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SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM S-1
REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933
Delaware | 6799 | 52-1823554 (Strategic Allocation Fund) | ||
(State of Organization) | (Primary Standard Industrial Classification Code Number) | 27-1412568 (Global Trend Fund) (I.R.S. Employer Identification Number) |
c/o Campbell & Company, Inc. 2850 Quarry Lake Drive Baltimore, Maryland 21209 (410) 413-2600 | Thomas P. Lloyd Campbell & Company, Inc. 2850 Quarry Lake Drive Baltimore, Maryland 21209 (410) 413-2600 | |
(Address, including zip code, and telephone number, including area code, of registrant’s principal executive offices) | (Name, address, including zip code, and telephone number, including area code, of agent for service) |
Sidley Austinllp
787 Seventh Avenue
New York, New York 10019
As promptly as practicable after the effective date of this Registration Statement.
Large accelerated filer o | Accelerated filer o | Non-accelerated filer þ (Do not check if a smaller reporting company) | Smaller reporting company o |
Proposed Maximum | Amount of | |||||
Title of Each Class of | Aggregate Offering | Registration | ||||
Securities to be Registered | Price | Fee(1) | ||||
Class A (GLD) Units of Limited Partnership Interest of Campbell Global Trend Fund, L.P. | $100,000,000 | $7,130 | ||||
Class B (GLD) Units of Limited Partnership Interest of Campbell Global Trend Fund, L.P. | $100,000,000 | $7,130 | ||||
Class C (GLD) Units of Limited Partnership Interest of Campbell Global Trend Fund, L.P. | N/A(2) | N/A | ||||
(1) | 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 FileNo. 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 FileNo. 333-119259. |
(2) | 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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Maximum Available Units | Minimum Initial Investment | Minimum Additional Investment | Price Per Unit | |||||||||
Campbell Strategic Allocation Fund, L.P. | $331,000,000 | N/A | $1,000 | Net Asset Value | ||||||||
Campbell Global Trend Fund, L.P. Class A (USD)1 | $100,000,000 | $1,000 from IRAs and other tax-exempt accounts | $1,000 | Initial Offering Period: $1,0003 | ||||||||
Campbell Global Trend Fund, L.P. Class B (USD)1 | $100,000,000 | |||||||||||
Campbell Global Trend Fund, L.P. Class C (USD)1 | $100,000,000 | $5,000 from all other investors | ||||||||||
Campbell Global Trend Fund, L.P. Class D (USD)1 | $100,000,000 | Continuous Offering Period: Net Asset Value | ||||||||||
Campbell Global Trend Fund, L.P. Class D (USD)2 | $100,000,000 | $50,000 | $10,000 | |||||||||
Campbell Global Trend Fund, L.P. Class B (GLD)2 | $100,000,000 | |||||||||||
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. | ||||||||||||
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. | ||||||||||||
3 This price has been arbitrarily determined inasmuch as the Units have no inherent value other than their subscription price until trading. | ||||||||||||
• | The Funds are speculative and leveraged. |
• | 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. |
• | You could lose all or a substantial amount of your investment in either Fund. |
• | 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. |
• | 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. |
• | 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 Fund’s Global Trend Series (GLD). |
• | The trend following portion of the Global Trend Fund’s Global Trend Series (GLD) may also contain gold positions. |
• | 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. |
• | 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. |
• | There are restrictions on transferring units in the Funds. |
• | Substantial expenses must be offset by trading profits and interest income. |
• | 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. |
• | Campbell & Company has full control over the management of the Funds and gives no management role to limited partners. |
• | The Funds are subject to conflicts of interest. There are no independent experts representing investors. |
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General Partner of both Funds
2850 Quarry Lake Drive
Baltimore, Maryland 21209
(410) 413-2600
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PART TWO — STATEMENT OF ADDITIONAL INFORMATION TABLE OF CONTENTS | ||||||||
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APPENDIX | ||||||||
APP-1 | ||||||||
EXHIBITS | ||||||||
A-1 | ||||||||
B-1 | ||||||||
C-1 | ||||||||
D-1 | ||||||||
E-1 | ||||||||
F-1 | ||||||||
Exhibit 3.2 | ||||||||
EX-5.1 | ||||||||
EX-5.2 | ||||||||
EX-8.1 | ||||||||
EX-8.2 | ||||||||
EX-23.2 | ||||||||
EX-23.4 |
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• | 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. |
• | 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. | |
• | Both Funds will accept subscriptions throughout the continuing offering, which can be terminated by Campbell & Company at any time. |
• | Interest earned while subscriptions are being processed will be paid to subscribers in the form of additional Units. |
• | 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. |
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Assumed Additional Investment | $ | 1,000.00 | ||||||
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 Investor’s Additional Investment in the First Year of Trading | $ | 73.80 | ||||||
Percentage of Additional Investment Required to Break-Even | 7.38 | % | ||||||
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 Fund’s net asset value per annum. The estimates also do not account for the bid-ask spreads in connection with the Strategic Allocation Fund’s 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 Fund’s 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). | ||||||||
(2) Variable based on current interest rates. | ||||||||
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Class A (USD) | Class C (USD) | Class E (USD) and | ||||||||||||||||||
and | Class B (USD) | and | Class D (USD) | Class C (GLD) | ||||||||||||||||
Class A (GLD) Units | Units | Class B (GLD) Units | Units | Units5 | ||||||||||||||||
Assumed Initial Investment | $ | 5,000 | $ | 5,000 | $ | 5,000 | $ | 5,000 | $ | 5,000 | ||||||||||
