Delaware | 6799 | 52-1823554 | ||
(State of Organization) | (Primary Standard Industrial Classification Number) | (I.R.S. Employer Identification Number) |
• | The Fund is speculative and leveraged. The Fund’s assets are leveraged at a ratio which can range from 5:1 to 20:1. |
• | Past results of Campbell & Company are not necessarily indicative of future performance of the Fund, and the Fund’s performance can be volatile. The net asset value per unit has fluctuated in a single month as much as 12%. |
• | You could lose all or a substantial amount of your investment in the Fund. |
• | Campbell & Company has total trading authority over the Fund and the Fund is dependent upon the services of Campbell & Company. The use of a single advisor applying generally similar trading programs 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. For example, redemptions can occur only at the end of a month. |
• | Transfers of interest in the units are subject to limitations, such as 30 days’ advance written notice of any intent to transfer. Also, Campbell & Company may deny a request to transfer if it determines that the transfer may result in adverse legal or tax consequences for the Fund. |
• | Substantial expenses must be offset by trading profits and interest income. The Fund must generate trading profits of 3.90% per annum to break-even. |
• | A substantial portion of the trades executed for the Fund 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. |
• | The Fund is subject to conflicts of interest. There are no independent experts representing investors. |
Minimum Initial Investment | Minimum Additional Investment | |
$100,000 | $10,000 from IRAs and other tax-exempt accounts $25,000 from all other investors |
i
Page | ||||||
SUMMARY | 1 | |||||
General | 1 | |||||
Plan of Distribution | 1 | |||||
A Summary of Risk Factors You Should Consider Before Investing in the Fund | 2 | |||||
Investment Factors You Should Consider Before Investing in the Fund | 3 | |||||
Campbell & Company, Inc. | 3 | |||||
Charges to the Fund | 4 | |||||
Estimate of Break-Even Level | 4 | |||||
Distributions and Redemptions | 5 | |||||
Federal Income Tax Aspects | 5 | |||||
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. ORGANIZATIONAL CHART | 6 | |||||
THE RISKS YOU FACE | 7 | |||||
Market Risks | 7 | |||||
You Could Possibly Lose Your Total Investment in the Fund | 7 | |||||
The Fund is Highly Leveraged | 7 | |||||
Your Investment Could be Illiquid | 7 | |||||
Forward, Option and Swap Transactions are Over-the-Counter, are Not Regulated and are Subject to Credit Risk | 7 | |||||
Options on Futures and Over-the-Counter Contracts are Speculative and Highly Leveraged | 8 | |||||
An Investment in the Fund May Not Diversify an Overall Portfolio | 8 | |||||
Trading Risks | 8 | |||||
Campbell & Company Analyzes Primarily Technical Market Data | 8 | |||||
Increased Competition from Other Trend-Following Traders Could Reduce Campbell & Company’s Profitability | 8 | |||||
Speculative Position Limits May Alter Trading Decisions for the Fund | 9 | |||||
Increase in Assets Under Management May Make Profitable Trading More Difficult | 9 | |||||
Investors Will Not be Able to View the Fund’s Holdings on a Daily Basis | 9 | |||||
Tax Risks | 9 | |||||
Investors are Taxed Based on Their Share of Fund Profits | 9 | |||||
Tax Could be Due from Investors on Their Share of the Fund’s Ordinary Income Despite Overall Losses | 9 | |||||
There Could be a Limit on the Deductibility of Brokerage and Performance Fees | 10 | |||||
Other Risks | 10 | |||||
Fees and Commissions are Charged Regardless of Profitability and are Subject to Change | 10 | |||||
The Futures Brokers Could Fail and Have Been Subject to Disciplinary Action | 10 | |||||
Investors Must Not Rely on the Past Performance of Either Campbell & Company or the Fund in Deciding Whether to Buy Units | 10 | |||||
Parties to the Fund Have Conflicts of Interest | 10 | |||||
There Are No Independent Experts Representing Investors | 11 | |||||
The Fund Places Significant Reliance on Campbell & Company | 11 | |||||
The Fund Could Terminate Before Expiration of its Stated Term | 11 | |||||
The Fund is Not a Regulated Investment Company | 11 | |||||
Proposed Regulatory Change is Impossible to Predict | 11 |
ii
Page | ||||||
Forwards, Options, Swaps, Hybrids and Other Derivatives are Not Subject to CFTC Regulation | 11 | |||||
The Fund is Subject to Foreign Market Credit and Regulatory Risk | 12 | |||||
The Fund is Subject to Foreign Exchange Risk | 12 | |||||
Transfers Could be Restricted | 12 | |||||
A Single-Advisor Fund May Be More Volatile Than a Multi-Advisor Fund | 12 | |||||
The Performance Fee Could be an Incentive to Make Riskier Investments | 12 | |||||
The Fund May Distribute Profits to Limited Partners at Inopportune Times | 12 | |||||
Potential Inability to Trade or Report Due to Systems Failure | 12 | |||||
Potential Disruption or Inability to Trade Due to a Failure to Receive Timely and Accurate Market Data from Third Party Vendors | 13 | |||||
SELECTED FINANCIAL DATA | 14 | |||||
SUPPLEMENTARY FINANCIAL INFORMATION | 14 | |||||
CAMPBELL & COMPANY, INC. | 15 | |||||
Description | 15 | |||||
The Advisory Agreement | 17 | |||||
Trading Systems | 17 | |||||
Trading Capacity | 19 | |||||
MANAGEMENT’S ANALYSIS OF OPERATIONS | 19 | |||||
Introduction | 19 | |||||
Critical Accounting Policies | 19 | |||||
Capital Resources | 19 | |||||
Liquidity | 19 | |||||
Results of Operations | 20 | |||||
Off-Balance Sheet Risk | 26 | |||||
Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts Accounted for at Fair Value | 26 | |||||
Quantitative and Qualitative Disclosures About Market Risk | 27 | |||||
General | 30 | |||||
PAST PERFORMANCE OF THE CAMPBELL STRATEGIC ALLOCATION FUND, L.P. | 31 | |||||
CONFLICTS OF INTEREST | 31 | |||||
Campbell & Company, Inc. | 31 | |||||
The Futures Brokers and the Over-the-Counter Counterparties | 32 | |||||
The Selling Agents | 32 | |||||
Fiduciary Duty and Remedies | 33 | |||||
Indemnification and Standard of Liability | 33 | |||||
CHARGES TO THE FUND | 34 | |||||
Brokerage Fee | 34 | |||||
Other Fund Expenses | 34 | |||||
Campbell & Company, Inc. | 35 | |||||
The Futures Brokers | 36 | |||||
The Selling Agents | 36 | |||||
The Over-the-Counter Counterparties | 36 | |||||
Offering Expenses | 37 | |||||
Other Expenses | 37 | |||||
USE OF PROCEEDS | 37 | |||||
THE FUTURES BROKERS | 38 | |||||
THE OVER-THE-COUNTER COUNTERPARTIES | 40 | |||||
CAPITALIZATION | 40 | |||||
DISTRIBUTIONS AND REDEMPTIONS | 40 | |||||
Distributions | 40 | |||||
Redemptions | 41 | |||||
Redemption Fees | 41 | |||||
Net Asset Value | 41 |
iii
Page | |||||
AGREEMENT OF LIMITED PARTNERSHIP | 42 | ||||
Organization and Limited Liability | 42 | ||||
Management of Partnership Affairs | 42 | ||||
Sharing of Profits and Losses | 42 | ||||
Dispositions | 42 | ||||
Dissolution and Termination of the Fund | 42 | ||||
Amendments and Meetings | 42 | ||||
Indemnification | 43 | ||||
Reports to Limited Partners | 43 | ||||
FEDERAL INCOME TAX ASPECTS | 43 | ||||
The Fund’s Partnership Tax Status | 43 | ||||
Taxation of Limited Partners on Profits and Losses of the Fund | 44 | ||||
Fund Losses by Limited Partners | 44 | ||||
“Passive-Activity Loss Rules” and Their Effect on the Treatment of Income and Loss | 44 | ||||
Cash Distributions and Unit Redemptions | 44 | ||||
Gain or Loss on Section 1256 Contracts and Non-Section 1256 Contracts | 44 | ||||
Tax on Capital Gains and Losses | 44 | ||||
Limited Deduction for Certain Expenses | 44 | ||||
Interest Income | 45 | ||||
Syndication Fees | 45 | ||||
Investment Interest Deductibility Limitations | 45 | ||||
Unrelated Business Taxable Income | 45 | ||||
IRS Audits of the Fund and its Limited Partners | 45 | ||||
State and Other Taxes | 45 | ||||
Taxation of Foreign Limited Partners | 45 | ||||
INVESTMENT BY ERISA ACCOUNTS | 46 | ||||
General | 46 | ||||
Special Investment Consideration | 46 | ||||
The Fund Should Not Be Deemed to Hold “Plan Assets” | 46 | ||||
Ineligible Purchasers | 47 | ||||
PLAN OF DISTRIBUTION | 47 | ||||
Subscription Procedure | 47 | ||||
Representations and Warranties of Investors in the Subscription Agreement | 48 | ||||
Minimum Investment | 48 | ||||
Investor Suitability | 48 | ||||
The Selling Agents | 49 | ||||
LIMITED PARTNER PRIVACY POLICY | 50 | ||||
LEGAL MATTERS | 50 | ||||
EXPERTS | 50 | ||||
MONTHLY REPORTS | 51 | ||||
INDEX TO FINANCIAL STATEMENTS | 54 | ||||
PART TWO — STATEMENT OF ADDITIONAL INFORMATION TABLE OF CONTENTS | |||||
The Futures, Forward, Option and Swap Markets | 99 | ||||
Historical Perspective of Managed Futures | 102 | ||||
Investment Factors | 103 | ||||
Value of Diversification — Managed Futures Industry | 105 | ||||
Value of Diversification — Campbell Strategic Allocation Fund | 109 | ||||
Supplemental Performance | 118 | ||||
Glossary of Terms | 120 | ||||
APPENDIX | |||||
Appendix 1 — Blue Sky Glossary | APP-1 | ||||
EXHIBITS | |||||
EXHIBIT A — Amended Agreement of Limited Partnership | A-1 | ||||
EXHIBIT B — Request for Redemption | B-1 | ||||
EXHIBIT C — Subscription Requirements | C-1 | ||||
EXHIBIT D — Subscription Agreement and Power of Attorney | D-1 |
iv
• | During the continuing offering period, units will be offered at a price of net asset value per unit. The net assets of the Fund are its assets less its liabilities determined in accordance with the Limited Partnership Agreement. The net asset value per unit equals the net assets of the Fund divided by the number of units outstanding as of the date of the determination. Investors must submit subscriptions at least five business days prior to the applicable month-end closing date. Approved subscriptions will be accepted once payments are received and cleared. | |
• | The Fund will accept subscriptions throughout the continuing offering period, which can be terminated by Campbell & Company at any time. | |
• | Interest earned while subscriptions are being processed will either be paid to subscribers in the form of additional units or will be returned in cash to those whose applications are rejected. | |
• | 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 their suitability to purchase the units in the Subscription Agreement and Power of Attorney. Read the Subscription Agreement and Power of Attorney as well as this prospectus carefully before you decide whether to invest. |
-1-
1) | a net worth of at least $150,000, exclusive of home, furnishings and automobiles; or | |
2) | a net worth, similarly calculated, of at least $45,000 and an annual gross income of at least $45,000. |
• | The Fund is a highly volatile and speculative investment. There can be no assurance that the 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, option and swap 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 Fund could incur major losses while stock and bond prices rise substantially in a prospering economy. | |
• | The Fund trades in futures, forward, option and swap contracts. Therefore, the Fund is 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 Fund. | |
• | Campbell & Company’s current equity under management is at or near its all-time high. 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 Fund is subject to numerous conflicts of interest including the following: |
1) | Campbell & Company is both the general partner and trading advisor of the Fund 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 Fund; | |
2) | Campbell & Company may have incentives to favor other accounts over the Fund; | |
