion of the Global Trend Funds
Global Trend Series (GLD) may also contain gold positions.
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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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There are restrictions on transferring units in the Funds.
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Substantial expenses must be offset by trading profits and
interest income.
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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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Campbell & Company has full control over the
management of the Funds and gives no management role to limited
partners.
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The Funds are subject to conflicts of interest. There are no
independent experts representing investors.
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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.
THE COMMODITY FUTURES TRADING COMMISSION HAS NOT PASSED UPON
THE MERITS OF PARTICIPATING IN THIS POOL NOR HAS THE COMMISSION
PASSED ON THE ADEQUACY OR ACCURACY OF THIS DISCLOSURE
DOCUMENT.
CAMPBELL & COMPANY,
INC.
General Partner of both Funds
March 1, 2010
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 50 AND A STATEMENT OF THE PERCENTAGE
RETURN NECESSARY TO BREAK-EVEN, THAT IS, TO RECOVER THE AMOUNT
OF YOUR INITIAL INVESTMENT, BEGINNING AT PAGE 4.
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 14.
YOU SHOULD CAREFULLY CONSIDER WHETHER YOUR FINANCIAL
CONDITION PERMITS YOU TO PARTICIPATE IN A POOLED INVESTMENT
VEHICLE. IN SO DOING, YOU SHOULD BE AWARE THAT THIS POOL ENTERS
INTO TRANSACTIONS THAT ARE NOT TRADED ON AN EXCHANGE, AND THE
FUNDS THE POOL INVESTS IN THOSE TRANSACTIONS MAY NOT RECEIVE THE
SAME PROTECTIONS AS FUNDS USED TO MARGIN OR GUARANTEE
EXCHANGE-TRADED FUTURES AND OPTIONS CONTRACTS. IF THE
COUNTERPARTY BECOMES INSOLVENT AND THE POOL HAS A CLAIM FOR
AMOUNTS DEPOSITED OR PROFITS EARNED ON TRANSACTIONS WITH THE
COUNTERPARTY, THE POOLS CLAIM MAY NOT RECEIVE A PRIORITY.
WITHOUT A PRIORITY, THE POOL IS A GENERAL CREDITOR AND ITS CLAIM
WILL BE PAID, ALONG WITH THE CLAIMS OF OTHER GENERAL CREDITORS,
FROM ANY MONIES STILL AVAILABLE AFTER PRIORITY CLAIMS ARE PAID.
EVEN POOL FUNDS THAT THE COUNTERPARTY KEEPS SEPARATE FROM ITS
OWN OPERATING FUNDS MAY NOT BE SAFE FROM THE CLAIMS OF OTHER
GENERAL AND PRIORITY CREDITORS.
FOREX 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.
INVESTMENTS IN THE POOL MAY BE SUBJECT TO SUBSTANTIAL CHARGES
FOR MANAGEMENT, ADVISORY, AND BROKERAGE FEES, AND THE POOL MAY
NEED TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID DEPLETING OR
EXHAUSTING ITS ASSETS. THIS DISCLOSURE DOCUMENT CONTAINS A
COMPLETE DESCRIPTION OF EACH EXPENSE (SEE PAGE 50) AND
A STATEMENT OF THE PERCENTAGE RETURN NECESSARY TO BREAK EVEN,
THAT IS, TO RECOVER THE AMOUNT OF YOUR INITIAL INVESTMENT (SEE
PAGE 4).
THIS BRIEF STATEMENT CANNOT DISCLOSE ALL THE RISKS AND OTHER
FACTORS NECESSARY TO EVALUATE YOUR PARTICIPATION IN THIS POOL.
THEREFORE, BEFORE
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YOU DECIDE TO PARTICIPATE YOU SHOULD CAREFULLY REVIEW THIS
DISCLOSURE DOCUMENT, INCLUDING A DESCRIPTION OF THE PRINCIPAL
RISK FACTORS OF THIS INVESTMENT (SEE PAGE 14).
NATIONAL FUTURES ASSOCIATION HAS NEITHER PASSED UPON THE
MERITS OF PARTICIPATING IN THIS POOL NOR THE ADEQUACY OR
ACCURACY OF THIS DISCLOSURE DOCUMENT.
YOU SHOULD ALSO BE AWARE THAT THIS COMMODITY POOL 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 POOL AND
ITS 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 THE POOL MAY BE
EFFECTED.
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
PAGE D-2
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
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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 GLOBAL 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.
PENNSYLVANIA INVESTORS: Because the minimum closing amount is
less than $40,000,000, you are cautioned to carefully evaluate
Global Trend Funds ability to fully accomplish its stated
objectives and to inquire as to the current dollar volume of
subscriptions for Units in Global Trend Fund.
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.
iii
PART ONE
DISCLOSURE DOCUMENT
TABLE OF
CONTENTS
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v
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40
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vii
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 March 1, 2010.
General
The offering consists of two Funds, the Campbell Strategic
Allocation Fund, L.P., (the Strategic Allocation
Fund) and the Campbell Global Trend Fund, L.P. (the
Global 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. 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 Global Trend Fund.
The offered Units have different fee arrangements and trading
portfolios, and may have different restrictions on redemptions.
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 Strategic
Allocation Fund consists of one class of limited partnership
Units, which is being offered only to existing investors in the
Strategic Allocation Fund during the continuing offering at the
net asset value per Unit as of each month-end closing date on
which additions are accepted. The Strategic Allocation Fund
trades pursuant to the Campbell Financial, Metal &
Energy Large (FME Large) Portfolio. The FME Large
Portfolio seeks exposure to financial markets, such as interest
rates, foreign exchange and stock indices, as well as metals,
energy products, soft commodities and other commodities. As with
all Campbell Portfolios, the FME Large Portfolio seeks exposure
to these markets by following signals generated by a series of
systematic computer models. The FME Large Portfolio employs a
broad spectrum of models including traditional and factor-based
trend following models, as well as a number of
macroeconomic-based models.
The Campbell Global Trend Fund L.P., (the Global
Trend Fund and together with the Strategic Allocation
Fund, the Funds), was formed as a Delaware series
limited partnership on December 1, 2009. The Global Trend
Fund issues units of limited partnership interest, which
represent units of fractional undivided limited partnership
interest in the Global Trend Fund. The Global Trend Fund will
continue in existence unless terminated in certain
circumstances. The principal offices of the Global 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 Global Trend Fund are maintained at
the offices of Campbell & Company, its general
partner, promoter and trading advisor. As the promoter, the
general partner is not receiving anything of value, directly or
indirectly, outside of the fee for acting as general partner and
trading advisor to the Fund.
The Global Trend Fund currently consists of two series
(Series) the Global Trend Series (USD)
and the Global Trend Series (GLD). The general partner has
formed the Global Trend Fund as a series limited partnership
pursuant to and in accordance with the provisions of the
Delaware Revised Uniform Limited Partnership Act (6 Del. C.
§ 17-101
et seq., as amended from time to time, the
Act). The Act provides for the limitation of
liability of each Series to the debts, liabilities, obligations
and expenses of such Series and not those of any other Series or
the Global Trend Fund in general. The Global Trend Series (USD)
seeks to provide investors with a U.S. Dollar-denominated
exposure to the Campbell Trend Following Portfolio. The Global
Trend Series (USD) will trade pursuant to the Campbell Trend
Following Portfolio. The Trend
-1-
Following Portfolio includes both traditional trend following
and factor based trend following models. The Campbell Trend
Following Portfolio employs the same traditional and
factor-based trend following models that the FME Large Portfolio
employs, but does not employ the macroeconomic-based models
employed by FME Large.
The Global Trend Series (GLD) seeks to provide investors with a
gold-denominated exposure to the Campbell Trend Following
Portfolio. The gold-denominated exposure is achieved by first
converting the investors U.S. Dollar investment to an
exposure to gold by purchasing long positions in gold futures
with a value approximately equal to the net asset value of that
Series (the Gold Portfolio). The Global Trend Series
(GLD) then seeks appreciation through a 100% overlay of the
Campbell Trend Following Portfolio. The trading advisor will
adjust the Global Trend Series (GLD)s respective
allocations to the Gold and Trend Following Portfolios at the
beginning of each month to reflect additions to and redemptions
of Series capital, as well as to reflect profits and losses from
the Series long gold futures and its futures and
currencies trading activities and interest income as of the end
of the preceding month so as to maintain a gold futures position
with a value approximately equal to the Series net asset
value at the beginning of each month.
The Global Trend Series (USD) consists of five classes of
limited partnership Units: Class A (USD) Units,
Class B (USD) Units, Class C (USD) Units, Class D
(USD) Units and Class E (USD) Units. Only Class A
(USD) Units, Class B (USD) Units, Class C (USD) Units
and Class D (USD) Units are being offered hereby and each
of them is being offered to new investors in the Global Trend
Fund. Class E (USD) Units are not being offered by this
disclosure document but will be issued in exchange for
Class A (USD) Units, Class B (USD) Units, Class C
(USD) Units and Class D (USD) Units in certain
circumstances which are described in this disclosure document.
The Global Trend Series (GLD) consists of three classes of
limited partnership Units: Class A (GLD) Units,
Class B (GLD) Units and Class C (GLD) Units. Only
Class A (GLD) Units and Class B (GLD) Units are being
offered hereby and each of them is being offered to new
investors in the Global Trend Fund. Class C (GLD) Units are
not being offered by this disclosure document but will be issued
in exchange for Class A (GLD) Units and Class B (GLD)
Units in certain circumstances which are described in this
disclosure document. The selling agents will offer the Global
Trend Fund Units at a price of $1,000 per unit of Units of
each Class during the initial offering period. This price has
been arbitrarily determined inasmuch as the Units have no
inherent value other than their subscription price until trading
begins. Units sold during the continuing offering period will be
sold 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.
Campbell & Company, the general partner of both Funds
is a Maryland Corporation organized in April 1978 as a successor
to a partnership originally organized in January 1974.
Campbell & Company 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 38 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 Global 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 (including
gold) 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
-2-
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
|
|
|
|
|
During the initial offering period, the selling agents will
offer the Global Trend Fund Units at a price of $1,000 per unit
of Units of each Class.
|
|
|
|
|
|
During the continuing offering, Units of both Funds are offered
at a price equal to their net asset value per Unit. The net
asset values 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 each Unit Class divided by the number of Units
outstanding as of the date of determination.
|
|
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|
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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 be
paid to subscribers in the form of additional Units.
|
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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.
|
|
|
|
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.
|
Initial
Offering Period
The selling agents will offer the Global 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 each Series of the Global
Trend Fund as of the end of the initial offering period is
$15,000,000. 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
$15,000,000. 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 $15,000,000 for
either Series have not been received and accepted by the end of
the initial offering period, all subscriptions will be promptly
returned to subscribers of that Series, with interest. After the
end of the initial offering period, each of the Classes will be
offered continuously.
Escrow
of Funds During the Initial Offering Period
Subscription funds for the Global Trend Fund received during the
initial offering period will be deposited in escrow accounts 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 Global Trend Funds
Class A (USD) Units, Class B (USD) Units, Class C
(USD) Units and Class D (USD) Units is $1,000 for eligible
employee benefit plans
-3-
and individual retirement accounts and $5,000 from all other
investors. The minimum initial investment for the Global Trend
Funds Class A (GLD) Units and Class B (GLD)
Units is $50,000. The Strategic Allocation Fund is not currently
available for initial investments. Limited partners of the
Strategic Allocation Fund and Global Trend
Fund Class A (USD) Units, Class B (USD) Units,
Class C (USD) Units and Class D (USD) Units may
increase their investment with a minimum additional investment
of $1,000. Limited partners of the Global Trend
Fund Class A (GLD) Units and Class B (GLD) Units
may increase their investment with a minimum additional
investment of $10,000.
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 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
|
|
$
|
1,000.00
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
Brokerage Fee (estimated at 7.30)%
|
|
$
|
73.00
|
|
|
|
|
|
Offering Expense Reimbursement (estimated at 0.20)%
|
|
|
2.00
|
|
|
|
|
|
Operating Expenses (estimated at 0.10%)
|
|
|
1.00
|
|
|
|
|
|
Cash Manager and Custodian Fees (estimated at
0.08%)1
|
|
|
0.80
|
|
|
|
|
|
Less: Interest Income (estimated at
0.30%)2
|
|
|
(3.00
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amount of Trading Income Required to Break-Even on an
Investors Additional Investment in the First Year of
Trading
|
|
$
|
73.80
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Percentage of Additional Investment Required to Break-Even
|
|
|
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.
|
|
|
|
|
(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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|
-4-
Global
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 (USD) Units
and Class A (GLD) Units must earn $316.50 or 6.33%;
(b) Class B (USD) Units must earn $304.00 or 6.08%;
(c) Class C (USD) and Class B (GLD) Units must
earn $216.50 or 4.33%; (d) Class D (USD) Units must
earn $204.00 or 4.08%; and (e) Class E (USD) and
Class C (GLD) Units must earn $179.00 or 3.58% of the
assumed initial investment, provided that no redemption charge
is applicable.