Advisory Fee (2.00)% | 100.00 | 100.00 | 100.00 | 100.00 | 100.00 | |||||||||||||||
General Partner Fee (1.00)% | 50.00 | 50.00 | 50.00 | 50.00 | 50.00 | |||||||||||||||
Organization & Offering Expense Reimbursement (0.50%)1 | 25.00 | 25.00 | 25.00 | 25.00 | N/A | |||||||||||||||
Operating Expenses (0.50%)1 | 25.00 | 25.00 | 25.00 | 25.00 | 25.00 | |||||||||||||||
Cash Manager and Custodian Fees (estimated at 0.08%)2 | 4.00 | 4.00 | 4.00 | 4.00 | 4.00 | |||||||||||||||
Sales Fee (2.00)% | 100.00 | 100.00 | N/A | N/A | N/A | |||||||||||||||
Broker-Dealer Custodial Fee (0.25)% | 12.50 | N/A | 12.50 | N/A | N/A | |||||||||||||||
Transaction Fees (estimated at 0.30%)3 | 15.00 | 15.00 | 15.00 | 15.00 | 15.00 | |||||||||||||||
Less: Interest Income (0.30%)4 | (15.00 | ) | (15.00 | ) | (15.00 | ) | (15.00 | ) | (15.00 | ) | ||||||||||
Amount of Trading Income Required to Break-Even on an Investor’s 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 | 6.33 | % | 6.08 | % | 4.33 | % | 4.08 | % | 3.58 | % | ||||||||||
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(1) | Reflects maximum amount. Actual amount may be less. |
(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 Fund’s 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). |
(3) | Clearing fees, execution fees and other transaction fees that will be paid to futures broker and theover-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. |
(4) | Variable based on current interest rates. |
(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. |
1) | a net worth of at least $250,000, exclusive of home, furnishings and automobiles; or |
2) | a net worth, similarly calculated, of at least $70,000 and an annual gross income of at least $70,000. |
• | 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. | |
• | 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. | |
• | 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. | |
• | Notwithstanding Campbell & Company’s 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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may have a detrimental effect on your investment. |
• | The Funds are subject to numerous conflicts of interest including the following: |
1) | Campbell & Company is both the general partner and trading advisor of both Funds and its fees were not negotiated at arm’s 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; | |
2) | Campbell & Company may have incentives to favor other accounts over the Funds; | |
3) | Campbell & Company, the Funds’ futures brokers andover-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; | |
4) | 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 | |
5) | Campbell & Company operates other commodity pool offerings which may have materially different terms and operate at a lower overall cost structure. |
• | 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. | |
• | The Strategic Allocation Fund will pay Campbell & Company a brokerage fee of up to 8% of the Strategic Allocation Fund’s 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 andover-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 Fund’s actual brokerage fee is approximately 7.30% of the Strategic Allocation Fund’s 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 Fund’s 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”. |
• | 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 Class’s 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”. |
• | The Funds are single-advisor funds which may be inherently more volatile than multi-advisor managed futures products. | |
• | Although the Funds are liquid compared to other alternative investments such as real estate or venture capital, liquidity is restricted, as the Units may only be redeemed on a monthly basis, upon ten business days’ advance written notice to Campbell & Company. |
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• | Redemption fees apply to certain Units of the Funds redeemed on or prior to the twelfth month-end following purchase. You may transfer or assign your Units on 30 days’ written notice to Campbell & Company, but only with the consent of Campbell & Company. There is no secondary market for Units, and none is expected to develop. | |
• | 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. |
• | 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. | |
• | Campbell & Company utilizes several independent and different proprietary trading systems for the Funds. | |
• | 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 investor’s portfolio or not produce losses. The Funds’ profitability also depends on the success of Campbell & Company’s trading techniques. If the Funds are unprofitable, then they will not increase the return on an investor’s portfolio or achieve its diversification objectives. | |
• | Investors in the Funds get the advantage of limited liability in highly leveraged trading. |
• | Reduce overall portfolio volatility and enhance returns by adding non-correlated assets. |
• | Provide global diversification within a single investment. |
• | Provide the potential to profit regardless of the economic environment. |
• | Hedge the consequences of potential future market dislocations, including inflation (for the Global Trend Series (GLD)). |
• | Generate returns independent of the stock and bond markets. |
• | Potentially take advantage of global trends regardless of direction across 55+ markets in 10 countries on 20 exchanges. |
• | Achieve capital appreciation over the medium- to long-term. |
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• | The Strategic Allocation Fund will pay Campbell & Company a brokerage fee of up to 8% of the Strategic Allocation Fund’s 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 andover-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%. |
• | 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. |
• | 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. | |
• | Reimbursement of Strategic Allocation Fund’s offering expenses incurred during the continuing offering over a30-month period following incurrence of each such expense, not to exceed 2.5% of the aggregate subscriptions accepted by Campbell & Company. |