3) | Campbell & Company, the Fund’s futures brokers and over-the-counter counterparties and their respective principals and affiliates may trade in the futures, forward, option and swap markets for their own accounts and may take positions opposite or ahead of those taken for the Fund; | |
4) | Selling agents will be entitled to ongoing compensation as a result of their clients remaining in the Fund, so a conflict exists between the agents’ inter- |
-2-
est 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 Fund and although Campbell & Company is an experienced professional manager, past performance is not necessarily indicative of future results. | |
• | Campbell & Company will be paid a brokerage fee of up to 8% annually, irrespective of profitability. Campbell & Company will also be paid quarterly performance fees equal to 20% of aggregate cumulative appreciation, excluding interest income, in net asset value, if any. Currently, the Fund’s actual brokerage fee is approximately 7.40% per annum. | |
• | The Fund is a single-advisor fund which may be inherently more volatile than multi-advisor managed futures products. | |
• | Although the Fund is 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 units redeemed on or prior to the twelfth month-end following purchase. You may transfer or assign your units after 30 days’ advance written notice, and only with the consent of Campbell & Company. | |
• | Investors are taxed each year on their share of the Fund’s profits, irrespective of whether they redeem any units or receive any cash distributions from the Fund. |
• | The Fund is a leveraged investment fund managed by an experienced, professional trading advisor and it trades in a wide range of futures, forward, option and swap markets. | |
• | Campbell & Company utilizes several independent and different proprietary trading systems for the Fund. | |
• | The Fund has 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, option and swap 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 Fund will outperform other sectors of an investor’s portfolio or not produce losses. The Fund’s profitability also depends on the success of Campbell & Company’s trading techniques. If the Fund is unprofitable, then it will not increase the return on an investor’s portfolio or achieve its diversification objectives. | |
• | Investors in the Fund get the advantage of limited liability in highly leveraged trading. |
-3-
• | Brokerage fee of up to 8% of net assets per annum, of which up to 1% is paid to the futures brokers, 4% is paid to the selling agents and Campbell & Company retains the remaining 3%. | |
• | 20% of quarterly appreciation in the Fund’s net assets, excluding interest income and as adjusted for subscriptions and redemptions. | |
• | Reimbursement of offering expenses incurred in the continuing offering over a 30-month period following incurrence of each such expense, estimated at, and not to exceed, 2.5% of the aggregate subscriptions accepted by Campbell & Company. | |
• | Redemption fees apply to units redeemed through the first twelve month-ends following purchase. |
• | “Bid-ask” spreads for off-exchange contracts. | |
• | Operating expenses such as legal, auditing, administration, printing and postage, up to a maximum of 0.50% of net assets per year. |
Assumed Initial Investment | $ | 100,000.00 | ||
Brokerage Fee (7.40%) | $ | 7,400.00 | ||
Organization & Offering Expense Reimbursement (0.40%) | 400.00 | |||
Operating Expenses (0.10%) | 100.00 | |||
Less: Interest Income (4.00%)* | (4,000.00 | ) | ||
Amount of Trading Income Required to Break-Even on an Investor’s Initial Investment in the First Year of Trading | $ | 3,900.00 | ||
Percentage of Initial Investment Required to Break-Even | 3.90 | % | ||
The maximum offering expense reimbursement is 2.5% of the total subscription amount over 30 months. This amount represents, over the last two years, an actual charge equal to 0.40% of average month-end net assets. Operating expenses are subject to a maximum limit of 0.50% of net assets per annum. The estimates also do not account for the bid-ask spreads in connection with the Fund’s forward, option and swap contract trading. No performance fee is included in the calculation of the “break-even” level since all operating expenses of the Fund must be offset before a performance fee is accrued. | ||||
* Variable based on current interest rates. |
-4-
-5-
* | Campbell & Company presently serves as general partner or sponsor for five other commodity pools. |
-6-
-7-
-8-
-9-
-10-
-11-
-12-
-13-
Year Ended | ||||||||||||||||||||
2005 | 2004 | 2003 | 2002 | 2001 | ||||||||||||||||
Total Assets | $ | 5,233,064 | $ | 4,099,736 | $ | 2,877,967 | $ | 1,654,430 | $ | 954,185 | ||||||||||
Total Partners’ Capital | 5,175,699 | 4,048,146 | 2,828,101 | 1,617,949 | 943,219 | |||||||||||||||
Total Trading Gain (includes brokerage commissions) | 611,580 | 443,116 | 543,537 | 250,527 | 64,466 | |||||||||||||||
Net Income | 424,794 | 130,292 | 342,701 | 155,979 | 29,936 | |||||||||||||||
Net Income Per General and Limited Partner Unit* | 272.37 | 100.20 | 385.55 | 282.19 | 76.29 | |||||||||||||||
Increase in Net Asset Value per General and Limited Partner Unit | 261.69 | 114.36 | 395.32 | 259.32 | 55.92 |
1st Qtr. | 2nd Qtr. | 3rd Qtr. | 4th Qtr. | |||||||||||||
2005 | 2005 | 2005 | 2005 | |||||||||||||
Total Trading Gain (Loss) (includes brokerage commissions) | $ | (95,831 | ) | $ | 546,406 | $ | (14,383 | ) | $ | 175,388 | ||||||
Net Income (Loss) | (143,189 | ) | 498,040 | (59,548 | ) | 129,491 | ||||||||||
Net Income (Loss) per General and Limited Partner Unit* | (95.53 | ) | 323.87 | (38.20 | ) | 78.82 | ||||||||||
Increase (Decrease) in Net Asset Value per General and Limited Partner Unit | (98.24 | ) | 322.16 | (42.00 | ) | 79.77 | ||||||||||
Net Asset Value per General and Limited Partner Unit at the End of the Period | 2,647.49 | 2,969.65 | 2,927.65 | 3,007.42 |
1st Qtr. | 2nd Qtr. | 3rd Qtr. | 4th Qtr. | |||||||||||||
2004 | 2004 | 2004 | 2004 | |||||||||||||
Total Trading Gain (Loss) (includes brokerage commissions) | $ | 556,936 | $ | (334,861 | ) | $ | (82,946 | ) | $ | 303,987 | ||||||
Net Income (Loss) | 402,652 | (388,753 | ) | (135,081 | ) | 251,474 | ||||||||||
Net Income (Loss) per General and Limited Partner Unit* | 360.96 | (303.89 | ) | (98.46 | ) | 175.31 | ||||||||||
Increase (Decrease) in Net Asset Value per General and Limited Partner Unit | 358.82 | (313.09 | ) | (102.60 | ) | 171.23 | ||||||||||
Net Asset Value per General and Limited Partner Unit at the End of the Period | 2,990.19 | 2,667.10 | 2,574.50 | 2,745.73 |
-14-
-15-
-16-
1) | The Financial, Metal & Energy Large Portfolio, and | |
2) | The Global Diversified Large Portfolio. | |
* | Traded as forward and/or option contracts, not futures |
** | Traded as futures and/or swap contracts |
-17-
-18-
-19-
Sector | % Gain | |||
Energy | 4.49 | % | ||
Interest Rates | 3.19 | |||
Currencies | 1.72 | |||
Metals | 0.55 | |||
Stock Indices | 0.40 | |||
10.35 | % | |||
-20-
Sector | % Gain (Loss) | |||
Interest Rates | 12.60 | % | ||
Currencies | 2.20 | |||
Energy | 1.78 | |||
Metals | (0.61 | ) | ||
Stock Indices | (1.98 | ) | ||
13.99 | % | |||
-21-
-22-
Sector | % Gain (Loss) | |||
Currencies | 26.22 | % | ||
Stock Indices | 5.70 | |||
Metals | (0.34 | ) | ||
Energy | (0.80 | ) | ||
Interest Rates | (3.32 | ) | ||
27.46 | % | |||
-23-
Sector | % Gain (Loss) | |||
Interest Rates | 14.98 | % | ||
Currencies | 6.20 | |||
Stock Indices | 3.42 | |||
Metals | (0.34 | ) | ||
Energy | (1.96 | ) | ||
22.30 | % | |||
-24-
-25-
-26-
-27-
Trading | ||||||||
Market Sector | Value at Risk* | Gain** | ||||||
Currencies | 1.45 | % | 1.72 | % | ||||
Energy | 0.58 | % | 4.49 | % | ||||
Stock Indices | 0.56 | % | 0.40 | % | ||||
Long Interest Rates | 0.36 | % | 1.31 | % | ||||
Short Interest Rates | 0.27 | % | 1.88 | % | ||||
Metals | 0.05 | % | 0.55 | % | ||||
Aggregate/ Total | 1.65 | % | 10.35 | % | ||||
* | 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 Fund’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes. |
** | Of the return for the nine months ended September 30, 2005, approximately 10.35% was due to trading gains (before commissions) and approximately 2.04% due to interest income, offset by approximately 5.76% due to brokerage fees, performance fees and operating and offering costs borne by the Fund giving a net return of 6.63%. |
Trading | ||||||||
Market Sector | Value at Risk* | Gain/(Loss)** | ||||||
Currencies | 1.15 | % | 2.20 | % | ||||
Long Interest Rates | 0.83 | % | 10.03 | % | ||||
Short Interest Rates | 0.26 | % | 2.57 | % | ||||
Stock Indices | 0.60 | % | (1.98 | )% | ||||
Energy | 0.18 | % | 1.78 | % | ||||
Metals | 0.11 | % | (0.61 | )% | ||||
Aggregate/ Total | 1.84 | % | 13.99 | % | ||||
* | 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 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. |
** | For the year ended December 31, 2004, approximately 13.99% was due to trading gains (before commissions) and approximately 1.23% was due to interest income, offset by approximately 10.87% due to brokerage fees, performance fees and operating and offering costs borne by the Fund giving a net return of 4.35%. |
1) | Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements; | |
2) | Change 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 |
-28-
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. |
-29-
-30-
Rate of Return(2) | ||||||||||||||||||||
(Computed on a compounded monthly basis) | ||||||||||||||||||||
Month | 2005 | 2004 | 2003 | 2002 | 2001 | |||||||||||||||
January | -2.22% | 1.85% | 7.74% | -0.98% | -1.30% | |||||||||||||||
February | -1.32% | 10.65% | 7.46% | -2.27% | 0.11% | |||||||||||||||
March | -0.07% | 0.83% | -4.52% | -1.81% | 7.02% | |||||||||||||||
April | 0.40% | -6.84% | 2.51% | -4.57% | -8.42% | |||||||||||||||
May | 4.86% | -0.61% | 1.89% | 3.88% | 0.95% | |||||||||||||||
June | 6.54% | -3.30% | -0.94% | 7.74% | -1.98% | |||||||||||||||
July | 0.90% | -0.73% | -4.85% | 7.78% | 1.15% | |||||||||||||||
August | -5.68% | -1.37% | 2.23% | 3.33% | 1.94% | |||||||||||||||
September | 3.59% | -1.78% | -1.72% | 3.62% | 6.66% | |||||||||||||||
October | 3.97% | 2.16% | 2.63% | -4.98% | 5.01% | |||||||||||||||
November | 2.02% | 3.78% | 0.71% | -1.61% | -10.14% | |||||||||||||||
December | -3.16% | 0.59% | 4.14% | 3.31% | 3.49% | |||||||||||||||
Total | 9.53% | 4.35% | 17.68% | 13.12% | 2.91% |
(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 assets in the calculations of “Rates of Return.” |
-31-
-32-
-33-
Recipient | Nature of Payment | Amount of Payment | ||
Campbell & Company | Quarterly Performance Fee | 20% of cumulative appreciation in net asset value per unit, excluding interest income, after deduction for brokerage and all other fees. | ||
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, option and swap contracts. | ||
Others | Legal, accounting, printing, postage and administrative costs | As incurred, up to a maximum of 0.5% of average month-end net assets per annum. |
-34-
-35-
(1) | the initial 4% selling commission; | |
(2) | salaries, expenses and bonuses of employees of Campbell & Company engaged in wholesaling activities; and | |
(3) | per-unit organization and offering costs properly deemed to constitute costs allocable to the selling agents, such as a selling brochure, seminar costs and travel expenses, |
-36-
-37-
-38-
-39-
As Adjusted | ||||||||
for Sale of | ||||||||
Outstanding | Maximum | |||||||
as of | Amount | |||||||