Redemption fees apply to the Class A (USD) Units,
Class B (USD) Units and Class A (GLD) Units through
the first twelve month-ends following purchase as follows:
1.833% of net asset value per redeemed Unit through the second
month-end, 1.666% of net asset value per redeemed Unit through
the third month-end, 1.500% of net asset value per redeemed Unit
through the fourth month-end, 1.333% of net asset value per
redeemed Unit through the fifth month-end, 1.167% of net asset
value per redeemed Unit through the sixth month-end, 1.000% of
net asset value per redeemed Unit through the seventh month-end,
0.833% of net asset value per redeemed Unit through the eighth
month-end, 0.667% of net asset value per redeemed Unit through
the ninth month-end, 0.500% of net asset value per redeemed Unit
through the tenth month-end, 0.333% of net asset value per
redeemed Unit through the eleventh month-end, 0.167% of net
asset value per redeemed Unit 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 (USD) Unit, Class B (USD) Unit or
Class A (GLD) 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 (USD) Unit, Class B (USD) Unit
or Class A (GLD) 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 (USD)
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Class C (USD)
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Class E (USD) and
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and
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Class B (USD)
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and
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|
Class D (USD)
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|
Class C (GLD)
|
|
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|
Class A (GLD) Units
|
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|
Units
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|
Class B (GLD) Units
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|
Units
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|
Units5
|
|
|
Assumed Initial Investment
|
|
$
|
5,000
|
|
|
$
|
5,000
|
|
|
$
|
5,000
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|
|
$
|
5,000
|
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|
$
|
5,000
|
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|
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Advisory Fee (2.00)%
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100.00
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100.00
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100.00
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100.00
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|
100.00
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General Partner Fee (1.00)%
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50.00
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50.00
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50.00
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50.00
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50.00
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Organization & Offering Expense Reimbursement
(0.50%)1
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25.00
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25.00
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25.00
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25.00
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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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25.00
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25.00
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25.00
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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)%
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100.00
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100.00
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N/A
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N/A
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N/A
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Broker-Dealer Custodial Fee (0.25)%
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12.50
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N/A
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12.50
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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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15.00
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15.00
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15.00
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15.00
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15.00
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|
Less: Interest Income
(0.30%)4
|
|
|
(15.00
|
)
|
|
|
(15.00
|
)
|
|
|
(15.00
|
)
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|
(15.00
|
)
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|
(15.00
|
)
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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
|
|
$
|
316.50
|
|
|
$
|
304.00
|
|
|
$
|
216.50
|
|
|
$
|
204.00
|
|
|
$
|
179.00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Percentage of Initial Investment Required to Break-Even
|
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|
6.33
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%
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6.08
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%
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4.33
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%
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4.08
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%
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3.58
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%
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The estimate does not account for the bid-ask spreads in
connection with the Global Trend Funds forward and option
contract trading. No performance fee is included in the
calculation of the break-even
-5-
level since all operating expenses of the Global 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 Global Trend Fund pays the cash managers and the custodian a
combined annualized fee equal to approximately 0.10% per annum
of the Global 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) |
Once total underwriting compensation paid on any Class A
(USD) Unit, Class B (USD) Unit, Class C (USD) Unit,
Class D (USD) Unit, Class A (GLD) Unit or Class B
(GLD) Unit reaches 10% of the gross offering proceeds, the
Class A (USD) Unit, Class B (USD) Unit, Class C
(USD) Unit or Class D (USD) Unit will automatically be
re-designated as Class E (USD) Units, and the Class A
(GLD) Unit or Class B (GLD) Unit will automatically be
re-designated as Class C (GLD) Units.
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Is the
Campbell Strategic Allocation Fund or the Campbell Global 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 $250,000, 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
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-6-
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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 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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All classes of the Global Trend Fund 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 respective
Class, prior to any accrual for or payment of any advisory fee,
general partner fee, performance fee, redemption or subscription
during said month. All classes of the Global Trend Fund will
also pay Campbell & Company a quarterly performance
fee equal to 20% aggregate cumulative appreciation in the
respective Classs 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 Global
Trend Fund, see Charges to the Funds Global
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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-7-
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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 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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Objectives
of the Funds
The Funds seek to:
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Reduce overall portfolio volatility and enhance returns by
adding non-correlated assets.
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Provide global diversification within a single investment.
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Provide the potential to profit regardless of the economic
environment.
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Hedge the consequences of potential future market dislocations,
including inflation (for the Global Trend Series (GLD)).
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Generate returns independent of the stock and bond markets.
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Potentially take advantage of global trends regardless of
direction across 55+ markets in 10 countries on 20 exchanges.
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Achieve capital appreciation over the medium- to long-term.
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There is no guarantee that the Funds will achieve these
objectives.
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 38 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, approximately
$19.9 million in its Trend Following Portfolio, and
approximately $1.1 million in its Gold Portfolio.
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.
The Strategic Allocation Fund trades pursuant to the Campbell
Financial, Metal & Energy Large (FME
Large) Portfolio. The FME Large Portfolio seeks exposure
to financial markets, such as interest rates, foreign exchange
and stock indices, as well as metals, energy products, soft
commodities and other commodities. As with all Campbell
Portfolios, the FME Large Portfolio seeks exposure to these
-8-
markets by following signals generated by a series of
systematic computer models. The FME Large Portfolio employs a
broad spectrum of models including traditional and factor-based
trend following models, as well as a number of
macroeconomic-based models.
The Global Trend Fund currently consists of two series
(Series) the Global Trend Series
(USD) and the Global Trend Series (GLD). The Global Trend Series
(USD) seeks to provide investors with a
U.S. Dollar-denominated exposure to the Campbell Trend
Following Portfolio. The Global Trend Series (USD) will trade
pursuant to the Campbell Trend Following Portfolio. The Campbell
Trend Following Portfolio seeks exposure to financial markets,
such as interest rates, foreign exchange and stock indices, as
well as metals, energy products, soft commodities and other
commodities. The Campbell Trend Following Portfolio employs the
same traditional and factor-based trend following models that
the FME Large Portfolio employs, but does not employ the
macroeconomic-based models employed by FME Large.
The Global Trend Series (GLD) seeks to provide investors with a
gold-denominated exposure to the Campbell Trend Following
Portfolio. The gold-denominated exposure is achieved by first
converting the investors U.S. Dollar investment to an
exposure to gold by purchasing long positions in gold futures
with a value approximately equal to the net asset value of that
Series (the Gold Portfolio). The Global Trend Series
(GLD) then seeks appreciation through a 100% overlay of the
Campbell Trend Following Portfolio. The trading advisor will
adjust the Global Trend Series (GLD)s respective
allocations to the Gold and Trend Following Portfolios at the
beginning of each month to reflect additions to and redemptions
of Series capital, as well as to reflect profits and losses from
the Series long gold futures and its futures and
currencies trading activities and interest income as of the end
of the preceding month so as to maintain a gold futures position
with a value approximately equal to the Series net asset
value at the beginning of each month.
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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All Classes of the Global Trend Fund 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 respective
Class, 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 respective Class as of the end of each
month. These fees are paid out of and reduce the net assets
attributable to each Class of 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.
|
-9-
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Reimbursement of Global Trend Funds offering expenses is
subject to an annual cap of 0.50% of the Global Trend
Funds, and in turn, each Units, month-end net asset
value (excluding Class E (USD) Units and Class C (GLD)
Units). Any offering costs incurred in excess of the
aforementioned annual cap will initially be paid by
Campbell & Company; provided, however, that the Global
Trend Fund reimburses the offering costs paid by
Campbell & Company at such time, if any, as the Global
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.
|
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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All Classes of the Global Trend Fund will pay the futures broker
and
over-the-counter
counterparty up to 1% of the net asset value of each Class.
|
The
Selling Agents
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The selling agents for the Strategic Allocation Fund are paid
out of the brokerage fee as discussed in
Campbell & Company.
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The Global Trend Fund will pay to selected selling agents who
have sold Class A (USD) Units, Class B (USD) Units and
Class A (GLD) Units, selling commissions of 2% of the
subscription amount of each subscription for Class A (USD),
Class B (USD) and Class A (GLD) Units. In addition,
commencing thirteen months after the sale of Units and in return
for providing ongoing services to limited partners, the Global
Trend Fund will pay those selling agents (or their assignees) up
to 2% of the Global Trend Funds average month-end net
asset value. The amount paid to selling agents on Global Trend
Fund Class A (USD) Units, Class B (USD) Units and
Class A (GLD) Units sold pursuant to this disclosure
document will not, however, exceed 8.0% of the gross offering
proceeds of the Global Trend Fund Class A (USD) Units
and Class A (GLD) Units and 9.0% of the gross offering
proceeds of the Global Trend Fund Class B (USD) Units
sold pursuant to this disclosure document. Once the respective
threshold is reached with respect to the Global Trend
Fund Class A (USD) Units, Class B (USD) Units or
Class A (GLD) Units sold pursuant to this disclosure
document, the selling agent will receive no future compensation.
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The Global Trend Fund Class A (USD) Units,
Class C (USD) Units, Class A (GLD) Units and
Class B (GLD) Units will pay a monthly broker-dealer
custodial fee of 0.25% of Class A (USD) Units,
Class C (USD) Units, Class A (GLD) Units
and Class B (GLD) Units month-end net asset value 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 (USD) Units and Class A (GLD) Units and 6%
of the gross offering proceeds of Class C (USD) Units and
Class B (GLD) Units.
|
Once total underwriting compensation, including, but not limited
to, the fees mentioned in the preceding paragraphs, paid on any
Class A (USD) Unit, Class B (USD) Unit, Class C
(USD) Unit, Class D (USD) Unit, Class A (GLD) Unit or
Class B (GLD) Unit reaches 10% of the gross offering
proceeds, (1) the Class A (USD) Unit, Class B
(USD) Unit, Class C (USD) Unit or Class D (USD) Unit
will automatically be re-designated as Class E (USD) Units,
which are identical to Class A (USD) Units, Class B
(USD) Units, Class C (USD) Units and Class D (USD)
Units except that Class E (USD) Units do not pay any
offering expenses, selling agent fee, broker-dealer custodial
fee payable to the selling agents and, if applicable, redemption
fees, and (2) the Class A (GLD) Unit or Class B
(GLD) Unit will automatically be re-designated as Class C
(GLD) Units, which are identical to Class A (GLD) Units and
Class B (GLD) Units, except that Class C (GLD) 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
|
-10-
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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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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 Global
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 Strategic Allocation
Fund Units and Global Trend Fund Class A (USD)
Units, Class B (USD) Units and Class A (GLD) Units.
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)
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ordinary income or loss; and/or
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2)
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capital gain or loss.
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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.
-11-
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.
|
-12-
CAMPBELL
GLOBAL 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
Global Trend Fund.
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* |
Campbell & Company presently serves as commodity pool
operator for six other commodity pools.
|
-13-
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.
Changes
In Financing Policies or the Imposition of Other Credit
Limitations or Restrictions Could Compel the Funds to Liquidate
Positions at Disadvantageous Prices
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
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 appears at
this time that the
2007-2009
liquidity crisis has eased, however the potential of future
liquidity issues continues to be a concern) 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.
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
-14-
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
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.
-15-
The
Current Markets are Subject to Market Disruptions and
Governmental Intervention That May Be a Detriment to Your
Investment
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 of 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 CFTC has recently proposed the imposition of position limits
on energy futures contracts such as crude oil, heating oil,
natural gas, gasoline and other energy products. We do not
anticipate these limits, if accepted, will affect the
Funds ability to trade, but it is possible that they may
in the future if either or both Funds assets increase
dramatically.
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.
Gains,
If Any, From the Trend Following Portfolio of the Global Trend
Funds Global Trend Series (GLD) May Be Offset by Losses on
the Gold Portfolio of the Global Trend Series (GLD), and Gains,
If Any, on the Gold Portfolio of the Global Trend Series (GLD)
May be Offset by Losses From the Trend Following Portfolio of
the Global Trend Series (GLD), Resulting in No Gains or
Aggregate Losses for Investors in the Global Trend Series (GLD)
Units
An investment in the Global Trend Series (GLD) Units is not
equivalent to an investment in gold. Rather, it is an investment
in a product that combines a gold investment with a trend
following futures portfolio, which is comprised of trend
following trading models applied to a diverse portfolio of
global futures and currencies. The gold investment is intended
to de-link the net asset value, which is denominated in
U.S. dollars, from the value of the U.S. dollar
relative to gold, essentially denominating the net asset value
in terms of gold. Consequently, if the U.S. dollar value of
gold declines, gains, if any, from the Trend Following Portfolio
may not be sufficient for the Global Trend Series (GLD) of the
Global Trend Fund to avoid a decline in the net asset value of
its Class A (GLD) Units, Class B (GLD) Units and
Class C (GLD) Units expressed in U.S. dollars, the
currency in which Units are redeemed. Likewise, losses from the
Trend Following Portfolio may be greater than any increase in
the U.S. dollar value of gold resulting in a decline in the
net asset value of the Class A (GLD) Units, the
Class B (GLD) Units and the Class C (GLD) Units.
Additionally, there can be no assurance that, if the value of
gold declines relative to the U.S. dollar, there will be
any corresponding increase in the value or purchasing power of
the U.S. dollar for goods (other than gold) or services
priced in U.S. dollars.
-16-
Gold
Prices Historically Have Been Extremely Volatile and Have
Fluctuated Widely in Recent Years. A Drop in the Price of Gold
May Cause a Significant Loss in an Investment in the Global
Trend Funds Global Trend Series (GLD)
While generally advancing, the price of gold has fluctuated
widely over the past several years. Several factors may affect
the price of gold, including: (a) changes in supply and
demand, which is influenced by such factors as forward selling
by producers, purchases made by producers to unwind hedge
positions, central bank purchases and sales, and production and
cost levels in major gold producing countries; (b) market
uncertainty and investors expectations with respect to the
rate of inflation; (c) currency exchange rates;
(d) interest rates; (e) investment and trading
activities of investment funds; and (f) political, economic
or financial conditions
and/or
instability globally or in major producing regions. The trading
advisor has no control over the price volatility, and cannot
prevent or mitigate it, because the investment strategy does not
permit hedging of gold positions. On the contrary, it requires
the trading advisor to maintain a fully invested position in
gold at all times. As a result, unless offset by trading profits
from trend following and interest income, a decline in the price
of gold will result in a decline in the net asset value of the
Global Trend Series (GLD) Units and an overall loss on the
investments of Class A (GLD), Class B (GLD) and
Class C (GLD) limited partners. Because of the extreme
volatility of gold prices, the trading advisor believes that any
investment in the Global Trend Fund, but particularly an
investment in the Class A (GLD) Units, Class B (GLD)
Units and Class C (GLD) Units should be a long-term
investment of at least three to five years, and that investors
should consider this when determining whether to make such an
investment part of their overall portfolio.
Large-Scale
Sales of Gold May Lead to a Decline in the Price of Gold and a
Decline in the Value of the Global Trend Funds
Class A (GLD) Units, Class B (GLD) Units Class C
(GLD) Units, Possibly Resulting in an Overall Loss of an
Investment in the Global Trend Funds Global Trend Series
(GLD)
The possibility of large-scale distress sales of gold in times
of crisis may have a short-term negative impact on the price of
gold and adversely affect the value of the Class A (GLD)
Units, Class B (GLD) Units and Class C (GLD) Units.