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• | Reimbursement of Global Trend Fund’s offering expenses is subject to an annual cap of 0.50% of the Global Trend Fund’s, 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 andover-the-counter counterparties for the Strategic Allocation Fund are paid out of the brokerage fee as discussed in “— Campbell & Company”. |
• | All Classes of the Global Trend Fund will pay the futures broker andover-the-counter counterparty up to 1% of the net asset value of each Class. |
• | The selling agents for the Strategic Allocation Fund are paid out of the brokerage fee as discussed in “— Campbell & Company”. |
• | 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 Fund’s 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. |
• | 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. |
• | “Bid-ask” spreads for off-exchange contracts. | |
• | Operating expenses such as legal, auditing, administration, printing and postage, as |
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incurred, up to a maximum of 0.50% of the Funds’ net asset value per annum. |
• | 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. | |
• | Redemption fees apply to certain Units redeemed through the first twelve month-ends following purchase. |
1) | ordinary income or loss; and/or | |
2) | capital gain or loss. |
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ORGANIZATIONAL CHART
* | Campbell & Company presently serves as commodity pool operator for six other commodity pools. |
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ORGANIZATIONAL CHART
* | Campbell & Company presently serves as commodity pool operator for six other commodity pools. |
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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. |
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. |
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1) | The Financial, Metal & Energy Large Portfolio, |
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Sector | % Gain (Loss) | |||
Currencies | 2.70 | % | ||
Stock Indices | (0.86 | ) | ||
Commodities | (0.87 | ) | ||
Interest Rates | (2.45 | ) | ||
(1.48 | )% | |||
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Sector | % Gain (Loss) | |||
Stock Indices | 7.67 | % | ||
Commodities | 1.06 | |||
Currencies | (0.67 | ) | ||
Interest Rates | (3.35 | ) | ||
4.71 | % | |||
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Sector | % Gain (Loss) | |||
Stock Indices | 8.58 | % | ||
Commodities | 0.81 | |||
Currencies | (0.58 | ) | ||
Interest Rates | (4.62 | ) | ||
4.19 | % | |||
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Sector | % Gain (Loss) | |||
Interest Rates | 0.80 | % | ||
Metals | (0.67 | ) | ||
Energy | (1.79 | ) | ||
Stock Indices | (2.61 | ) | ||
Currencies | (7.62 | ) | ||
(11.89 | )% | |||
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Sector | % Gain (Loss) | |||
Stock Indices | 6.67 | % | ||
Interest Rates | 3.05 | |||
Metals | 2.01 | |||
Currencies | 1.91 | |||
Energy | (6.71 | ) | ||
6.93 | % | |||
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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 Fund’s 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)%. |
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 Fund’s 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)%. |
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 |
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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. |
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January 2004 — September 2009
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. |
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Recipient | Nature of Payment | Amount of Payment | ||||
Campbell & Company | Quarterly Performance Fee | 20% of aggregate cumulative appreciation in Strategic Allocation Fund’s 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 Fund’s average month-end net asset value per annum. | ||||
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(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.” |
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(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, |
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1) | expiration of the Strategic Allocation Fund’s stated term on December 31, 2023 (the Global Trend Fund has no stated expiration date); |
2) | limited partners owning more than 50% of the outstanding Units vote to dissolve the respective Fund; | |
3) | Campbell & Company withdraws as general partner and no new general partner is appointed; | |
4) | Campbell & Company determines that the purpose of the Funds cannot be fulfilled; or | |
5) | the continued existence of the Funds become unlawful or the Funds are dissolved by operation of law. |
1) | amend the Limited Partnership Agreement without the consent of Campbell & Company; | |
2) | dissolve the Strategic Allocation Fund; | |
3) | terminate contracts with Campbell & Company; | |
4) | remove and replace Campbell & Company as general partner; and | |
5) | approve the sale of Strategic Allocation Fund assets. |
1) | a successful adjudication on the merits of each count alleged has been obtained, or | |
2) | such claims have been dismissed with prejudice on the merits by a court of competent jurisdiction; or |
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3) | a court of competent jurisdiction approves a settlement of the claims and finds indemnification of the settlement and related costs should be made; and | |
4) | 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. |
1) | monthly, Campbell & Company will provide an unaudited income statement of the prior month’s activities; | |
2) | annually, Campbell & Company will provide audited financial statements accompanied by a fiscal year-end summary of the monthly reports described above; | |
3) | annually, Campbell & Company will provide tax information necessary for the preparation of the limited partners’ annual federal income tax returns; and | |
4) | 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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1) | “freely transferable” (determined based on the relevant facts and circumstances); | |
2) | 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 | |