Title of Class | December 31, 2005 | (1)(2) | ||||||
Units of General Partnership Interest | 17,240.171 | 21,552.145 | ||||||
Units of Limited Partnership Interest | 1,703,733.918 | 2,133,662.374 | ||||||
Total Partners’ Capital | $ | 5,175,698,659 | $ | 6,481,642,012 |
(1) | This calculation assumes that the sale of all units is made during the continuing offering at the December 31, 2005 net asset value per unit of $3,007.42. The maximum amount will vary depending on the unit value and number of units sold during the continuing offering. |
(2) | To organize the Fund, the initial limited partner purchased one unit for $1,000 and Campbell & Company purchased one general partnership unit for $1,000. Campbell & Company has agreed to make capital contributions to the Fund equal to at least 1% of the net aggregate capital contributions of all partners. As of December 31, 2005, Campbell & Company owned 17,240.171 units of general partnership interest. |
-40-
-41-
1) | expiration of the Fund’s stated term on December 31, 2023; | |
2) | limited partners owning more than 50% of the outstanding units vote to dissolve the Fund; | |
3) | Campbell & Company withdraws as general partner and no new general partner is appointed; | |
4) | Campbell & Company determines that the purpose of the Fund cannot be fulfilled; or | |
5) | the continued existence of the Fund becomes unlawful or the Fund is dissolved by operation of law. |
-42-
1) | amend the Limited Partnership Agreement without the consent of Campbell & Company; | |
2) | dissolve the Fund; | |
3) | terminate contracts with Campbell & Company; | |
4) | remove and replace Campbell & Company as general partner; and | |
5) | approve the sale of 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. |
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, Campbell & Company will suspend trading activities, notify all limited partners of the relevant facts within seven business days and declare a special redemption period. |
-43-
-44-
-45-
1) | “freely transferable” (determined based on the applicable 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. |
-46-
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. |
-47-
1) | eligibility of investors to invest in the Fund, 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. |
-48-
-49-
-50-
NAV per unit on October 31, 2005 | $ | 3,043.86 | ||||
NAV per unit on September 30, 2005 | $ | 2,927.65 | ||||
Unit Value Monthly Gain (Loss) | 3.97 | % | ||||
Fund 2005 YTD Gain (Loss) | 10.86 | % | ||||
Number of units you own | XXXX | |||||
Total value of units you own | $ | XXXXX | ||||
STATEMENT OF CHANGES IN NET ASSET VALUE | ||||||
Net Asset Value (1,619,259.730 units) at September 30, 2005 | $ | 4,740,633,382 | ||||
Additions of 28,645.175 units on October 31, 2005 | 87,192,295 | |||||
Redemptions of (7,335.349) units on October 31, 2005 | (22,327,752 | ) | ||||
Offering Cost | (1,325,324 | ) | ||||
Net Income (Loss) — October 2005 | 189,485,985 | |||||
Net Asset Value (1,640,569.556 units) at October 31, 2005 | $ | 4,993,658,586 | ||||
Net Asset Value per Unit at October 31, 2005 | $ | 3,043.86 | ||||
STATEMENT OF INCOME (LOSS) | ||||||
Income: | ||||||
Gains (losses) on futures contracts: | ||||||
Realized | $ | (64,668,595 | ) | |||
Change in unrealized | 124,186,678 | |||||
Gains (losses) on forward and swap contracts: | ||||||
Realized | 0 | |||||
Change in unrealized | 147,446,725 | |||||
Interest income | 13,406,764 | |||||
220,371,572 | ||||||
Expenses: | ||||||
Brokerage fee | 30,648,414 | |||||
Performance fee | 0 | |||||
Operating expenses | 237,173 | |||||
30,885,587 | ||||||
Net Income (Loss) — October 2005 | $ | 189,485,985 | ||||
To the best of my knowledge and belief, the information contained herein is accurate and complete. | |
/s/ THERESA D. BECKS | |
Theresa D. Becks, Chief Financial Officer | |
Campbell & Company, Inc. | |
General Partner | |
Campbell Strategic Allocation Fund, L.P. | |
-51-
NAV per unit on November 30, 2005 | $ | 3,105.46 | |||||
NAV per unit on October 31, 2005 | $ | 3,043.86 | |||||
Unit Value Monthly Gain (Loss) | 2.02 | % | |||||
Fund 2005 YTD Gain (Loss) | 13.10 | % | |||||
Number of units you own | XXXX | ||||||
Total value of units you own | $ | XXXXX | |||||
STATEMENT OF CHANGES IN NET ASSET VALUE | |||||||
Net Asset Value (1,640,569.556 units) at October 31, 2005 | $ | 4,993,658,586 | |||||
Additions of 40,728.112 units on November 30, 2005 | 126,479,790 | ||||||
Redemptions of (12,327.125) units on November 30, 2005 | (38,281,415 | ) | |||||
Offering Cost | (1,096,986 | ) | |||||
Net Income (Loss) — November 2005 | 102,154,915 | ||||||
Net Asset Value (1,668,970.543 units) at November 30, 2005 | $ | 5,182,914,890 | |||||
Net Asset Value per Unit at November 30, 2005 | $ | 3,105.46 | |||||
STATEMENT OF INCOME (LOSS) | |||||||
Income: | |||||||
Gains (losses) on futures contracts: | |||||||
Realized | $ | 1,957,184 | |||||
Change in unrealized | (67,179,053 | ) | |||||
Gains (losses) on forward and swap contracts: | |||||||
Realized | 0 | ||||||
Change in unrealized | 190,898,668 | ||||||
Interest income | 14,031,863 | ||||||
139,708,662 | |||||||
Expenses: | |||||||
Brokerage fee | 31,228,104 | ||||||
Performance fee | 6,043,858 | ||||||
Operating expenses | 281,785 | ||||||
37,553,747 | |||||||
Net Income (Loss) — November 2005 | $ | 102,154,915 | |||||
To the best of my knowledge and belief, the information contained herein is accurate and complete. | |
/s/ THERESA D. BECKS | |
Theresa D. Becks, Chief Financial Officer | |
Campbell & Company, Inc. | |
General Partner | |
Campbell Strategic Allocation Fund, L.P. | |
-52-
NAV per unit on December 31, 2005 | $ | 3,007.42 | ||||
NAV per unit on November 30, 2005 | $ | 3,105.46 | ||||
Unit Value Monthly Gain (Loss) | (3.16 | )% | ||||
Fund 2005 YTD Gain (Loss) | 9.53 | % | ||||
Number of units you own | XXXX | |||||
Total value of units you own | $ | XXXXX | ||||
STATEMENT OF CHANGES IN NET ASSET VALUE | ||||||
Net Asset Value (1,668,970.543 units) at November 30, 2005 | $ | 5,182,914,890 | ||||
Additions of 60,140.071 units on December 31, 2005 | 180,866,647 | |||||
Redemptions of (8,136.525) units on December 31, 2005 | (24,469,942 | ) | ||||
Offering Cost | (1,464,278 | ) | ||||
Net Income (Loss) — December 2005 | (162,148,658 | ) | ||||
Net Asset Value (1,720,974.089 units) at December 31, 2005 | $ | 5,175,698,659 | ||||
Net Asset Value per Unit at December 31, 2005 | $ | 3,007.42 | ||||
STATEMENT OF INCOME (LOSS) | ||||||
Income: | ||||||
Gains (losses) on futures contracts: | ||||||
Realized | $ | 139,099,586 | ||||
Change in unrealized | (149,486,734 | ) | ||||
Gains (losses) on forward and swap contracts: | ||||||
Realized | 463,261,691 | |||||
Change in unrealized | (605,485,431 | ) | ||||
Interest income | 15,742,319 | |||||
(136,868,569 | ) | |||||
Expenses: | ||||||
Brokerage fee | 31,065,650 | |||||
Performance fee | (5,998,494 | ) | ||||
Operating expenses | 212,933 | |||||
25,280,089 | ||||||
Net Income (Loss) — December 2005 | $ | (162,148,658 | ) | |||
To the best of my knowledge and belief, the information contained herein is accurate and complete. | |
/s/ THERESA D. BECKS | |
Theresa D. Becks, Chief Financial Officer | |
Campbell & Company, Inc. | |
General Partner | |
Campbell Strategic Allocation Fund, L.P. | |
-53-
Page | ||||
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. | ||||
STATEMENTS OF FINANCIAL CONDITION September 30, 2005 (Unaudited) and December 31, 2004 (Audited) | 55 | |||
CONDENSED SCHEDULES OF INVESTMENTS September 30, 2005 (Unaudited) and December 31, 2004 (Audited) | 56 | |||
STATEMENTS OF OPERATIONS (UNAUDITED) For the Three Months and Nine Months Ended September 30, 2005 and 2004 | 58 | |||
STATEMENTS OF CASH FLOWS (UNAUDITED) For the Nine Months Ended September 30, 2005 and 2004 | 59 | |||
STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL (NET ASSET VALUE) (UNAUDITED) For the Nine Months Ended September 30, 2005 and 2004 | 60 | |||
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) | 61 | |||
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 67 | |||
STATEMENTS OF FINANCIAL CONDITION December 31, 2004 and 2003 | 68 | |||
CONDENSED SCHEDULES OF INVESTMENTS December 31, 2004 and 2003 | 69 | |||
STATEMENTS OF OPERATIONS For the Years Ended December 31, 2004, 2003 and 2002 | 71 | |||
STATEMENTS OF CASH FLOWS For the Years Ended December 31, 2004, 2003 and 2002 | 72 | |||
STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL (NET ASSET VALUE) For the Years Ended December 31, 2004, 2003 and 2002 | 73 | |||
NOTES TO FINANCIAL STATEMENTS | 74 | |||
CAMPBELL & COMPANY, INC. | ||||
CONSOLIDATED BALANCE SHEET September 30, 2005 (Unaudited) | 79 | |||
NOTES TO CONSOLIDATED BALANCE SHEET (UNAUDITED) | 80 | |||
INDEPENDENT AUDITOR’S REPORT | 87 | |||
CONSOLIDATED BALANCE SHEET December 31, 2004 | 88 | |||
NOTES TO CONSOLIDATED BALANCE SHEET | 89 |
-54-
September 30, | December 31, | ||||||||||
2005 | 2004 | ||||||||||
ASSETS | |||||||||||
Equity in broker trading accounts | |||||||||||
Cash | $ | 322,395,910 | $ | 201,083,246 | |||||||
United States government securities | 2,196,791,111 | 1,871,364,160 | |||||||||
Net unrealized gain on open futures contracts | 93,565,840 | 59,986,708 | |||||||||
Total equity in broker trading accounts | 2,612,752,861 | 2,132,434,114 | |||||||||
Cash and cash equivalents | 535,185,852 | 738,065,681 | |||||||||
United States government securities | 1,546,091,825 | 1,299,373,618 | |||||||||
Net unrealized gain (loss) on open forward currency contracts | 98,308,547 | (70,137,402 | ) | ||||||||
Total assets | $ | 4,792,339,085 | $ | 4,099,736,011 | |||||||
LIABILITIES | |||||||||||
Accounts payable | $ | 622,508 | $ | 855,905 | |||||||
Brokerage fee | 27,250,751 | 23,425,887 | |||||||||
Commissions and other trading fees on open contracts | 734,667 | 914,080 | |||||||||
Offering costs payable | 1,367,188 | 2,230,619 | |||||||||
Redemptions payable | 21,720,589 | 24,163,399 | |||||||||
Subscription deposits | 10,000 | 0 | |||||||||
Total liabilities | 51,705,703 | 51,589,890 | |||||||||
PARTNERS’ CAPITAL (Net Asset Value) | |||||||||||
General Partner — 16,220.970 and 15,051.729 units outstanding at September 30, 2005 and December 31, 2004 | 47,489,323 | 41,327,984 | |||||||||
Limited Partners — 1,603,038.760 and 1,459,291.150 units outstanding at September 30, 2005 and December 31, 2004 | 4,693,144,059 | 4,006,818,137 | |||||||||
Total partners’ capital (Net Asset Value) | 4,740,633,382 | 4,048,146,121 | |||||||||
Total liabilities and partners’ capital | $ | 4,792,339,085 | $ | 4,099,736,011 | |||||||
-55-
UNITED STATES GOVERNMENT SECURITIES | % of Net | |||||||||||||
Face Value | Maturity Date | Description | Value | Asset Value | ||||||||||
$1,090,000,000 | 11/03/2005 | U.S. Treasury Bills | $ | 1,086,652,792 | 22.92 | % | ||||||||
$1,069,000,000 | 10/06/2005 | U.S. Treasury Bills | 1,068,547,160 | 22.54 | % | |||||||||
$800,000,000 | 12/15/2005 | U.S. Treasury Bills | 794,500,000 | 16.76 | % | |||||||||
$400,000,000 | 10/13/2005 | U.S. Treasury Bills | 399,583,333 | 8.43 | % | |||||||||
$395,000,000 | Various | U.S. Treasury Bills | 393,599,651 | 8.30 | % | |||||||||
Total United States government securities (cost, including accrued interest, — $3,742,882,936) | $ | 3,742,882,936 | 78.95 | % | ||||||||||
LONG FUTURES CONTRACTS | % of Net | |||||||||||||
Description | Value | Asset Value | ||||||||||||
Energy | $ | (1,586,470 | ) | (0.03 | )% | |||||||||
Metals | 6,915,536 | 0.15 | % | |||||||||||
