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SECURITIES AND EXCHANGE COMMISSION
Delaware (State of Organization) | 6799 (Primary Standard Industrial Classification Code Number) | 52-1823554 (I.R.S. Employer Identification Number) |
c/o 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) | Thomas P. Lloyd Campbell & Company, Inc. 2850 Quarry Lake Drive Baltimore, Maryland 21209 (410) 413-2600 (Name, address, including zip code, and telephone number, including area code, of agent for service) | |
Michael J. Schmidtberger, Esq.
Large accelerated filero | Accelerated filero | Non-accelerated filer þ | Smaller reporting companyo |
Proposed Maximum | Amount of | |||||
Title of Each Class of | Aggregate Offering | Registration | ||||
Securities to be Registered | Price(1) | Fee (2) | ||||
Units of Limited Partnership Interest | $100,000,000 | $7,130 | ||||
(1) | The proposed maximum aggregate offering has been calculated assuming that all Units are sold at a price of $1,000 per Unit. | |
(2) | The amount of the registration fee is calculated in reliance upon Rule 457(o) of the Securities Act and using the proposed maximum aggregate offering price as described above. |
1. | The Registration Statement onForm S-1 of Campbell Strategic Allocation Fund, L.P. and Campbell Global Trend Fund, L.P. (Registration Statement Nos.333-163835 and333-163835-01, respectively) and the Pre-Effective Amendment No. 1 thereto were filed on December 18, 2009 and February 19, 2010, respectively (collectively, the “Registration Statements”). |
2. | Campbell Strategic Allocation Fund, L.P. and Campbell Global Trend Fund, L.P. filed a common prospectus as a part of the Registration Statements. |
3. | Campbell Strategic Allocation Fund, L.P. and Campbell Global Trend Fund, L.P. withdrew the Registration Statements on April 23, 2010 pursuant to Rule 477 under the Securities Act. |
4. | Because Campbell Strategic Allocation Fund, L.P. is a separate registrant and not a co-registrant with Campbell Global Trend Fund, L.P., Campbell Strategic Allocation Fund, L.P. is contemporaneously re-filing herewith the common prospectus under a separate Registration Statement onForm S-1 and will be assigned a new registration statement number (Registration StatementNo. 333-[-]). |
5. | The prospectus contained in this Registration Statement relates to the offerings by each of the following registrants: |
Registrant | Registration Statement | Units of Limited Partnership Interest | ||
Campbell Strategic Allocation Fund, L.P. | 333-[-] | The Registration Statement No. 333-[-] registered $100,000,000 of Units of Limited Partnership Interest. | ||
Campbell Global Trend Fund, L.P. | 333-[-]* | The Registration Statement No. 333-[-] registered: | ||
(1) $100,000,000 of Class A (USD) Units of Limited Partnership Interest; $100,000,000 of Class B (USD) Units of Limited Partnership Interest; $100,000,000 of Class C (USD) Units of Limited Partnership Interest; $100,000,000 of Class D (USD) Units of Limited Partnership Interest; and Class E (USD) Units of Limited Partnership Interest to be issued in exchange for Class A (USD) Units, Class B (USD) Units, Class C (USD) Units or Class D (USD) Units in the event Limited Partners holding Class A (USD) Units, Class B (USD) Units, Class C (USD) Units or Class D (USD) Units have reached a certain limit of fees payable to selling agents; and | ||||
(2) $100,000,000 of Class A (GLD) Units of Limited Partnership Interest; $100,000,000 of Class B (GLD) Units of Limited Partnership Interest; and Class C (GLD) Units of Limited Partnership Interest to be issued in exchange for Class A (GLD) Units and Class B (GLD) Units 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. |
* | Please see the Campbell Global Trend Fund, L.P. registration statement being filed simultaneously for a complete history relating to the filing of its units. |
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Maximum Available Units | Minimum Initial Investment | Minimum Additional Investment | Price Per Unit | |||||||||
Campbell Strategic Allocation Fund, L.P. | $100,000,000 | 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 A (GLD)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 c ause 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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The Funds’ Investments Could Be Illiquid | 14 | |
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Over-the-Counter Transactions May Be Subject to the Risk of Counterparty Default | 15 | |
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SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS | 46 |
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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 1.1 | ||||||||
Exhibit 1.2 | ||||||||
Exhibit 3.1 | ||||||||
Exhibit 5.1 | ||||||||
Exhibit 8.1 | ||||||||
Exhibit 10.4 | ||||||||
Exhibit 10.6 | ||||||||
Exhibit 10.7 | ||||||||
Exhibit 10.8 | ||||||||
Exhibit 23.2 | ||||||||
Exhibit 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 accepted 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 since these spreads are indeterminable (they are embedded in the price of forward and option contracts). 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 | $ | 5,000.00 | $ | 5,000.00 | $ | 5,000.00 | $ | 5,000.00 | $ | 5,000.00 | ||||||||||
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 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; |
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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. | |
• | 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. |
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• | The Funds are leveraged investment funds managed by an experienced, professional trading advisor and both trade in a wide range of futures, forward and option markets. | |
• | 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 80+ markets in 11 countries on 23 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%. | |
• | Campbell & Company will 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. | |
• | 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. |
• | The futures brokers andover-the-counter counterparties for the Strategic Allocation Fund are paid out of the brokerage fee as discussed in “— Campbell & Company”. |
• | The selling agents for the Strategic Allocation Fund are paid out of the brokerage fee as discussed in “— Campbell & Company”. |
• | “Bid-ask” spreads for off-exchange contracts. |
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• | Operating expenses such as legal, auditing, administration, printing and postage, as incurred, up to a maximum of 0.50% of the Strategic Allocation Fund’s net asset value per annum. | |
• | Cash management and custodial fees (0.10% annualized fee based on the percentage of assets under management) for management of the Strategic Allocation Fund’s non-margin assets. | |
• | Redemption fees apply to Units redeemed through the first twelve month-ends following purchase. |
• | 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. | |
• | The Global Trend Fund’s offering expenses will be advanced by Campbell & Company. Reimbursement of the 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 advanced by Campbell & Company in excess of the aforementioned annual cap may be reimbursed in later periods; if the Global Trend Fund is able to do so within the limit of each annual cap. Furthermore in no case will reimbursements of offering costs exceed 2.5% of aggregate subscriptions. |
• | 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 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. |
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• | “Bid-ask” spreads for off-exchange contracts. | |
• | Operating expenses such as legal, auditing, administration, printing and postage, as incurred, up to a maximum of 0.50% of the Global Trend Fund’s 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 Global Trend Fund’s 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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For The Year Ended December 31, | ||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Total Assets | $ | 1,858,856 | $ | 2,541,717 | $ | 3,999,585 | $ | 5,777,987 | $ | 5,233,064 | ||||||||||
Total Partners’ Capital | 1,708,492 | 2,455,894 | 3,803,392 | 5,654,540 | 5,175,699 | |||||||||||||||
Total Net Trading Gain (Loss) (includes brokerage commissions) | (56,051 | ) | 139,135 | (620,158 | ) | 348,176 | 611,580 | |||||||||||||
Net Income (Loss) | (199,877 | ) | (24,940 | ) | (739,180 | ) | 211,997 | 424,794 | ||||||||||||
Net Income (Loss) Per General and Limited Partner Unit* | (240.77 | ) | (21.87 | ) | (440.33 | ) | 113.86 | 272.37 | ||||||||||||