3) | 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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1) | has investment discretion with respect to the investment of such plan assets; or | |
2) | 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 | |
3) | is an employer maintaining or contributing to such Plan. |
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1) | eligibility of investors to invest in the Funds, including legal age, net worth and annual income; | |
2) | representative capacity of investors; | |
3) | information provided by investors; | |
4) | information received by investors; and | |
5) | investments made on behalf of employee benefit plans. |
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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. | ||||
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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. | ||||
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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. | ||||||||||
�� |
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. | ||||||||||
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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. | ||||||||||
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. | ||||||||||
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. | ||||||||||
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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 | ||||||||||
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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 CTA’s 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% | ||||
WorstPeak-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% | ||||
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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 CTA’s 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 | ||||
WorstPeak-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 | ||||
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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% | ||||||||
WorstPeak-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 | ||||||||
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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% | ||||||
WorstPeak-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% | ||||||
* | Theyear-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 D’syear-to-date rate of return would be lower, and Class D’s worstpeak-to-valley decline would be higher, if it had been trading during those two months. |
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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 | ||||
WorstPeak-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 | ||||
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 ComplianceRule 2-34) to reduce the distortion caused by significant additions or withdrawals of capital during a month. NFA ComplianceRule 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 andyear-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. Worstpeak-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 |
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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. Worstpeak-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. |
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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 | ||||
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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 | % | ||||||||||||
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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. |
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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 | % | ||||||||||||
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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. |
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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 | ||||||
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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 | ||||
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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 | |||||||||
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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 | )% | ||||||||
(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 |
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Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
A. | General Description of the Fund |
B. | Regulation |
C. | Method of Reporting |
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Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — (Continued) |
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Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — (Continued) |
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 |
E. | Income Taxes |
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Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — (Continued) |
F. | Offering Costs |
G. | Foreign Currency Transactions |
Note 2. | GENERAL PARTNER AND COMMODITY TRADING ADVISOR |
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Note 2. | GENERAL PARTNER AND COMMODITY TRADING ADVISOR — (Continued) |
Note 3. | CASH MANAGER AND CUSTODIAN |
Note 4. | DEPOSITS WITH BROKERS |
Note 5. | OPERATING EXPENSES |
Note 6. | SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS |
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Note 6. | SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS — (Continued) |
Note 7. | TRADING ACTIVITIES AND RELATED RISKS |
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Note 7. | TRADING ACTIVITIES AND RELATED RISKS — (Continued) |
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 | |||||||||
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 | ) | |||
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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 | ) |
Note 8. | INDEMNIFICATIONS |
Note 9. | INTERIM FINANCIAL STATEMENTS |
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Note 9. | INTERIM FINANCIAL STATEMENTS — (Continued) |
Note 10. | SUBSEQUENT EVENTS |
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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 |
Campbell Strategic Allocation Fund, L.P.