For example, the 1997 Asian financial crisis resulted in
significant sales of gold by individuals which depressed the
price of gold. Crises in the future may impair golds price
performance which would, in turn, adversely affect an investment
in the Class A (GLD) Units, Class B (GLD) Units and
Class C (GLD) Units. Moreover, substantial sales of gold by
the official sector could adversely affect an investment in the
Class A (GLD) Units, Class B (GLD) Units and
Class C (GLD) Units. The official sector consists of
central banks, other governmental agencies and multilateral
institutions that buy, sell and hold gold as part of their
reserve assets. Since 1999, most gold sales by the official
sector have been made in a coordinated manner under the terms of
the Central Bank Gold Agreement. In the event that future
economic, political or social conditions or pressures result in
members of the official sector liquidating their gold assets all
at once or in an uncoordinated manner, the demand for gold might
not be sufficient to accommodate the sudden increase in supply.
Consequently, the price of gold could decline significantly,
which would adversely affect the value of the Class A (GLD)
Units, Class B (GLD) Units and Class C (GLD) Units
expressed in U.S. dollars, the currency in which the Units
are redeemed, possibly resulting in an overall loss on your
investment.
Widening
Interest Rate Differentials Between the Cost of Money and the
Cost of Borrowing Gold Could Result in Increased Sales and a
Decline in the Price of Gold, Possibly Resulting in a Decline in
the Value of the Global Trend Funds Class A (GLD)
Units, Class B (GLD) Units and Class C (GLD) Units and
a Loss on an Investment in the Global Trend Funds Global
Trend Series (GLD)
A combination of rising interest rates and a continuation of the
current low cost of borrowing gold (the gold lease rate) could
improve the economics of selling gold forward. This could result
in increased hedging by gold mining companies and short selling
by speculators, which could adversely affect the price of gold
and thus the value of the Class A (GLD) Units, Class B
(GLD) Units and Class C (GLD) Units expressed in
U.S. dollars, the currency in which Class A (GLD)
Units, Class B (GLD) Units and Class C (GLD) Units are
redeemed, possibly resulting in an overall loss on an investment
in Class A (GLD) Units, Class B (GLD) Units or
Class C (GLD) Units.
-17-
The
Trend Following Portion of the Global Trend Funds Global
Trend Series (GLD) May Also Contain Gold Positions
The Trend Following Portfolio may contain gold positions that
could counter the passive long gold strategy of the Global Trend
Series (GLD) if the trading models used indicate trends in the
price of gold declining.
The
Funds are a Party to Financial Instruments With Elements of
Off-Balance Sheet Risk, Which Cause the Funds to Lose All of
Their Assets
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 Funds trade in futures, forward and options contracts
and are 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 Funds, 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 Funds at
the same time, and if the Funds trading advisor was unable
to offset futures interests positions of the Funds, the Funds
could lose all of their 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%; however, these precautions may
not be effective in limiting the risk of loss.
Trading
Risks
There
are Disadvantages to Making Trading Decisions Based Primarily on
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 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 third quarter of 2009,
this estimate had risen to approximately $212.6 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.
Limits
Imposed by Futures Exchanges or Other Regulatory Organizations,
Such As Speculative Position Limits and Daily Price Fluctuation
Limits, May Alter Trading Decisions for the Funds
The CFTC and U.S. futures exchanges have established
limits, known as speculative position limits, on the maximum net
long or net short positions that any person may hold or control
in certain futures and option on futures contracts. Most
U.S. futures exchanges also have established daily
price fluctuation limits which preclude the execution of
trades at prices outside of the limit. Contract prices have
occasionally moved the daily limit for several consecutive days
with little or no trading. All accounts controlled by
Campbell & Company are combined for speculative
position limit purposes. If positions in those accounts were to
approach the level of the particular speculative position limit,
or if prices were to approach the level of the daily limit,
these limits could cause a modification of Campbell &
Companys trading decisions for the Funds or force the
liquidation of certain futures or options on futures positions.
Either of these actions may not be in the best interest of the
investors. From time to time, the CFTC or the exchanges may
suspend trading in market disruption circumstances. In these
cases, it is possible that
-18-
Campbell & Company, as trading advisor, could be
required to maintain a losing position that it otherwise would
exit and incur significant losses or be unable to establish a
position and miss a profit opportunity.
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, Which May Result in Unanticipated Losses
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. As a result, you
may suffer unanticipated losses due to the Funds holdings.
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.
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
-19-
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
Funds Service Providers Could Fail, Which May Result in
Losses to the Funds
The institutions, including but not limited to, the futures
brokers,
over-the-counter
counterparties, the cash managers and the custodian, with which
the Funds trade or invest may encounter financial difficulties
that impair the operational capabilities or the capital position
of the Funds. The futures brokers are generally required by
U.S. law to segregate all funds received from such
brokers customers from such brokers proprietary
assets. If the futures brokers do not 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. Furthermore, dealers in forward and option
contracts are not regulated by the Commodity Exchange Act and
are not obligated to segregate customer assets. The futures
brokers have been the subject of regulatory and private causes
of action, as described under The Futures Brokers.
The recent events surrounding the bankruptcies or similar
proceedings with respect to various parties have demonstrated
the risk that assets that traders such as the Funds believed
were custodial under statutory and regulatory protections could
be subject to various risks, and apparently significant losses
incurred by many hedge funds in relation to the bankruptcy
and/or
administration of Lehman Brothers Holdings and its affiliates
illustrate the risks incurred in other derivatives trading and
brokerage arrangements. Although Campbell & Company
had no assets held at Lehman Brothers or its affiliates at the
time of its bankruptcy, and accounts held by
Campbell & Company suffered no losses as a result of
the Lehman Brothers bankruptcy, there is no guarantee that
Campbell & Company traded assets would be immune from
such losses if a similar scenario were to occur in the future.
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 Global 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 Global Trend Funds investment
portfolio have substantial experience in managing investments
and private and public investment funds and have provided and
-20-
continue to provide advisory and management services to clients
and private and public investment funds that have similar
investment programs to that of the Global 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.
Conflicts
of Interest Exist in the Structure and Operation of the
Funds
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 Global 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 each Class of Units, 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 respective Class of Units
net asset value per Unit, if any, excluding interest income and
as adjusted for subscriptions 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.
The
Funds Place Significant Reliance on Campbell & Company
and the Incapacity of its Principals Could Adversely Affect the
Funds
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 You Achieve Your Investment
Objective Causing Potential Loss of Your Investment or Upsetting
Your Investment Portfolio
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
-21-
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 and are Therefore
Subject to Different Protections Than a Regulated Investment
Company
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; Therefore, the Funds Will Not Receive the Same
Protections on These Transactions
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 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
-22-
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 Could
Adversely Affect the Funds
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.
Failure
to Receive Timely and Accurate Market Data from Third Party
Vendors Could Cause Disruptions or the Inability to
Trade
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.]
-23-
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. |
-24-
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 $19.9 million and $1.1 million traded
pursuant to the same Trend Following Portfolio and Gold
Portfolio, respectively, as traded by the Global 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, the Trend Following Portfolio and the Gold Portfolio.
Please refer to Past Performance of the Campbell Strategic
Allocation Fund, L.P. on page 47 for the performance
data required to be disclosed for the most recent five calendar
years and
year-to-date.
The Global Trend Fund has not commenced trading and does not
have any performance history.
Campbell & Company has been a member of the NFA since
July 1, 1982, 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, which trades pursuant to the FME
Large Portfolio; Campbell Fund Trust, which trades pursuant
to the Global Diversified Large Portfolio (this portfolio that
trades a fully diversified portfolio including energy products,
soft and other commodities, precious and base metals, stock
market indices, interest rates and foreign currencies); Campbell
Global Assets Fund Limited SAC (Classes A and D),
which trade pursuant to the FME Large Portfolio; The Campbell
Gold Plus Fund, L.P., which trades pursuant to the Trend
Following Portfolio and the Gold Portfolio, and Campbell
Alternative Asset Trust, which trades pursuant to the FME Large
Portfolio. None of these Funds are in direct competition with
the Strategic Allocation Fund or the Global Trend Fund.
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. Although
Campbell & Company has an employee trading policy, it
has no policy, written or otherwise, in place that limits the
amount of Units that a principal may purchase in either Fund.
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 models for that day and the Risk Committee has the authority
to override a specific trading signal indicated by the trading
models. More specifically, risk management sits at the model
level, portfolio level, and in the Risk Committee of the firm.
Portfolio-wide position limits, portfolio volatility, and model
diversification are also monitored. The Risk Committee
-25-
monitors portfolio risks that may not be quantified by the
models (i.e., extreme market shocks, liquidity crises, etc.),
and has reduced risk at times of market shocks, such as the
market contagion that occurred in July and August of 2007. In
such situations, the Risk Committee will gradually return the
portfolio to the model-determined risk levels upon a return to
more normal market conditions.
G. William Andrews, born in 1972, has been employed by
Campbell & Company since April 1997 and was appointed
Chief Operating Officer in January 2010, was Vice President:
Director of Operations from April 2007 to January 2010, and was
Vice President: Director of Research Operations from March 2006
to April 2007. As Chief Operating Officer, he is involved in all
operational aspects of the firm. 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 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 was an
Associated Person, Principal and NFA Associate Member of
Campbell & Company Investment Adviser LLC from
December 2005 to April 2007. Effective July 9,
-26-
2008, Mr. Cleland again became listed as a Principal of
Campbell & Company Investment Adviser LLC.
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, a managing consulting firm, 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 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-
-27-
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 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 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.
The Strategic Allocation Fund trades pursuant to the Campbell
FME Large Portfolio. The FME Large Portfolio seeks exposure to
financial markets, such as interest rates, foreign exchange and
stock
-28-
indices, as well as metals, energy products, soft commodities
and other commodities. As with all Campbell Portfolios, the FME
Large Portfolio seeks exposure to these markets by following
signals generated by a series of systematic computer models. The
FME Large Portfolio employs a broad spectrum of models including
traditional and factor-based trend following models, as well as
a number of macroeconomic-based models.
The Global Trend Fund currently consists of two series
(Series) the Global Trend Series (USD)
and the Global Trend Series (GLD). The Global Trend Series (USD)
seeks to provide investors with a U.S. Dollar-denominated
exposure to the Campbell Trend Following Portfolio. The Global
Trend Series (USD) will trade pursuant to the Campbell Trend
Following Portfolio. The Campbell Trend Following Portfolio
seeks exposure to financial markets, such as interest rates,
foreign exchange and stock indices, as well as metals, energy
products, soft commodities and other commodities. The Campbell
Trend Following Portfolio employs the same traditional and
factor-based trend following models that the FME Large Portfolio
employs, but does not employ the macroeconomic-based models
employed by FME Large.
The Global Trend Series (GLD) seeks to provide investors with a
gold-denominated exposure to the Campbell Trend Following
Portfolio. The gold-denominated exposure is achieved by first
converting the investors U.S. Dollar investment to an
exposure to gold by purchasing long positions in gold futures
with a value approximately equal to the net asset value of that
Series (the Gold Portfolio). The Global Trend Series
(GLD) then seeks appreciation through a 100% overlay of the
Campbell Trend Following Portfolio. The trading advisor will
adjust the Global Trend Series (GLD)s respective
allocations to the Gold and Trend Following Portfolios at the
beginning of each month to reflect additions to and redemptions
of Series capital, as well as to reflect profits and losses from
the Series long gold futures and its futures and
currencies trading activities and interest income as of the end
of the preceding month so as to maintain a gold futures position
with a value approximately equal to the Series net asset
value at the beginning of each month.
See the following pie chart for a listing of contracts, by
sector, for both the FME Large Portfolio and the Trend Following
Portfolio. 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.
-29-
Contracts
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
-30-
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.
-31-
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
-32-
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
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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|
|
|
|
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
-33-
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
-34-
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
(9 months ended September 30)
Of the
2008 year-to-date
increase of 0.72%, approximately 4.71% was due to trading gains
(before commissions) and approximately 1.64% was due to interest
income, offset by approximately 5.63% due to brokerage fees,
operating expenses and offering costs borne by the Strategic
Allocation Fund. During the nine months ended September 30,
2008, the Strategic Allocation Fund accrued brokerage fees in
the amount of $170,103,319 and paid brokerage fees in the amount
of $177,109,782. No performance fees were accrued or paid during
this period. An analysis of the 4.71% trading gains by sector is
as follows:
|
|
|
|
|
Sector
|
|
% Gain (Loss)
|
|
Stock Indices
|
|
|
7.67
|
%
|
Commodities
|
|
|
1.06
|
|
Currencies
|
|
|
(0.67
|
)
|
Interest Rates
|
|
|
(3.35
|
)
|
|
|
|
|
|
|
|
|
4.71
|
%
|
|
|
|
|
|
The disclosure describing the events that occurred between
January 2008 and September 2008 is provided in the next section.
For
the Year Ended December 31, 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
-35-
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 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
-36-
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 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)%.
For
the Year Ended December 31, 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
-37-
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 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
-38-
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.
For
the Year Ended December 31, 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 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.
-39-
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 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
-40-
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, 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
-41-
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.
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
|
-42-
|
|
|
|
|
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
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
-43-
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 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
-44-
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.
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 Global 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 Global 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 Global Trend Fund Units
during the initial offering period, and thereafter through the
sale of Units offered pursuant to the continuing offering. The
Global Trend Fund does not intend to raise any capital through
borrowing. Due to the nature of the Global 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 Global Trend Fund from promptly
liquidating unfavorable positions and subject the Global 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 Global 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 Global
Trend Funds futures trading operations, the Global Trend
Funds assets are expected to be highly liquid.
The entire offering proceeds, without deductions, will be
credited to the Global Trend Funds
-45-
bank, brokerage
and/or cash
management accounts. The Global 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 Global 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 Global Trend Fund assets.