Increase (Decrease) in Net Asset Value per General and Limited Partner Unit | (235.52 | ) | (40.75 | ) | (458.41 | ) | 121.64 | 261.69 |
* | Based on weighted average number of Units outstanding during the period. |
1st Qtr. | 2nd Qtr. | 3rd Qtr. | 4th Qtr. | |||||||||||||||||
2009 | 2009 | 2009 | 2009 | |||||||||||||||||
Total Net Trading Gain (Loss) (includes brokerage commissions) | $ | 8,220 | $ | (137,234 | ) | $ | 79,151 | $ | (6,188 | ) | ||||||||||
Net Income (Loss) | (34,226 | ) | (174,076 | ) | 46,059 | (37,634 | ) | |||||||||||||
Net Income (Loss) per General and Limited Partner Unit* | (37.40 | ) | (203.11 | ) | 57.43 | (50.42 | ) | |||||||||||||
Increase (Decrease) in Net Asset Value per General and Limited Partner Unit | (39.68 | ) | (202.41 | ) | 58.93 | (52.36 | ) | |||||||||||||
Net Asset Value per General and Limited Partner Unit at the End of the Period | 2,590.22 | 2,387.81 | 2,446.74 | 2,394.38 |
* | 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. |
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1) | The Financial, Metal & Energy Large Portfolio, |
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Sector | % Gain (Loss) | |||
Currencies | 3.70 | % | ||
Commodities | (0.24 | ) | ||
Stock Indices | (0.46 | ) | ||
Interest Rates | (4.66 | ) | ||
(1.66 | )% | |||
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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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Trading | ||||||||
Market Sector | Value at Risk* | Gain/(Loss)** | ||||||
Currencies | 0.90 | % | 3.70 | % | ||||
Interest Rates | 0.68 | % | (4.66 | )% | ||||
Stock Indices | 0.45 | % | (0.46 | )% | ||||
Commodities | 0.41 | % | (0.24 | )% | ||||
Aggregate/Total | 1.62 | % | (1.66 | )% | ||||
* | - 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, 2009, approximately 1.66% was due to trading losses (before commissions) and approximately 0.14% due to interest income offset by approximately 7.44% due to brokerage fees, operating costs and offering costs borne by the Strategic Allocation Fund giving a net return of (8.96)%. |
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 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 2005 — February 2010
Rate of Return(2) | ||||||||||||||||||||||||||||||
(Computed on a compounded monthly basis) | ||||||||||||||||||||||||||||||
Month | 2010 YTD | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||||||
January | −7.20% | −0.08% | −0.46% | 2.50% | 1.97% | −2.22% | ||||||||||||||||||||||||
February | 1.32% | 0.82% | 1.44% | −5.89% | −1.85% | −1.32% | ||||||||||||||||||||||||
March | −2.23% | −0.23% | −3.38% | 4.40% | −0.07% | |||||||||||||||||||||||||
April | −4.77% | −2.69% | 2.07% | −2.94% | 0.40% | |||||||||||||||||||||||||
May | −0.79% | 1.95% | 5.61% | −2.91% | 4.86% | |||||||||||||||||||||||||
June | −2.43% | 5.26% | 4.33% | −0.55% | 6.54% | |||||||||||||||||||||||||
July | 0.05% | −1.30% | −10.92% | −0.21% | 0.90% | |||||||||||||||||||||||||
August | −1.32% | −1.64% | −6.79% | −0.51% | −5.68% | |||||||||||||||||||||||||
September | 3.79% | −1.37% | 1.74% | −2.92% | 3.59% | |||||||||||||||||||||||||
October | −1.52% | −1.22% | 5.48% | 1.60% | 3.97% | |||||||||||||||||||||||||
November | 3.26% | −1.46% | −6.32% | 0.68% | 2.02% | |||||||||||||||||||||||||
December | −3.77% | 0.44% | −2.46% | 7.76% | −3.16% | |||||||||||||||||||||||||
Total | −5.98% (2 months | ) | −8.96% | −1.53% | −14.65% | 4.04% | 9.53% | |||||||||||||||||||||||
(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. |
Name of Beneficial | Amount and Nature of | Percentage of | ||||
Title of Class | Owner | Beneficial Ownership | Class | |||
Units of General Partnership Interest | Campbell & Company, Inc. | 6,637.982 Units | 0.97% of Units outstanding |
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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; |
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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) | amend the Limited Partnership Agreement without the consent of Campbell & Company; | |
2) | dissolve the Global Trend Fund; | |
3) | terminate contracts with Campbell & Company; | |
4) | remove and replace Campbell & Company as general partner; and | |
5) | approve the sale Global Trend 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 | |
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. |
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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. Maximum estimated amount of $10,000,000. | ||||||||||
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. Maximum estimated amount of $10,000,000. | ||||||||||
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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. Maximum estimated amount of $10,000,000. | ||||||||||
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. Maximum estimated amount of $10,000,000. | ||||||||||
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. Maximum estimated amount of $10,000,000. | ||||||||||
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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: | $3.0 Billion | |||||
Inception of Trading of the Portfolio: | April 1983 | February 1986 | ||||
Total Assets/Accounts Currently Traded in the Portfolio: | $2.6 Billion / 12 Accounts | $355 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 — January 2010 29.37% | June 2007 — January 2010 26.87% | ||||
Annual Returns(1): | ||||||
2010 through February | −5.75% | −5.79% | ||||
2009 | −7.26% | −5.88% | ||||
2008 | −0.28% | 1.25% | ||||
2007 | −13.35% | −12.89% | ||||
2006 | 5.48% | 6.30% | ||||
2005 | 11.01% | 11.87% | ||||
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PERFORMANCE OF TRADING PORTFOLIOS OFFERED BY CAMPBELL & COMPANY, INC.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Trend Following | Trend Following (GLD) | |||||
Portfolio(6) | Portfolio(7) | |||||
Commodity Trading Advisor: | Campbell & Company, Inc. | |||||
Inception of CTA’s Trading: | January 1972 | |||||
Total Assets Under Management By CTA: | $3.0 Billion | |||||
Inception of Trading of the Portfolio: | November 2009 | November 2009 | ||||
Total Assets/Accounts Currently Traded in the Portfolio*: | $74,000 / 1 Account | $54,000 / 1 Account | ||||
Worst Monthly Percentage Draw-down(2): | January 2010 / 8.05% | December 2009 / 12.66% | ||||
WorstPeak-to-Valley Draw-down(2): | November 2009 — January 2010 11.78% | November 2009 — January 2010 20.79% | ||||
Annual Returns(1): | ||||||
2010 through February | −4.85% | −3.14% | ||||
2009 (November — December) | 0.92% (2 months) | 3.24% (2 months) | ||||
2008 | N/A | N/A | ||||
2007 | N/A | N/A | ||||
2006 | N/A | N/A | ||||
2005 | N/A | N/A | ||||
* | The Trend Following Portfolio’s total assets, including proprietary assets, is $17.3 million as of February 28, 2010. The Trend Following (GLD) Portfolio’s total assets, including proprietary assets, is $6.5 million as of February 28, 2010. |
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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 | $34,170,940 | $1,156,840,447 | $7,784,341 | ||||||||
Current Net Asset Value: | $1,540,837,716 | $30,443,004 | $300,312,111 | $7,226,559 | ||||||||
Current Net Asset Value Per Unit: | $2,251.19 | $2,226.16 | $2,241.92 | $2,264.64 | ||||||||
Worst Monthly Percentage Draw-down(3): | July 2007 10.92% | January 2010 7.18% | July 2007 10.59% | January 2010 7.06% | ||||||||
WorstPeak-to-Valley Draw-down(3): | June 2007 — January 2010 32.26% | October 2008 — January 2010 14.26% | June 2007 — January 2010 26.87% | March 2009 — January 2010 11.36% | ||||||||
Trading Portfolio Used: | Financial, Metal & Energy Large | Global Diversified Large | Global Diversified Large | Global Diversified Large | ||||||||
Annual Returns(1): | ||||||||||||
2010 through February | −5.98% | −5.87% | −5.79% | −5.64% | ||||||||
2009 | −8.96% | −6.34% | −5.86% | −6.41% (ten 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 | ||||||||
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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: | $1,027,005,533 | $33,444,683 | $167,587,860 | ||||||
Current Net Asset Value: | $15,888,738 | $2,489,824 | $15,405,963 | ||||||
Current Net Asset Value Per Unit: | $2,836.84 | $2,879.03 | $4,908.35 | ||||||
Worst Monthly Percentage Draw-down(3): | July 2007 10.49% | July 2007 10.56% | July 2007 9.89% | ||||||
WorstPeak-to-Valley Draw-down(4): | June 2007 — January 2010 21.17% | June 2007 — January 2010 17.99% | June 2007 — January 2010 21.23% | ||||||
Trading Portfolio Used: | Financial, Metal & Energy Large | Financial, Metal & Energy Large | Financial, Metal & Energy Large | ||||||
Annual Returns(1): | |||||||||
2010 through February | −5.46% | −5.62% | −4.78% | ||||||