Stock index | 51,413,721 | 1.08 | % | |||||||||||
Short-term interest rates | (86,382 | ) | 0.00 | % | ||||||||||
Long-term interest rates | (8,493,738 | ) | (0.18 | )% | ||||||||||
Total long futures contracts | $ | 48,162,667 | 1.02 | % | ||||||||||
SHORT FUTURES CONTRACTS | % of Net | |||||||||||||
Description | Value | Asset Value | ||||||||||||
Energy | $ | (6,083,914 | ) | (0.13 | )% | |||||||||
Metals | (19,413 | ) | 0.00 | % | ||||||||||
Short-term interest rates | 23,092,449 | 0.48 | % | |||||||||||
Long-term interest rates | 28,414,051 | 0.60 | % | |||||||||||
Total short futures contracts | $ | 45,403,173 | 0.95 | % | ||||||||||
Total futures contracts | $ | 93,565,840 | 1.97 | % | ||||||||||
FORWARD CURRENCY CONTRACTS | % of Net | |||||||||||||
Description | Value | Asset Value | ||||||||||||
Various long forward currency contracts | $ | (266,964,818 | ) | (5.63 | )% | |||||||||
Various short forward currency contracts | 365,273,365 | 7.70 | % | |||||||||||
Total forward currency contracts | $ | 98,308,547 | 2.07 | % | ||||||||||
-56-
UNITED STATES GOVERNMENT SECURITIES | % of Net | |||||||||||||
Face Value | Maturity Date | Description | Value | Asset Value | ||||||||||
$1,675,000,000 | 01/06/05 | U.S. Treasury Bills | $ | 1,674,618,108 | 41.37 | % | ||||||||
$575,000,000 | 03/17/05 | U.S. Treasury Bills | 572,424,479 | 14.14 | % | |||||||||
$350,000,000 | 01/13/05 | U.S. Treasury Bills | 349,808,667 | 8.64 | % | |||||||||
$200,000,000 | 01/27/05 | �� | U.S. Treasury Bills | 199,734,222 | 4.93 | % | ||||||||
$200,000,000 | 02/17/05 | U.S. Treasury Bills | 199,459,500 | 4.93 | % | |||||||||
$175,000,000 | 02/03/05 | U.S. Treasury Bills | 174,692,802 | 4.32 | % | |||||||||
Total United States government securities (cost, including accrued interest, — $3,170,737,778) | $ | 3,170,737,778 | 78.33 | % | ||||||||||
LONG FUTURES CONTRACTS | % of Net | |||||||||||||
Description | Value | Asset Value | ||||||||||||
Energy | $ | (7,304,068 | ) | (0.18 | )% | |||||||||
Metals | 2,572,720 | 0.06 | % | |||||||||||
Stock index | 35,075,316 | 0.87 | % | |||||||||||
Short-term interest rates | (3,149,439 | ) | (0.08 | )% | ||||||||||
Long-term interest rates | 31,917,409 | 0.79 | % | |||||||||||
Total long futures contracts | $ | 59,111,938 | 1.46 | % | ||||||||||
SHORT FUTURES CONTRACTS | % of Net | |||||||||||||
Description | Value | Asset Value | ||||||||||||
Metals | $ | (4,000,591 | ) | (0.10 | )% | |||||||||
Short-term interest rates | 4,890,991 | 0.12 | % | |||||||||||
Long-term interest rates | (15,630 | ) | 0.00 | % | ||||||||||
Total short futures contracts | $ | 874,770 | 0.02 | % | ||||||||||
Total futures contracts | $ | 59,986,708 | 1.48 | % | ||||||||||
FORWARD CURRENCY CONTRACTS | % of Net | |||||||||||||
Description | Value | Asset Value | ||||||||||||
Various long forward currency contracts | $ | 121,005,028 | 2.99 | % | ||||||||||
Various short forward currency contracts | (191,142,430 | ) | (4.72 | )% | ||||||||||
Total forward currency contracts | $ | (70,137,402 | ) | (1.73 | )% | |||||||||
-57-
Three Months Ended | Nine Months Ended | ||||||||||||||||||
September 30, | September 30, | ||||||||||||||||||
2005 | 2004 | 2005 | 2004 | ||||||||||||||||
TRADING GAINS (LOSSES) | |||||||||||||||||||
Futures trading gains (losses) | |||||||||||||||||||
Realized | $ | 128,973,892 | $ | (67,286,260 | ) | $ | 344,045,110 | $ | 183,216,522 | ||||||||||
Change in unrealized | (44,737,691 | ) | 38,667,830 | 33,579,132 | (29,366,721 | ) | |||||||||||||
Brokerage commissions | (3,316,162 | ) | (1,643,945 | ) | (9,045,864 | ) | (4,928,906 | ) | |||||||||||
Net gain (loss) from futures trading | 80,920,039 | (30,262,375 | ) | 368,578,378 | 148,920,895 | ||||||||||||||
Forward and swap trading gains (losses) | |||||||||||||||||||
Realized | (42,624,855 | ) | (164,500,572 | ) | (99,835,143 | ) | 25,221,010 | ||||||||||||
Change in unrealized | (52,295,326 | ) | 112,072,767 | 168,445,949 | (34,375,588 | ) | |||||||||||||
Brokerage commissions | (383,025 | ) | (255,640 | ) | (997,324 | ) | (637,894 | ) | |||||||||||
Net gain (loss) from forward and swap trading | (95,303,206 | ) | (52,683,445 | ) | 67,613,482 | (9,792,472 | ) | ||||||||||||
Total net trading gains (losses) | (14,383,167 | ) | (82,945,820 | ) | 436,191,860 | 139,128,423 | |||||||||||||
EXPENSES NET OF INTEREST INCOME | |||||||||||||||||||
Income | |||||||||||||||||||
Interest income | 35,563,671 | 11,803,463 | 87,452,934 | 27,313,159 | |||||||||||||||
Expenses | |||||||||||||||||||
Brokerage fee | 80,030,707 | 63,202,092 | 226,146,963 | 182,773,907 | |||||||||||||||
Performance fee | 0 | 0 | 0 | 102,769,447 | |||||||||||||||
Operating expenses | 698,084 | 736,120 | 2,195,587 | 2,079,829 | |||||||||||||||
Total expenses | 80,728,791 | 63,938,212 | 228,342,550 | 287,623,183 | |||||||||||||||
Expenses net of interest income | (45,165,120 | ) | (52,134,749 | ) | (140,889,616 | ) | (260,310,024 | ) | |||||||||||
NET INCOME (LOSS) | $ | (59,548,287 | ) | $ | (135,080,569 | ) | $ | 295,302,244 | $ | (121,181,601 | ) | ||||||||
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT | |||||||||||||||||||
(based on weighted average number of units outstanding during the period) | $ | (38.20 | ) | $ | (98.46 | ) | $ | 192.78 | $ | (96.52 | ) | ||||||||
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT | $ | (42.00 | ) | $ | (102.60 | ) | $ | 181.92 | $ | (56.87 | ) | ||||||||
-58-
2005 | 2004 | |||||||||||
Cash flows from (for) operating activities | ||||||||||||
Net income (loss) | $ | 295,302,244 | $ | (121,181,601 | ) | |||||||
Adjustments to reconcile net income (loss) to net cash (for) operating activities | ||||||||||||
Net change in unrealized | (202,025,081 | ) | 63,742,309 | |||||||||
Increase (decrease) in accounts payable and accrued expenses | 3,412,054 | (11,499,251 | ) | |||||||||
Net (purchases) of investments in United States government securities | (572,145,158 | ) | (1,223,579,115 | ) | ||||||||
Net cash (for) operating activities | (475,455,941 | ) | (1,292,517,658 | ) | ||||||||
Cash flows from (for) financing activities | ||||||||||||
Addition of units | 729,058,890 | 1,120,275,862 | ||||||||||
Increase in subscription deposits | 10,000 | 450,010 | ||||||||||
Redemption of units | (325,752,336 | ) | (159,714,378 | ) | ||||||||
Offering costs | (9,427,778 | ) | (15,939,454 | ) | ||||||||
Net cash from financing activities | 393,888,776 | 945,072,040 | ||||||||||
Net (decrease) in cash and cash equivalents | (81,567,165 | ) | (347,445,618 | ) | ||||||||
Cash and cash equivalents | ||||||||||||
Beginning of period | 939,148,927 | 816,650,904 | ||||||||||
End of period | $ | 857,581,762 | $ | 469,205,286 | ||||||||
End of period cash and cash equivalents consists of: | ||||||||||||
Cash in broker trading accounts | $ | 322,395,910 | $ | 105,298,251 | ||||||||
Cash and cash equivalents | 535,185,852 | 363,907,035 | ||||||||||
Total end of period cash and cash equivalents | $ | 857,581,762 | $ | 469,205,286 | ||||||||
-59-
Partners’ Capital | ||||||||||||||||||||||||
General | Limited | Total | ||||||||||||||||||||||
Units | Amount | Units | Amount | Units | Amount | |||||||||||||||||||
Nine Months Ended September 30, 2005 | ||||||||||||||||||||||||
Balances at December 31, 2004 | 15,051.729 | $ | 41,327,984 | 1,459,291.150 | $ | 4,006,818,137 | 1,474,342.879 | $ | 4,048,146,121 | |||||||||||||||
Net income for the nine months ended September 30, 2005 | — | 2,967,720 | — | 292,334,524 | — | 295,302,244 | ||||||||||||||||||
Additions | 1,169.241 | 3,280,000 | 259,535.812 | 725,778,890 | 260,705.053 | 729,058,890 | ||||||||||||||||||
Redemptions | 0.000 | 0 | (115,788.202 | ) | (323,309,526 | ) | (115,788.202 | ) | (323,309,526 | ) | ||||||||||||||
Offering costs | — | (86,381 | ) | — | (8,477,966 | ) | — | (8,564,347 | ) | |||||||||||||||
Balances at September 30, 2005 | 16,220.970 | $ | 47,489,323 | 1,603,038.760 | $ | 4,693,144,059 | 1,619,259.730 | $ | 4,740,633,382 | |||||||||||||||
Nine Months Ended September 30, 2004 | ||||||||||||||||||||||||
Balances at December 31, 2003 | 10,815.994 | $ | 28,460,882 | 1,063,947.539 | $ | 2,799,639,743 | 1,074,763.533 | $ | 2,828,100,625 | |||||||||||||||
Net (loss) for the nine months ended September 30, 2004 | — | (1,258,890 | ) | — | (119,922,711 | ) | — | (121,181,601 | ) | |||||||||||||||
Additions | 3,612.750 | 10,114,000 | 397,719.441 | 1,110,161,862 | 401,332.191 | 1,120,275,862 | ||||||||||||||||||
Redemptions | 0.000 | 0 | (59,461.849 | ) | (163,405,101 | ) | (59,461.849 | ) | (163,405,101 | ) | ||||||||||||||
Offering costs | — | (169,191 | ) | — | (16,500,996 | ) | — | (16,670,187 | ) | |||||||||||||||
Balances at September 30, 2004 | 14,428.744 | $ | 37,146,801 | 1,402,205.131 | $ | 3,609,972,797 | 1,416,633.875 | $ | 3,647,119,598 | |||||||||||||||
Net Asset Value per General and Limited Partner Unit | ||||||||||||||
September 30, | December 31, | September 30, | December 31, | |||||||||||
2005 | 2004 | 2004 | 2003 | |||||||||||
$ | 2,927.65 | $ | 2,745.73 | $ | 2,574.50 | $ | 2,631.37 | |||||||
-60-
Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
A. | General Description of the Fund |
B. | Regulation |
C. | Method of Reporting |
D. | Cash and Cash Equivalents |
E. | Income Taxes |
-61-
Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — (Continued) |
F. | Offering Costs |
G. | Foreign Currency Transactions |
H. | Reclassification |
Note 2. | GENERAL PARTNER AND COMMODITY TRADING ADVISOR |
-62-
Note 2. | GENERAL PARTNER AND COMMODITY TRADING ADVISOR — (Continued) |
Note 3. | DEPOSITS WITH BROKER |
Note 4. | OPERATING EXPENSES |
Note 5. | SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS |
Note 6. | TRADING ACTIVITIES AND RELATED RISKS |
-63-
Note 6. | TRADING ACTIVITIES AND RELATED RISKS — (Continued) |
Futures Contracts | Forward Currency and Swap Contracts | |||||||||||||||
(exchange traded) | (non-exchange traded) | |||||||||||||||
September 30, | December 31, | September 30, | December 31, | |||||||||||||
2005 | 2004 | 2005 | 2004 | |||||||||||||
(Unaudited) | (Audited) | (Unaudited) | (Audited) | |||||||||||||
Gross unrealized gains | $ | 114,420,217 | $ | 80,577,521 | $ | 407,533,103 | $ | 160,643,120 | ||||||||
Gross unrealized losses | (20,854,377 | ) | (20,590,813 | ) | (309,224,556 | ) | (230,780,522 | ) | ||||||||
Net unrealized gain (loss) | $ | 93,565,840 | $ | 59,986,708 | $ | 98,308,547 | $ | (70,137,402 | ) | |||||||
-64-
Note 7. | GUARANTEES |
Note 8. | INTERIM FINANCIAL STATEMENTS |
Note 9. | FINANCIAL HIGHLIGHTS |
Three months ended | Nine months ended | |||||||||||||||||
September 30, | September 30, | |||||||||||||||||
2005 | 2004 | 2005 | 2004 | |||||||||||||||
(Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) | |||||||||||||||
Per Unit Performance | ||||||||||||||||||
(for a unit outstanding throughout the entire period) | ||||||||||||||||||
Net asset value per unit at beginning of period | $ | 2,969.65 | $ | 2,677.10 | $ | 2,745.73 | $ | 2,631.37 | ||||||||||
Income (loss) from operations: | ||||||||||||||||||
Total trading gains (losses)(1) | (10.88 | ) | (59.97 | ) | 279.48 | 163.74 | ||||||||||||
Expenses net of interest income(1) | (28.97 | ) | (38.00 | ) | (91.97 | ) | (207.33 | ) | ||||||||||
Total income (loss) from operations | (39.85 | ) | (97.97 | ) | 187.51 | (43.59 | ) | |||||||||||
Offering costs(1) | (2.15 | ) | (4.63 | ) | (5.59 | ) | (13.28 | ) | ||||||||||
Net asset value per unit at end of period | $ | 2,927.65 | $ | 2,574.50 | $ | 2,927.65 | $ | 2,574.50 | ||||||||||