Approximately 10% to 30% of the Global 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 Global 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 Global Trend Fund that are not required to be deposited as
margin with the futures broker and
over-the-counter
counterparty in a custodial account for each Series with
Northern Trust Company. The assets deposited in the
custodial accounts with Northern Trust Company will be
segregated. Such custodial accounts will constitute
approximately 40% to 80% of the Global 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 Global Trend Funds assets in
the custodial accounts. 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 Global 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 accounts at Northern Trust to the
margin accounts.
The Global 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 Global 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 Global 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 Global Trend Fund at the same time,
and if the Global Trend Funds trading advisor was unable
to offset futures interests positions of the Global Trend Fund,
the Global Trend Fund could lose all of its assets and the
Limited Partners would realize a 100% loss. Campbell &
Company, as general partner of the Global 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 Global 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
-46-
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 Global Trend
Fund only with those counterparties which it believes to be
creditworthy. All positions of the Global 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 Global Trend Fund.
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.
|
-47-
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. Campbell & Company may not receive
per-trade compensation directly or indirectly from the Funds.
Investors should note that Campbell & Company operates
other commodity pool 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; however,
Campbell & Company intends to devote sufficient time
to the activities of the Funds to properly manage the Funds
consistent with its duties as general partner and trading
advisor. Campbell & Company (or its principals) acts
as general partner to other commodity pools and trading advisor
to thirteen other accounts, which may compete with the Funds for
Campbell &Companys services. One of the thirteen
other accounts is in direct competition with the Funds. 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, the
Trend Following Portfolio and the Gold 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. For instance,
Campbell & Company has implemented employee trading
policies that prohibit employee trading in futures and options
unless the Companys consent is given to the employee in
writing. Such consent will only be given in extraordinary
circumstances. All employees must preclear all trades in
equities, equity options, equity indices or equity index options
though a computer-based system provided by the Company. The
proposed trades are compared to a restricted list that includes
positions traded in material amounts. The Company receives a
daily feed from Company approved brokerage firms, which are
compared against the preclearance lists to assure compliance.
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
-48-
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. These trades may be different from, opposite
to or entered ahead of trades entered into by the Funds, and
these persons may even be the other party to a trade entered
into by the Funds. The records of any of these trades will not
be available to limited partners of either Fund.
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 Incorporated; Securities America, Inc.;
and UBS Financial Services Inc. Those selling agents (or their
assignees) that 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 Global 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
-49-
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 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.
-50-
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.
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.
-51-
The futures brokers are paid approximately $6 per round-turn
trade per contract, which equates to approximately 0.24%
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 Strategic
Allocation Funds aggregate cumulative appreciation in the
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 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
-52-
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 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
-53-
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 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
-54-
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.
Global
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 Global 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
All Classes of Units of the Global Trend Fund will pay
Campbell & Company a monthly (i) advisory fee of
2% per annum and (2) a general partner fee of 1% per annum,
of the net asset value of the respective Class, 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 respective Class as of the end of each month. The
advisory and general partner fees are paid out of and reduces
the net assets attributable to each Class of Units.
Redemption Fee
Redemption fees apply to Class A (USD) Units, Class B
(USD) Units and Class A (GLD) Units through the first
twelve month-ends following purchase as follows: 1.833% of net
asset value per redeemed Unit through the second month-end,
1.666% of net asset value per redeemed Unit through the third
month-end, 1.500% of net asset value per redeemed Unit through
the fourth month-end, 1.333% of net asset value per redeemed
Unit through the fifth month-end, 1.167% of net asset value per
redeemed Unit through the sixth month-end, 1.000% of net asset
value per redeemed Unit through the seventh month-end, 0.833% of
net asset value per redeemed Unit through the eighth month-end,
0.667% of net asset value per redeemed Unit through the ninth
month-end, 0.500% of net asset value per redeemed Unit through
the tenth month-end, 0.333% of net asset value per redeemed Unit
through the eleventh month-end, 0.167% of net asset value per
redeemed Unit 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
(USD) Unit, Class B (USD) Unit or Class A (GLD) 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 (USD) Unit, Class B (USD) Unit or Class A
(GLD) Unit redeemed on the first anniversary of the purchase.
Performance
Fee
All Units will pay the trading advisor quarterly performance
compensation equal to 20% of the Global Trend Funds
aggregate cumulative appreciation in the net asset value per
Unit of each Class, exclusive of appreciation attributable to
interest income, allocable to such Class of Units, 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, aggregate cumulative
appreciation 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 each Class of 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
-55-
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 Global Trend Fund paid a performance fee
at the end of the fourth quarter of 2009 and assume that this
class of the Global 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 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 Global 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 Global Trend Fund. The
futures broker will charge the Global Trend Fund brokerage
commissions at a rate of approximately $6 per round-turn
contract. Annual brokerage commissions payable by the Global
Trend Fund are estimated at approximately 0.24% of the Global
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 Class A (USD) Units, Class B
(USD) Units and Class A (GLD) Units receive from the Global
Trend Fund selling commissions of up to 2% of the subscription
amount of each subscription for Class A (USD) Units,
Class B (USD) Units or Class A (GLD) 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 Global Trend Funds average
month-end net asset value per annum. The amount paid to selling
agents on Global Trend Fund Class A (USD) Units,
Class B (USD) Units and Class A (GLD) Units sold
pursuant to this disclosure document will not, however, exceed
8.0% of the gross offering proceeds of the Global Trend
Fund Class A (USD) Units and Class A (GLD) Units
and 9.0% of the gross offering proceeds of the Global Trend
Fund Class B (USD) Units sold pursuant to this
disclosure document. The Global Trend
-56-
Fund Class A (USD) Units, Class C (USD) Units,
Class A (GLD) Units and Class B (GLD) Units will pay a
monthly broker-dealer custodial fee of 0.25% of the Class A
(USD) Units, Class C (USD) Units, Class A
(GLD) Units and Class B (GLD) Units month-end
net asset value 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 (USD) Units and
Class A (GLD) Units and 6% of the Class C (USD) Units
and Class B (GLD) 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 (USD) Unit,
Class B (USD) Unit, Class C (USD) Unit, Class D
(USD) Unit, Class A (GLD) Unit or Class B (GLD) Unit
reaches 10% of the gross offering proceeds, (1) the
Class A (USD) Unit, Class B (USD) Unit, Class C
(USD) Unit or Class D (USD) Unit will automatically be
re-designated as Class E (USD) Units, which are identical
to Class A (USD) Units, Class B (USD) Units,
Class C (USD) Units and Class D (USD) Units except
that Class E (USD) Units do not pay any offering expenses,
selling agent fees, broker-dealer custodial fees payable to the
selling agents and, if applicable, redemption fees, and
(2) the Class A (GLD) Unit or Class B (GLD) Unit
will automatically be re-designated as Class C (GLD) Units,
which are identical to Class A (GLD) Units and Class B
(GLD) Units, except that Class C (GLD) Units do not pay any
offering expenses, selling agent fee, broker-dealer custodial
fee 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 Global 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 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 Global Trend Fund with third party banks. These
prime brokerage fees, combined with the futures brokers
charges, will equal approximately 0.30% of the Global 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 Global Trend Fund net asset value
per annum, as referenced under The Futures Broker
above.
The
Cash Manager and the Custodian
The Global 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 Global
Trend Funds assets under management by Wilmington,
computed and accrued on the average daily market value
maintained in the Northern Trust Company custodial accounts
by the Global Trend Fund. Wilmington and Northern
Trust Company are not affiliated with Campbell &
Company. The Global 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
Global Trend Fund may also terminate all types of cash
management services at any time.
-57-
Organization
and Offering Expenses
The Global Trend Fund, and in turn, each Class of Units
(excluding Class E (USD) Units and Class C (GLD)
Units), will pay, monthly, its organization and offering costs
(collectively, Offering Costs) as incurred, subject
to an annual cap of 0.50% of the Global 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 Global Trend Fund. Any Offering Costs incurred in
excess of the aforementioned annual cap are initially paid by
the trading advisor; provided, however, that the Global Trend
Fund reimburses the Offering Costs paid by the trading advisor
at such time, if any, as the Global Trend Fund is able to do so
within the limit of the aforementioned cap. In its discretion,
the general partner may require the Global 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 Global 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 Global Trend Fund. The
payment of Offering Costs reduces the Global Trend Funds
net asset value. Each Class of Units (excluding Class E
(USD) Units and Class C (GLD) Units) is specifically
allocated its pro rata share of all Offering Costs.
The Global Trend Fund also engages certain employees of the
general partner to provide wholesaling services with respect to
the Global Trend Fund. Any compensation paid to employees of the
general partner for their wholesaling services is considered
part of the Global Trend Funds organization and Offering
Costs and is payable by the Global Trend Fund as such.
The Global Trend Fund is required to disclose that the
organization and offering expenses of the Global
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 Global 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 (USD) Units and Class C (GLD) Units do not pay
Offering Costs.
Other
Expenses
The Global 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 Global
Trend Fund. Such expenses are estimated to be 0.10% (and will
not exceed 0.50%) of the Global 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 Global Trend Fund. Campbell & Company
will be responsible for any such expenses during any year of
operations which exceed such percentage estimate. Campbell
& Company estimates that a maximum of $120,000 in legal
fees and a maximum of $70,000 in audit fees will be charged to
the Global Trend Fund during its first full year of operations,
subject to the 0.50% cap discussed above.
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
-58-
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.
Global
Trend Fund
Approximately 10% to 30% of the Global 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 Global 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 Global Trend Fund that are not required to be deposited as
margin with the futures broker and
over-the-counter
counterparty in a custodial account for each Series with
Northern Trust Company. The assets deposited in the
custodial accounts with Northern Trust Company will be
segregated. Such custodial account will constitute approximately
40% to 80% of the Global 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 Global Trend Funds assets in the custodial
accounts. 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,
-59-
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.
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
-60-
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.
Global
Trend Fund
Newedge USA, LLC (NUSA or the futures
broker) is the Global 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 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,
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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 Global Trend Fund are
cleared by NUSA. NUSA is not affiliated with either the Global
Trend Fund or the trading advisor. NUSA did not sponsor the
Global 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 Global
Trend Fund, and that the Global 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 Global 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 Global 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 Global Trend Fund has entered into a futures brokerage
agreement with NUSA, which clears all futures transactions on a
fully disclosed basis. The Global Trend Fund has appointed the
futures broker to clear trades for the Global 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 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.
Global
Trend Fund
The Global 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 Global 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.
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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 Global 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
September 2009, Wilmington managed approximately
$40.3 billion for clients on six continents, in all
50 states, and in 88 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.
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 or a specific dollar amount be
redeemed by the Strategic Allocation Fund or the Global 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
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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. Except as set forth below,
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. A delay may occur only 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 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.
Global
Trend Fund
Redemption fees apply to Class A (USD) Units, Class B
(USD) Units and Class A (GLD) Units through the first
twelve month-ends following purchase as follows: 1.833% of net
asset value per redeemed Unit through the second month-end,
1.666% of net asset value per redeemed Unit through the third
month-end, 1.500% of net asset value per redeemed Unit through
the fourth month-end, 1.333% of net asset value per redeemed
Unit through the fifth month-end, 1.167% of net asset value per
redeemed Unit through the sixth month-end, 1.000% of net asset
value per redeemed Unit through the seventh month-end, 0.833% of
net asset value per redeemed Unit through the eighth month-end,
0.667% of net asset value per redeemed Unit through the ninth
month-end, 0.500% of net asset value per redeemed Unit through
the tenth month-end, 0.333% of net asset value per redeemed Unit
through the eleventh month-end, 0.167% of net asset value per
redeemed Unit 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
(USD) Unit, Class B (USD) Unit or Class A (GLD) 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 (USD) Unit, Class B (USD) Unit or Class A
(GLD) Unit redeemed on the first anniversary of the purchase.
For example, if Class A (USD) Units, Class B (USD)
Units or Class A (GLD) 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 (USD)
Units, Class B (USD) Units or Class A (GLD) Units were
redeemed through July 31, 2009, declining each month
thereafter as referenced above. No redemption fee would apply if
the Class A (USD) Units, Class B (USD) Units or
Class A (GLD) Units were redeemed on or after June 30,
2010.
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In determining whether redemption fees apply to a particular
limited partners Class A (USD) Units, Class B
(USD) Units or Class A (GLD) Units, Class A (USD)
Units, Class B (USD) Units or Class A (GLD) 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
marked-to-market,
plus the market value of all open futures, forward and option
positions maintained by the Strategic Allocation Fund or the
Global 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.
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
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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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1)
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expiration of the Strategic Allocation Funds stated term
on December 31, 2023 (the Global 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 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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1)
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amend the Limited Partnership Agreement without the consent of
Campbell & Company;
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2)
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dissolve the Strategic Allocation Fund;
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3)
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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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Global
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 Global Trend Fund or its
limited partners. If the amendment is deemed to have a material
affect on the Global 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 Global 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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-66-
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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
The Strategic Allocation Fund is classified as a partnership for
federal income tax purposes. Campbell & Company will
treat each Series of the Global Trend Fund as a separate
partnership for federal income tax purposes, and will cause the
federal income tax returns to be filed on that basis. For
purposes of the remainder of this section under the caption
Federal Income Tax Aspects, the term
Fund shall mean the Strategic Allocation Fund and
each Series of the Global Trend Fund.
No Fund will be considered a publicly traded partnership taxable
as a corporation for federal income tax purposes based on the
type of income each is expected to earn. Therefore, no Fund will
be subject to any federal income tax. Each Funds taxable
year is the calendar year and each Fund will prepare 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
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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 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
No Fund nor any limited partner of a Fund is entitled to any
deduction for syndication expenses, nor can these expenses be
amortized by a Fund or any limited partner even though the
payment of such expenses reduces net asset value.
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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, no 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.
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
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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.
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 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
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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 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
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broker-dealers and members of the Financial Industry Regulatory
Authority, Inc.
Units of each Class of Global 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 each
Series of the Global Trend Fund as of the end of the Initial
Offering Period is $15,000,000. 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
$15,000,000. 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 $15,000,000 for
either Series have not been received and accepted by the end of
the initial offering period, all subscriptions will be promptly
returned to subscribers of that Series, 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
Global Trend 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
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agent will invest the subscription funds in a money market
account or in other authorized instruments while held in escrow.