2009 | −4.46% | 1.00%* | −3.68% | ||||||
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% | ||||||
* | 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: | November 2009 | November 2009 | ||||
Aggregate Subscriptions: | $58,787 | $107,199 | ||||
Current Net Asset Value: | $53,838 | $73,731 | ||||
Current Net Asset Value Per Unit: | $1,000.02 | $960.31 | ||||
Worst Monthly Percentage Draw-down(3): | December 2009 12.66% | January 2010 8.05% | ||||
WorstPeak-to-Valley Draw-down(4): | November 2009 — January 2010 20.79% | November 2009 — January 2010 11.78% | ||||
Trading Portfolio Used: | Trend Following Portfolio | Trend Following (GLD) Portfolio | ||||
Annual Returns(1): | ||||||
2010 through February | −3.14% | −4.85% | ||||
2009 (November — December) | 3.24% (2 months) | 0.92% (2 months) | ||||
2008 | N/A | N/A | ||||
2007 | N/A | N/A | ||||
2006 | N/A | N/A | ||||
2005 | N/A | N/A | ||||
1. | In the accompanying performance tables, for each 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 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). 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 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 |
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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 43 accounts traded according to the Financial, Metal & Energy Large Portfolio. The data below is as of February 28, 2010. During the period presented, 31 accounts have been closed; 21 closed with a profit and 10 closed with a loss. 12 accounts remained open, of which 5 accounts were profitable and 7 accounts were unprofitable. The open accounts ranged in size from $1,300,000 to in excess of $1,579,000,000, with an average account size of approximately $199,600,000. The average composite monthly return for the period from January 2005 through February 2010 was -0.14% compared to the average of average monthly returns for all accounts of -0.12% 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 February 28, 2010. During the period presented, 0 accounts have been closed. 2 accounts remained open, of which 1 account was profitable and 1 account was unprofitable. The open accounts ranged in size from $12,800,000 to in excess of $342,300,000, with an average account size of approximately $177,550,000. The average composite monthly return for the period from January 2005 through February 2010 is -0.06% compared to the average of average monthly returns for all accounts of -0.03% 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 third column of Table 1 reflects the performance of the only account traded according to the Trend Following Portfolio. During the period presented, 0 accounts have been closed. The one open account is unprofitable. |
7. | The fourth column of Table 1 reflects the performance of the only account traded according to the Trend Following (GLD) Portfolio. During the period presented, 0 accounts have been closed. The one open account is unprofitable. |
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April 6, 2010 | ||||
ASSETS | ||||
Cash | $ | 6,000 | ||
PARTNERS’ CAPITAL (Net Asset Value) | ||||
Global Trend Series (USD) | ||||
Class A (USD) redeemable — 1.000 unit outstanding | $ | 1,000 | ||
Class B (USD) redeemable — 1.000 unit outstanding | 1,000 | |||
Class C (USD) redeemable — 1.000 unit outstanding | 1,000 | |||
Class D (USD) redeemable — 1.000 unit outstanding | 1,000 | |||
Global Trend Series (USD) total | 4,000 | |||
Global Trend Series (GLD) | ||||
Class A (USD) redeemable — 1.000 unit outstanding | 1,000 | |||
Class B (USD) redeemable — 1.000 unit outstanding | 1,000 | |||
Global Trend Series (GLD) total | 2,000 | |||
Total partners’ capital (Net Asset Value) | $ | 6,000 | ||
Net Asset Value Per Unit | ||||
Global Trend Series (USD) | ||||
Class A (USD) | $ | 1,000.00 | ||
Class B (USD) | $ | 1,000.00 | ||
Class C (USD) | $ | 1,000.00 | ||
Class D (USD) | $ | 1,000.00 | ||
Global Trend Series (GLD) | ||||
Class A (GLD) | $ | 1,000.00 | ||
Class B (GLD) | $ | 1,000.00 | ||
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Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
A. | General Description of the Fund |
B. | Proposed Public Offering of Units of Limited Partnership Interest |
C. | Regulation |
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Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — (Continued) |
D. | Method of Reporting |
E. | Income Taxes |
F. | Organization and Initial Offering Costs |
G. | Allocations |
H. | Recently Issued Accounting Pronouncements |
Note 2. | GENERAL PARTNER AND TRADING ADVISOR |
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Note 2. | GENERAL PARTNER AND TRADING ADVISOR — (Continued) |
Note 3. | SALES FEE |
Note 4. | BROKER-DEALER CUSTODY FEE |
Note 5. | OPERATING EXPENSES |
Note 6. | SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS |
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Note 6. | SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS — (Continued) |
Note 7. | INDEMNIFICATIONS |
Note 8. | SUBSEQUENT EVENTS |
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Page | ||||
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. | ||||
96 | ||||
97 | ||||
101 | ||||
102 | ||||
103 | ||||
104 | ||||
105 | ||||
106 | ||||
CAMPBELL & COMPANY, INC. | ||||
116 | ||||
117 | ||||
118 |
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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.
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Maturity | % of Net | |||||||||||
Face Value | Description | Values ($) | Asset Value | |||||||||
Bank Deposits | ||||||||||||
United States | ||||||||||||
Financials (cost $65,590,000) | $ | 65,689,065 | 3.84 | % | ||||||||
Commercial Paper | ||||||||||||
Germany | ||||||||||||
Materials (cost $17,252,376) | $ | 17,259,598 | 1.01 | % | ||||||||
Netherlands | ||||||||||||
Consumer Discretionary (cost $23,481,034) | $ | 23,481,191 | 1.37 | % | ||||||||
United States | ||||||||||||
Consumer Discretionary | $ | 143,576,225 | 8.40 | % | ||||||||
Consumer Staples | $ | 80,742,190 | 4.73 | % | ||||||||
Energy | $ | 72,767,525 | 4.26 | % | ||||||||
Financials | $ | 231,111,026 | 13.53 | % | ||||||||
Industrials | $ | 79,892,248 | 4.68 | % | ||||||||
Municipal | $ | 169,945,539 | 9.95 | % | ||||||||
Telecommunications | $ | 4,409,848 | 0.26 | % | ||||||||
Utilities | $ | 29,998,000 | 1.76 | % | ||||||||
Total United States(cost $812,299,397) | $ | 812.442,601 | 47.57 | % | ||||||||
Total Commercial Paper (cost $853,032,807) | $ | 853,183,390 | 49.95 | % | ||||||||
Corporate Bonds | ||||||||||||
United States | ||||||||||||
Financials (cost $106,198,611) | $ | 106,210,199 | 6.22 | % | ||||||||
Government And Agency Obligations | ||||||||||||
United States | ||||||||||||
U.S. Government Agency | $ | 311,649,912 | 18.24 | % | ||||||||
U.S. Treasury Bills | ||||||||||||
U.S. Treasury Bills | ||||||||||||
$ | 30,000,000 | Due 01/14/2010* | $ | 29,999,973 | 1.76 | % | ||||||
U.S. Treasury Bills | ||||||||||||
$ | 100,000,000 | Due 01/28/2010* | $ | 99,998,667 | 5.85 | % | ||||||
$ | 37,000,000 | U.S. Treasury Bills Due 03/25/2010* | $ | 36,994,882 | 2.17 | % | ||||||
$ | 100,000,000 | U.S. Treasury Bills Due 04/01/2010* | $ | 99,988,750 | 5.85 | % | ||||||
Total United States(cost $579,049,811) | $ | 578,632,184 | 33.87 | % | ||||||||
Short Term Investment Funds | ||||||||||||
United States | ||||||||||||
Short Term Investment Funds (cost $2,531,880) | $ | 2,531,880 | 0.15 | % | ||||||||
Total Fixed Income Securities (cost $1,606,403,109) | $ | 1,606,246,718 | 94.03 | % | ||||||||
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LONG FUTURES CONTRACTS | ||||||||||||||||
% of Net | ||||||||||||||||
Description | Values ($) | Asset Value | ||||||||||||||
Agricultural | (59,783 | ) | 0.00 | % | ||||||||||||
Energy | $ | 798,745 | 0.05 | % | ||||||||||||
Metals | $ | 4,011,004 | 0.23 | % | ||||||||||||
Stock indices | $ | 12,654,145 | 0.74 | % | ||||||||||||
Short-term interest rates | $ | (5,342,338 | ) | (0.31 | )% | |||||||||||
Long-term interest rates | $ | (14,825,155 | ) | (0.87 | )% | |||||||||||
Total long futures contracts | $ | (2,763,382 | ) | (0.16 | )% | |||||||||||
SHORT FUTURES CONTRACTS | ||||||||||||||||
% of Net | ||||||||||||||||
Description | Values ($) | Asset Value | ||||||||||||||
Agricultural | $ | 50,561 | 0.00 | % | ||||||||||||
Metals | $ | (2,581,534 | ) | (0.15 | )% | |||||||||||
Long-term interest rates | $ | 717,238 | 0.04 | % | ||||||||||||
Total short futures contracts | $ | (1,813,735 | ) | (0.11 | )% | |||||||||||
Total futures contracts | $ | (4,577,117 | ) | (0.27 | )% | |||||||||||
FORWARD CURRENCY CONTRACTS | ||||||||||||||||
% of Net | ||||||||||||||||