Total Return(3) | (1.41 | )% | (3.83 | )% | 6.63 | % | (2.16 | )% | ||||||||||
Supplemental Data | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||
Expenses prior to performance fee(4) | 7.04 | % | 7.05 | % | 7.10 | % | 7.11 | % | ||||||||||
Performance fee(3) | 0.00 | % | 0.00 | % | 0.00 | % | 2.96 | % | ||||||||||
Total expenses | 7.04 | % | 7.05 | % | 7.10 | % | 10.07 | % | ||||||||||
Expenses net of interest income(2),(4) | 3.94 | % | 5.75 | % | 4.38 | % | 6.06 | % | ||||||||||
-65-
(1) | Expenses net of interest income per unit and offering costs per unit are calculated by dividing the expenses net of interest income and offering costs by the average number of units outstanding during the period. Total trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. |
(2) | Excludes performance fee. |
(3) | Not annualized. |
(4) | Annualized. |
-66-
/s/ARTHUR F. BELL JR. & ASSOCIATES, L.L.C. | |
-67-
2004 | 2003 | ||||||||||
ASSETS | |||||||||||
Equity in broker trading accounts | |||||||||||
Cash | $ | 201,083,246 | $ | 189,245,425 | |||||||
United States government securities | 1,871,364,160 | 1,024,483,288 | |||||||||
Unrealized gain on open futures contracts | 59,986,708 | 43,858,230 | |||||||||
Deposits with broker | 2,132,434,114 | 1,257,586,943 | |||||||||
Cash and cash equivalents | 738,065,681 | 627,405,479 | |||||||||
United States government securities | 1,299,373,618 | 899,206,764 | |||||||||
Unrealized gain (loss) on open forward currency contracts | (70,137,402 | ) | 93,767,551 | ||||||||
Total assets | $ | 4,099,736,011 | $ | 2,877,966,737 | |||||||
LIABILITIES | |||||||||||
Accounts payable | $ | 855,905 | $ | 773,818 | |||||||
Brokerage fee | 23,425,887 | 16,243,599 | |||||||||
Commissions and other trading fees on open contracts | 914,080 | 373,638 | |||||||||
Performance fee | 0 | 16,492,232 | |||||||||
Offering costs payable | 2,230,619 | 1,387,938 | |||||||||
Redemptions payable | 24,163,399 | 14,594,887 | |||||||||
Total liabilities | 51,589,890 | 49,866,112 | |||||||||
PARTNERS’ CAPITAL (Net Asset Value) | |||||||||||
General Partner — 15,051.729 and 10,815.994 units outstanding at December 31, 2004 and 2003 | 41,327,984 | 28,460,882 | |||||||||
Limited Partners — 1,459,291.150 and 1,063,947.539 units outstanding at December 31, 2004 and 2003 | 4,006,818,137 | 2,799,639,743 | |||||||||
Total partners’ capital (Net Asset Value) | 4,048,146,121 | 2,828,100,625 | |||||||||
$ | 4,099,736,011 | $ | 2,877,966,737 | ||||||||
-68-
UNITED STATES GOVERNMENT SECURITIES | % of Net | |||||||||||||||
Face Value | Maturity Date | Description | Value | Asset Value | ||||||||||||
$1,675,000,000 | 1/06/05 | U.S. Treasury Bills | $ | 1,674,618,108 | 41.37 | % | ||||||||||
$575,000,000 | 3/17/05 | U.S. Treasury Bills | 572,424,479 | 14.14 | % | |||||||||||
$350,000,000 | 1/13/05 | U.S. Treasury Bills | 349,808,667 | 8.64 | % | |||||||||||
$200,000,000 | 1/27/05 | U.S. Treasury Bills | 199,734,222 | 4.93 | % | |||||||||||
$200,000,000 | 2/17/05 | U.S. Treasury Bills | 199,459,500 | 4.93 | % | |||||||||||
$175,000,000 | 2/03/05 | U.S. Treasury Bills | 174,692,802 | 4.32 | % | |||||||||||
Total United States government securities (cost, including accrued interest, — $3,170,737,778) | $ | 3,170,737,778 | 78.33 | % | ||||||||||||
LONG FUTURES CONTRACTS | ||||||||||||||||
% of Net | ||||||||||||||||
Description | Value | Asset Value | ||||||||||||||
Energy | $ | (7,304,068 | ) | (0.18 | )% | |||||||||||
Metals | 2,572,720 | 0.06 | % | |||||||||||||
Stock index | 35,075,316 | 0.87 | % | |||||||||||||
Short-term interest rates | (3,149,439 | ) | (0.08 | )% | ||||||||||||
Long-term interest rates | 31,917,409 | 0.79 | % | |||||||||||||
Total long futures contracts | $ | 59,111,938 | 1.46 | % | ||||||||||||
SHORT FUTURES CONTRACTS | ||||||||||||||||
% of Net | ||||||||||||||||
Description | Value | Asset Value | ||||||||||||||
Metals | $ | (4,000,591 | ) | (0.10 | )% | |||||||||||
Short-term interest rates | 4,890,991 | 0.12 | % | |||||||||||||
Long-term interest rates | (15,630 | ) | 0.00 | % | ||||||||||||
Total short futures contracts | $ | 874,770 | 0.02 | % | ||||||||||||
Total futures contracts | $ | 59,986,708 | 1.48 | % | ||||||||||||
FORWARD CURRENCY CONTRACTS | ||||||||||||||||
% of Net | ||||||||||||||||
Description | Value | Asset Value | ||||||||||||||
Various long forward currency contracts | $ | 121,005,028 | 2.99 | % | ||||||||||||
Various short forward currency contracts | (191,142,430 | ) | (4.72 | )% | ||||||||||||
Total forward currency contracts | $ | (70,137,402 | ) | (1.73 | )% | |||||||||||
-69-
UNITED STATES GOVERNMENT SECURITIES | % of Net | |||||||||||||||
Face Value | Maturity Date | Description | Value | Asset Value | ||||||||||||
$1,050,000,000 | 1/08/04 | U.S. Treasury Bills | $ | 1,049,820,260 | 37.12 | % | ||||||||||
$350,000,000 | 3/18/04 | U.S. Treasury Bills | 349,378,653 | 12.35 | % | |||||||||||
$200,000,000 | 1/29/04 | U.S. Treasury Bills | 199,860,000 | 7.07 | % | |||||||||||
$175,000,000 | 2/05/04 | U.S. Treasury Bills | 174,843,472 | 6.18 | % | |||||||||||
$150,000,000 | 2/26/04 | U.S. Treasury Bills | 149,787,667 | 5.30 | % | |||||||||||
Total United States government securities (cost, including accrued interest, — $1,923,690,052) | $ | 1,923,690,052 | 68.02 | % | ||||||||||||
LONG FUTURES CONTRACTS | ||||||||||||||||
% of Net | ||||||||||||||||
Description | Value | Asset Value | ||||||||||||||
Energy | $ | 12,526,378 | 0.44 | % | ||||||||||||
Metals | 4,106,216 | 0.15 | % | |||||||||||||
Stock index | 34,144,656 | 1.21 | % | |||||||||||||
Short-term interest rates | 5,097,901 | 0.18 | % | |||||||||||||
Long-term interest rates | (8,943,827 | ) | (0.32 | )% | ||||||||||||
Total long futures contracts | $ | 46,931,324 | 1.66 | % | ||||||||||||
SHORT FUTURES CONTRACTS | ||||||||||||||||
% of Net | ||||||||||||||||
Description | Value | Asset Value | ||||||||||||||
Metals | $ | (354,021 | ) | (0.01 | )% | |||||||||||
Short-term interest rates | 183,300 | 0.00 | % | |||||||||||||
Long-term interest rates | (2,902,373 | ) | (0.10 | )% | ||||||||||||
Total short futures contracts | $ | (3,073,094 | ) | (0.11 | )% | |||||||||||
Total futures contracts | $ | 43,858,230 | 1.55 | % | ||||||||||||
FORWARD CURRENCY CONTRACTS | ||||||||||||||||
% of Net | ||||||||||||||||
Description | Value | Asset Value | ||||||||||||||
Various long forward currency contracts | $ | 187,420,185 | 6.63 | % | ||||||||||||
Various short forward currency contracts | (93,652,634 | ) | (3.31 | )% | ||||||||||||
Total forward currency contracts | $ | 93,767,551 | 3.32 | % | ||||||||||||
-70-
2004 | 2003 | 2002 | |||||||||||||
TRADING GAINS | |||||||||||||||
Futures trading gains (losses) | |||||||||||||||
Realized | $ | 396,317,020 | $ | (53,295,006 | ) | $ | 166,999,777 | ||||||||
Change in unrealized | 16,128,478 | 27,050,964 | 16,316,663 | ||||||||||||
Brokerage commissions | (7,550,124 | ) | (4,574,976 | ) | (4,799,612 | ) | |||||||||
Gain (loss) from futures trading | 404,895,374 | (30,819,018 | ) | 178,516,828 | |||||||||||
Forward currency and swap trading gains (losses) | |||||||||||||||
Realized | 203,232,232 | 510,354,521 | 86,515,089 | ||||||||||||
Change in unrealized | (163,904,953 | ) | 65,019,392 | (13,885,796 | ) | ||||||||||
Brokerage commissions | (1,106,990 | ) | (1,017,503 | ) | (619,018 | ) | |||||||||
Gain from forward currency and swap trading | 38,220,289 | 574,356,410 | 72,010,275 | ||||||||||||
Total trading gains | 443,115,663 | 543,537,392 | 250,527,103 | ||||||||||||
EXPENSES NET OF INTEREST INCOME | |||||||||||||||
Income | |||||||||||||||
Interest income | 43,794,851 | 21,955,515 | 18,774,658 | ||||||||||||
Expenses | |||||||||||||||
Brokerage fee | 251,008,338 | 158,423,875 | 81,002,406 | ||||||||||||
Performance fee | 102,769,447 | 61,928,585 | 30,713,834 | ||||||||||||
Operating expenses | 2,840,344 | 2,439,006 | 1,606,269 | ||||||||||||
Total expenses | 356,618,129 | 222,791,466 | 113,322,509 | ||||||||||||
Expenses net of interest income | (312,823,278 | ) | (200,835,951 | ) | (94,547,851 | ) | |||||||||
NET INCOME | $ | 130,292,385 | $ | 342,701,441 | $ | 155,979,252 | |||||||||
NET INCOME PER GENERAL AND LIMITED PARTNER UNIT | |||||||||||||||
(based on weighted average number of units outstanding during the year) | $ | 100.20 | $ | 385.55 | $ | 282.19 | |||||||||
INCREASE IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT | $ | 114.36 | $ | 395.32 | $ | 259.32 | |||||||||
-71-
2004 | 2003 | 2002 | ||||||||||||||
Cash flows from (for) operating activities | ||||||||||||||||
Net income | $ | 130,292,385 | $ | 342,701,441 | $ | 155,979,252 | ||||||||||
Adjustments to reconcile net income to net cash (for) operating activities | ||||||||||||||||
Net change in unrealized | 147,776,475 | (92,070,356 | ) | (2,430,867 | ) | |||||||||||
Increase (decrease) in accounts payable and accrued expenses | (8,687,415 | ) | 24,241,652 | 3,737,680 | ||||||||||||
Net (purchases) of investments in United States government securities | (1,247,047,726 | ) | (670,929,818 | ) | (537,688,561 | ) | ||||||||||
Net cash (for) operating activities | (977,666,281 | ) | (396,057,081 | ) | (380,402,496 | ) | ||||||||||
Cash flows from (for) financing activities | ||||||||||||||||
Addition of units | 1,341,837,619 | 1,028,600,448 | 624,223,999 | |||||||||||||
Increase (decrease) in subscription deposits | 0 | (17,206,853 | ) | 16,949,122 | ||||||||||||
Redemption of units | (228,722,464 | ) | (147,291,398 | ) | (98,699,321 | ) | ||||||||||
Increase in redemptions payable | 9,568,512 | 5,629,379 | 4,575,613 | |||||||||||||
Offering costs charged | (23,362,044 | ) | (13,859,058 | ) | (6,773,610 | ) | ||||||||||
Increase in offering costs payable | 842,681 | 720,984 | 252,491 | |||||||||||||
Net cash from financing activities | 1,100,164,304 | 856,593,502 | 540,528,294 | |||||||||||||
Net increase in cash and cash equivalents | 122,498,023 | 460,536,421 | 160,125,798 | |||||||||||||
Cash and cash equivalents | ||||||||||||||||
Beginning of year | 816,650,904 | 356,114,483 | 195,988,685 | |||||||||||||
End of year | $ | 939,148,927 | $ | 816,650,904 | $ | 356,114,483 | ||||||||||
End of year cash and cash equivalents consists of: | ||||||||||||||||
Cash in broker trading accounts | $ | 201,083,246 | $ | 189,245,425 | $ | 41,776,698 | ||||||||||
Cash and cash equivalents | 738,065,681 | 627,405,479 | 314,337,785 | |||||||||||||
Total end of year cash and cash equivalents | $ | 939,148,927 | $ | 816,650,904 | $ | 356,114,483 | ||||||||||
-72-
Partners’ Capital | ||||||||||||||||||||||||
General | Limited | Total | ||||||||||||||||||||||
Units | Amount | Units | Amount | Units | Amount | |||||||||||||||||||
Balances at December 31, 2001 | 4,881.720 | $ | 9,649,832 | 472,279.945 | $ | 933,569,040 | 477,161.665 | $ | 943,218,872 | |||||||||||||||
Net income for the year ended December 31, 2002 | 1,570,353 | 154,408,899 | 155,979,252 | |||||||||||||||||||||
Additions | 2,440.185 | 5,216,038 | 291,759.495 | 619,007,961 | 294,199.680 | 624,223,999 | ||||||||||||||||||
Redemptions | (59.001 | ) | (127,571 | ) | (47,726.355 | ) | (98,571,750 | ) | (47,785.356 | ) | (98,699,321 | ) | ||||||||||||
Offering costs | (68,436 | ) | (6,705,174 | ) | (6,773,610 | ) | ||||||||||||||||||
Balances at December 31, 2002 | 7,262.904 | 16,240,216 | 716,313.085 | 1,601,708,976 | 723,575.989 | 1,617,949,192 | ||||||||||||||||||
Net income for the year ended December 31, 2003 | 3,446,561 | 339,254,880 | 342,701,441 | |||||||||||||||||||||
Additions | 3,553.090 | 8,913,502 | 406,079.954 | 1,019,686,946 | 409,633.044 | 1,028,600,448 | ||||||||||||||||||
