1
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
[ X ] QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the quarterly period ended September 30, 1997
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or
[ ] TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the transition period from to
-------------------- ------------------------
Commission File number: 0-22260
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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
Delaware 52-1823554
- ---------------------------------------------- ------------------------------------------
(State of Organization) (IRS Employer Identification Number)
Court Towers Building,
210 West Pennsylvania Avenue,
Baltimore, Maryland 21204
- ------------------------------------------ ---------------------------------------------
(Address of principal executive offices) (Zip Code)
(410) 296-3301
- ---------------------------------------------------
(Registrant's telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months, and (2) has been subject to such filing
requirements for the past 90 days.
Yes [ X ] No [ ]
Total number of Pages: 17
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PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
The following unaudited financial statements of Campbell Strategic Allocation
Fund, L.P. are included in Item 1:
Statements of Financial Condition as of September 30, 1997 and
December 31, 1996
Statements of Operations for the Three Months and
Nine Months Ended September 30, 1997 and 1996
Statements of Cash Flows for the Nine Months Ended
September 30, 1997 and 1996
Statements of Changes in Partners' Capital for the Nine Months Ended
September 30, 1997 and 1996
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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
September 30, 1997 (Unaudited) and December 31, 1996 (Audited)
September 30, December 31,
1997 1996
------------ ------------
ASSETS
Equity in broker trading accounts
Cash $ 15,174,547 $ 15,907,914
United States government securities 20,563,230 10,583,946
Unrealized gain on open futures contracts 7,699,054 304,907
------------ ------------
Deposits with broker 43,436,831 26,796,767
Cash and cash equivalents 66,296,821 46,977,151
United States government securities 78,501,014 35,925,168
Unrealized gain (loss) on open forward contracts (715,214) 1,667,873
------------ ------------
Total assets $187,519,452 $111,366,959
============ ============
LIABILITIES
Accounts payable $ 109,635 $ 117,865
Brokerage fee 1,150,004 662,993
Performance fee 185,402 2,082,519
Offering costs payable 104,571 56,627
Redemptions payable 598,787 577,116
Subscription deposits 557,315 133,036
------------ ------------
Total liabilities 2,705,714 3,630,156
------------ ------------
PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner - 1,366.713 units
outstanding at September 30, 1997 and 1,859,427 1,123,514
885.938 at December 31,1996
Limited Partners - 134,474.450 and 84,069.060 units
outstanding at September 30, 1997 and
December 31, 1996 182,954,311 106,613,289
------------ ------------
Total partners' capital
(Net Asset Value) 184,813,738 107,736,803
------------ ------------
$187,519,452 $111,366,959
============ ============
See accompanying notes.
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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
For the Three Months and Nine Months
Ended September 30, 1997 and 1996
(Unaudited)
Three Months Ended Nine Months Ended
September 30, September 30,
1997 1996 1997 1996
---- ---- ---- ----
INCOME
Trading gains (losses)
Realized $ 5,162,398 $(1,670,524) $10,352,042 $ 4,519,403
Change in unrealized 8,091,092 4,204,433 5,011,060 2,180,657
----------- ----------- ----------- -----------
Gain from trading 13,253,490 2,533,909 15,363,102 6,700,060
Interest income 2,202,151 857,708 5,489,916 2,133,906
----------- ----------- ----------- -----------
Total income 15,455,641 3,391,617 20,853,018 8,833,966
----------- ----------- ----------- -----------
EXPENSES
Brokerage fee 3,334,265 1,298,071 8,471,730 3,360,357
Performance fee 190,283 0 1,006,667 0
Operating expenses 81,110 69,181 283,523 175,627
----------- ----------- ----------- -----------
Total expenses 3,605,658 1,367,252 9,761,920 3,535,984
----------- ----------- ----------- -----------
NET INCOME $11,849,983 $ 2,024,365 $11,091,098 $ 5,297,982
=========== ============ =========== ===========
NET INCOME PER GENERAL
AND LIMITED PARTNER UNIT
(based on weighted average
number of units outstanding
during the period) $ 95.36 $ 32.81 $ 103.66 $ 98.05
=========== ============ =========== ===========
INCREASE IN NET ASSET
VALUE PER GENERAL
AND LIMITED PARTNER UNIT $ 95.50 $ 29.19 $ 92.35 $ 90.92
=========== ============ =========== ===========
See accompanying notes.