Deloitte Touche Tohmatsu
March 23, 2009 |
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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 | ||||
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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 | % | ||||||||||||
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 | % | ||||
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 | % | ||||
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 | % | ||||
Description | ||||||||
Purchased options on forward currency contracts (premiums paid — $969,001) | $ | 519,315 | 0.02 | % | ||||
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. |
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% 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 | % | ||||||||||||
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% 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 | )% | |||
Description | ||||||||
Purchased options on forward currency contracts (premiums paid — $7,987,556) | $ | 5,400,578 | 0.14 | % | ||||
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. |
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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 | ||||
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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 | ||||||
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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 | ||
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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 | )% | ||||||
(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. |
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December 31, 2008
A. | General Description of the Fund |
B. | Regulation |
C. | Method of Reporting |
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Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — (Continued) |
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 |
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Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — (Continued) |
E. | Income Taxes |
F. | Offering Costs |
G. | Foreign Currency Transactions |
H. | Recently Issued Accounting Pronouncements |
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Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — (Continued) |
Note 2. | GENERAL PARTNER AND COMMODITY TRADING ADVISOR |
Note 3. | DEPOSITS WITH BROKERS |
Note 4. | OPERATING EXPENSES |
Note 5. | SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS |
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Note 5. | SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS — (Continued) |
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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 | ) | |||||||
Note 7. | INDEMNIFICATIONS |
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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 | ||
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Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
A. | General |
B. | Cash and Cash Equivalents |
C. | Revenue Recognition |
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Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — (Continued) |
D. | Property and Equipment |
E. | Fair Value |
F. | Investments in Sponsored Funds & Other Funds |
G. | Income Taxes |
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Note 2. | FAIR VALUE |
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 | ||||||||
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. |
Note 4. | INVESTMENTS IN SPONSORED FUNDS |
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 | ||
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Note 4. | INVESTMENTS IN SPONSORED FUNDS — (Continued) |
Balance Sheet Data | ||||
Assets | $ | 279,056,638 | ||
Liabilities | 108,074,056 | |||
Net Asset Value | $ | 170,982,582 | ||
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Note 4. | INVESTMENTS IN SPONSORED FUNDS — (Continued) |
Balance Sheet Data | ||||
Assets | $ | 56,947,040 | ||
Liabilities | 16,674,880 | |||
Net Asset Value | $ | 40,272,160 | ||
Balance Sheet Data | ||||
Assets | $ | 138,388,921 | ||
Liabilities | 58,580,418 | |||
Net Asset Value | $ | 79,808,503 | ||
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Note 4. | INVESTMENTS IN SPONSORED FUNDS — (Continued) |
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Note 5. | INVESTMENTS IN OTHER FUNDS |
Lyxor/Campbell Fund Limited | $ | 5,014,909 |
Note 6. | INVESTING ACTIVITIES AND RELATED RISKS |
Note 7. | INDEMNIFICATIONS |
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Note 7. | INDEMNIFICATIONS — (Continued) |
Note 8. | CAPITAL STOCK SUBJECT TO REPURCHASE |
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 |
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 |
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Note 10. | LEASE OBLIGATIONS — (Continued) |
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 |
Note 12. | SUBSEQUENT EVENTS |
Note 13. | INTERIM CONSOLIDATED BALANCE SHEET |
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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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ASSETS | ||||
Current assets | ||||
Cash and cash equivalents | $ | 35,781,756 | ||
Accounts receivable | ||||
Advisory and performance fees | 9,686,784 | |||