Global
Trend Fund
The Global 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 Global 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 Global
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.
Multiple Classes of Units have been set up to accommodate the
different types of accounts an individual may have with their
financial advisor. Class A (USD) Units and Class A
(GLD) Units are for commission based accounts that are sold
through selling agents. These Classes also charge a custody fee
that is paid to the selling firm for custody of the assets.
Class B (USD) Units are for commission based accounts with
no custody fee. Class C (USD) Units and Class B (GLD)
Units are for wrap or fee-based accounts that are sold through
selling agents. These Classes charge a custody fee that is paid
to the selling firm for custody of the assets. Class D
(USD) Units are for wrap or fee-based accounts with no custody
fee.
Subscription funds may be deposited and held in the Global Trend
Funds accounts at PNC Financial Services Group, Inc.,
Baltimore, Maryland, U.S.A., prior to the transfer to the Global
Trend Funds trading accounts. If after the expiration of
the Initial Offering Period, the subscription minimum for each
Series 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
$15,000,000.
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)
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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 Global
Trend Fund for further detail.
Minimum
Investment
The minimum initial investment for the Global Trend Funds
Class A (USD) Units, Class B (USD) Units, Class C
(USD) Units and Class D (USD) Units is $1,000 from IRAs and
other tax-exempt accounts and $5,000 from all other investors.
The minimum initial investment for the Global Trend
Fund Class A (GLD) Units and Class B (GLD) Units
is $50,000. The Strategic Allocation Fund is only open to
existing investors. The minimum additional investment for the
Strategic Allocation Fund and the Global Trend
Fund Class A (USD) Units, Class B (USD) Units,
Class C (USD) Units and Class D (USD) Units is $1,000.
The minimum additional investment for the Global Trend
Fund Class A (GLD) Units and Class B (GLD) Units
is $10,000. 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
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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. Campbell &
Company and each selling agent will make every reasonable effort
to determine the suitability (pursuant to NASAA guidelines) of
prospective investors through information received on the
Subscription Agreement. 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 $250,000 (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 Global Trend
Fund Class A (USD) Units, Class B (USD) Units and
Class A (GLD) Units receive commissions from the proceeds
of the offering in an amount up to 2% of the subscription amount
for the Global Trend Fund Class A (USD) Units,
Class B (USD) Units,
and/or
Class A (GLD) Units sold. In addition, selling agents of
the Global Trend Fund Class A (USD) Units,
Class C (USD) Units, Class A (GLD) Units and
Class B (GLD) Units receive a broker-dealer custodial fee
of 0.25% of Class A (USD) Units, Class C (USD)
Units, Class A (GLD) Units and Class B
(GLD) 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 Global 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 Global Trend Fund Class A (USD) Units,
Class B (USD) Units
and/or
Class A (GLD) Units average month-end net asset value
per annum. Such selling agents may pay all or a portion 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 Global Trend
Fund Class A (USD) Units, Class B (USD) Units and
Class A (GLD) Units sold pursuant to this prospectus will
not, however, exceed 8.0% of the
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gross offering proceeds of the Global Trend
Fund Class A (USD) Units and Class A (GLD) Units
and 9.0% of the gross offering proceeds of the Global Trend
Fund Class B (USD) Units sold pursuant to this
disclosure document. In addition, the amount paid to selling
agents for the broker-dealer custodial fee on Class A (USD)
Units, Class C (USD) Units, Class A (GLD) Units and
Class B (GLD) Units sold pursuant to this prospectus will
not, however, exceed 1.0% of the gross offering proceeds of
Class A (USD) Units and Class A (GLD) Units and 6% of
the gross offering proceeds of Class C (USD) Units and
Class B (GLD) Units.
Once total underwriting compensation, including, but not limited
to, the fees mentioned in the preceding paragraph, paid on any
Class A (USD) Unit, Class B (USD) Unit, Class C
(USD) Unit, Class D (USD) Unit, Class A (GLD) Unit or
Class B (GLD) Unit reaches 10% of the gross offering
proceeds, (1) the Class A (USD) Unit, Class B
(USD) Unit, Class C (USD) Unit or Class D (USD) Unit
will automatically be re-designated as Class E (USD) Units,
which are identical to Class A (USD) Units, Class B
(USD) Units, Class C (USD) Units and Class D (USD)
Units except that Class E (USD) Units do not pay any
offering expenses, selling agent fee, broker-dealer custodial
fee payable to the selling agents and, if applicable, redemption
fees, and (2) the Class A (GLD) Unit or Class B
(GLD) Unit will automatically be re-designated as Class C
(GLD) Units, which are identical to Class A (GLD) Units and
Class B (GLD) Units, except that Class C (GLD) 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 Global 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 Global Trend Fund will be reimbursed in the same
manner. See Charges to the Funds Offering
Expenses.
The Selling Agents are underwriters within the meaning of
securities laws. 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 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
-75-
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.]
-76-
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.
|
|
|
|
|
|
|
|
-77-
Global
Trend Fund
|
|
|
|
|
|
|
Nature of Payment
|
|
|
Recipient
|
|
|
Amount of Payment
|
Initial Selling Fee
|
|
|
Selling Agents
|
|
|
Selling Agents shall receive from the Global 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 (USD), B
(USD) and A (GLD) Units sold by the Selling Agents.
|
On-going Selling Fee
|
|
|
Selling Agents
|
|
|
Selling Agents shall receive from the Global 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 (USD), B (USD) and A (GLD) Units sold and outstanding,
subject to a limit of 6% of the gross offering proceeds of the
Class A (USD) and A (GLD) Units sold and 7% of the gross
offering proceeds of the Class B (USD) 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 (USD), B (USD) and A (GLD) Units sold, up to 3% of
the of the gross offering proceeds of the Class C (USD) and B
(GLD) Units sold, and up to 6% of the of the gross offering
proceeds of the Class D (USD) 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 (USD), Class C (USD), Class A (GLD) and Class B (GLD)
Units sold and outstanding, subject to a limit of 1% of the
gross offering proceeds of Class A (USD) Units and Class A (GLD)
Units sold and a limit of 6% of the gross offering proceeds of
Class C (USD) and Class B (GLD) Units sold.
|
|
|
|
|
|
|
|
There are no other items of compensation paid in respect of the
sale of the Funds Units.
-78-
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. In the following tables, CFS
stands for Campbell Financial Services, Inc., a broker-dealer
that is wholly owned by Campbell & Company, Inc.
Strategic
Allocation Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transaction and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Transaction
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based Compensation to
|
|
|
|
|
|
|
|
|
|
On-Going Selling
|
|
|
|
|
|
Registered
|
|
|
Expense
|
|
|
|
|
|
|
Fee (Commencing the 13 Month
|
|
|
|
|
|
Representatives
|
|
|
Reimbursements 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.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Global
Trend Fund Class A (USD) and Class A
(GLD)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transaction and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Transaction
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based Compensation to
|
|
|
Expense
|
|
|
|
|
|
|
On-Going Selling
|
|
|
|
|
|
Registered
|
|
|
Reimbursements
|
|
|
|
|
|
|
Fee (Commencing 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
|
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.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
-79-
Global
Trend Fund Class B (USD)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transaction and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Transaction
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based
|
|
|
Expense
|
|
|
|
|
|
|
|
|
|
|
|
|
Compensation to
|
|
|
Reimbursements
|
|
|
|
|
|
|
On-Going Selling
|
|
|
|
|
|
Registered
|
|
|
for Training and
|
|
|
|
|
|
|
Fee (Commencing 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.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Global
Trend Fund Class C (USD) and Class B
(GLD)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transaction and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Transaction
|
|
|
Expense
|
|
|
|
|
|
|
On-Going Selling
|
|
|
|
|
|
Based 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.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Global
Trend Fund Class D (USD)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transaction and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-transaction
|
|
|
Expense
|
|
|
|
|
|
|
On-Going Selling
|
|
|
|
|
|
Based 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.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
-80-
Global
Trend Fund Class E (USD) and Class C
(GLD)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transaction and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Transaction
|
|
|
Expense
|
|
|
|
|
|
|
On-Going Selling
|
|
|
|
|
|
Based Compensation
|
|
|
Reimbursements
|
|
|
|
|
|
|
Fee (Commencing
|
|
|
|
|
|
to 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.
-81-
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%
|
|
|
|
|
|
|
|
-82-
TABLE
1 (Continued)
PERFORMANCE OF TRADING PORTFOLIOS OFFERED BY
CAMPBELL & COMPANY, INC.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
|
|
|
|
|
|
|
|
|
|
Trend Following
|
|
|
Gold
|
|
|
|
Portfolio(6)
|
|
|
Portfolio(7)
|
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:
|
|
|
Will Begin Trading in October 2009
|
|
|
Will Begin Trading in October 2009
|
|
|
|
|
|
|
|
Total Assets/Accounts Currently Traded in the Portfolio:
|
|
|
$0/0 Accounts
|
|
|
$0/0 Accounts
|
|
|
|
|
|
|
|
Worst Monthly Percentage
Draw-down(2):
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
|
|
Worst
Peak-to-Valley
Draw-down(2):
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
|
|
Annual
Returns(1):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009 through September
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
|
|
2008
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
|
|
2007
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
|
|
2006
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
|
|
2005
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
|
|
2004
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
|
|
-83-
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 months)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
|
|
|
|
|
|
|
|
|
|
|
|
|
-84-
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. |
-85-
TABLE
2 (Continued)
PERFORMANCE OF POOLS OPERATED BY CAMPBELL & COMPANY,
INC.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
|
|
|
|
|
|
|
|
|
|
The Campbell Gold
|
|
|
The Campbell Gold
|
|
|
|
Plus Fund, L.P.
|
|
|
Plus Fund, L.P.
|
|
|
|
(Class C)
|
|
|
(Class D)
|
Type of Pool:
|
|
|
Private
|
|
|
Private
|
|
|
|
|
|
|
|
Inception of Trading:
|
|
|
Will Begin Trading in October 2009
|
|
|
Will Begin Trading in October 2009
|
|
|
|
|
|
|
|
Aggregate Subscriptions:
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
|
|
Current Net Asset Value:
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
|
|
Current Net Asset Value Per Unit:
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
|
|
Worst Monthly Percentage
Draw-down(3):
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
|
|
Worst
Peak-to-Valley
Draw-down(4):
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
|
|
Trading Portfolio Used:
|
|
|
Trend Following Portfolio
|
|
|
Trend Following and Gold Portfolios
|
|
|
|
|
|
|
|
Annual
Returns(1):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009 through September
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
|
|
2008
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
|
|
2007
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
|
|
2006
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
|
|
2005
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
|
|
2004
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
|
|
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 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
|
-86-
|
|
|
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.
|
|
|
6. |
The Trend Following Portfolio will not commence trading until
October 1, 2009.
|
|
|
7. |
The Gold Portfolio will not commence trading until
October 1, 2009.
|
-87-
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 Global 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 consolidated 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.]
-88-
INDEX TO
FINANCIAL STATEMENTS
|
|
|
|
|
|
|
Page
|
|
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
|
|
|
|
|
|
|
|
91
|
|
|
|
|
92
|
|
|
|
|
96
|
|
|
|
|
97
|
|
|
|
|
98
|
|
|
|
|
99
|
|
|
|
|
100
|
|
|
|
|
109
|
|
|
|
|
110
|
|
|
|
|
111
|
|
|
|
|
114
|
|
|
|
|
115
|
|
|
|
|
116
|
|
|
|
|
117
|
|
|
|
|
118
|
|
CAMPBELL & COMPANY, INC.
|
|
|
|
|
|
|
|
124
|
|
|
|
|
125
|
|
|
|
|
134
|
|
|
|
|
135
|
|
|
|
|
136
|
|
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.
-90-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS
OF FINANCIAL CONDITION
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.
-91-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
CONDENSED
SCHEDULE OF INVESTMENTS
SEPTEMBER
30, 2009
(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.
-92-
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.
-93-
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.
-94-
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.
-95-
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.
-96-
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.
-97-
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.
-98-
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.
-99-
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.
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
-100-
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)
|
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.
-101-
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
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed income securities
|
|
$
|
0
|
|
|
$
|
1,700,985,789
|
|
|
$
|
0
|
|
|
$
|
1,700,985,789
|
|
Other Financial Instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange-traded futures contracts
|
|
|
4,672,573
|
|
|
|
0
|
|
|
|
0
|
|
|
|
4,672,573
|
|
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
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed income securities
|
|
$
|
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
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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. The 2005 through
2008 tax years generally remain subject to examination by the
U.S. federal and most state tax authorities.
-102-
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)
|
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 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
-103-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS (Continued)
September
30, 2009 (Unaudited)
|
|
Note 2.
|
GENERAL
PARTNER AND COMMODITY TRADING
ADVISOR (Continued)
|
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 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
-104-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS (Continued)
September
30, 2009 (Unaudited)
|
|
Note 6.
|
SUBSCRIPTIONS,
DISTRIBUTIONS AND
REDEMPTIONS (Continued)
|
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.
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
-105-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS (Continued)
September
30, 2009 (Unaudited)
|
|
Note 7.
|
TRADING
ACTIVITIES AND RELATED
RISKS (Continued)
|
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
|
|
|
$
|
14,648,019
|
|
|
$
|
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
|
|
|
|
168,039,064
|
|
|
$
|
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.
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
|
)
|
|
|
|
|
|
|
|
|
|
-106-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS (Continued)
September
30, 2009 (Unaudited)
|
|
Note 7.
|
TRADING
ACTIVITIES AND RELATED
RISKS (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
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 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
-107-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS (Continued)
September
30, 2009 (Unaudited)
|
|
Note 9.
|
INTERIM
FINANCIAL STATEMENTS (Continued)
|
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.
-108-
|
|
|
|
|
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
-109-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS
OF FINANCIAL CONDITION
December 31,
2008 and 2007
|
|
|
|
|
|
|
|
|
|
|
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.
-110-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
CONDENSED
SCHEDULE OF INVESTMENTS
December 31,
2008
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
|
|
|
|
|
|
|
|
|
Description
|
|
|
|
|
|
|
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.