Description | Values ($) | Asset Value | ||||||||||||||
Various long forward currency contracts | $ | (64,092,290 | ) | (3.75 | )% | |||||||||||
Various short forward currency contracts | $ | 49,010,012 | 2.87 | % | ||||||||||||
Total forward currency contracts | $ | (15,082,278 | ) | (0.88 | )% | |||||||||||
PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS | ||||||||||||||||
% of Net | ||||||||||||||||
Description | Values (S) | Asset Value | ||||||||||||||
Purchased options on forward currency contracts (premiums paid — $4,023,342) | $ | 4,062,722 | 0.24 | % | ||||||||||||
WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS | ||||||||||||||||
% of Net | ||||||||||||||||
Description | Values ($) | Asset Value | ||||||||||||||
Written options on forward currency contracts (premiums received — $1,254,708) | $ | (1,094,738 | ) | (0.06 | )% | |||||||||||
* | Pledged as collateral for the trading of futures, forward and option positions. |
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Maturity | Maturity | % of Net | ||||||||||||||
Face Value | 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 | % | ||||||||||||
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 | % | ||||||||||||
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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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2009 | 2008 | |||||||
ASSETS | ||||||||
Equity in broker trading accounts | ||||||||
Cash | $ | 224,803,378 | $ | 1,278,536,649 | ||||
Restricted cash | 0 | 41,411,655 | ||||||
Fixed income securities (cost $199,987,417 and $1,099,934,669, respectively) | 199,987,417 | 1,099,934,669 | ||||||
Net unrealized gain (loss) on open futures contracts | (4,577,117 | ) | 206,159 | |||||
Total equity in broker trading accounts | 420,213,678 | 2,420,089,132 | ||||||
Cash and cash equivalents | 41,337,614 | 30,721,976 | ||||||
Restricted cash deposits with forwards broker | 0 | 42,515,724 | ||||||
Fixed income securities (cost $1,406,415,692 and $37,000,000, respectively) | 1,406,259,301 | 37,000,000 | ||||||
Options purchased, at fair value (premiums paid — $4,023,342 and $969,001, respectively) | 4,062,722 | 519,315 | ||||||
Net unrealized gain (loss) on open forward currency contracts | (15,082,278 | ) | 10,828,848 | |||||
Interest receivable | 2,064,955 | 41,698 | ||||||
Total assets | $ | 1,858,855,992 | $ | 2,541,716,693 | ||||
LIABILITIES | ||||||||
Accounts payable | $ | 642,518 | $ | 668,492 | ||||
Brokerage fee | 10,246,641 | 14,801,625 | ||||||
Options written, at fair value (premiums received — $1,254,708 and $3,537,352, respectively) | 1,094,738 | 3,202,653 | ||||||
Payable for securities purchased | 99,998,667 | 0 | ||||||
Accrued commissions and other trading fees on open contracts | 206,347 | 114,176 | ||||||
Offering costs payable | 346,751 | 309,964 | ||||||
Redemptions payable | 37,828,712 | 66,725,891 | ||||||
Total liabilities | 150,364,374 | 85,822,801 | ||||||
PARTNERS’ CAPITAL (Net Asset Value) | ||||||||
General Partner — 6,637,982 and 10,367,982 redeemable units outstanding at December 31, 2009 and December 31, 2008 | 15,893,851 | 27,266,756 | ||||||
Limited Partners — 706,905,488 and 923,465,791 redeemable units outstanding at December 31, 2009 and December 31, 2008 | 1,692,597,767 | 2,428,627,136 | ||||||
Total partners’ capital (Net Asset Value) | 1,708,491,618 | 2,455,893,892 | ||||||
Total liabilities and partners’ capital (Net Asset Value) | $ | 1,858,855,992 | $ | 2,541,716,693 | ||||
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2009 | 2008 | 2007 | ||||||||||
TRADING GAINS (LOSSES) | ||||||||||||
Futures trading gains (losses) | ||||||||||||
Realized | $ | (112,411,933 | ) | $ | 179,004,073 | $ | (90,020,404 | ) | ||||
Change in unrealized | (4,783,274 | ) | (25,817,098 | ) | (122,751,393 | ) | ||||||
Brokerage commissions | (2,454,792 | ) | (3,568,175 | ) | (7,474,048 | ) | ||||||
Net gain (loss) from futures trading | (119,649,999 | ) | 149,618,800 | (220,245,845 | ) | |||||||
Forward currency and options on forward currency trading gains (losses) | ||||||||||||
Realized | 89,537,760 | (108,527,108 | ) | (116,066,270 | ) | |||||||
Change in unrealized | (25,596,790 | ) | 98,446,709 | (280,170,992 | ) | |||||||
Brokerage commissions | (342,095 | ) | (403,740 | ) | (3,674,992 | ) | ||||||
Net gain (loss) from forward currency and options on forward currency trading | 63,598,875 | (10,484,139 | ) | (399,912,254 | ) | |||||||
Total net trading gain (loss) | (56,051,124 | ) | 139,134,661 | (620,158,099 | ) | |||||||
NET INVESTMENT INCOME (LOSS) | ||||||||||||
Income | ||||||||||||
Investment income | 3,038,024 | 53,353,643 | 231,682,261 | |||||||||
Realized gain (loss) on fixed income securities | (27,242 | ) | 0 | 0 | ||||||||
Change in unrealized gain (loss) on fixed income securities | (156,391 | ) | 0 | 0 | ||||||||
Total investment income | 2,854,391 | 53,353,643 | 231,682,261 | |||||||||
Expenses | ||||||||||||
Brokerage fee | 144,756,816 | 215,712,348 | 348,527,101 | |||||||||
Operating expenses | 1,923,333 | 1,715,745 | 2,177,186 | |||||||||
Total expenses | 146,680,149 | 217,428,093 | 350,704,287 | |||||||||
Net investment income (loss) | (143,825,758 | ) | (164,074,450 | ) | (119,022,026 | ) | ||||||
NET INCOME (LOSS) | $ | (199,876,882 | ) | S(24,939,789 | ) | $ | (739,180,125 | ) | ||||
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT (based on weighted average number of units outstanding during the year) | $ | (240.77 | ) | $ | (21.87 | ) | $ | (440.33 | ) | |||
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT | $ | (235.52 | ) | S(40.75 | ) | $ | (458.41 | ) | ||||
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STATEMENTS OF CASH FLOWS
For the Years Ended December 31, 2009, 2008 and 2007
2009 | 2008 | 2007 | ||||||||||
Cash flows from (for) operating activities | ||||||||||||
Net income (loss) | $ | (199,876,882 | ) | $ | (24,939,789 | ) | $ | (739,180,125 | ) | |||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities | ||||||||||||
Net change in unrealized | 30,536,455 | (72,629,611 | ) | 402,922,385 | ||||||||
(Increase) decrease in restricted cash | 83,927,379 | (83,927,379 | ) | 64,472,902 | ||||||||
(Increase) decrease in option premiums paid | (3,054,341 | ) | 7,018,555 | (3,996,452 | ) | |||||||
Increase (decrease) in option premiums received | (2,282,644 | ) | (947,652 | ) | 2,165,305 | |||||||
Increase (decrease) in payable for securities purchased | 99,998,667 | 0 | 0 | |||||||||
(Increase) decrease in interest receivable | (2,023,257 | ) | 1,054,378 | 5,249,167 | ||||||||
Increase (decrease) in accounts payable and accrued expenses | (4,488,787 | ) | (9,173,661 | ) | (11,714,926 | ) | ||||||
Net maturities (purchases) of investments in fixed income securities | (469,468,439 | ) | 2,401,398,318 | 116,703,926 | ||||||||
Net cash from (for) operating activities | (466,731,849 | ) | 2,217,853,159 | (163,377,818 | ) | |||||||
Cash flows from (for) financing activities | ||||||||||||
Addition of units | 0 | 38,172,639 | 86,659,011 | |||||||||
Redemption of units | (573,627,818 | ) | (1,457,812,994 | ) | (1,108,096,252 | ) | ||||||
Offering costs paid | (2,757,966 | ) | (5,142,749 | ) | (6,074,654 | ) | ||||||
Net cash from (for) financing activities | (576,385,784 | ) | (1,424,783,104 | ) | (1,027,511,895 | ) | ||||||
Net increase (decrease) in cash and cash equivalents | (1,043,117,633 | ) | 793,070,055 | (1,190,889,713 | ) | |||||||
Cash and cash equivalents | ||||||||||||
Beginning of year | 1,309,258,625 | 516,188,570 | 1,707,078,283 | |||||||||
End of year | $ | 266,140,992 | $ | 1,309,258,625 | $ | 516,188,570 | ||||||
End of year cash and cash equivalents consists of: | ||||||||||||
Cash in broker trading accounts | $ | 224,803,378 | $ | 1,278,536,649 | $ | 274,531,263 | ||||||
Cash and cash equivalents | 41,337,614 | 30,721,976 | 241,657,307 | |||||||||
Total end of year cash and cash equivalents | $ | 266,140,992 | $ | 1,309,258,625 | $ | 516,188.570 | ||||||
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Partners’ Capital | ||||||||||||||||||||||||
General Partner | Limited Partners | Total | ||||||||||||||||||||||
Units | Amount | Units | Amount | Units | Amount | |||||||||||||||||||
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 income (loss) for the year ended December 31, 2009 | (2,437,542 | ) | (197,439,340 | ) | (199,876,882 | ) | ||||||||||||||||||
Redemptions | (3,730,000 | ) | (8,906,531 | ) | (216,560,303 | ) | (535,824,108 | ) | (220,290,303 | ) | (544,730,639 | ) | ||||||||||||
Offering costs | (28,832 | ) | (2,765,921 | ) | (2,794,753 | ) | ||||||||||||||||||
Balances at December 31, 2009 | 6,637,982 | $ | 15,893,851 | 706,905,488 | $ | 1,692,597,767 | 713,543,470 | S 1,708,491,618 | ||||||||||||||||