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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
For the Nine Months Ended September 30, 1997 and 1996
(Unaudited)
1997 1996
----- ------
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
Net income $11,091,098 $ 5,297,982
Adjustments to reconcile net income to net cash from
operating activities
Net change in unrealized (5,011,060) (2,180,658)
Increase (Decrease) in accounts payable
and accrued expenses (1,418,336) 217,408
----------- -----------
Net cash from operating activities 4,661,702 3,334,732
----------- -----------
CASH FLOWS FROM (FOR) INVESTING ACTIVITIES
Net (purchases) maturities of investments in United States government
and agency securities (52,555,130) (20,924,319)
----------- -----------
Net cash from (for) investing activities (52,555,130) (20,924,319)
----------- -----------
CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
Offering of units 71,473,031 26,062,237
Increase in subscription deposits 424,279 187,290
Redemption of units (4,683,099) (6,125,322)
Increase (Decrease) in redemptions payable 21,671 (123,911)
Offering costs charged (804,095) (443,376)
Increase in offering costs payable 47,944 19,983
----------- -----------
Net cash from financing activities 66,479,731 19,576,901
----------- -----------
Net increase in cash and cash equivalents 18,586,303 1,987,314
CASH AND CASH EQUIVALENTS
Beginning of period 62,885,065 33,729,444
----------- -----------
End of period $81,471,368 $35,716,758
=========== ===========
See accompanying notes.
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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
For the Nine Months Ended September 30, 1997 and 1996
(Unaudited)
Partners' Capital
-------------------------------------------------------------------------------------
General Limited Total
----------------------- ---------------------------- -------------------------
Units Amount Units Amount Units Amount
----- ------ ----- ------ ----- ------
NINE MONTHS ENDED
SEPTEMBER 30, 1997
Balances at
December 31, 1996 885.938 $1,123,514 84,069.060 $106,613,289 84,954.998 $107,736,803
Additions 480.775 630,000 53,996.40 70,843,031 54,477.175 71,473,031
Net income for the nine months
ended September 30, 1997 114,114 10,976,984 11,091,098
Redemptions 0.000 0 (3,591.010) (4,683,099) (3,591.010) (4,683,099)
Offering costs (8,201) (795,894) (804,095)
--------- ---------- ------------- ------------ ----------- ------------
Balances at
September 30, 1997 1,366.713 $1,859,427 134,474.450 $182,954,311 135,841.163 $184,813,738
========= ========== ============= ============ =========== ============
NINE MONTHS ENDED
SEPTEMBER 30, 1996
Balances at
December 31, 1995 472.222 $ 459,018 45,897.894 $ 44,614,516 46,370.116 $ 45,073,534
Additions 191.854 200,000 25,107.296 25,862,237 25,299.150 26,062,237
Net income for the six months
ended September 30, 1996 51,316 5,246,666 5,297,982
Redemptions 0.000 0 (5,942.116) (6,125,322) (5,942.116) (6,125,322)
Offering costs (4,448) (438,928) (443,376)
--------- ---------- ------------- ------------ ----------- ------------
Balances at
September 30, 1996 664.076 $ 705,886 65,063.074 $ 69,159,169 65,727.150 $ 69,865,055
========= ========== ============= ============ =========== ============
Net Asset Value Per Unit
---------------------------------------------------------------------------
September 30, December 31, September 30, December 31,
1997 1996 1996 1995
------------ ------------- ------------ ---------------
$ 1,360.51 $ 1,268.16 $ 1,062.96 $ 972.04
============ ============= ============ ===============
See accompanying notes.
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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
A. General Description of the Partnership
Campbell Strategic Allocation Fund, L.P. (the Partnership)
is a Delaware limited partnership which operates as a
commodity investment pool. The Partnership was formed on
May 11, 1993 and commenced trading on April 18, 1994.