Receivable from Campbell Strategic Allocation Fund, L.P. | 8,768,035 | |||
Other receivables | 1,859,328 | |||
Total current assets | 56,095,903 | |||
Property and equipment | ||||
Furniture and office equipment | 15,538,897 | |||
Leasehold improvements | 1,676,410 | |||
17,215,307 | ||||
Less accumulated depreciation and amortization | (10,882,814 | ) | ||
Total property and equipment | 6,332,493 | |||
Other assets | ||||
Cash surrender value of life insurance, net of policy loans of $358,068 | 551,885 | |||
Investments in sponsored funds | 108,332,936 | |||
Other | 14,495,297 | |||
Total assets | $ | 185,808,514 | ||
LIABILITIES | ||||
Current liabilities | ||||
Accounts payable and accrued expenses | $ | 33,658,956 | ||
Current portion of subordinated debt | 31,980,000 | |||
Total current liabilities | 65,638,956 | |||
Deferred rent expense | 3,087,095 | |||
Subordinated debt | 100,260,000 | |||
Capital stock subject to repurchase, at current redemption value | 1,744,921 | |||
Total liabilities | 170,730,972 | |||
STOCKHOLDERS’ EQUITY | ||||
Retained earnings | 15,077,542 | |||
Total liabilities and stockholders’ equity | $ | 185,808,514 | ||
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Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
A. | General |
B. | Cash and Cash Equivalents |
C. | Revenue Recognition |
D. | Property and Equipment |
E. | Fair Value |
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Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — (Continued) |
F. | Investments in Sponsored Funds |
G. | Income Taxes |
Note 2. | FAIR VALUE |
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Cash equivalents | $ | 29,638,754 | $ | — | $ | — | $ | 29,638,754 | ||||||||
Investments in sponsored funds | — | 108,332,936 | — | 108,332,936 | ||||||||||||
Total | $ | 29,638,754 | $ | 108,332,936 | $ | — | $ | 137,971,690 | ||||||||
Carrying | Fair | |||||||
Assets | Amount | Value | ||||||
Cash surrender value of life insurance | $ | 551,885 | $ | 551,885 | ||||
Liabilities | ||||||||
Subordinated debt | $ | 132,240,000 | $ | 132,240,000 | ||||
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Note 3. | INVESTMENTS IN SPONSORED FUNDS |
The Campbell Multi-Strategy Trust | $ | 48,591,288 | ||
Campbell Strategic Allocation Fund, L.P. | 27,266,756 | |||
The Campbell Global Assets Fund Limited SAC | 10,084,318 | |||
The Campbell Qualified Multi-Strategy Fund L.L.C. | 17,801,475 | |||
Campbell Alternative Asset Trust | 2,306,948 | |||
Campbell Financial Futures Fund Limited Partnership | 2,230,680 | |||
The Campbell Fund Trust | 51,471 | |||
Total | $ | 108,332,936 | ||
Balance Sheet Data | ||||
Assets | $ | 307,457,679 | ||
Liabilities | 109,228,698 | |||
Net Asset Value | $ | 198,228,981 | ||
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Note 3. | INVESTMENTS IN SPONSORED FUNDS — (Continued) |
Balance Sheet Data | ||||
Assets | $ | 59,717,345 | ||
Liabilities | 10,167,839 | |||
Net Asset Value | $ | 49,549,506 | ||
Balance Sheet Data | ||||
Assets | $ | 128,319,997 | ||
Liabilities | 40,116,522 | |||
Net Asset Value | $ | 88,203,475 | ||
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Note 3. | INVESTMENTS IN SPONSORED FUNDS — (Continued) |
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Note 3. | INVESTMENTS IN SPONSORED FUNDS — (Continued) |
Note 4. | INVESTING ACTIVITIES AND RELATED RISKS |
Note 5. | INDEMNIFICATIONS |
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Note 6. | CAPITAL STOCK SUBJECT TO REPURCHASE |
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 |
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 |
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Note 8. | LEASE OBLIGATIONS — (Continued) |
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 |
Note 10. | SUBSEQUENT EVENTS |
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$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 B (GLD) Limited Partnership Units
Class C (GLD) Limited Partnership Units
TABLE OF CONTENTS
Page | ||||
146 | ||||
148 | ||||
151 | ||||
155 | ||||
167 | ||||
169 | ||||
175 | ||||
APP-1 | ||||
A-1 | ||||
B-1 | ||||
C-1 | ||||
D-1 | ||||
E-1 | ||||
F-1 |
Table of Contents
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(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. |
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• | Disciplined Money Management. Campbell & Company generally allocates between 1% and 5% of portfolio equity to any single market position. However, no guarantee is provided that losses will be limited to these percentages. | |
• | 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. |
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with the S&P 500 Index
January 1980* — September 2009
* | CISDM data was not available prior to 1980. |
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January 1980* — September 2009
* | CISDM data was not available prior to 1980. |
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January 1980* — September 2009
* | CISDM data was not available prior to 1980. |
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January 1980* — September 2009
January 1980* — September 2009
* | CISDM data was not available prior to 1980. |
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to a Hypothetical Portfolio Consisting of Stocks and Bonds