Net Asset Value per General and Limited Partner Unit | ||||
December 31, 2009 | December 31, 2008 | December 31, 2007 | ||
$2,394.38 | $2,629.90 | $2,670.65 |
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2009 | 2008 | 2007 | ||||||||||
Per Unit Performance (for a unit outstanding throughout the entire year) | ||||||||||||
Net asset value per unit at beginning of year | $ | 2,629.90 | $ | 2,670.65 | $ | 3,129.06 | ||||||
Income (loss) from operations: | ||||||||||||
Total net trading gains (losses)(1) | (58.90 | ) | 107.33 | (383.81 | ) | |||||||
Net investment income (loss)(1) | (173.25 | ) | (143.88 | ) | (70.90 | ) | ||||||
Total net income (loss) from operations | (232.15 | ) | (36.55 | ) | (454.71 | ) | ||||||
Offering costs(1) | (3.37 | ) | (4.20 | ) | (3.70 | ) | ||||||
Net asset value per unit at end of year | $ | 2,394.38 | $ | 2,629.90 | $ | 2,670.65 | ||||||
Total Return | (8.96 | )% | (1.53 | )% | (14.65 | )% | ||||||
Supplemental Data | ||||||||||||
Ratios to average net asset value: | ||||||||||||
Expenses prior to performance fee | 7.16 | % | 7.19 | % | 7.11 | % | ||||||
Performance fee | 0.00 | % | 0.00 | % | 0.00 | % | ||||||
Total expenses | 7.16 | % | 7.19 | % | 7.11 | % | ||||||
Net investment income (loss)(2) | (7.02 | )% | (5.43 | )% | (2.41 | )% | ||||||
(1) | Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) 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. |
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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 December 31, 2009 | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Fixed income securities | $ | 0 | $ | 1,606,246,718 | $ | 0 | $ | 1,606,246,718 | ||||||||
Other Financial Instruments | ||||||||||||||||
Exchange-traded futures contracts | (4,577,117 | ) | 0 | 0 | (4,577,117 | ) | ||||||||||
Forward currency contracts | 0 | (15,082,278 | ) | 0 | (15,082,278 | ) | ||||||||||
Options purchased | 0 | 4,062,722 | 0 | 4,062,722 | ||||||||||||
Options written | 0 | (1,094,738 | ) | 0 | (1,094,738 | ) | ||||||||||
Total | $ | (4,577,117 | ) | $ | 1,594,132,424 | $ | 0 | $ | 1,589,555,307 | |||||||
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 |
H. | Recently Issued Accounting Pronouncements |
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 |
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Note 6. | SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS |
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) | |||||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Gross unrealized gains | $ | 25,016,239 | $ | 14,648,019 | $ | 68,424,483 | $ | 64,296,837 | ||||||||
Gross unrealized losses | (29,593,356 | ) | (14,441,860 | ) | (83,307,411 | ) | (53,582,976 | ) | ||||||||
Net unrealized gain (loss) | $ | (4,577,117 | ) | $ | 206,159 | $ | (14,882,928 | ) | $ | 10,713,861 | ||||||
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Note 7. | TRADING ACTIVITIES AND RELATED RISKS — (Continued) |
Asset | Liability | |||||||||||||
Derivatives at | Derivatives at | |||||||||||||
Statement of Financial | December 31, 2009 | December 31, 2009 | ||||||||||||
Type of Instrument* | Condition Location | Fair Value | Fair Value | Net | ||||||||||
Agricultural Contracts | Equity in broker trading accounts | $ | 616,716 | $ | (625,938 | ) | $ | (9,222 | ) | |||||
Energy Contracts | Equity in broker trading accounts | 999,217 | (200,472 | ) | 798,745 | |||||||||
Metal Contracts | Equity in broker trading accounts | 7,483,987 | (6,054,517 | ) | 1,429,470 | |||||||||
Stock Indices Contracts | Equity in broker trading accounts | 13,693,321 | (1,039,176 | ) | 12,654,145 | |||||||||
Short-Term Interest Rate Contracts | Equity in broker trading accounts | 276,225 | (5,618,563 | ) | (5,342,338 | ) | ||||||||
Long Term Interest Rate Contracts | Equity in broker trading accounts | 1,946,773 | (16,054,690 | ) | (14,107,917 | ) | ||||||||
Forward Currency Contracts | Net unrealized gain (loss) on forward currency contracts | 66,727,508 | (81,809,786 | ) | (15,082,278 | ) | ||||||||
Purchased Options on Forward Currency Contracts | Options purchased, at fair value | 4,062,722 | 0 | 4,062,722 | ||||||||||
Written Options on Forward Currency Contracts | Options written, at fair value | 0 | (1,094,738 | ) | (1,094,738 | ) | ||||||||
Totals | $ | 95,806,469 | $ | (112,497,880 | ) | $ | (16,691,411 | ) | ||||||
* | Derivatives not designated as hedging instruments under ASC 815 |
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Note 7. | TRADING ACTIVITIES AND RELATED RISKS — (Continued) |
Trading Revenue For | ||||
the Year Ended | ||||
Type of Instrument | December 31, 2009 | |||
Agricultural Contracts | $ | (6,276,313 | ) | |
Energy Contracts | (25,247,449 | ) | ||
Metal Contracts | 23,508,827 | |||
Stock Indices Contracts | (18,689,689 | ) | ||
Short-Term Interest Rate Contracts | (12,593,188 | ) | ||
Long Term Interest Rate Contracts | (78,495,735 | ) | ||
Forward Currency Contracts | 36,462,662 | |||
Purchased Options on Forward Currency Contracts | (41,245,310 | ) | ||
Written Options on Forward Currency Contracts | 68,723,618 | |||
Total | $ | (53,852,577 | ) | |
Trading Revenue For | ||||
the Year Ended | ||||
Line Item in the Statement of Operations | December 31, 2009 | |||
Futures trading gains (losses): | ||||
Realized | $ | (113,010,273 | ) | |
Change in unrealized | (4,783,274 | ) | ||
Forward currency and options on forward currency trading gains (losses): | ||||
Realized | 89,537,760 | |||
Change in unrealized | (25,596,790 | ) | ||
Total | $ | (53,852,577 | ) | |
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Note 7. | TRADING ACTIVITIES AND RELATED RISKS — (Continued) |
Note 8. | INDEMNIFICATIONS |
Note 9. | SUBSEQUENT EVENTS |
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201 International Circle, Suite 400 Hunt Valley, Maryland 21030 • USA Tel: 410-771-0001 • Fax: 410-785-9784 www.arthurbellcpas.com |
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ASSETS | ||||
Current assets | ||||
Cash and cash equivalents | $ | 38,432,221 | ||
Net unrealized (loss) on open futures contracts | (347,661 | ) | ||
Net unrealized (loss) on open forward currency contracts | (362,611 | ) | ||
Fixed income securities | 1,199,820 | |||
Accounts receivable | ||||
Advisory and performance fees | 8,716,425 | |||
Receivable from Campbell Strategic Allocation Fund, L.P. | 6,201,975 | |||
Other receivables | 1,724,793 | |||
Total current assets | 55,564,962 | |||
Property and equipment | ||||
Furniture and office equipment | 18,536,973 | |||
Leasehold improvements | 5,755,048 | |||
24,292,021 | ||||
Less accumulated depreciation and amortization | (10,952,404 | ) | ||
Total property and equipment | 13,339,617 | |||
Other assets | ||||
Cash surrender value of life insurance, net of policy loans of $382,600 | 596,952 | |||
Investments in sponsored funds | 95,943,034 | |||
Investment in other fund | 5,008,955 | |||
Other | 6,321,714 | |||
Total assets | $ | 176,775,234 | ||
LIABILITIES | ||||
Current liabilities | ||||
Accounts payable and accrued expenses | $ | 22,842,165 | ||
Current portion of subordinated debt | 59,834,177 | |||
Total current liabilities | 82,676,342 | |||
Deferred rent expense | 3,191,731 | |||
Subordinated debt | 65,435,823 | |||
Capital stock subject to repurchase, at current redemption value | 1,579,721 | |||
Total liabilities | 152,883,617 | |||
STOCKHOLDERS’ EQUITY | ||||
Retained earnings | 9,948,235 | |||
Noncontrolling interest | 13,943,382 | |||
Total stockholders’ equity | 23,891,617 | |||
Total liabilities and stockholders’ equity | $ | 176,775,234 | ||
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Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
A. | General |
B. | Method of Reporting |
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Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — (Continued) |
C. | Cash and Cash Equivalents |
D. | Fair Value |
E. | Futures and Forward Currency Contracts |
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Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — (Continued) |
F. | Fixed Income Securities |
G. | Property and Equipment |
H. | Investments in Sponsored and Other Funds |
I. | Revenue Recognition |
J. | Income Taxes |
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Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — (Continued) |
K. | Foreign Currency Transactions |
L. | Recently Issued Accounting Pronouncements |
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Note 2. | FAIR VALUE |
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Cash and cash equivalents | $ | 38,432,221 | $ | — | $ | — | $ | 38,432,221 | ||||||||
Investments in sponsored funds | — | 77,875,691 | 18,067,343 | 95,943,034 | ||||||||||||