B. Regulation
As a registrant with the Securities and Exchange Commission,
the Partnership is subject to the regulatory requirements
under the Securities Acts of 1933 and 1934. As a commodity
investment pool, the Partnership 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 Partnership executes
transactions. Additionally, the Partnership is subject to
the requirements of Futures Commission Merchants (brokers)
and interbank market makers through which the Partnership
trades.
C. Method of Reporting
The Partnership's financial statements are presented in
accordance with generally accepted accounting principles,
which require the use of certain estimates made by the
Partnership's management. Gains or losses are realized when
contracts are liquidated. Unrealized gain or losses on open
contracts (the difference between contract purchase 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." Any
change in net unrealized gain or loss from the preceding
period is reported in the statement of operations. United
States government and agency securities are stated at market
value.
D. Cash and Cash Equivalents
Cash and cash equivalents includes cash, other demand
deposits and short-term time deposits held at financial
institutions.
E. Income Taxes
The Partnership prepares calendar year U.S. and state
information tax returns and reports to the partners their
allocable shares of the Partnership's income, expenses and
trading gains or losses.
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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
F. Offering Costs
The General Partner has incurred total costs in connection
with the initial and continuous offering of Units of the
Partnership (offering costs) of $4,401,730 through September
30, 1997, $1,757,264 of which has already been reimbursed to
the General Partner by the Partnership. At September 30,
1997, the Partnership reflects a liability in the statement
of financial condition for offering costs payable to the
General Partner of $104,571. The Partnership's liability
for offering costs is limited to the maximum of total
offering costs incurred by the General Partner or 2.5% of
the aggregate subscriptions accepted during the initial and
continuous offerings; this maximum is further limited by a
pay-out schedule over 30 months. The Partnership is only
liable for payment of offering costs on a monthly basis as
calculated based on the limitations stated above. If the
Partnership terminates prior to completion of payment of the
calculated amounts to the General Partner, the General
Partner will not be entitled to any additional payments and
the Partnership will have no further obligation to the
General Partner.
The amount of monthly reimbursement due to the General
Partner is charged directly to Partners' capital.
G. Foreign Currency Transactions
The Partnership'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
The General Partner of the Partnership is Campbell & Company,
Inc., which conducts and manages the business of the
Partnership. The General Partner is also the commodity trading
advisor of the Partnership. The Amended Agreement of Limited
Partnership provides that the General Partner may make
withdrawals of its Units, provided that such withdrawals do not
reduce the General Partner's aggregate percentage interest in
the Partnership to less than 1% of the net aggregate
contributions.
The General Partner is required by the Amended Agreement of
Limited Partnership to maintain a net worth equal to at least
5% of the capital contributed by all the limited partnerships
for which it acts as general partner, including the Partnership.
The minimum net worth shall in no case be less than $50,000 nor
shall net worth in excess of $1,000,000 be required.
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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 2. GENERAL PARTNER AND COMMODITY TRADING ADVISOR (CONTINUED)
The Partnership pays a monthly brokerage fee not to exceed 1/12
of 8% (8% annualized) of month-end Net Assets. The General
Partner receives 7/8 of this fee, a portion (4/8 of the total
brokerage fee) of which is used to compensate selling agents for
ongoing services rendered and a portion (3/8 of the total
brokerage fee) of which is retained by the General Partner for
trading and management services rendered. The remaining 1/8 of
the brokerage fee (up to 1% per annum) is paid directly to the
broker. During the nine months ended September 30, 1997 and
1996, the amounts paid directly to the broker amounted to
$1,019,762 and $420,045 respectively.
The General Partner is also paid a quarterly performance fee of
20% of the Partnership's aggregate cumulative appreciation in
the Net Assets, exclusive of appreciation attributable to
interest income and as adjusted for subscriptions and
redemptions.
Note 3. DEPOSITS WITH BROKER
The Partnership deposits funds with a broker subject to
Commodity Futures Trading Commission regulations and various
exchange and broker requirements. Margin requirements are
satisfied by the deposit of U.S. Treasury bills and cash with
such broker. The Partnership earns interest income on its
assets deposited with the broker.