Redemptions | 0.000 | 0 | (58,445.500 | ) | (147,291,398 | ) | (58,445.500 | ) | (147,291,398 | ) | ||||||||||||||
Offering costs | (139,397 | ) | (13,719,661 | ) | (13,859,058 | ) | ||||||||||||||||||
Balances at December 31, 2003 | 10,815.994 | 28,460,882 | 1,063,947.539 | 2,799,639,743 | 1,074,763.533 | 2,828,100,625 | ||||||||||||||||||
Net income for the year ended December 31, 2004 | 1,300,362 | 128,992,023 | 130,292,385 | |||||||||||||||||||||
Additions | 4,235.735 | 11,804,000 | 478,957.592 | 1,330,033,619 | 483,193.327 | 1,341,837,619 | ||||||||||||||||||
Redemptions | 0.000 | 0 | (83,613.981 | ) | (228,722,464 | ) | (83,613.981 | ) | (228,722,464 | ) | ||||||||||||||
Offering costs | (237,260 | ) | (23,124,784 | ) | (23,362,044 | ) | ||||||||||||||||||
Balances at December 31, 2004 | 15,051.729 | $ | 41,327,984 | 1,459,291.150 | $ | 4,006,818,137 | 1,474,342.879 | $ | 4,048,146,121 | |||||||||||||||
Net Asset Value Per General and Limited Partner Unit | ||||||||||
December 31, | ||||||||||
2004 | 2003 | 2002 | ||||||||
$ | 2,745.73 | $ | 2,631.37 | $ | 2,236.05 | |||||
-73-
Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
Campbell Strategic Allocation Fund, L.P. (the Fund) is a Delaware limited partnership which operates as a commodity investment pool. The Fund engages in the speculative trading of futures contracts, forward currency contracts and swap contracts. |
As a registrant with the Securities and Exchange Commission, the Fund is subject to the regulatory requirements under the Securities Act of 1933 and the Securities Exchange Act of 1934. As a commodity investment pool, the Fund is subject to the regulations of the Commodity Futures Trading Commission, an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Fund executes transactions. Additionally, the Fund is subject to the requirements of futures commission merchants (brokers) and interbank and other market makers through which the Fund trades. |
The Fund’s financial statements are presented in accordance with U.S. generally accepted accounting principles, which require the use of certain estimates made by the Fund’s management. Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statement of financial condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board Interpretation No. 39 — “Offsetting of Amounts Related to Certain Contracts.” The market value of futures (exchange-traded) contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of the last business day of the reporting period. The market value of swap and forward currency (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 5:00 P.M. (E.T.) on the last business day of the reporting period or based on the market value of its exchange-traded equivalent. Any change in net unrealized gain or loss from the preceding period is reported in the statement of operations. Brokerage commissions include other trading fees and are charged to expense when contracts are opened. United States government securities are stated at cost plus accrued interest, which approximates market value. | |
For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value by the number of outstanding units. |
Cash and cash equivalents includes cash and short-term time deposits held at financial institutions. |
The Fund prepares calendar year U.S. and applicable state information tax returns and reports to the partners their allocable shares of the Fund’s income, expenses and trading gains or losses. |
-74-
Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — (Continued) |
Campbell & Company, Inc. (Campbell & Company) has incurred all costs in connection with the initial and continuous offering of units of the Fund (offering costs). The Fund’s liability for offering costs is limited to the maximum of total offering costs incurred by Campbell & Company or 2.5% of the aggregate subscriptions accepted during the initial and continuous offerings; this maximum is further limited by 30 month pay-out schedules. The Fund is only liable for payment of offering costs on a monthly basis as calculated based on the limitations stated above. At December 31, 2004, the Fund reflects a liability in the statement of financial condition for offering costs payable to Campbell & Company of $2,230,619. The amount of monthly reimbursement due to Campbell & Company is charged directly to partners’ capital. | |
If the Fund terminates prior to completion of payment of the calculated amounts to Campbell & Company, Campbell & Company will not be entitled to any additional payments, and the Fund will have no further obligation to Campbell & Company. At December 31, 2004, the amount of unreimbursed offering costs incurred by Campbell & Company is $2,654,427. |
The Fund’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the statement of financial condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income currently. |
Note 2. | GENERAL PARTNER AND COMMODITY TRADING ADVISOR |
-75-
Note 3. | DEPOSITS WITH BROKER |
Note 4. | OPERATING EXPENSES |
Note 5. | SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS |
Note 6. | TRADING ACTIVITIES AND RELATED RISKS |
-76-
Note 6. | TRADING ACTIVITIES AND RELATED RISKS — (Continued) |
Futures Contracts | Forward Currency and Swap Contracts | |||||||||||||||
(exchange traded) | (non-exchange traded) | |||||||||||||||
December 31, | December 31, | |||||||||||||||
2004 | 2003 | 2004 | 2003 | |||||||||||||
Gross unrealized gains | $ | 80,577,521 | $ | 59,494,849 | $ | 160,643,120 | $ | 200,933,202 | ||||||||
Gross unrealized losses | (20,590,813 | ) | (15,636,619 | ) | (230,780,522 | ) | (107,165,651 | ) | ||||||||
Net unrealized gain | $ | 59,986,708 | $ | 43,858,230 | $ | (70,137,402 | ) | $ | 93,767,551 | |||||||
Note 7. | GUARANTEES |
-77-
Note 8. | FINANCIAL HIGHLIGHTS |
2004 | 2003 | 2002 | ||||||||||||
Per Unit Performance | ||||||||||||||
(for a unit outstanding throughout the entire year) | ||||||||||||||
Net asset value per unit at beginning of year | $ | 2,631.37 | $ | 2,236.05 | $ | 1,976.73 | ||||||||
Income (loss) from operations: | ||||||||||||||
Total trading gains (1) | 372.91 | 636.86 | 442.62 | |||||||||||
Expenses net of interest income (1) | (240.58 | ) | (225.95 | ) | (171.05 | ) | ||||||||
Total income from operations | 132.33 | 410.91 | 271.57 | |||||||||||
Offering costs (1) | (17.97 | ) | (15.59 | ) | (12.25 | ) | ||||||||
Net asset value per unit at end of year | $ | 2,745.73 | $ | 2,631.37 | $ | 2,236.05 | ||||||||
Total Return | 4.35 | % | 17.68 | % | 13.12 | % | ||||||||
Supplemental Data | ||||||||||||||
Ratios to average net asset value: | ||||||||||||||
Expenses prior to performance fee | (7.10 | )% | (7.15 | )% | (7.11 | )% | ||||||||
Performance fee | (2.88 | )% | (2.75 | )% | (2.64 | )% | ||||||||
Total expenses | (9.98 | )% | (9.90 | )% | (9.75 | )% | ||||||||
Expenses net of interest income (2) | (5.88 | )% | (6.17 | )% | (5.49 | )% | ||||||||
(1) | Expenses net of interest income per unit and offering costs per unit are calculated by dividing the expenses net of interest income and offering costs by the average number of units outstanding during the year. Total trading gains 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. |
-78-
ASSETS | ||||||||
Current assets | ||||||||
Cash and cash equivalents | $ | 140,796,582 | ||||||
Unrealized gain on open futures contracts | 386,280 | |||||||
Unrealized gain on open forwards contracts | 433,969 | |||||||
Investments in equity securities, at fair value (cost $16,416,579) | 16,261,971 | |||||||
Accounts receivable | ||||||||
Advisory and performance fees | 24,758,203 | |||||||
Receivable from Campbell Strategic Allocation Fund, L.P. | 18,173,046 | |||||||
Other receivables | 306,295 | |||||||
Total current assets | 201,116,346 | |||||||
Property and equipment | ||||||||
Furniture and office equipment | 8,832,201 | |||||||
Leasehold improvements | 1,538,080 | |||||||
10,370,281 | ||||||||
Less accumulated depreciation and amortization | (5,503,504 | ) | ||||||
Total property and equipment | 4,866,777 | |||||||
Other assets | ||||||||
Cash surrender value of life insurance, net of policy loans of $277,388 | 375,865 | |||||||
Investments in sponsored funds | 64,544,807 | |||||||
Other | 17,530,495 | |||||||
Total assets | $ | 288,434,290 | ||||||
LIABILITIES | ||||||||
Current liabilities | ||||||||
Accounts payable and accrued expenses | $ | 108,877,526 | ||||||
Equity securities sold short, at fair value (proceeds $15,696,077) | 16,238,939 | |||||||
Total current liabilities | 125,116,465 | |||||||
Subordinated debt | 145,000,000 | |||||||
Capital stock subject to repurchase, at current redemption value | 2,034,020 | |||||||
Total liabilities | 272,150,485 | |||||||
STOCKHOLDERS’ EQUITY | ||||||||
Retained earnings | 16,283,805 | |||||||
Total liabilities and stockholders’ equity | $ | 288,434,290 | ||||||
-79-
Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
A. | General |
B. | Cash and Cash Equivalents |
C. | Revenue Recognition |
-80-
Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — (Continued) |
D. | Property and Equipment |
E. | Investments in Sponsored Funds |
F. | Deposits with Futures Broker and Foreign Exchange Dealer |
G. | Investments in Equity Securities |
H. | Income Taxes |
-81-
Note 2. | INVESTMENTS IN SPONSORED FUNDS |
Campbell Strategic Allocation Fund, L.P. | $ | 47,489,323 | |||
Rampant Investments, L.P. | 6,381,696 | ||||
Campbell Institutional Multi-Strategy Fund L.L.C. | 6,190,288 | ||||
Campbell Alternative Asset Trust | 2,311,147 | ||||
Campbell Financial Futures Fund Limited Partnership | 2,119,085 | ||||
The Campbell Fund Trust | 53,268 | ||||
Total | $ | 64,544,807 | |||
Campbell Strategic Allocation Fund, L.P. |
Balance Sheet Data | ||||||
Assets | $ | 4,792,339,085 | ||||
Liabilities | (51,705,703 | ) | ||||
Net Asset Value | $ | 4,740,633,382 | ||||
-82-
Campbell Alternative Asset Trust |
Rampant Investments, L.P. |
Campbell Institutional Multi-Strategy Fund L.L.C. (formerly Campbell Long/Short Equity Investment Fund, L.L.C.) |
Campbell Financial Futures Fund Limited Partnership |
-83-
The Campbell Fund Trust |
Note 4. | INDEMNIFICATIONS |
Note 5. | CAPITAL STOCK SUBJECT TO REPURCHASE |
-84-
Note 5. | CAPITAL STOCK SUBJECT TO REPURCHASE — (Continued) |
Capital stock | |||||
Class A voting, no par, $100 stated value; 2,500 shares authorized; 103.425 shares issued and outstanding | $ | 10,342 | |||
Additional paid-in capital, attributable to those shares | 45,968 | ||||
Retained earnings, attributable to those shares | 1,977,710 | ||||
$ | 2,034,020 | ||||
Note 6. | SUBORDINATED DEBT |
2007 | $ | 7,393,800 | ||
2008 | 39,380,000 | |||
2009 | 32,490,000 | |||
2010 | 60,736,200 | |||
2011 | 5,000,000 | |||
$ | 145,000,000 | |||
-85-
Note 7. | LEASE OBLIGATION |
Year ending September 30 | ||||
2006 | $ | 712,755 | ||
2007 | 727,032 | |||
2008 | 741,622 | |||
2009 | 756,524 | |||
2010 | 771,705 | |||
Thereafter | 66,632 | |||
Total base annual rentals | $ | 3,776,270 | ||
Note 8. | PROFIT SHARING PLAN |
Note 9. | INTERIM BALANCE SHEET |
-86-
/s/ ARTHUR F. BELL, JR. & ASSOCIATES, L.L.C. | |
-87-
ASSETS | ||||||||
Current assets | ||||||||
Cash and cash equivalents | $ | 107,848,218 | ||||||
Unrealized gain on open futures contracts | 49,902 | |||||||
Unrealized loss on open forwards contracts | (409,482 | ) | ||||||
Investments in equity securities, at fair value (cost $17,128,769) | 17,160,169 | |||||||
Accounts receivable | ||||||||
Advisory and performance fees | 25,763,410 | |||||||