Investment in other fund | — | 5,008,955 | — | 5,008,955 | ||||||||||||
Fixed income securities | — | 1,199,820 | — | 1,199,820 | ||||||||||||
Futures contracts | (347,661 | ) | — | — | (347,661 | ) | ||||||||||
Forward currency contracts | — | (362,611 | ) | — | (362,611 | ) | ||||||||||
Total | $ | 38,084,560 | $ | 83,721,855 | $ | 18,067,343 | $ | 139,873,758 | ||||||||
Level 3 Fair Value | ||||
Measurements Investments | ||||
in Sponsored Funds | ||||
Beginning balance, December 31, 2008 | $ | 0 | ||
Reclassification of categorization of level of fair value hierarchy pursuant to ASU2009-12 | 29,573,704 | |||
Total (loss) included in net income | (2,599,829 | ) | ||
Redemptions from sponsored funds | (8,906,532 | ) | ||
Ending balance, December 31, 2009 | $ | 18,067,343 | ||
Carrying | Fair | |||||||
Assets | Amount | Value | ||||||
Cash surrender value of life insurance | $ | 596,952 | $ | 596,952 | ||||
Liabilities | ||||||||
Subordinated debt | $ | 125,270,000 | $ | 125,270,000 | ||||
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Note 3. | INVESTMENTS IN SPONSORED AND OTHER FUNDS |
The Campbell Multi-Strategy Trust | $ | 48,034,388 | ||
Campbell Strategic Allocation Fund, L.P. | 15,893,851 | |||
The Campbell Global Assets Fund Limited SAC — Class B | 10,183,610 | |||
The Campbell Global Assets Fund Limited SAC — Class A | 9,124,803 | |||
The Campbell Qualified Multi-Strategy Fund L.L.C. | 8,335,938 | |||
Campbell Alternative Asset Trust | 2,173,492 | |||
Campbell Financial Futures Fund Limited Partnership | 2,148,499 | |||
The Campbell Fund Trust | 48,453 | |||
Total | $ | 95,943,034 | ||
Balance Sheet Data | ||||
Assets | $ | 345,841,221 | ||
Liabilities | 188,725,093 | |||
Net Asset Value | $ | 157,116,128 | ||
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Note 3. | INVESTMENTS IN SPONSORED AND OTHER FUNDS — (Continued) |
Balance Sheet Data | ||||
Assets | $ | 1,858,855,992 | ||
Liabilities | 150,364,374 | |||
Net Asset Value | $ | 1,708,491,618 | ||
Balance Sheet Data | ||||
Assets | $ | 54,652,089 | ||
Liabilities | 19,252,660 | |||
Net Asset Value | $ | 35,399,429 | ||
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Note 3. | INVESTMENTS IN SPONSORED AND OTHER FUNDS — (Continued) |
Balance Sheet Data | ||||
Assets | $ | 161,987,715 | ||
Liabilities | 81,019,756 | |||
Net Asset Value | $ | 80,967,959 | ||
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Note 3. | INVESTMENTS IN SPONSORED AND OTHER FUNDS — (Continued) |
Redemption | ||||||||||||||||
Investment | Fair | Unfunded | Redemption | Notice | Redemption | |||||||||||
Investments | Strategy | Value | Commitments | Frequency | Period | Restrictions | ||||||||||
The Campbell Multi-Strategy Trust | Multi- Strategy(1) | $ | 48,034,388(3 | ) | $ | 0 | Quarterly(4) | 14 days prior to last business day of the quarter(4) | Potential Restriction(8) | |||||||
Campbell Strategic Allocation Fund, L.P. | Managed Futures(2) | $ | 15,893,851(3 | ) | $ | 0 | Monthly(5) | 10 business days prior to end of month(5) | General Partner Restriction(9) | |||||||
The Campbell Global Assets Fund Limited SAC — Class B | Multi- Strategy(1) | $ | 10,183,610(3 | ) | $ | 0 | Monthly(6) | 5 business days prior to end of month(6) | Partial Redemption Restriction(10) | |||||||
The Campbell Global Assets Fund Limited SAC — Class A | Managed Futures(2) | $ | 9,124,803(3 | ) | $ | 0 | Monthly(6) | 5 business days prior to end of month(6) | Partial Redemption Restriction(10) | |||||||
The Campbell Qualified Multi-Strategy Fund L.L.C. | Multi- Strategy(1) | $ | 8,335,938(3 | ) | $ | 0 | Monthly(5) | 10 business days prior to end of month(5) | None | |||||||
Campbell Alternative Asset Trust | Managed Futures(2) | $ | 2,173,492(3 | ) | $ | 0 | Monthly(5) | 10 business days prior to end of month(5) | Managing Owner Restriction(11) | |||||||
Campbell Financial Futures Fund Limited Partnership | Managed Futures(2) | $ | 2,148,499(3 | ) | $ | 0 | Monthly(5) | 10 business days prior to end of month(5) | General Partner Restriction(9) | |||||||
The Campbell Fund Trust | Managed Futures(2) | $ | 48,453(3 | ) | $ | 0 | Monthly(5) | 10 business days prior to end of month(5) | None | |||||||
Lyxor/Campbell Fund Limited | Managed Futures(2) | $ | 5,008,955(3 | ) | $ | 0 | Weekly(7) | Dealing Day(7) | None |
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Note 3. | INVESTMENTS IN SPONSORED AND OTHER FUNDS — (Continued) |
(1) | This category consists of an investment in a fund that engages in the speculative trading of securities, U.S. and foreign futures contracts, forward currency contracts, and options on forward currency contracts. | |
(2) | This category consists of an investment in a fund that engages in the speculative trading of U.S. and foreign futures contracts, forward currency contracts, and options on forward currency contracts. | |
(3) | The fair values of these investments have been estimated using the net asset value. | |
(4) | The Company may redeem all or a portion of its investment on a quarterly basis subject to providing notice 14 days prior to the last business day of the quarter. | |
(5) | The Company may redeem its investment on a monthly basis subject to providing notice 10 business days prior to the end of the month. | |
(6) | The Company may redeem its investment on a monthly basis subject to providing notice 5 business days prior to the end of the month. | |
(7) | The Company may redeem its investment on a weekly basis subject to providing notice prior to the Dealing Day (which is each Friday, and if such day is not a business day, the immediate following business day). | |
(8) | In the event that quarterly requests for redemptions exceed 5%-25% of CMST’s outstanding shares, redemptions by the Company may be limited to its pro rata share of all outstanding redemption requests as of such quarter end. | |
(9) | The Company, as General Partner, must maintain an investment equal to at least 1% of the net aggregate capital contributions of all partners. | |
(10) | Partial redemptions are not permitted if the amount of investor’s remaining fair value of the investment would be less than the minimum initial investment of $500,000. | |
(11) | The Company, as Managing Owner, must maintain an investment equal to 1% of the total capital accounts of CAAT. |
Note 4. | DERIVATIVES |
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Note 4. | DERIVATIVES — (Continued) |
Asset | Liability | |||||||||||||
Derivatives at | Derivatives at | |||||||||||||
December 31, | December 31, | |||||||||||||
Consolidated | 2009 | 2009 | ||||||||||||
Type of Instrument | Balance Sheet Location | Fair Value | Fair Value | Net | ||||||||||
Agricultural Contracts | Net unrealized (loss) on open futures contracts | $ | 10,768 | $ | (11,625 | ) | $ | (857 | ) | |||||
Energy Contracts | Net unrealized (loss) on open futures contracts | 29,422 | (3,217 | ) | 26,205 | |||||||||
Metal Contracts | Net unrealized (loss) on open futures contracts | 222,951 | (537,433 | ) | (314,482 | ) | ||||||||
Stock Indices Contracts | Net unrealized (loss) on open futures contracts | 316,250 | (12,756 | ) | 303,494 | |||||||||
Short-Term Interest Rate Contracts | Net unrealized (loss) on open futures contracts | 0 | (143,235 | ) | (143,235 | ) | ||||||||
Long-Term Interest Rate Contracts | Net unrealized (loss) on open futures contracts | 37,518 | (256,304 | ) | (218,786 | ) | ||||||||
Forward Currency Contracts | Net unrealized (loss) on open forward currency contracts | 394,696 | (757,307 | ) | (362,611 | ) | ||||||||
Totals | $ | 1,011,605 | $ | (1,721,877 | ) | $ | (710,272 | ) | ||||||
Note 5. | TRADING AND INVESTING ACTIVITIES AND THEIR RELATED RISKS |
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Note 5. | TRADING AND INVESTING ACTIVITIES AND THEIR RELATED RISKS — (Continued) |
Note 6. | INDEMNIFICATIONS |
Note 7. | NONCONTROLLING INTEREST AND STOCKHOLDERS’ EQUITY |
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Note 7. | NONCONTROLLING INTEREST AND STOCKHOLDERS’ EQUITY — (Continued) |
Retained | Noncontrolling | |||||||||||
Earnings | Interest | Total | ||||||||||
Balances at December 31, 2008 | $ | 15,077,542 | $ | 0 | $ | 15,077,542 | ||||||
Additions to CGPF | 0 | 14,133,986 | 14,133,986 | |||||||||
Net income (loss) | 20,978,744 | (190,604 | ) | 20,788,140 | ||||||||
Distributions and dividends to stockholders | (26,108,051 | ) | 0 | (26,108,051 | ) | |||||||
Balances at December 31, 2009 | $ | 9,948,235 | $ | 13,943,382 | $ | 23,891,617 | ||||||
Balance at | Balance at | |||||||||||||||
December 31, 2008 | Investments | Net (loss) | December 31, 2009 | |||||||||||||
Stockholders’ equity attributable to investment in CGPF | $ | 0 | $ | 10,000,000 | $ | (173,034 | ) | $ | 9,826,966 | |||||||
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 |