Note 4. OPERATING EXPENSES
Operating expenses of the Partnership are limited by the Amended
Agreement of Limited Partnership to 0.5% per year of the average
month-end Net Asset Value of the Partnership. Actual operating
expenses were less than 0.5% (annualized) for the nine months
ended September 30, 1997 and 1996.
Note 5. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
Investments in the Partnership are made by subscription
agreement, subject to acceptance by the General Partner. As of
September 30, 1997 and December 31, 1996 amounts received by the
Partnership by prospective limited partners who have not yet
been admitted to the Partnership by the General Partner amount
to $557,315 and $133,036, respectively.
The Partnership is not required to make distributions, but may
do so at the sole discretion of the General Partner. A Limited
Partner may request and receive redemption of Units as of any
month-end, subject to restrictions in the Amended Agreement of
Limited Partnership (including redemption fees which apply to
redemptions made in the first 12 months).
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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 6. TRADING ACTIVITIES AND RELATED RISKS
The Partnership engages in the speculative trading of U.S. and
foreign futures contracts and forward contracts (collectively,
"derivatives"). These derivatives include both financial and
non-financial contracts held as part of a diversified trading
program. The Partnership is exposed to both market risk, the
risk arising from changes in the market value of the contracts,
and credit risk, the risk of failure by another party to perform
according to the terms of a contract.
Purchase and sale of futures contracts requires margin deposits
with the broker. The Commodity Exchange Act requires a broker
to segregate all customer transactions and assets from such
broker's proprietary activities. A customer's cash and other
property (for example, U.S. Treasury bills) deposited with a
broker are considered commingled with all other customer funds
subject to the broker's segregation requirements. In the event
of a broker's insolvency, recovery may be limited to a pro rata
share of segregated funds available. It is possible that the
recovered amount could be less than total cash and other
property deposited.
The amount of required margin and good faith deposits with
brokers and interbank market makers usually range from 10% to
30% of Net Asset Value. The market value of securities held to
satisfy such requirements at September 30, 1997 and December 31,
1996 was $80,437,222 and $13,763,550, respectively, which equals
44% and 13% of the Fund's Net Assets, respectively.
The Partnership trades forward contracts in unregulated markets
between principals and assumes the risk of loss from
counterparty nonperformance. Accordingly, the risks associated
with forward contracts are generally greater than those
associated with exchange traded contracts because of the greater
risk of counterparty default. Additionally, the trading of
forward contracts typically involves delayed cash settlement.
The Partnership has a substantial portion of its assets on
deposit with financial institutions. In the event of a
financial institution's insolvency, recovery of Partnership
assets on deposit may be limited to account insurance or other
protection afforded such deposits. In the normal course of
business, the Partnership requires collateral for repurchase
agreements.
For derivatives, risks arise from changes in the market value of
the contracts. Theoretically, the Partnership is exposed to a
market risk equal to the value of futures and forward contracts
purchased and unlimited liability on such contracts sold short.
The fair value of derivatives represents unrealized gains and
losses on open futures and forward contracts. The average fair
value of derivatives during the nine months ended September 30,
1997 and 1996 was approximately $3,126,000 and $2,873,000
respectively and the related fair
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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
values as of September 30, 1997 and December 31, 1996 are
approximately $6,984,000 and $1,973,000, respectively.
Net trading results from derivatives are reflected in the
statement of operations and equal gain from trading less the
portion of the brokerage fee paid directly to the broker. Such
trading results reflect the net gain arising from the
Partnership's speculative trading of futures and forward
contracts.