Receivable from Campbell Strategic Allocation Fund, L.P. | 15,616,840 | |||||||
Other receivables | 602,031 | |||||||
Total current assets | 166,631,088 | |||||||
Property and equipment | ||||||||
Furniture and office equipment | 6,841,366 | |||||||
Leasehold improvements | 638,583 | |||||||
7,479,949 | ||||||||
Less accumulated depreciation and amortization | (4,448,254 | ) | ||||||
Total property and equipment | 3,031,695 | |||||||
Other assets | ||||||||
Cash surrender value of life insurance, net of policy loans of $277,388 | 375,865 | |||||||
Investments in sponsored funds | 65,213,401 | |||||||
Other | 23,407,618 | |||||||
Total assets | $ | 258,659,667 | ||||||
LIABILITIES | ||||||||
Current liabilities | ||||||||
Accounts payable and accrued expenses | $ | 68,236,886 | ||||||
Equity securities sold short, at fair value (proceeds $16,451,898) | 17,123,153 | |||||||
Total current liabilities | 85,360,039 | |||||||
Subordinated debt | 140,000,000 | |||||||
Capital stock subject to repurchase, at current redemption value | 2,034,020 | |||||||
Total liabilities | 227,394,059 | |||||||
Minority interest | 7,861,741 | |||||||
STOCKHOLDERS’ EQUITY | ||||||||
Retained earnings | 23,403,867 | |||||||
Total liabilities, minority interest and stockholders’ equity | $ | 258,659,667 | ||||||
-88-
Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
A. | General |
B. | Cash and Cash Equivalents |
C. | Revenue Recognition |
D. | Property and Equipment |
E. | Investments in Sponsored Funds |
-89-
Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — (Continued) |
F. | Deposits with Futures Broker and Foreign Exchange Dealer |
G. | Investments in Equity Securities |
H. | Income Taxes |
I. | Minority Interest |
-90-
Campbell Strategic Allocation Fund, L.P. | $ | 41,327,984 | |||
Campbell Global Assets Fund Limited — Class B | 10,087,463 | ||||
Rampant Investments, L.P. | 5,392,908 | ||||
Campbell Long/ Short Equity Investment Fund LLC | 5,072,401 | ||||
Campbell Alternative Asset Trust | 2,122,335 | ||||
Campbell Financial Futures Fund Limited Partnership | 1,161,246 | ||||
The Campbell Fund Trust | 49,064 | ||||
Total | $ | 65,213,401 | |||
Campbell Strategic Allocation Fund, L.P. |
Balance Sheet Data | ||||||
Assets | $ | 4,099,736,011 | ||||
Liabilities | (51,589,890 | ) | ||||
Net Asset Value | $ | 4,048,146,121 | ||||
-91-
Campbell Strategic Allocation Fund, L.P. — (Continued) |
Campbell Global Assets Fund Limited — Class B |
Campbell Alternative Asset Trust |
Rampant Investments, L.P. |
-92-
Campbell Long/ Short Equity Investment Fund LLC |
Campbell Financial Futures Fund Limited Partnership |
The Campbell Fund Trust |
-93-
Note 4. | GUARANTEES |
Note 5. | CAPITAL STOCK SUBJECT TO REPURCHASE |
Capital stock | |||||
Class A voting, no par, $100 stated value; 2,500 shares authorized; 103.425 shares issued and outstanding | $ | 10,342 | |||
Additional paid-in capital, attributable to those shares | 45,968 | ||||
Retained earnings, attributable to those shares | 1,977,710 | ||||
$ | 2,034,020 | ||||
-94-
Note 6. | SUBORDINATED DEBT |
2007 | $ | 7,393,800 | ||
2008 | 39,380,000 | |||
2009 | 32,490,000 | |||
2010 | 60,736,200 | |||
$ | 140,000,000 | |||
Year ending December 31 | ||||
2005 | $ | 657,142 | ||
2006 | 716,323 | |||
2007 | 730,879 | |||
2008 | 745,347 | |||
2009 | 760,318 | |||
Thereafter | 645,448 | |||
Total base annual rentals | $ | 4,255,457 | ||
-95-
-99-
(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 Fund 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 Fund 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 Fund trades. |
-100-
-101-
-102-
-103-
• | 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 Fund’s capital to approximately 50 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 Fund that divides capital among different trading systems in an attempt to reduce performance volatility and manage risk. |
-104-
* | CISDM data was not available prior to 1980. |
-105-
* | CISDM data was not available prior to 1980. |
-106-
* | CISDM data was not available prior to 1980. |
-107-
* | CISDM data was not available prior to 1980. |
-108-
-109-
-110-
-111-
-112-
-113-
1994* | 1995 | 1996 | 1997 | 1998 | 1999 | 2000 | 2001 | 2002 | 2003 | 2004 | 2005 | |||||||||||
DJIA | NAS | CSAF | S&P | NAS | NAS | LBBI | CISDM | LBBI | NAS | EAFE | EAFE | |||||||||||
5.47% | 39.92% | 30.46% | 33.38% | 39.62% | 84.55% | 20.11% | 7.52% | 16.31% | 50.01% | 17.60% | 10.85% | |||||||||||
S&P | S&P | DJIA | DJIA | S&P | EAFE | CSAF | LBBI | CSAF | EAFE | S&P | CSAF | |||||||||||
5.31% | 37.59% | 26.01% | 22.65% | 28.58% | 25.26% | 10.70% | 5.34% | 13.12% | 35.27% | 10.87% | 9.53% | |||||||||||
EAFE | DJIA | S&P | NAS | EAFE | DJIA | CISDM | CSAF | CISDM | S&P | NAS | LBBI | |||||||||||
3.00% | 33.44% | 22.96% | 21.64% | 18.24% | 25.19% | 9.37% | 2.91% | 11.99% | 28.69% | 8.60% | 6.80% | |||||||||||
NAS | LBBI | NAS | LBBI | DJIA | S&P | DJIA | DJIA | DJIA | DJIA | LBBI | S&P | |||||||||||
1.15% | 30.73% | 22.70% | 14.91% | 16.10% | 21.04% | -6.15% | -7.77% | -16.14% | 25.34% | 7.97% | 4.89% | |||||||||||
CISDM | CSAF | CISDM | CSAF | CSAF | CSAF | S&P | S&P | EAFE | CSAF | CASF | CISDM | |||||||||||
0.97% | 9.99% | 11.89% | 14.31% | 14.60% | 4.45% | -9.09% | -11.87% | -17.52% | 17.68% | 4.35% | 3.96% | |||||||||||
LBBI | CISDM | EAFE | CISDM | LBBI | CISDM | EAFE | NAS | S&P | CISDM | CISDM | NAS | |||||||||||
-1.14% | 9.66% | 4.38% | 9.49% | 13.48% | 1.48% | -15.20% | -21.04% | -22.10% | 12.17% | 3.22% | 1.38% | |||||||||||
CSAF | EAFE | LBBI | EAFE | CISDM | LBBI | NAS | EAFE | NAS | LBBI | DJIA | DJIA | |||||||||||
-11.62% | 9.42% | -0.76% | 0.24% | 6.81% | -8.71% | -39.28% | -22.61% | -31.52% | 2.06% | 3.14% | -0.63% | |||||||||||
-114-
April 1994 – December | Number of | Number | Number | Percentage | ||||||||||||
2005 | Time Periods | Profitable | Unprofitable | Profitable | ||||||||||||
Total Months | 141 | 83 | 58 | 58.87 | % | |||||||||||
Total Years* | 12 | 11 | 1 | 91.67 | % | |||||||||||
12-Month Rolling Windows | 130 | 115 | 15 | 88.46 | % | |||||||||||
24-Month Rolling Windows | 118 | 118 | 0 | 100.00 | % | |||||||||||
36-Month Rolling Windows | 106 | 106 | 0 | 100.00 | % | |||||||||||
60-Month Rolling Windows | 82 | 82 | 0 | 100.00 | % |
-115-
-116-
Lehman Bros. | ||||||||||||||||||||||
Campbell | S&P 500 | EAFE | NASDAQ | Govt. Bond | ||||||||||||||||||
Performance Statistics Through December 2005 | Strategic | Index | Index | Index | Index | |||||||||||||||||
Rate-of-Return: | December 2005 | -3.16% | 0.03% | 4.61% | -1.23% | 2.42% | ||||||||||||||||
Year-To-Date | 9.53% | 4.89% | 10.85% | 1.38% | 6.80% | |||||||||||||||||
Compounded Annual Rate-of-Return: | 12-Month | 9.53% | 4.89% | 10.85% | 1.38% | 6.80% | ||||||||||||||||
(Average Annual Rate-of-Return) | 36-Month | 10.38% | 14.39% | 20.81% | 18.21% | 5.58% | ||||||||||||||||
60-Month | 9.38% | 0.54% | 2.39% | -2.24% | 7.59% | |||||||||||||||||
Since Inception (4/94) | 9.82% | 11.13% | 4.45% | 9.65% | 8.63% | |||||||||||||||||
Cumulative Return: | 12-Month | 9.53% | 4.89% | 10.85% | 1.38% | 6.80% | ||||||||||||||||
(Total Return) | 36-Month | 34.50% | 49.66% | 76.34% | 65.16% | 17.69% | ||||||||||||||||
60-Month | 56.57% | 2.75% | 12.56% | -10.69% | 44.19% | |||||||||||||||||
Since Inception (4/94) | 200.74% | 245.45% | 66.70% | 195.16% | 164.38% | |||||||||||||||||
Annualized Standard Deviation of Monthly | 12-Month | 11.87% | 7.58% | 9.78% | 13.41% | 7.81% | ||||||||||||||||
Returns (measures the dispersion of returns around the mean or average return): | 36-Month | 13.21% | 9.04% | 11.44% | 14.28% | 9.78% | ||||||||||||||||
60-Month | 14.52% | 14.82% | 15.19% | 26.58% | 9.68% | |||||||||||||||||
Since Inception (4/94) | 14.45% | 14.74% | 14.32% | 26.97% | 8.74% | |||||||||||||||||
Worst Decline: | Last 60 Months | -15.68% | -44.73% | -50.65% | -75.03% | -10.20% | ||||||||||||||||
Duration of Decline | 10/01 - 4/02 | 8/00 - 9/02 | 12/99 - 3/03 | 2/00 - 9/02 | 5/03 - 7/03 | |||||||||||||||||
Last 120 Months | -15.68% | -44.73% | -50.65% | -75.03% | -10.20% | |||||||||||||||||
Duration of Decline | 10/01 -4/02 | 8/00 - 9/02 | 12/99 - 3/03 | 2/00 - 9/02 | 5/03 - 7/03 | |||||||||||||||||
Since Inception (4/94) | -18.02% | -44.73% | -50.65% | -75.03% | -10.20% | |||||||||||||||||
Duration of Decline | 6/94 - 1/95 | 8/00 - 9/02 | 12/99 - 3/03 | 2/00 - 9/02 | 5/03 - 7/03 | |||||||||||||||||
Correlation With S&P 500: | Last 60 Months | -0.33 | 1.00 | 0.86 | 0.91 | -0.39 | ||||||||||||||||
Correlation During S&P 500 Positive Months: | Last 60 Months | -0.38 | 1.00 | 0.71 | 0.80 | -0.28 | ||||||||||||||||
Correlation During S&P 500 Negative Months: | Last 60 Months | -0.43 | 1.00 | 0.77 | 0.80 | -0.22 |
-117-
Rate of Return(2) | ||||||||||||||||||||||||||||||||||||||||||||||||
(Computed on a compounded monthly basis) | ||||||||||||||||||||||||||||||||||||||||||||||||
Month | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | 1997 | 1996 | 1995 | 1994 | ||||||||||||||||||||||||||||||||||||
January | -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% | 10.65% | 7.46% | -2.27% | 0.11% | -0.60% | 1.67% | -2.81% | 2.03% | -5.97% | 4.21% | |||||||||||||||||||||||||||||||||||||
March | -0.07% | 0.83% | -4.52% | -1.81% | 7.02% | -2.67% | 0.46% | 4.68% | -2.47% | 4.72% | 8.77% | |||||||||||||||||||||||||||||||||||||
April | 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 | 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 | 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 | 0.90% | -0.73% | -4.85% | 7.78% | 1.15% | -2.07% | -0.32% | -4.00% | 9.12% | -0.78% | -3.82% | -3.94% | ||||||||||||||||||||||||||||||||||||
August | -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 | 3.59% | -1.78% | -1.72% | 3.62% | 6.66% | -3.71% | 1.36% | 2.47% | 4.51% | 1.77% | -3.93% | 5.20% | ||||||||||||||||||||||||||||||||||||
October | 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 | 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 | -3.16% | 0.59% | 4.14% | 3.31% | 3.49% | 2.05% | 3.29% | 0.30% | 4.46% | -4.41% | 5.35% | -4.98% | ||||||||||||||||||||||||||||||||||||
Total | 9.53% | 4.35% | 17.68% | 13.12% | 2.91% | 10.70% | 4.45% | 14.60% | 14.31% | 30.46% | 9.99% | -11.62% |
(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 assets in the calculations of “Rates of Return.” |
-118-
Compounded Annual Rates of Return | ||||
April 1994 — December 2005 | ||||
12-month | 9.53 | % | ||
24-month | 6.91 | % | ||
36-month | 10.38 | % | ||
Since Inception | 9.82 | % |
Statistics | ||||
4/94 – 12/05 | ||||
Compounded Monthly Annual Rate of Return | 9.82 | % | ||
Average Monthly Rate of Return | 0.87 | % | ||
Standard Deviation of Monthly Returns | 4.17 | % | ||
Annualized Standard Deviation | 14.45 | % | ||
Sharpe Ratio | 0.41 | |||
Average Monthly Gain | 3.66 | % | ||
Average Monthly Loss | -3.12 | % | ||
Number of Profitable Months | 83 | |||
Number of Unprofitable Months | 58 | |||
Average Duration of Decline (Months) | 2.21 | |||
Average Recovery Period (Months) | 3.00 |
Recovery | Return for Following | |||||||||||||||
Period | Decline | Length | Period | 12-Month Period | ||||||||||||
6/94 – 1/95 | 18.02 | % | 7 mos. | 12 mos. | 22.05 | % | ||||||||||
10/01 – 4/02 | 15.68 | % | 6 mos. | 3 mos. | 41.36 | % | ||||||||||
3/04 – 9/04 | 13.90 | % | 6 mos. | 10 mos. | 13.72 | % | ||||||||||
3/01 – 6/01 | 9.38 | % | 3 mos. | 4 mos. | 9.00 | % | ||||||||||
2/97 – 5/97 | 8.73 | % | 3 mos. | 2 mos. | 19.21 | % |
-119-
* | 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. |
audited.