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2010 | $ | 59,834,177 | ||
2011 | 4,923,850 | |||
2012 | 7,934,223 | |||
2013 | 0 | |||
2014 | 27,567,750 | |||
2015 | 25,010,000 | |||
$ | 125,270,000 | |||
Note 10. | LEASE OBLIGATIONS |
Year ending December 31 | ||||
2010 | $ | 2,140,610 | ||
2011 | 2,183,422 | |||
2012 | 2,216,689 | |||
2013 | 2,208,673 | |||
2014 | 2,252,846 | |||
Thereafter | 14,707,221 | |||
Total base annual rentals | $ | 25,709,461 | ||
Note 11. | PROFIT SHARING PLAN |
Note 12. | 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 | ||||
134 | ||||
136 | ||||
139 | ||||
143 | ||||
155 | ||||
157 | ||||
158 | ||||
APP-1 | ||||
A-1 | ||||
B-1 | ||||
C-1 | ||||
D-1 | ||||
E-1 | ||||
F-1 |
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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* — February 2010
* | CISDM data was not available prior to 1980. |
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January 1980* — February 2010
* | CISDM data was not available prior to 1980. |
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January 1980* — February 2010
* | CISDM data was not available prior to 1980. |
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January 1980* — February 2010
January 1980* — February 2010
* | CISDM data was not available prior to 1980. |
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to a Hypothetical Portfolio Consisting of Stocks and Bonds
April 1994 — February 2010
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 — February 2010
April 1994 — February 2010
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and S&P 500 Index
April 1994 — February 2010
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April 1994 — February 2010
Number of | Number | Number | Percentage | |||||||||||||||||
April 1994 — February 2010 | Time Periods | Profitable | Unprofitable | Profitable | ||||||||||||||||
Total Months | 191 | 103 | 88 | 53.93 | % | |||||||||||||||
Total Years* | 16 | 12 | 4 | 75.00 | % | |||||||||||||||
12-Month Rolling Windows | 180 | 128 | 52 | 71.11 | % | |||||||||||||||
24-Month Rolling Windows | 168 | 136 | 32 | 80.95 | % | |||||||||||||||
36-Month Rolling Windows | 156 | 130 | 26 | 83.33 | % | |||||||||||||||
60-Month Rolling Windows | 132 | 117 | 15 | 88.64 | % | |||||||||||||||
120-Month Rolling Windows | 72 | 72 | 0 | 100.00 | % | |||||||||||||||
April 1994 — February 2010
Number of | Number | Number | Percentage | |||||||||||||||||
April 1994 — February 2010 | Time Periods | Profitable | Unprofitable | Profitable | ||||||||||||||||
Total Months | 191 | 123 | 68 | 64.40 | % | |||||||||||||||
Total Years* | 15 | 12 | 4 | 75.00 | % | |||||||||||||||
12-Month Rolling Windows | 180 | 129 | 51 | 71.67 | % | |||||||||||||||
24-Month Rolling Windows | 168 | 118 | 50 | 70.24 | % | |||||||||||||||
36-Month Rolling Windows | 156 | 108 | 48 | 69.23 | % | |||||||||||||||
60-Month Rolling Windows | 132 | 89 | 43 | 67.42 | % | |||||||||||||||
120-Month Rolling Windows | 72 | 56 | 16 | 77.78 | % | |||||||||||||||
* | For the period April 1994 — December 2009. April 1994 to December 1994 is considered one year. |
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April 1994 — February 2010
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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 | −13.17% | −8.96% | 1.05% | 11.46% | 27.75% | 43.88% | 25.30% | 2009 | ||||||||||||||||
2010 YTD | 2.59% | −5.98% | −3.43% | −0.25% | −5.28% | −1.37% | −0.96% | 2010 YTD | ||||||||||||||||
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2010 YTD | ||||||||||||||||||||||||||||||
2000 | 2001 | 2002 | 2003 | 2004 | 2005 | 2006 | 2007 | 2008 | 2009 | (2 Months) | ||||||||||||||||||||
BCBI | CISDM | BCBI | NAS | EAFE | EAFE | EAFE | HFRI | BCBI | NAS | BCBI | ||||||||||||||||||||
20.11% | 7.52% | 16.31% | 50.01% | 17.60% | 10.85% | 23.46% | 10.26% | 25.08% | 43.88% | 2.59% | ||||||||||||||||||||
CSAF | BCBI | CSAF | EAFE | S&P | CSAF | S&P | NAS | CISDM | EAFE | HFRI | ||||||||||||||||||||
10.70% | 5.34% | 13.12% | 35.27% | 10.87% | 9.53% | 15.79% | 9.81% | 16.28% | 27.75% | −0.25% | ||||||||||||||||||||
CISDM | CSAF | CISDM | S&P | NAS | HFRI | HFRI | EAFE | CSAF | S&P | S&P | ||||||||||||||||||||
9.37% | 2.91% | 11.99% | 28.69% | 8.60% | 7.50% | 10.39% | 8.61% | −1.53% | 25.30% | −0.96% | ||||||||||||||||||||
HFRI | HFRI | HFRI | CSAF | BCBI | BCBI | NAS | CISDM | HFRI | HFRI | NAS | ||||||||||||||||||||
4.07% | 2.80% | 1.01% | 17.68% | 7.97% | 6.70% | 9.51% | 8.57% | −21.39% | 11.46% | −1.37% | ||||||||||||||||||||
S&P | S&P | EAFE | CISDM | HFRI | CISDM | CISDM | BCBI | S&P | CISDM | CISDM | ||||||||||||||||||||
−9.09% | −11.87% | −17.52% | 12.17% | 6.87% | 5.97% | 8.30% | 8.52% | −37.01% | 1.05% | −3.43% | ||||||||||||||||||||
EAFE | NAS | S&P | HFRI | CSAF | S&P | CSAF | S&P | NAS | CSAF | EAFE | ||||||||||||||||||||
−15.20% | −21.04% | −22.10% | 11.62% | 4.35% | 4.89% | 4.04% | 5.50% | −40.53% | −8.96% | −5.28% | ||||||||||||||||||||
NAS | EAFE | NAS | BCBI | CISDM | NAS | BCBI | CSAF | EAFE | BCBI | CSAF | ||||||||||||||||||||
−39.28% | −22.61% | −31.52% | 2.06% | 3.22% | 1.38% | 0.85% | −14.65% | −45.09% | −13.17% | −5.98% | ||||||||||||||||||||
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Through February 2010
Barclays Capital | |||||||||||||||||
Campbell | S&P 500 | EAFE | NASDAQ | Long-Term | |||||||||||||
Performance Statistics Through February 2010 | Strategic | Index | Index | Index | T-Bond Index | ||||||||||||
Rate-of-Return: | February 2010 | 1.32% | 2.85% | -0.88% | 4.23% | 0.06% | |||||||||||
Year To Date | -5.98% | -0.96% | -5.28% | -1.37% | 2.59% | ||||||||||||
Compounded AnnualRate-of-Return: | 12-Month | -15.03% | 51.68% | 50.09% | 62.43% | -1.35% | |||||||||||
(Average AnnualRate-of-Return) | 36-Month | -9.31% | -6.07% | -10.70% | -2.52% | 5.78% | |||||||||||
60-Month | -3.20% | 0.11% | -0.68% | 1.76% | 5.15% | ||||||||||||
120-Month | 2.34% | -0.44% | -1.20% | -7.14% | 7.29% | ||||||||||||
Since Inception (4/94) | 5.23% | 7.79% | 2.52% | 7.14% | 7.63% | ||||||||||||
Cumulative Return: | 12-Month | -15.03% | 51.68% | 50.09% | 62.43% | -1.35% | |||||||||||
(Total Return) | 36-Month | -25.42% | -17.13% | -28.80% | -7.36% | 18.35% | |||||||||||
60-Month | -15.03% | 0.56% | -3.36% | 9.09% | 28.55% | ||||||||||||
120-Month | 26.07% | -4.27% | -11.41% | -52.32% | 102.20% | ||||||||||||
Since Inception (4/94) | 125.12% | 229.89% | 48.51% | 199.54% | 222.10% | ||||||||||||
Annualized Standard Deviation of Monthly | 12-Month | 10.53% | 13.65% | 17.46% | 17.07% | 11.35% | |||||||||||
Returns (measures the dispersion of returns | 36-Month | 12.56% | 19.71% | 23.39% | 22.86% | 13.35% | |||||||||||
around the mean or average return): | 60-Month | 12.57% | 15.95% | 19.33% | 19.32% | 11.37% | |||||||||||
120-Month | 13.54% | 16.02% | 17.56% | 26.16% | 10.45% | ||||||||||||
Since Inception (4/94) | 14.09% | 15.47% | 16.25% | 25.43% | 9.68% | ||||||||||||
Worst Decline: | Last 60 Months | -32.26% | -50.96% | -58.24% | -51.80% | -14.74% | |||||||||||
Duration of Decline | 6/07 - 1/10 | 10/07 - 2/09 | 10/07 - 2/09 | 10/07 -2/09 | 12/08 - 5/09 | ||||||||||||
Last 120 Months | -32.26% | -50.96% | -58.24% | -75.03% | -14.74% | ||||||||||||
Duration of Decline | 6/07 - 1/10 | 10/07 - 2/09 | 10/07 - 2/09 | 2/00 -9/02 | 12/08 - 5/09 | ||||||||||||
Since Inception (4/94) | -32.26% | -50.96% | -58.24% | -75.03% | -14.74% | ||||||||||||
Duration of Decline | 6/07 - 1/10 | 10/07 - 2/09 | 10/07 - 2/09 | 2/00 -9/02 | 12/08 - 5/09 | ||||||||||||
Correlation With S&P 500: | Last 60 Months | 0.11 | 1.00 | 0.90 | 0.93 | -0.03 | |||||||||||
Last 120 Months | -0.13 | 1.00 | 0.88 | 0.85 | -0.15 | ||||||||||||
Correlation During S&P 500 Positive Months: | Last 60 Months | -0.12 | 1.00 | 0.63 | 0.81 | -0.16 | |||||||||||
Last 120 Months | -0.25 | 1.00 | 0.62 | 0.63 | -0.17 | ||||||||||||
Correlation During S&P 500 Negative Months: | Last 60 Months | -0.16 | 1.00 | 0.91 | 0.90 | 0.20 | |||||||||||
Last 120 Months | -0.22 | 1.00 | 0.83 | 0.69 | 0.05 | ||||||||||||
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Average of Last Six Month-ends Through February 2010
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WorstPeak-to-Valley Draw-down(1): June 2007 — January 2010/32.26%
Value of Initial $1,000 Investment
April 1994 — February 2010
Rate of Return(2) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Computed on a compounded monthly basis) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Month | 2010 YTD | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | 1997 | 1996 | 1995 | 1994 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