Open contracts generally mature within three months; the latest
maturity date for open contracts as of September 30, 1997 is
February 1998. However, the Partnership intends to close all
contracts prior to maturity. At September 30, 1997 and
December 31, 1996, the notional amount of open contracts is as
follows:
September 30, 1997 December 31, 1996
------------------------------------- ----------------------------------
Contracts to Contracts to Contracts to Contracts to
Purchase Sell Purchase Sell
--------------- ---------------- -------------- -------------
Derivatives:
Futures contracts:
- Long-term interest rates $ 731,200,000 $ 0 $ 154,000,000 $118,100,000
- Short-term interest rates 598,700,000 67,100,000 134,200,000 0
- Currencies 0 0 11,400,000 21,200,000
- Stock indices 453,400,000 13,000,000 600,000 12,200,000
- Softs/Fibers 900,000 4,100,000 1,000,000 0
- Grains 800,000 0 0 0
- Meats 0 1,100,000 400,000 0
- Metals 12,800,000 18,600,000 16,500,000 9,300,000
- Energy 45,000,000 0 18,300,000 0
Forward contracts:
- Currencies 337,300,000 404,100,000 119,900,000 155,700,000
-------------- -------------- -------------- ------------
$2,180,100,000 $ 508,000,000 $ 456,300,000 $316,500,000
============== ============== ============== ============
The above amounts do not represent the Partnership's risk of
loss due to market and credit risk, but rather represent the
Partnership's extent of involvement in derivatives at the date
of the statement of financial condition.
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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
The General Partner has established procedures to actively
monitor and minimize market and credit risk. The Limited
Partners bear the risk of loss only to the extent of the market
value of their respective investments and, in certain specific
circumstances, distributions and redemptions received.
Note 7. INTERIM FINANCIAL STATEMENTS
The Statement of Financial Condition as of September 30, 1997,
the Statements of Operations for the three months and nine
months ended September 30, 1997 and 1996, the Statements of
Cash Flows for the nine months ended September 30, 1997 and
1996 and the Statements of Changes in Partners' Capital (Net
Asset Value) for the nine months ended September 30, 1997 and
1996 are unaudited. In the opinion of management, such
financial statements reflect all adjustments, which were of a
normal and recurring nature, necessary for a fair presentation
of financial position as of September 30, 1997 and the results
of operations for the three months and nine months ended
September 30, 1997 and 1996.
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Item 2. Management's Discussion and Analysis of Financial Condition and
Results of Operations
Introduction
The offering of the Campbell Strategic Allocation Fund's (the "Fund") Units of
Limited Partnership Interests commenced on January 12, 1994, and the initial
offering terminated on April 15, 1994 with proceeds of $9,692,439. The
continuing offering period commenced immediately after the termination of the
initial offering period; additional subscriptions totaling $166,332,952 have
been accepted during the continuing offering period as of October 1, 1997.
Redemptions over the same time period total $20,772,566. The Fund commenced
operations on April 18, 1994.
Capital Resources
The Fund will raise additional capital only through the sale of Units offered
pursuant to the continuing offering, and does not intend to raise any capital
through borrowing. Due to the nature of the Fund's business, it will make no
capital expenditures and will have no capital assets which are not operating
capital or assets.
Liquidity
Most United States commodity exchanges limit fluctuations in commodity futures
contracts prices during a single day by regulations referred to as "daily price
fluctuation limits" or "daily limits". During a single trading day, no trades
may be executed at prices beyond the daily limit. Once the price of a futures
contract has reached the daily limit for that day, positions in that contract
can neither be taken nor liquidated. Commodity futures prices have
occasionally moved to the daily limit for several consecutive days with little
or no trading. Similar occurrences could prevent the Fund from promptly
liquidating unfavorable positions and subject the Fund to substantial losses
which could exceed the margin initially committed to such trades. In addition,
even if commodity futures prices have not moved to the daily limit, the Fund
may not be able to execute futures trades at favorable prices, if little
trading in such contracts is taking place. Other than these limitations on
liquidity, which are inherent in the Fund's commodity futures trading
operations, the Fund's assets are expected to be highly liquid.
Results of Operations
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The returns for the nine months ending September 30, 1997 and 1996 was 7.28%
and 9.35%, respectively. The 7.28% increase was the result of an approximate
10.87% increase due to trading gains (before commissions) and an approximate
3.89% increase due to interest income, offset by an approximate 6.48% decrease
as the result of brokerage fees, performance fees, operating costs and offering
costs borne by the Fund.
The majority of trading gains for the first quarter of 1997 came from the
foreign exchange sector, where the U.S. Dollar continued to show strength early
in the quarter. Short foreign currency positions realized profit as the U.S.