April 1994 — September 2009
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.
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Fund
April 1994 — September 2009
April 1994 — September 2009
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and S&P 500 Index
April 1994 — September 2009
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April 1994 — September 2009
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 | % | |||||||||||||||
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. |
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April 1994 — September 2009
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Barclays | HFRI | |||||||||||||||||||||||
Capital | Campbell | Fund of | ||||||||||||||||||||||
Long-Term | Strategic | Funds | NASDAQ | |||||||||||||||||||||
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 | ||||||||||||||||
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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% | ||||||||||||||||||||
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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 | ||||||||||||
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Average of Last Six Month-ends Through September 2009
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WorstPeak-to-Valley Draw-down(1): June 2007 — August 2009/28.12%
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.” |
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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 Month’s Margin to Equity | 12.00 | ||
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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 | ||||
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January 1980* — September 2009
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* | 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 index’s 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. |
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Table of Contents
APP-1
Table of Contents
APP-2
Table of Contents
SECOND AMENDED AND RESTATED AGREEMENT OF LIMITED PARTNERSHIP
FORMATION AND NAME
PRINCIPAL OFFICE AND REGISTERED AGENT
BUSINESS AND PURPOSE OF THE PARTNERSHIP
TERM, DISSOLUTION AND FISCAL YEAR
A-1
Table of Contents
GENERAL PARTNER
CAPITAL CONTRIBUTIONS AND
UNITS OF LIMITED PARTNERSHIP INTEREST
ALLOCATION OF PROFITS AND LOSSES
A-2
Table of Contents
A-3
Table of Contents
A-4
Table of Contents
MANAGEMENT
A-5
Table of Contents
REPORTS TO LIMITED PARTNERS
A-6
Table of Contents
DISPOSITIONS AND REDEMPTIONS OF PARTNERSHIP UNITS
A-7
Table of Contents
OFFERING OF UNITS; ADMISSION OF ADDITIONAL LIMITED PARTNERS
SPECIAL POWER OF ATTORNEY
A-8
Table of Contents
WITHDRAWAL OF A PARTNER
NO PERSONAL LIABILITY FOR RETURN OF CAPITAL
STANDARD OF LIABILITY; INDEMNIFICATION
A-9
Table of Contents
AMENDMENTS; MEETINGS
A-10
Table of Contents
GOVERNING LAW
MISCELLANEOUS
A-11
Table of Contents
By: | /s/ Gregory T. Donovan |
Title: | Chief Financial Officer |
By: | /s/ Thomas P. Lloyd |
Title: | General Counsel |
By: | /s/ Gregory T. Donovan |
Title: | Chief Financial Officer |
By: | /s/ Thomas P. Lloyd |
Title: | General Counsel |
A-12
Table of Contents
AMENDED AGREEMENT OF LIMITED PARTNERSHIP
NAME; APPOINTMENT OF GENERAL PARTNER; CONTINUATION
B-1
Table of Contents
PRINCIPAL PLACE OF BUSINESS; REGISTERED OFFICE AND
REGISTERED AGENT; LIMITED PARTNERS NOT AGENTS
BUSINESS AND PURPOSE OF THE FUND
TERM, DISSOLUTION AND FISCAL YEAR
B-2
Table of Contents
GENERAL PARTNER
CAPITAL CONTRIBUTIONS AND
UNITS OF LIMITED PARTNERSHIP INTEREST
B-3
Table of Contents
B-4
Table of Contents
ALLOCATION OF PROFITS AND LOSSES
B-5
Table of Contents
B-6
Table of Contents
B-7
Table of Contents
MANAGEMENT
B-8
Table of Contents
REPORTS TO LIMITED PARTNERS
B-9
Table of Contents
DISPOSITIONS AND REDEMPTIONS OF PARTNERSHIP UNITS
B-10
Table of Contents
OFFERING OF UNITS; ADMISSION OF ADDITIONAL LIMITED PARTNERS
B-11
Table of Contents
SPECIAL POWER OF ATTORNEY
WITHDRAWAL OF A PARTNER
NO PERSONAL LIABILITY FOR RETURN OF CAPITAL
STANDARD OF LIABILITY; INDEMNIFICATION
B-12
Table of Contents
AMENDMENTS; MEETINGS
B-13
Table of Contents
B-14
Table of Contents
GOVERNING LAW
MISCELLANEOUS
B-15
Table of Contents
LIMITED PARTNERS: | GENERAL PARTNER: | |
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. | CAMPBELL & COMPANY, INC. | |
By: /s/ Thomas P. Lloyd | ||
By: Campbell & Company, Inc. Attorney-in-fact | Name: Thomas P. Lloyd Title: General Counsel | |
By: /s/ Thomas P. Lloyd | By: /s/ Gregory T. Donovan | |
Name: Thomas P. Lloyd Title: General Counsel | Name: Gregory T. Donovan Title: Chief Financial Officer | |
By: /s/ Gregory T. Donovan | ||
Name: Gregory T. Donovan Title: Chief Financial Officer |
B-16
Table of Contents
REQUEST FOR REDEMPTION
Please send original to: Campbell & Company, Inc. General Partner 2850 Quarry Lake Drive Baltimore, Maryland 21209 Phone:800-698-7235 Fax:410-413-2572 | Date | Limited Partner No. | ||||
Social Security Number/Taxpayer ID Number (must be included) | ||||||
Client Mailing Address | City, State and Zip Code | |||||
Client Phone Number | ClientE-mail Address | Brokerage Account Number |
o | Forward redemption funds to the undersigned at: |
Name | Street | City, State and Zip Code |
ALL BENEFICIARIES MUST SIGN ON THE SAME REDEMPTION FORM WHEN APPLICABLE.