-120-
APP-1
APP-2
A-1
A-2
A-3
A-4
A-5
A-6
A-7
A-8
A-9
A-10
A-11
CAMPBELL & COMPANY, INC. |
By: | /s/Bruce L. Cleland |
Name: Bruce L. Cleland | |
Title: President | |
LIMITED PARTNERS | |
Bruce L. Cleland as attorney-in-fact for the Limited Partners who have agreed by separate instrument to be a party hereto. | |
/s/Bruce L. Cleland | |
Bruce L. Cleland |
A-12
Limited Partner Number |
o | Full Redemption |
o | Partial Redemption (specify number of units or dollar amount$ ) |
o | Forward redemption funds by mail to the undersigned at: |
Name | Street | City, State and Zip Code |
o Remit funds directly to brokerage account: |
Individual Limited Partner(s) | Entity Limited Partner | |||
Printed Limited Partner Name | Signature of Limited Partner | (Name of Entity) | ||
By: | ||||
Printed Limited Partner Name/ Custodian | Signature of Limited Partner/ Custodian | (Authorized Corporate Officer, Partner, Custodian or Trustee) |
Client Mailing Address | ||
Title | ||
Street City, State and Zip Code | ||
Client Phone Number |
Financial Advisor Name Broker/ Dealer Name | ||
Branch Address Branch Phone Number Branch Fax Number |
B-1
C-1
1. | Alaska — Net worth of at least $225,000 or a net worth of at least $60,000 and an annual taxable income of at least $60,000. | |
2. | Arizona — Net worth of at least $225,000 or a net worth of at least $60,000 and an annual taxable income of at least $60,000. | |
3. | California — Net worth of at least $225,000 or a net worth of at least $60,000 and an annual taxable income of at least $60,000. | |
4. | Iowa — Net worth of at least $225,000 or a net worth of at least $60,000 and an annual income of at least $60,000. |
C-2
5. | Maine — Net worth of at least $200,000, or net worth of $50,000 and an annual income of $50,000. Net worth is calculated exclusive of home, home furnishings, and automobiles. | |
6. | Massachusetts — Net worth of at least $225,000 or a net worth of at least $60,000 and an annual income of at least $60,000. | |
7. | Michigan — Net worth of at least $225,000 or a net worth of at least $60,000 and an annual gross income of at least $60,000. | |
8. | Minnesota — Net worth of at least $225,000 or a net worth of at least $60,000 and an annual taxable income of $60,000. | |
9. | Missouri — Net worth of at least $225,000 or a net worth of at least $60,000 and an annual taxable income of $60,000. | |
10. | New Hampshire — Net worth of at least $225,000 or a net worth of at least $60,000 and an annual income of at least $60,000. | |
11. | North Carolina — Net worth of at least $225,000 or a net worth of at least $60,000 and an annual taxable income of $60,000. | |
12. | Ohio — First-time investors must have (i) a net worth of at least $250,000 (exclusive of home, furnishings and automobiles) or (ii) an annual gross income of at least $70,000 and a net worth of at least $70,000 (exclusive of home, furnishings and automobiles). Existing investors must have (i) a net worth of at least $150,000 (exclusive of home, furnishings and automobiles) or (ii) an annual gross income of at least $45,000 and a net worth of at least $45,000 (exclusive of home, furnishings and automobiles). | |
13. | Oklahoma — Net worth of at least $225,000 or a net worth of at least $60,000 and an annual taxable income of $60,000. | |
14. | Oregon — Net worth of at least $225,000 or a net worth of at least $60,000 and an annual taxable income of $60,000. | |
15. | Pennsylvania — Net worth of at least $175,000 or a net worth of at least $100,000 and an annual taxable income of $50,000. | |
16. | Tennessee — Net worth of at least $225,000 or a net worth of at least $60,000 and an annual taxable income during the past two years and anticipated taxable income in the current year of at least $60,000. | |
17. | Texas — Net worth of at least $225,000 or a net worth of at least $60,000 and an annual taxable income of at least $60,000. |
C-3
D-1
1) Total $ Amount | 2) Account # (must be completed) | |||
(minimum of $100,000; $25,000 for additional investments, $10,000 for additional investments by IRAs and other tax-exempt accounts) | o if payment is made by debit to investor’s securities account, check box | |||
3) Social Security |
o Individual Ownership o Partnership* o Corporation* | o Tenants in Common o Joint Tenants with Right of Survivorship o Tenants in Entirety | o Estate* o Grantor or Other Revocable Trust* o Trust other than a Grantor or Revocable Trust* | o UGMA/UTM (Minor) o Community Property |
o IRA o IRA Rollover | o Profit Sharing* o Defined Benefit* | o Pension* o SEP | o Other (specify) |
6) | ____________________________________________________________________________ Additional Information(For Estates, Partnerships, Trusts and Corporations) |
7) | Resident Address of Limited Partner |
Street(P.O. Box not acceptable) | City State Zip Code |
8) | Mailing Address (if different) |
Street | City State Zip Code |
9) | Custodian Name and Mailing Address |
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 |
D-2
Approximate | |||||
Amount | |||||
Printing Expenses | $ | 400,000 | |||
Fees of Certified Public Accountants | $ | 25,000 | |||
Blue Sky Expenses (Excluding Legal Fees) | $ | 500,000 | |||
Fees of Counsel | $ | 250,000 | |||
Escrow Fees | $ | 5,000 | |||
Salaries of Employees Engaged in Sales Activity | $ | 7,800,000 | |||
Miscellaneous Offering Costs | $ | 20,000 | |||
Total | $ | 9,000,000 | |||
II-1
Exhibit | ||||
Number | Description of Document | |||
1.01 | Form of Selling Agreement among the Partnership, the General Partner, PaineWebber Incorporated and the Selling Agent.(5) | |||
1.02 | Form of Auxiliary Selling Agreement.(4) | |||
1.03 | Form of Service Agreement among Steben Asset Management, Inc. the Registrant and the General Partner.(2) | |||
1.04 | Form of Correspondent Selling Agreement among the Partnership, the General Partner, PaineWebber Incorporated and Correspondent Selling Agents under PaineWebber Incorporated.(5) | |||
1.05 | Agreement to transfer and assign the rights and obligations under the Auxiliary Selling Agreement.(7) | |||
3.01 | Agreement of Limited Partnership of the Registrant dated May 11, 1993.(1) | |||
3.02 | Certificate of Limited Partnership of the Registrant.(1) | |||
3.03 | Amended Agreement of Limited Partnership of the Registrant (included as Exhibit A to the Prospectus). | |||
5.01 | Opinion of Sidley Austin LLP relating to the legality of the Units. | |||
8.01 | Opinion of Sidley Austin LLP with respect to federal income tax consequences. | |||
10.01 | Advisory Agreement between the Partnership and Campbell & Company, Inc.(1) | |||
10.02 | Customer Agreement between the Partnership and PaineWebber Incorporated.(1) | |||
10.03 | Subscription Agreement and Power of Attorney (included as Exhibit D to Prospectus) | |||
10.04 | Escrow Agreement between the Partnership and Mercantile Safe Deposit & Trust Company.(1) | |||
10.05 | International Swap Dealers Association, Inc. Master Agreement between The Partnership and ABN AMRO Bank N.V.(6) | |||
10.06 | International Swap Dealers Association, Inc. Master Agreement between the Partnership and Deutsche Bank AG.(6) | |||
16.01 | Letter regarding change in Certifying Accountant.(8) | |||
23.01 | Consent of Sidley Austin LLP. | |||
23.02 | Consent of Arthur F. Bell, Jr. & Associates, L.L.C. | |||
23.03 | Consent of Deloitte & Touche LLP. |
(1) | This exhibit is included in exhibits filed by the Registrant as part of its Registration Statement on Form S-1 (No. 33-67164) on August 9, 1993 and is hereby incorporated herein by reference. |
(2) | This exhibit is included in the exhibits filed by the Registrant as part of its Post-Effective Amendment No. 1 to the Registration Statement on Form S-1 (No. 33-84126) on May 22, 1995 and is hereby incorporated herein by reference. |
(3) | This exhibit is included in exhibits filed by the Registrant as part of its Pre-Effective Amendment No. 1 to the Registration Statement on Form S-1 (No. 333-68431) on December 24, 1998 and is hereby incorporated herein by reference. |
(4) | This exhibit is included in exhibits filed by the Registrant as part of its Registration Statement on Form S-1 (No. 333-80933) on June 17, 1999 and is hereby incorporated herein by reference. |
(5) | This exhibit is included in exhibits filed by the Registrant as part of its Registration Statement on Form S-1 (No. 333-43250) on August 8, 2000 and is hereby incorporated herein by reference. |
(6) | This exhibit is included in exhibits filed by the Registrant as part of its Registration Statement on Form S-1 (No. 333-61274) on May 18, 2001 and is hereby incorporated herein by reference. |
II-2
(7) | This exhibit is included in exhibits filed by the Registrant as part of its Registration Statement on Form S-1 (No. 333-101011) on November 5, 2002 and is hereby incorporated herein by reference. |
(8) | This exhibit is included in exhibits filed by the Registrant as part of its Report on Form 8-K (No. 000-22260) on September 27, 2005 and is hereby incorporated by reference. |
(1) | To file, during any period in which offers or sales are being made, a post-effective amendment to this registration statement: |
(i) | To include any prospectus required by section 10(a)(3) of the Securities Act of 1933; | |
(ii) | To reflect in the prospectus any facts or events arising after the effective date of the registration statement (or the most recent post-effective amendment thereof) which, individually or in the aggregate, represent a fundamental change in the information set forth in the registration statement; | |
(iii) | To include any material information with respect to the plan of distribution not previously disclosed in the registration statement or any material change to such information in the registration statement. |
(A) Paragraphs (a)(1)(i) and (a)(1)(ii) of this section do not apply if the registration statement is on Form S-8, and the information required to be included in a post-effective amendment by those paragraphs is contained in reports filed with or furnished to the Commission by the registrant pursuant to section 13 or section 15(d) of the Securities Exchange Act of 1934 that are incorporated by reference in the registration statement; and | |
(B) Paragraphs (a)(1)(i), (a)(1)(ii) and (a)(1)(iii) of this section do not apply if the registration statement is on Form S-3 or Form F-3 and the information required to be included in a post-effective amendment by those paragraphs is contained in reports filed with or furnished to the Commission by the registrant pursuant to section 13 or section 15(d) of the Securities Exchange Act of 1934 that are incorporated by reference in the registration statement, or is contained in a form of prospectus filed pursuant to Rule 424(b) that is part of the registration statement. | |
(2) | That, for the purpose of determining any liability under the Securities Act of 1933, each such post-effective amendment shall be deemed to be a new registration statement relating to the securities offered therein, and the offering of such securities at that time shall be deemed to be the initial bona fide offering thereof. | |
(3) | To remove from registration by means of a post-effective amendment any of the securities being registered which remain unsold at the termination of the offering. | |
(4) | That, for the purpose of determining liability under the Securities Act of 1933 to any purchaser: | |
If the registrant is subject to Rule 430C, each prospectus filed pursuant to Rule 424(b) as part of a registration statement relating to an offering, other than registration statements relying on Rule 430B or other than prospectuses filed in reliance on Rule 430A, shall be deemed to be part of and included in the registration statement as of the date it is first used after effectiveness. Provided, however, that no statement made in a registration statement or prospectus that is part of the registration statement or made in a document incorporated or deemed incorporated by reference into the registration statement or prospectus that is part of |
II-3
the registration statement will, as to a purchaser with a time of contract of sale prior to such first use, supersede or modify any statement that was made in the registration statement or prospectus that was part of the registration statement or made in any such document immediately prior to such date of first use. |
(5) | That, for the purpose of determining liability of the registrant under the Securities Act of 1933 to any purchaser in the initial distribution of the securities: |
(i) | Any preliminary prospectus or prospectus of the undersigned registrant relating to the offering required to be filed pursuant to Rule 424; | |
(ii) | Any free writing prospectus relating to the offering prepared by or on behalf of the undersigned registrant or used or referred to by the undersigned registrant; | |
(iii) | The portion of any other free writing prospectus relating to the offering containing material information about the undersigned registrant or its securities provided by or on behalf of the undersigned registrant; and | |
(iv) | Any other communication that is an offer in the offering made by the undersigned registrant to the purchaser. | |
(1) | For purposes of determining any liability under the Securities Act of 1933, the information omitted from the form of prospectus filed as part of this registration statement in reliance upon Rule 430A and contained in a form of prospectus filed by the registrant pursuant to Rule 424(b)(1) or (4), or 497(h) under the Securities Act shall be deemed to be part of this registration statement as of the time it was declared effective. | |
(2) | For the purpose of determining any liability under the Securities Act of 1933, each post-effective amendment that contains a form of prospectus shall be deemed to be a new registration statement relating to the securities offered therein, and the offering of such securities at that time shall be deemed to be the initial bona fide offering thereof. |
II-4
CAMPBELL STRATEGIC ALLOCATION | |
FUND, L.P. |
By: | Campbell & Company, Inc. |
General Partner |
By: | /s/BRUCE L. CLELAND |
Bruce L. Cleland | |
Chief Executive Officer |
Signatures | Title with Registrant | Date | ||
/s/ D. KEITH CAMPBELL D. Keith Campbell | Chairman of the Board and Director | February 2, 2006 | ||
/s/ BRUCE L. CLELAND Bruce L. Cleland | President, Chief Executive Officer and Director (Principal Executive Officer) | February 2, 2006 | ||
/s/ THERESA D. BECKS Theresa D. Becks | Chief Financial Officer, Secretary, Treasurer and Director (Principal Financial Officer) | February 2, 2006 | ||
/s/ WILLIAM C. CLARKE, III William C. Clarke, III | Executive Vice President and Director | February 2, 2006 | ||
/s/ JAMES M. LITTLE James M. Little | Executive Vice President and Director | February 2, 2006 |
CAMPBELL & COMPANY, INC. | General Partner of Registrant | February 2, 2006 | ||
By: /s/ BRUCE L. CLELAND Bruce L. Cleland Chief Executive Officer |
II-5
Exhibit | ||||
Number | Description of Document | |||
5.01 | Opinion of Sidley Austin LLP relating to the legality of the units. | |||
8.01 | Opinion of Sidley Austin LLP with respect to federal income tax consequences. | |||
23.01 | Consent of Sidley Austin LLP. | |||
23.02 | Consent of Arthur F. Bell, Jr. & Associates, L.L.C. | |||
23.03 | Consent of Deloitte & Touche LLP. |