January | −7.20% | −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 | 1.32% | 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 | −1.52 | % | −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 | 3.26 | % | −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 | −3.77 | % | 0.44 | % | —2.46 | % | 7.76 | % | —3.16 | % | 0.59 | % | 4.14 | % | 3.31 | % | 3.49 | % | 2.05 | % | 3.28 | % | 0.30 | % | 4.46 | % | −4.41 | % | 5.35 | % | −4.98% | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total | −5.98% (2 months) | −8.96 | % | −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% (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 — February 2010 | |||
12-month | −15.03% | ||
24-month | −8.63% | ||
36-month | −9.31% | ||
Since Inception | 5.23% | ||
Statistics | |||
4/94 - 2/10 | |||
Compounded Monthly Annual Rate of Return | 5.23% | ||
Average Monthly Rate of Return | 0.51% | ||
Standard Deviation of Monthly Returns | 4.07% | ||
Annualized Standard Deviation | 14.09% | ||
Sharpe Ratio | 0.12 | ||
Average Monthly Gain | 3.50% | ||
Average Monthly Loss | −2.99% | ||
Number of Profitable Months | 103 | ||
Number of Unprofitable Months | 88 | ||
Average Duration of Decline (Months) | 3.09 | ||
Average Recovery Period (Months) | 2.97 | ||
Latest Month’s Margin to Equity | 9.6% | ||
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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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APP-1
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APP-2
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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
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GENERAL PARTNER
CAPITAL CONTRIBUTIONS AND
UNITS OF LIMITED PARTNERSHIP INTEREST
ALLOCATION OF PROFITS AND LOSSES
A-2
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A-3
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A-4
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MANAGEMENT
A-5
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REPORTS TO LIMITED PARTNERS
A-6
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DISPOSITIONS AND REDEMPTIONS OF PARTNERSHIP UNITS
A-7
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OFFERING OF UNITS; ADMISSION OF ADDITIONAL LIMITED PARTNERS
SPECIAL POWER OF ATTORNEY
A-8
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WITHDRAWAL OF A PARTNER
NO PERSONAL LIABILITY FOR RETURN OF CAPITAL
STANDARD OF LIABILITY; INDEMNIFICATION
A-9
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AMENDMENTS; MEETINGS
A-10
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GOVERNING LAW
MISCELLANEOUS
A-11
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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
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AMENDED AGREEMENT OF LIMITED PARTNERSHIP
NAME; APPOINTMENT OF GENERAL PARTNER; CONTINUATION
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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
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GENERAL PARTNER
CAPITAL CONTRIBUTIONS AND
UNITS OF LIMITED PARTNERSHIP INTEREST
B-3
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B-4
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ALLOCATION OF PROFITS AND LOSSES
B-5
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B-6
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B-7
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MANAGEMENT
B-8
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REPORTS TO LIMITED PARTNERS
B-9
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DISPOSITIONS AND REDEMPTIONS OF PARTNERSHIP UNITS
B-10
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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
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AMENDMENTS; MEETINGS
B-13
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B-14
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GOVERNING LAW
MISCELLANEOUS
B-15
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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 |
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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 | |||
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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 | |||
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D-1
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D-2
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D-3
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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
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F-1
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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 |
F-2
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Item 13. | Other Expenses of Issuance and Distribution. |
Approximate | ||||
Amount | ||||
Securities and Exchange Commission Registration Fee | $ | 7,130 | ||
The Financial Industry Regulatory Authority Filing Fee | 10,500 | |||
Printing Expenses | 75,000 | * | ||
Blue Sky Expenses (Excluding Legal Fees) | 150,000 | * | ||
Escrow Fees | 2,500 | * | ||
Fees of Certified Public Accountants | 25,000 | * | ||
Fees of Counsel | 100,000 | * | ||
Total | $ | 370,130 | * | |
* | Represents an estimate of the portion of fees and expenses of the Fund that are common to this Registration Statement and the Registration Statement for Campbell Global Trend Fund, L.P. (SEC FileNo. 333-[-]), which is being filed concurrently with this Registration Statement. |
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. | ||
1 | .2 | Form of Service Agreement for Campbell Strategic Allocation Fund, L.P. | ||
3 | .1 | Amended Certificate of Limited Partnership of Campbell Strategic Allocation Fund, L.P. | ||
3 | .2 | Amended Agreement of Limited Partnership of Campbell Strategic Allocation Fund, L.P. (included to the Prospectus as Exhibit A) | ||
5 | .1 | Opinion of Sidley Austin LLP as to legality of the Units of Campbell Strategic Allocation Fund, L.P. | ||
8 | .1 | Opinion of Sidley Austin LLP as to income tax matters of Campbell Strategic Allocation Fund, L.P. | ||
10 | .1 | Advisory Agreement between Campbell Strategic Allocation Fund, L.P. and Campbell & Company(1) | ||
10 | .2 | Commodity Customer Agreement with UBS Securities LLC for Campbell Strategic Allocation Fund, L.P.(2) | ||
10 | .3 | Commodity Customer Agreement with Goldman, Sachs & Co. for Campbell Strategic Allocation Fund, L.P.(2) | ||
10 | .4 | Global Institutional Master Custody Agreement for Campbell Strategic Allocation Fund, L.P. | ||
10 | .5 | Over-the-Counter Counterparty Agreement with Deutsche Bank AG London for Campbell Strategic Allocation Fund, L.P.(3) | ||
10 | .6 | Over-the-Counter Counterparty Agreement with Royal Bank of Scotland plc for Campbell Strategic Allocation Fund, L.P. | ||
10 | .7 | Non-Custody Investment Advisory Agreement with Wilmington Trust Investment Management LLC, cash manager for Campbell Strategic Allocation Fund, L.P. | ||
10 | .8 | Non-Custody Investment Advisory Agreement with and Horizon Cash Management L.L.C., cash manager for Campbell Strategic Allocation Fund, L.P. | ||
10 | .9 | Request for Redemption for Campbell Strategic Allocation Fund, L.P. (included to the Prospectus as Exhibit C) | ||
10 | .10 | Subscription Requirements for Campbell Strategic Allocation Fund, L.P. (included to the Prospectus as Exhibit D) | ||
10 | .11 | Subscription Agreement for Campbell Strategic Allocation Fund, L.P. (included to the Prospectus as Exhibit E) | ||
10 | .12 | Escrow Agreement for Campbell Strategic Allocation Fund, L.P.(1) | ||
23 | .1 | Consent of Sidley AustinLLP is included as part of Exhibit 5.1 | ||
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 Exhibit 8.1 | ||
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. 4 to the Registration Statement onForm S-1 on August 15, 2007 and incorporated herein by reference. | |
(3) | Previously filed as an exhibit to Registration Statement onForm S-1 on May 18, 2001 and incorporated herein by reference. |
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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 |
/s/ D. Keith Campbell Name: D. Keith Campbell | Chairman of the Board and Director | April 23, 2010 | ||||
/s/ Bruce L. Cleland Name: Bruce L. Cleland | Vice Chairman of the Board and Director | April 23, 2010 | ||||
/s/ Theresa D. Becks Name: Theresa D. Becks | President, Chief Executive Officer and Director (Principal Executive Officer) | April 23, 2010 | ||||
/s/ Gregory T. Donovan Name: Gregory T. Donovan | Chief Financial Officer and Treasurer (Principal Financial Officer) | April 23, 2010 |
CAMPBELL & COMPANY, INC. | General Partner of the Registrant | April 23, 2010 |
By: | /s/ Theresa D. Becks |
By: | /s/ Gregory T. Donovan |
II-6