-111-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
CONDENSED
SCHEDULE OF INVESTMENTS
December 31,
2007
UNITED
STATES GOVERNMENT SECURITIES*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Net
|
|
Maturity 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
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes to Financial Statements.
-112-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
CONDENSED
SCHEDULE OF INVESTMENTS
December 31,
2007
FORWARD
CURRENCY CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Net
|
|
|
|
|
|
|
Asset
|
|
|
|
Values ($)
|
|
|
Value
|
|
|
Description
|
|
|
|
|
|
|
|
|
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 CURRENCY 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.
-113-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS
OF OPERATIONS
For the Years Ended December 31, 2008, 2007 And 2006
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
)
|
|
|
(116,066,270
|
)
|
|
|
(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.
-114-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
For the
Years Ended December 31, 2008, 2007 and 2006
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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.
-115-
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.
-116-
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.
-117-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS
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.
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.
-118-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS (Continued)
December 31,
2008
|
|
Note 1.
|
ORGANIZATION
AND SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES (Continued)
|
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
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
D.
|
Cash and Cash Equivalents
|
Cash and cash equivalents includes cash and short-term
investments in fixed income securities held at financial
institutions.
-119-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS (Continued)
December 31,
2008
|
|
Note 1.
|
ORGANIZATION
AND SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES (Continued)
|
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
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 unreinibursed
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 an amendment of FASB Statement
No. 133 (SFAS 161). SFAS 161 establishes,
among 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
-120-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS (Continued)
December 31,
2008
|
|
Note 1.
|
ORGANIZATION
AND SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES (Continued)
|
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 dealing 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 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 die 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
-121-
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
NOTES TO
FINANCIAL STATEMENTS (Continued)
December 31,
2008
|
|
Note 5.
|
SUBSCRIPTIONS,
DISTRIBUTIONS AND
REDEMPTIONS (Continued)
|
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
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.
-122-
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.
-123-
|
|
|
|
|
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.
-124-
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. CGPF is a limited partnership
formed on July 2, 2009 under the laws of Delaware. CGPF 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.
-125-
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.
-126-
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
|
|
|
|
|
|
|
-127-
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
-128-
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.
-129-
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.
-130-
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
-131-
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
-132-
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 22, 2009. Campbell &
Company, Inc. became the sole shareholder of CFS as a result of
the sale of the common stock. Effective October 22, 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.
-133-
|
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201 International Circle, Suite 400
Hunt Valley, Maryland 21030 USA
Tel: 410-771-0001 Fax: 410-785-9784
www.arthurbellepas.com
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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
-134-
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ASSETS
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Current assets
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Cash and cash equivalents
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$
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35,781,756
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Accounts receivable
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Advisory and performance fees
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9,686,784
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Receivable from Campbell Strategic Allocation Fund, L.P.
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8,768,035
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Other receivables
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1,859,328
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Total current assets
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56,095,903
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Property and equipment
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Furniture and office equipment
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15,538,897
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Leasehold improvements
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1,676,410
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17,215,307
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Less accumulated depreciation and amortization
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(10,882,814
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)
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Total property and equipment
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6,332,493
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Other assets
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Cash surrender value of life insurance, net of policy loans of
$358,068
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551,885
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Investments in sponsored funds
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108,332,936
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Other
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14,495,297
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Total assets
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$
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185,808,514
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LIABILITIES
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Current liabilities
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Accounts payable and accrued expenses
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$
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33,658,956
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Current portion of subordinated debt
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31,980,000
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Total current liabilities
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65,638,956
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Deferred rent expense
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3,087,095
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Subordinated debt
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100,260,000
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Capital stock subject to repurchase, at current redemption value
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1,744,921
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Total liabilities
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170,730,972
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STOCKHOLDERS EQUITY
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Retained earnings
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15,077,542
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Total liabilities and stockholders equity
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$
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185,808,514
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See accompanying notes.
-135-
CAMPBELL &
COMPANY, INC.
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Note 1.
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ORGANIZATION
AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
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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.
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B.
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Cash and Cash Equivalents
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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.
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D.
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Property and Equipment
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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 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
-136-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE
SHEET (Continued)
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Note 1.
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ORGANIZATION
AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(Continued)
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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.
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F.
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Investments in Sponsored Funds
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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:
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Assets
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Level 1
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Level 2
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Level 3
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Total
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Cash equivalents
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$
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29,638,754
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$
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$
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$
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29,638,754
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Investments in sponsored funds
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108,332,936
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108,332,936
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Total
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$
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29,638,754
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$
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108,332,936
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$
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$
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137,971,690
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The following summarizes the carrying amount and fair value of
the Companys other financial instruments at
December 31, 2008:
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Carrying
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Fair
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Assets
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Amount
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Value
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Cash surrender value of life insurance
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$
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551,885
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$
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551,885
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Liabilities
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Subordinated debt
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$
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132,240,000
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$
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132,240,000
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-137-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE
SHEET (Continued)
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Note 3.
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INVESTMENTS
IN SPONSORED FUNDS
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Investments in sponsored funds consist of the following at
December 31, 2008:
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The Campbell Multi-Strategy Trust
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$
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48,591,288
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Campbell Strategic Allocation Fund, L.P.
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27,266,756
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The Campbell Global Assets Fund Limited SAC
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10,084,318
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The Campbell Qualified Multi-Strategy Fund L.L.C.
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17,801,475
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Campbell Alternative Asset Trust
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2,306,948
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Campbell Financial Futures Fund Limited Partnership
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2,230,680
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The Campbell Fund Trust
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51,471
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Total
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$
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108,332,936
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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
December 31, 2008 is as follows:
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Balance Sheet Data
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Assets
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$
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307,457,679
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Liabilities
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109,228,698
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Net Asset Value
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$
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198,228,981
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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
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.
-138-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE
SHEET (Continued)
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Note 3.
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INVESTMENTS
IN SPONSORED FUNDS (Continued)
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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 $448,402 is included in
Other assets in the consolidated balance sheet.
In the event Strategic terminates prior to the completion of any
reimbursement of the aforementioned costs, the Company will not
be entitled to any additional reimbursement from Strategic.
The
Campbell Global Assets Fund Limited SAC
The Company is the Trading Advisor of The Campbell Global Assets
Fund Limited SAC (CGAF), an international business company
incorporated in The Bahamas.
Summarized financial information with respect to CGAF as of
December 31, 2008 is as follows:
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Balance Sheet Data
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Assets
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$
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59,717,345
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Liabilities
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10,167,839
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Net Asset Value
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$
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49,549,506
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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:
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Balance Sheet Data
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Assets
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$
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128,319,997
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Liabilities
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40,116,522
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Net Asset Value
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$
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88,203,475
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-139-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE
SHEET (Continued)
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Note 3.
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INVESTMENTS
IN SPONSORED FUNDS (Continued)
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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 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.
-140-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE
SHEET (Continued)
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Note 3.
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INVESTMENTS
IN SPONSORED FUNDS (Continued)
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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.
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Note 4.
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INVESTING
ACTIVITIES AND RELATED RISKS
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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 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.
-141-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE
SHEET (Continued)
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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 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
-142-
CAMPBELL &
COMPANY, INC.
NOTES TO
CONSOLIDATED BALANCE
SHEET (Continued)
|
|
Note 8.
|
LEASE
OBLIGATIONS (Continued)
|
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.
|
|
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.
-143-
PART TWO
STATEMENT OF ADDITIONAL
INFORMATION
CAMPBELL STRATEGIC ALLOCATION
FUND, L.P.
$331,000,000 Limited
Partnership Units
CAMPBELL GLOBAL TREND FUND,
L.P.
$100,000,000 Class A (USD)
Limited Partnership Units
$100,000,000 Class B (USD) Limited Partnership Units
$100,000,000 Class C (USD) Limited Partnership Units
$100,000,000 Class D (USD) Limited Partnership Units
Class E (USD) Limited Partnership Units
$100,000,000 Class A (GLD)
Limited Partnership Units
$100,000,000 Class B (GLD) Limited Partnership Units
Class C (GLD) Limited Partnership Units
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
March 1, 2010
THE
FUTURES, FORWARD, OPTION AND SWAP MARKETS
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 (including gold),
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
-146-
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:
|
|
|
|
(1)
|
the swap markets are generally not regulated by any United
States or foreign governmental authorities;
|
|
|
(2)
|
there are generally no limitations on daily price moves in swap
transactions;
|
|
|
(3)
|
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;
|
|
|
(4)
|
participants in the swap markets are not required to make
continuous markets in swaps contracts; and
|
|
|
(5)
|
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.
|
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.
-147-
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
-148-
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:
|
|
|
|
|
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.
|
|
|
|
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.
|
|
|
|
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.
|
|
|
|
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.
|
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 Global
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 Global
Trend Fund Class A
-149-
(USD) Units, Class B (USD) Units and Class A (GLD)
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.]
-150-
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
|
|
|
* |
|
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.
-151-
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
|
|
* |
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.
-152-
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
|
|
* |
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.
-153-
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
|
|
* |
CISDM data was not available prior to 1980.
|
These charts were prepared by Campbell & Company. See
the glossary following this section for information integral to
these charts.
-154-
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.
-155-
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.
-156-
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 (37%), 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.
-157-
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
|
|
|
|
|
|
|
|
Number
|
|
|
|
Percentage
|
|
April 1994 September
2009
|
|
|
Time Periods
|
|
|
|
Number Profitable
|
|
|
|
Unprofitable
|
|
|
|
Profitable
|
|
Total Months
|
|
|
|
186
|
|
|
|
|
101
|
|
|
|
|
85
|
|
|
|
|
54.30
|
%
|
Total Years*
|
|
|
|
15
|
|
|
|
|
12
|
|
|
|
|
3
|
|
|
|
|
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 Time
|
|
|
|
|
|
|
|
|
|
|
|
Percentage
|
|
April 1994 September
2009
|
|
|
Periods
|
|
|
|
Number Profitable
|
|
|
|
Number 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.
-158-
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.
-159-
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.
-160-
VALUE OF
DIVERSIFICATION CAMPBELL STRATEGIC ALLOCATION
FUND (Continued)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
Historical
Performance Comparison (April 1994 September
2009)
The table below charts the annual rates of returns for various
indices or asset categories since the Strategic Allocation
Funds inception in April 1994.
|
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|
|
Barclays
|
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|
|
|
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|
HFRI
|
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|
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|
|
Capital
|
|
|
Campbell
|
|
|
|
|
|
Fund of
|
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|
|
|
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|
|
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|
|
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|
|
Long-Term
|
|
|
Strategic
|
|
|
|
|
|
Funds
|
|
|
|
|
|
NASDAQ
|
|
|
|
|
|
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|
|
|
T-Bond
|
|
|
Allocation
|
|
|
|
|
|
Composite
|
|
|
|
|
|
Composite
|
|
|
|
|
|
|
|
|
|
Index
|
|
|
Fund
|
|
|
CISDM Index
|
|
|
Index
|
|
|
EAFE Index
|
|
|
Index
|
|
|
S&P 500 Index
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1994*
|
|
|
−1.14%
|
|
|
−11.62%
|
|
|
−2.18%
|
|
|
−3.48%
|
|
|
6.23%
|
|
|
−3.20%
|
|
|
5.31%
|
|
|
1994*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1995
|
|
|
30.73%
|
|
|
9.99%
|
|
|
9.66%
|
|
|
11.10%
|
|
|
9.42%
|
|
|
39.92%
|
|
|
37.59%
|
|
|
1995
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1996
|
|
|
−0.76%
|
|
|
30.46%
|
|
|
11.89%
|
|
|
14.39%
|
|
|
4.38%
|
|
|
22.70%
|
|
|
22.96%
|
|
|
1996
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1997
|
|
|
14.91%
|
|
|
14.31%
|
|
|
9.48%
|
|
|
16.20%
|
|
|
0.24%
|
|
|
21.64%
|
|
|
33.38%
|
|
|
1997
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1998
|
|
|
13.48%
|
|
|
14.60%
|
|
|
6.81%
|
|
|
−5.11%
|
|
|
18.24%
|
|
|
39.62%
|
|
|
28.58%
|
|
|
1998
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1999
|
|
|
−8.71%
|
|
|
4.45%
|
|
|
1.48%
|
|
|
26.47%
|
|
|
25.26%
|
|
|
84.55%
|
|
|
21.04%
|
|
|
1999
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2000
|
|
|
20.11%
|
|
|
10.70%
|
|
|
9.37%
|
|
|
4.07%
|
|
|
−15.20%
|
|
|
−39.28%
|
|
|
−9.09%
|
|
|
2000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2001
|
|
|
5.34%
|
|
|
2.91%
|
|
|
7.52%
|
|
|
2.80%
|
|
|
−22.61%
|
|
|
−21.04%
|
|
|
−11.87%
|
|
|
2001
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2002
|
|
|
16.31%
|
|
|
13.12%
|
|
|
11.99%
|
|
|
1.01%
|
|
|
−17.52%
|
|
|
−31.52%
|
|
|
−22.10%
|
|
|
2002
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2003
|
|
|
2.06%
|
|
|
17.68%
|
|
|
12.17%
|
|
|
11.62%
|
|
|
35.27%
|
|
|
50.01%
|
|
|
28.69%
|
|
|
2003
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2004
|
|
|
7.97%
|
|
|
4.35%
|
|
|
3.22%
|
|
|
6.87%
|
|
|
17.60%
|
|
|
8.60%
|
|
|
10.87%
|
|
|
2004
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2005
|
|
|
6.70%
|
|
|
9.53%
|
|
|
5.97%
|
|
|
7.50%
|
|
|
10.85%
|
|
|
1.38%
|
|
|
4.89%
|
|
|
2005
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2006
|
|
|
0.85%
|
|
|
4.04%
|
|
|
8.30%
|
|
|
10.39%
|
|
|
23.46%
|
|
|
9.51%
|
|
|
15.79%
|
|
|
2006
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2007
|
|
|
8.52%
|
|
|
−14.65%
|
|
|
8.57%
|
|
|
10.26%
|
|
|
8.61%
|
|
|
9.81%
|
|
|
5.50%
|
|
|
2007
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2008
|
|
|
25.08%
|
|
|
−1.53%
|
|
|
16.28%
|
|
|
−21.39%
|
|
|
−45.09%
|
|
|
−40.53%
|
|
|
−37.01%
|
|
|
2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009 YTD
|
|
|
−8.32%
|
|
|
−6.96%
|
|
|
1.59%
|
|
|
9.78%
|
|
|
25.49%
|
|
|
34.57%
|
|
|
18.78%
|
|
|
2009 YTD
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* The Strategic Allocation Fund began trading in April
1994, therefore, the returns for all indices or asset categories
for 1994 are for the 9 months from April
December 1994.