Entity Limited Partner | Individual Limited Partner(s) | |||
Printed Name of Entity Limited Partner (or assignee) | Printed Limited Partner Name | Signature of Limited Partner | ||
By: | ||||
Signature of Trustee, Custodian, Fiduciary, Partner or Authorized Officer | Printed Limited Partner Name/Custodian | Signature of Limited Partner/Custodian | ||
Title: | Additional Limited Partner Signature | Additional Limited Partner Signature | ||
Custodian Medallion Signature Guarantee | ||||
Financial Advisor Name | Broker/Dealer Name | |||
Branch Address | Financial Advisor E-mail | |||
Branch Phone Number | Branch Fax Number | |||
C-1
Table of Contents
REQUEST FOR REDEMPTION
Please send original to: Campbell & Company, Inc. General Partner 2850 Quarry Lake Drive Baltimore, Maryland 21209 Phone:800-698-7235 Fax:410-413-2572 | Date | Limited Partner No. | ||||
Social Security Number/Taxpayer ID Number (must be included) | ||||||
Client Mailing Address | City, State and Zip Code | |||||
Client Phone Number | ClientE-mail Address | Brokerage Account Number |
Class A (USD) Units | Class B (USD) Units | Class C (USD) Units | Class D (USD) Units |
Class E (USD) Units | Class A (GLD) Units | Class B (GLD) Units | Class C (GLD) Units |
Name | Street | City, State and Zip Code |
ALL BENEFICIARIES MUST SIGN ON THE SAME REDEMPTION FORM WHEN APPLICABLE.
Entity Limited Partner | Individual Limited Partner(s) | |||
Printed Name of Entity Limited Partner (or assignee) | Printed Limited Partner Name | Signature of Limited Partner | ||
By: | ||||
Signature of Trustee, Custodian, Fiduciary, Partner or Authorized Officer | Printed Limited Partner Name/Custodian | Signature of Limited Partner/Custodian | ||
Title: | Additional Limited Partner Signature | Additional Limited Partner Signature | ||
Custodian Medallion Signature Guarantee | ||||
Financial Advisor Name | Broker/Dealer Name | |||
Branch Address | Financial Advisor E-mail | |||
Branch Phone Number | Branch Fax Number | |||
C-2
Table of Contents
D-1
Table of Contents
D-2
Table of Contents
D-3
Table of Contents
E-1
Table of Contents
SUBSCRIPTION AGREEMENT
IMPORTANT: READ REVERSE SIDE BEFORE SIGNING
1) Total $ Amount | 2) Account # (must be completed) | |
(minimum of $1,000 for additional investments) | o if payment is made by debit to investor’s 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 Owner’s Social Security Number is required. 2 EIN/TIN is required. 3 Beneficial Owner’s Social Security Number and Custodian’s TIN are required. |
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) |
9) | Custodian Name and Mailing Address |
Name | Street 0; City State Zip Code |
X | X | |
Signature of Investor Date Telephone No. | Signature of Joint Investor (if any) or Custodian Date |
X | X | |
Financial Advisor Signature Date | Office Manager Signature Date | |
(if required by Selling Agent procedures) |
12) | ||||||||||||
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 |
E-2
Table of Contents
F-1
Table of Contents
SUBSCRIPTION AGREEMENT
IMPORTANT: READ REVERSE SIDE BEFORE SIGNING
1) Total Amount of: Class A (USD) Units $ | Class B (USD) Units $ | Class C (USD) Units $ | Class D (USD) Units $ |
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 investor’s 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 Owner’s Social Security Number is required. 2 EIN/TIN is required. 3 Beneficial Owner’s Social Security Number and Custodian’s TIN are required. |
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) |
9) | Custodian Name and Mailing Address |
Name | Street 0; City State Zip Code |
X | X | |
Signature of Investor Date Telephone No. | Signature of Joint Investor (if any) or Custodian Date |
X | X | |
Financial Advisor Signature Date | Office Manager Signature Date | |
(if required by Selling Agent procedures) |
12) | ||||||||||||
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 |
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Item 13. | Other Expenses of Issuance and Distribution. |
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. |
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Item 15. | Recent Sales of Unregistered Securities. |
Item 16. | Exhibits and Financial Statement Schedules. |
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) |
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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 AustinLLP 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 onForm 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 onForm 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 onForm S-1 on August 15, 2007 and incorporated herein by reference. | |
(4) | Previously filed as an exhibit to Registration Statement onForm 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 onForm S-1 on December 18, 2009 and incorporated herein by reference. |
Item 17. | Undertakings. |
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By: | Campbell & Company, Inc., |
By: | /s/ Theresa D. Becks |
Title: | Chief Executive Officer |
By: | /s/ Gregory T. Donovan |
Title: | Chief Financial Officer |
By: | Campbell & Company, Inc., |
By: | /s/ Theresa D. Becks |
Title: | Chief Executive Officer |
By: | /s/ Gregory T. Donovan |
Title: | Chief Financial Officer |
/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 |
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/s/ Gregory T. Donovan Name: Gregory T. Donovan | Chief Financial Officer and Treasurer (Principal Financial Officer) | February 19, 2010 |
CAMPBELL & COMPANY, INC. | General Partner of each Registrant | February 19, 2010 |
By: | /s/ Theresa. D. Becks |
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