This table was prepared by Campbell & Company. See the
glossary following this section for information integral to this
table.
-161-
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.
-162-
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.
-163-
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
|
|
|
EAFE
|
|
|
NASDAQ
|
|
|
Long-Term
|
Performance Statistics Through September 2009
|
|
|
Strategic
|
|
|
Index
|
|
|
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%
|
|
|
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.
-164-
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.
-165-
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.
-166-
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%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
−6.96%
|
|
|
|
−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%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
(9 months)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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.
-167-
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.
-168-
SUPPLEMENTAL
GOLD DISCUSSION
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
The
Price of Spot Gold Versus Inflation-Adjusted Spot
Gold
The chart below displays the price of spot gold versus the price
of inflation-adjusted spot gold. As indicated below, the price
of spot gold remains well below its peak on an
inflation-adjusted basis.
January
1968* September 2009
*Spot gold was deregulated in
January 1968. The source data was obtained from the National
Bureau of Economic Research.
This chart was prepared by Campbell & Company. See the
glossary following this section for information integral to this
chart. By offering the Global Trend Series (GLD) neither the
Global Trend Fund nor Campbell & Company is making any
recommendation or providing any investment or other advice with
respect to the possible future performance of gold, gold
futures, or any other gold-related product, nor is it a
prediction or recommendation as to the future performance of the
U.S. Dollar. The Global Trend Series (GLD) is offered
solely to provide a gold-denominated exposure to the Campbell
Trend Following Portfolio to those investors who prefer to have
their investments denominated in gold, as opposed to the
U.S. Dollar.
-169-
SUPPLEMENTAL
GOLD DISCUSSION (Continued)
PAST
PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
Hypothetical
Performance Statistics
The table below provides various performance statistics for the
hypothetical blend of the CISDM Index with Spot Gold.
January
1980* September 2009
|
|
|
|
|
|
|
|
|
CISDM Index
|
|
Hypothetical Performance Statistics
|
|
|
With Spot Gold
|
|
Compounded Annual RoR
|
|
|
|
13.02
|
%
|
Average Monthly RoR
|
|
|
|
1.25
|
%
|
Standard Deviation of Monthly Returns
|
|
|
|
6.85
|
%
|
Annualized Standard Deviation
|
|
|
|
23.72
|
%
|
Largest Drawdown (January 1983 November 1984)
|
|
|
|
−47.08
|
%
|
Sharpe Ratio
|
|
|
|
0.41
|
|
Average Monthly Gain
|
|
|
|
5.76
|
%
|
Average Monthly Loss
|
|
|
|
−4.09
|
%
|
Number of Profitable Months
|
|
|
|
195 (54
|
)%
|
Number of Unprofitable Months
|
|
|
|
165 (46
|
)%
|
Average Duration of Decline (months)
|
|
|
|
4.61
|
|
Average Recovery Period (months)
|
|
|
|
4.27
|
|
|
|
|
|
|
|
* CISDM data was not available
prior to 1980.
This table was prepared by Campbell & Company. See the
glossary following this section for information integral to this
table. By offering the Global Trend Series (GLD) neither the
Global Trend Fund nor Campbell & Company is making any
recommendation or providing any investment or other advice with
respect to the possible future performance of gold, gold
futures, or any other gold-related product, nor is it a
prediction or recommendation as to the future performance of the
U.S. Dollar. The Global Trend Series (GLD) is offered
solely to provide a gold-denominated exposure to the Campbell
Trend Following Portfolio to those investors who prefer to have
their investments denominated in gold, as opposed to the
U.S. Dollar.
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.
-170-
SUPPLEMENTAL
GOLD DISCUSSION (Continued)
PAST
PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
Hypothetical
Performance of the CISDM Index Blended with Spot Gold Using a
Logarithmic Scale
The chart below shows the value of an initial $10,000 investment
in the CISDM Index blended with Spot Gold over the specified
time period. A logarithmic line chart has a logarithmic scale on
the y (vertical) axis. These charts are useful for compounding
relative (percentage) changes, rather than absolute amounts of
change, for a set of values.
Value
of an Initial $10,000 Investment
January 1980* September 2009
* 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. By offering the Global Trend Series (GLD) neither the
Global Trend Fund nor Campbell & Company is making any
recommendation or providing any investment or other advice with
respect to the possible future performance of gold, gold
futures, or any other gold-related product, nor is it a
prediction or recommendation as to the future performance of the
U.S. Dollar. The Global Trend Series (GLD) is offered
solely to provide a gold-denominated exposure to the Campbell
Trend Following Portfolio to those investors who prefer to have
their investments denominated in gold, as opposed to the
U.S. Dollar.
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.
-171-
SUPPLEMENTAL
GOLD DISCUSSION (Continued)
PAST
PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
Correlation
of Monthly Returns
The chart below shows the correlation between the S&P 500
Index and various stock indices, the CISDM Index, spot gold and
the hypothetical blend of the CISDM Index with Spot Gold.
January
1980* September 2009
* 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. By offering the Global Trend Series (GLD) neither the
Global Trend Fund nor Campbell & Company is making any
recommendation or providing any investment or other advice with
respect to the possible future performance of gold, gold
futures, or any other gold-related product, nor is it a
prediction or recommendation as to the future performance of the
U.S. Dollar. The Global Trend Series (GLD) is offered
solely to provide a gold-denominated exposure to the Campbell
Trend Following Portfolio to those investors who prefer to have
their investments denominated in gold, as opposed to the
U.S. Dollar.
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.
-172-
SUPPLEMENTAL
GOLD DISCUSSION (Continued)
PAST
PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
Compounded
Annual Rates of Returns
The chart below shows the compounded annual rates of returns for
various stock indices, the CISDM Index, spot gold and the
hypothetical blend of the CISDM Index with Spot Gold.
January
1980* September 2009
* 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. By offering the Global Trend Series (GLD) neither the
Global Trend Fund nor Campbell & Company is making any
recommendation or providing any investment or other advice with
respect to the possible future performance of gold, gold
futures, or any other gold-related product, nor is it a
prediction or recommendation as to the future performance of the
U.S. Dollar. The Global Trend Series (GLD) is offered
solely to provide a gold-denominated exposure to the Campbell
Trend Following Portfolio to those investors who prefer to have
their investments denominated in gold, as opposed to the
U.S. Dollar.
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.
-173-
SUPPLEMENTAL
GOLD DISCUSSION (Continued)
PAST
PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
RESULTS.
Standard
Deviation of Monthly Returns (Volatility)
The chart below shows the standard deviation of monthly returns
for various stock indices, the CISDM Index, spot gold and the
hypothetical blend of the CISDM Index with Spot Gold.
January
1980* September 2009
* 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. By offering the Global Trend Series (GLD) neither the
Global Trend Fund nor Campbell & Company is making any
recommendation or providing any investment or other advice with
respect to the possible future performance of gold, gold
futures, or any other gold-related product, nor is it a
prediction or recommendation as to the future performance of the
U.S. Dollar. The Global Trend Series (GLD) is offered
solely to provide a gold-denominated exposure to the Campbell
Trend Following Portfolio to those investors who prefer to have
their investments denominated in gold, as opposed to the
U.S. Dollar.
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.
-174-
GLOSSARY
OF TERMS
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.
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
Global Trend Fund, L.P.
The Global Fund will be an actively managed account with
speculative trading profits as its objective. The Global 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 Funds, and the Funds 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.
Credit
Agricole Structured Asset Management Center for International
Securities and Derivatives Markets CPO Asset Weighted Index
(CISDM) Blended With Spot Gold
The performance information for this blend includes the
performance of the CISDM Index hypothetically rebalanced monthly
over the specified time period to assure a 100% allocation to
spot gold with a 100% overlay of the CISDM Index each month.
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.
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.
Spot
Gold
Gold that is bought and sold for cash and delivered immediately.
The spot price is different from the futures price on an
exchange, which reflects what the commodity might be worth in
the future months.
-175-
Spot
Gold (Inflation-Adjusted)
The inflation-adjusted price of gold in 2009 U.S. Dollars
using U.S. inflation rates obtained from the National
Bureau of Economic Research.
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. |
-176-
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.
SECOND AMENDED AND RESTATED AGREEMENT OF LIMITED
PARTNERSHIP
ARTICLE 1.
FORMATION AND NAME
The parties to this Second Amended and Restated Agreement of
Limited Partnership (the Agreement) dated as of
January 1, 2010 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. 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 2850 Quarry
Lake Drive, Baltimore, Maryland 21209, 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, 2850 Quarry Lake Drive, Baltimore, Maryland 21209. 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
net aggregate 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, 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 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.
A-2
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, 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
A-3
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;
(iv) cash management fees; and (v) 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 average 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.
Reporting to Limited Partners may be via hard copy or, where
permitted by applicable rules, via electronic media. 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
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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 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 the General Partner
shall maintain and preserve such records for a period of five
years. 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 be called to vote
upon any matter
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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.
A-11
IN WITNESS WHEREOF, the parties hereto have executed this
Agreement on the date first appearing above.
GENERAL PARTNER:
CAMPBELL & COMPANY, INC.
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By:
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/s/ Gregory
T. Donovan
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Name: Gregory T. Donovan
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Title:
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Chief Financial Officer
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Name: Thomas P. Lloyd
LIMITED PARTNERS:
Campbell & Company as attorney-in-fact for the Limited
Partners who have agreed by separate instrument to be a party
hereto.
CAMPBELL & COMPANY, INC.
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By:
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/s/ Gregory
T. Donovan
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Name: Gregory T. Donovan
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Title:
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Chief Financial Officer
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Name: Thomas P. Lloyd
A-12
EXHIBIT B
CAMPBELL
GLOBAL TREND FUND, L.P.
AMENDED AGREEMENT OF LIMITED PARTNERSHIP
This Amended Limited Partnership Agreement of Campbell Global
Trend Fund, L.P. (the Fund or the
Partnership), is entered into as of January 1,
2010 (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. This Agreement amends and
restates in its entirety the original Limited Partnership
Agreement of the Fund dated as of December 1, 2009.
WITNESSETH:
WHEREAS, the General Partner heretofore filed an Amended
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
Global 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. The General Partner
has caused to be executed and filed with the Secretary of State
of the State of Delaware an Amended Certificate of Limited
Partnership conforming to the requirements of the Act which such
Amended 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
B-1
Fund in general, so that the liability of each Series shall be
segregated and the liability of each additional Series, as
designated, may be segregated as such in the future, in the sole
discretion of 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
B-2
Article 13; (iii) a determination by the General
Partner that the purpose of the Partnership cannot be fulfilled;
or (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
net aggregate 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 each Series of the Partnership respectively in
an amount equal to the greater of (i) 1% of the net
aggregate contributions of all Partners in each Series 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 each Series of 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 each Series of
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, shall designate various
series of Units (each Series of Units is referred to herein as a
Series), and each Series may have such general
partners,
B-3
separate business purposes, investment objectives, rights,
powers or duties with respect to specified property or
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 Global Trend Series (USD) and the
Global Trend Series (GLD). 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, shall 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 Global Trend Series (USD) shall
consist initially of Class A (USD), Class B (USD),
Class C (USD), Class D (USD) and Class E (USD)
Units. The Global Trend Series (GLD) shall consist initially of
Class A (GLD), Class B (GLD), and Class C (GLD)
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.
B-4
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 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;
B-5
(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, 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 (USD) Units and Class C (GLD) 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 (USD) Units and Class C
(GLD) Units) shall be specifically allocated its pro rata Share
of the Offering Costs.
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(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;
(vi) cash management fees; and (vii) 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 average 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) Class A (USD) Units, Class C (USD) Units,
Class A (GLD) Units, and Class B (GLD) Units shall pay
a monthly broker-dealer custodial fee of 0.25% of each
respective Classs month-end net asset value 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 (USD) Units and Class A (GLD) Units and 6% of
the gross offering proceeds of Class C (USD) Units and
Class B (GLD) 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. Each Class of
Units of the Partnership will pay to the futures brokers and
over-the-counter
counterparty up to 1% of the net asset value ofthat Class of
Units, respectively. Each Class of 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 that Class of
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 (USD) Units, Class B (USD) Units,
and Class A (GLD) Units selling commissions of 2% of each
subscription of Class A (USD) Units, Class B (USD)
Units, and Class A (GLD) 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 Class A (USD) Units, Class B (USD) Units,
and Class A (GLD) Units sold pursuant to each disclosure
document will not, however, exceed 8.0% of the gross offering
proceeds of the Class A (USD) Units and Class A (GLD)
Units and 9.0% of the gross offering proceeds of the
Class B (USD) Units sold pursuant to the disclosure
document.
Once total underwriting compensation, including, but not limited
to, the fees mentioned in the preceding paragraph, paid on any
Class A (USD) Unit, Class B (USD) Unit, Class C
(USD) Unit, Class D (USD) Unit, Class A (GLD) Unit or
Class B (GLD) Unit reaches 10% of the gross offering
proceeds, (1) the Class A (USD) Unit, Class B
(USD) Unit, Class C (USD) Unit or Class D (USD) Unit
will automatically be re-designated as Class E (USD) Units,
which are identical to Class A (USD) Units, Class B
(USD) Units, Class C (USD) Units and Class D (USD)
Units except that Class E (USD) Units do not pay any
offering expenses, selling agent fee, broker-dealer custodial
fee payable to the selling agents and, if applicable, redemption
fees, and (2) the Class A (GLD) Unit or Class B
(GLD) Unit will automatically be re-designated as Class C
(GLD) Units, which are identical to Class A (GLD) Units and
Class B (GLD) Units, except that Class C (GLD) Units
do not pay any offering expenses, selling agent fee,
broker-dealer custodial fee payable to the selling agents and,
if applicable, redemption fees.
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(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 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 all Classes of Units; general partner fee of 1% per
annum of the month-end Net Asset Value of all Classes of 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,
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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 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
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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 (USD)
Units, Class B (USD) Units, and Class A (GLD) Units to
the selling agents who have sold Class A (USD) Units,
Class B (USD) Units and Class A (GLD) 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 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.
Reporting to Limited Partners may be via hard copy or, where
permitted by applicable rules, via electronic media. 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).
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(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 (USD) Units, Class B (USD) Units, and
Class A (GLD) Units through the first twelve month-ends
following purchase as follows: 1.833% of net asset value per
redeemed Unit through the second month-end, 1.666% of net asset
value per redeemed Unit through the third month-end, 1.500% of
net asset value per redeemed Unit through the fourth month-end,
1.333% of net asset value per redeemed Unit through the fifth
month-end, 1.167% of net asset value per redeemed Unit through
the sixth month-end, 1.000% of net asset value per redeemed Unit
through the seventh month-end, 0.833% of net asset value per
redeemed Unit through the eighth month-end, 0.667% of net asset
value per redeemed Unit through the ninth month-end, 0.500% of
net asset value per redeemed Unit through the tenth month-end,
0.333% of net asset value per redeemed Unit through the eleventh
month-end, 0.167% of net asset value per redeemed Unit 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 (USD) Unit,
Class B (USD) Unit, or Class A (GLD) 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
(USD) Unit, Class B (USD) Unit, or Class A (GLD) 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.
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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.
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 or is removed as General Partner
Pursuant to Article 16, 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
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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 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
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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.
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. The General Partner
shall maintain and preserve such records for a period of five
years. 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 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.
16.4. 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.
16.5. 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
B-14
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).
16.6. 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.
16.7. 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.
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.
B-15
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-16
EXHIBIT C
CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
REQUEST FOR REDEMPTION
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Please send original to:
Campbell & Company, Inc.
General Partner
2850 Quarry Lake Drive
Baltimore, Maryland 21209
Phone:
800-698-7235
Fax:
410-413-2572
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Date
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Limited
Partner No.
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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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Client
E-mail
Address
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Brokerage 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:
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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
GLOBAL TREND FUND, L.P.
REQUEST FOR REDEMPTION
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Please send original to:
Campbell & Company, Inc.
General Partner
2850 Quarry Lake Drive
Baltimore, Maryland 21209
Phone:
800-698-7235
Fax:
410-413-2572
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Date
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Limited
Partner No.
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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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Client
E-mail
Address
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Brokerage 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 GLOBAL 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 (USD) Units, Class B (USD) Units and
Class A (GLD) Units as follows: 1.833% of net asset value
(NAV) per Class A (USD) Unit, Class B (USD) Unit or
Class A (GLD) 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
(USD) Units
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Class B (USD) Units
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Class C (USD) Units
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Class D (USD) Units
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Class E (USD) Units
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Class A (GLD) Units
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Class B (GLD) Units
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Class C (GLD) Units
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Remittance
of Redemption Funds:
o 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:
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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 March 1, 2010 (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
Global Trend Fund, L.P.
By executing the Subscription Agreement for Campbell Global
Trend Fund, L.P. (the Global Trend Fund), each
purchaser (purchaser) of limited partnership units
of any of the classes of the Global 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
March 1, 2010 (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 March 1, 2010 (the
prospectus). The minimum initial subscription for
Class A (USD) Units, Class B (USD) Units, Class C
(USD) Units and Class D (USD) Units is $1,000 from IRAs and
other tax-exempt accounts and $5,000 from all other investors.
Limited partners of Class A (USD) Units, Class B (USD)
Units, Class C (USD) Units and Class D (USD) Units may
increase their investment with a minimum additional investment
of $1,000. The minimum initial subscription for Class A
(GLD) Units and Class B (GLD) Units is $50,000. Limited
partners of Class A (GLD) Units and Class B (GLD)
Units may increase their investment with a minimum additional
investment of $10,000. Subscriptions must be accompanied by a
check or wire in the full amount of the subscription and made
payable to Campbell Global 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 Global
Trend Fund and to be bound by the terms of the Global 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.
D-1
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.
(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
D-2
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 $250,000 (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
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 March 1, 2010 (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 March 1, 2010, 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)
|
(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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Taxpayer ID #
-
-
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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)
|
Additional
Information (For Estates,
Partnerships, Trusts and Corporations)
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7) |
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)
|
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
|
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 March 1, 2010. 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
|
|
X
|
Financial Advisor
Signature Date
|
|
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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|
|
|
|
|
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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
GLOBAL TREND FUND, L.P.
UNITS OF
LIMITED PARTNERSHIP INTEREST
SUBSCRIPTION
AGREEMENT
Campbell Global 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 Global Trend Fund, L.P.
(the Fund) set forth on the reverse side (the
minimum initial investment for the Class A (USD) Units,
Class B (USD) Units, Class C (USD) Units and
Class D (USD) Units is $1,000 for IRAs and other tax-exempt
accounts and $5,000 for all other investors; the minimum initial
investment for the Class A (GLD) Units and Class B
(GLD) Units is $50,000) of this Subscription Agreement, at net
asset value per unit as set forth in the prospectus of the Fund
dated March 1, 2010 (the prospectus). The
undersigneds wire or check payable to Campbell
Global Trend Fund, L.P., in the full amount of the
undersigneds subscription (additions may be made with a
minimum investment of $1,000 for the Class A (USD) Units,
Class B (USD) Units, Class C (USD) Units and
Class D (USD) Units and $10,000 for the Class A (GLD)
Units and Class B (GLD) Units, 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 Global
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
CGTF
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 Global Trend
Fund, L.P. and by either (i) enclosing a check payable to
Campbell Global 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
March 1, 2010, including the Global 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.
|
|
|
|
1) Total
Amount of: Class A (USD) Units $
|
Class B (USD) Units $
|
Class C (USD) Units $
|
Class D (USD) Units $
|
(minimum of $1,000 from IRAs and other
tax-exempt accounts and $5,000 from all other investors; $1,000
for additional investments)
|
|
|
|
|
Class A (GLD) Units $
Class B
(GLD) Units $
|
(minimum
of $50,000; $10,000 for additional investments)
|
|
|
|
|
Class E (USD) and Class C (GLD) Units are not being
offered in the prospectus and will be issued in exchange for
Class A (USD), B (USD), C (USD), D (USD), A (GLD) and B
(GLD) 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 #
-
-
|
|
Taxpayer ID #
-
-
|
|
|
|
|
|
|
|
Joint
Accounts1
|
|
Trust Accounts2
or 3
|
o Individual1
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
|
|
|
|
|
|
IRA
Accounts3
|
|
Pension/Profit Sharing Plans
|
|
|
o Traditional
o Rollover
|
|
o SEP3 o 401(k)2 |
|
Note: In connection with any subscription, the general
partner, in its sole discretion, may request a subscriber to
provide appropriate authorization documents.
|
o Roth
|
|
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
|
|
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 March 1, 2010. 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
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
F.A. Address
(for confirmations)
|
|
|
|
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 Global Trend Fund,
L.P.
|
|
|
|
|
|
|
Approximate
|
|
|
|
Amount
|
|
|
Securities and Exchange Commission Registration Fee
|
|
$
|
40,000
|
|
The Financial Industry Regulatory Authority Filing Fee
|
|
|
60,500
|
|
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
|
|
$
|
805,500
|
|
|
|
|
|
|
|
|
Item 14.
|
Indemnification
of Directors and Officers.
|
Article 15 of the respective Limited Partnership Agreement
of the Strategic Allocation Fund and the Global 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 Fund 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.
II-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
|
|
Amended Form of Selling Agreement for Campbell Strategic
Allocation Fund, L.P. and Campbell Global Trend Fund, L.P.(5)
|
|
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
|
|
Amended Certificate of Limited Partnership of Campbell Global
Trend Fund, L.P.
|
|
3
|
.3
|
|
Amended Agreement of Limited Partnership of Campbell Strategic
Allocation Fund, L.P. (included to the Prospectus as
Exhibit A)
|
|
4
|
.2
|
|
Amended Agreement of Limited Partnership of Campbell Global
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 Global 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 Global Trend Fund, L.P.
|
|
10
|
.1
|
|
Advisory Agreement between Campbell Strategic Allocation Fund,
L.P. and Campbell & Company(1)
|
|
10
|
.2
|
|
Amended Advisory Agreement between Campbell Global Trend Fund,
L.P. and Campbell & Company(5)
|
|
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 Global Trend Fund, L.P.(5)
|
|
10
|
.6
|
|
Global Institutional Master Custody Agreement with respect to
Campbell Strategic Allocation Fund, L.P.(6)
|
|
10
|
.7
|
|
Global Institutional Master Custody Agreement with respect to
Campbell Global 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.(6)
|
|
10
|
.10
|
|
Over-the-Counter
Counterparty Agreement with Royal Bank of Scotland plc with
respect to Campbell Global 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.(6)
|
|
10
|
.12
|
|
Non-Custody Investment Advisory Agreement with Wilmington
Trust Investment Management LLC, cash manager with respect
to Campbell Global Trend Fund, L.P.(5)
|
|
10
|
.13
|
|
Non-Custody Investment Advisory Agreement with and Horizon Cash
Management L.L.C., cash manager with respect to Campbell
Strategic Allocation Fund, L.P.(6)
|
II-2
|
|
|
|
|
Exhibit
|
|
|
Number
|
|
Description of Document
|
|
|
10
|
.14
|
|
Request for Redemption for Campbell Strategic Allocation Fund,
L.P. and Campbell Global Trend Fund, L.P. (included to the
Prospectus as Exhibit C)
|
|
10
|
.15
|
|
Subscription Requirements for Campbell Strategic Allocation
Fund, L.P. and Campbell Global Trend Fund, L.P. (included to the
Prospectus as Exhibit D)
|
|
10
|
.16
|
|
Subscription Agreement for Campbell Strategic Allocation Fund,
L.P. (included to the Prospectus as Exhibit E)
|
|
10
|
.17
|
|
Subscription Agreement for Campbell Global Trend Fund, L.P.
(included to the Prospectus as Exhibit F)
|
|
10
|
.18
|
|
Escrow Agreement for Campbell Strategic Allocation Fund, L.P.(1)
|
|
10
|
.19
|
|
Escrow Agreement for Campbell Global Trend Fund, L.P.(5)
|
|
23
|
.1
|
|
Consent of Sidley Austin
LLP is included as
part of Exhibits 5.1 and 5.2.
|
|
23
|
.2
|
|
Consent of Arthur F. Bell, Jr. & Associates, L.L.C.
|
|
23
|
.3
|
|
Consent of Sidley Austin LLP as tax counsel is included as part
of Exhibits 8.1 and 8.2.
|
|
23
|
.4
|
|
Consent of Deloitte & Touche LLP.
|
|
|
|
(1) |
|
Previously filed as an exhibit to Registration Statement on
Form S-1
on August 9, 1993 and incorporated herein by reference. |
|
(2) |
|
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. |
|
(3) |
|
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. |
|
(4) |
|
Previously filed as an exhibit to Registration Statement on
Form S-1
on May 18, 2001 and incorporated herein by reference. |
|
(5) |
|
To be filed by amendment. |
|
(6) |
|
Previously filed as an exhibit to Registration Statement on
Form S-1
on December 18, 2009 and incorporated herein by reference. |
(b) The following financial statements are included in the
Prospectus:
No Financial Schedules are required to be filed herewith.
(a) Each undersigned registrant hereby undertakes:
(1) To file, during any period in which offers or sales are
being made, a post-effective amendment to this registration
statement;
(i) To include any prospectus required by
section 10(a)(3) of the Securities Act of 1933, as amended;
(ii) 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;
II-3
(iii) 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)).
(2) 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.
(3) 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.
(4) 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.
(5) That, for the purpose of determining liability under
the Securities Act of 1933 to any purchaser:
(i) 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
II-4
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
(ii) 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 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.
(6) 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;
(ii) 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;
(iii) 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
(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.
II-5
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 February 19, 2010.
Campbell Strategic Allocation Fund, L.P.
|
|
|
|
By:
|
Campbell & Company, Inc.,
|
its General Partner
Name: Theresa D. Becks
|
|
|
|
Title:
|
Chief Executive Officer
|
|
|
|
|
By:
|
/s/ Gregory
T. Donovan
|
Name: Gregory T. Donovan
|
|
|
|
Title:
|
Chief Financial Officer
|
Campbell Global Trend Fund, L.P.
|
|
|
|
By:
|
Campbell & Company, Inc.,
|
its General Partner
Name: Theresa D. Becks
|
|
|
|
Title:
|
Chief Executive Officer
|
|
|
|
|
By:
|
/s/ Gregory
T. Donovan
|
Name: Gregory T. Donovan
|
|
|
|
Title:
|
Chief Financial Officer
|
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
|
|
|
|
|
|
|
|
|
|
|
|
/s/ D.
Keith Campbell
Name:
D. Keith Campbell
|
|
Chairman of the Board and Director
|
|
February 19, 2010
|
|
|
|
|
|
/s/ Bruce
L. Cleland
Name:
Bruce L. Cleland
|
|
Vice Chairman of the Board and Director
|
|
February 19, 2010
|
|
|
|
|
|
/s/ Theresa
D. Becks
Name:
Theresa D. Becks
|
|
President, Chief Executive Officer and Director (Principal
Executive Officer)
|
|
February 19, 2010
|
II-6
|
|
|
|
|
|
|
|
|
|
|
|
/s/ Gregory
T. Donovan
Name:
Gregory T. Donovan
|
|
Chief Financial Officer and Treasurer (Principal Financial
Officer)
|
|
February 19, 2010
|
(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
|
February 19, 2010
|
|
|
|
By:
|
/s/ Theresa.
D. Becks
|
|
Name: Theresa D. Becks
Title: Chief Executive Officer
II-7