Dollar's upward trend remained intact. Another strong contributor to first
quarter profits was the energy sector. The warm weather in February gave
direction to January's volatility in energy. Short positions in natural gas
and London Gasoil proved profitable. The interest rate sector was the poorest
performer. Mid-quarter gains based on good employment and inflation numbers
quickly turned to losses after Greenspan's Congressional testimony. However,
strong economic data and a Federal Reserve rate hike combined to push bonds
lower, providing a profit on the short position and offsetting some losses. As
the equity market consolidated the Fund experienced slight losses. These
losses, though painful, are expected as we move from trend to trend.
Trading for the second quarter of 1997 proved unprofitable, giving back 4.12%
of the 5.78% in trading profits earned during the first quarter. The powerful
trends in currencies, interest rates, and energy, that had given us such strong
performance during the last quarter of 1996, came to their conclusion and went
through the normal, cyclical period of volatility and a consolidation phase in
April and May. The energy sector reversed course and we gave back much of the
profits made earlier in the year on our short positions. Returns from stock
indices were strong in the second quarter, as the result of U.S. and
international indices which rallied in response to lower interest rates and the
Federal Reserve's failure to raise rates at its May meeting.
The majority of gross trading gains for the year (9.21% of the 10.87%) were
achieved in the third quarter, with positive returns from interest rate
contracts making rates the best performing sector. Bonds were strong around
the globe in July reflecting the belief that world economies were enjoying
controlled growth. The dollar continued its strength against European and
Asian currencies. August brought some reversals to the trends, but September
ushered in a resumption of the bull moves in the bond markets as well as the
U.S. Dollar.
The Fund is unaware of any (i) anticipated known demands, commitments or
capital expenditures; (ii) material trends, favorable or unfavorable, in its
capital resources; or (iii) trends or uncertainties that will have a material
effect on operations. From time to time, certain regulatory agencies have
proposed increased margin requirements on commodity futures contracts. Because
the Fund generally uses a small percentage of assets for margin, the Fund
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does not believe that any increase in margin requirements, if adopted as
proposed, will have a material effect on the Fund's operations. Management
cannot predict whether the Fund's Net Asset Value per Unit will increase or
decrease. Inflation is not a significant factor in the Fund's operations,
except to the extent that inflation may affect futures' prices.
Off-Balance Sheet Risk
The Fund trades in futures and forward contracts and is therefore a party to
financial instruments with elements of off-balance sheet market and credit
risk. In entering into these contracts there exists a risk to the Fund (market
risk) that such contracts may be significantly influenced by market conditions,
such as interest rate volatility, resulting in such contracts being less
valuable. If the markets should move against all of the futures interest
positions of the Fund at the same time, and if the Fund's trading advisor was
unable to offset positions, the Fund could lose all of its assets and the
Limited Partners would realize a 100% loss. Campbell & Company, Inc., the
General Partner (who also acts as trading advisor), minimizes market risk
through real-time monitoring of open positions, diversification of the
portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%.
In addition to market risk, in entering into futures and forward contracts
there is a credit risk that a counterparty will not be able to meet its
obligations to the Fund. The counterparty for futures contracts traded in the
United States and most foreign futures exchanges is the clearinghouse
associated with such exchange. In general, clearinghouses are backed by the
corporate members of the clearinghouse who are required to share any financial
burden resulting from the non-performance by one of their members and as such,
should significantly reduce this credit risk. In cases where the clearinghouse
is not backed by the clearing members (i.e. some foreign exchanges), it is
normally backed by a consortium of banks or other financial institutions. In
the case of forward contracts, which are traded on the interbank market rather
than on exchanges, the counterparty is generally a single bank or other
financial institution, rather than a group of financial institutions, thus
there may be greater counterparty credit risk. Campbell & Company, Inc., the
General Partner (who also acts as trading advisor), trades for the fund only
with those counterparties which it believes to be creditworthy. All positions
of the Fund are valued each day on a mark-to-market basis. While the General
Partner monitors the creditworthiness and risks involved in dealing on the
various exchanges and with counterparties, there can be no assurance that any
clearing member, clearinghouse or other counterparty will be able to meet its
obligations to the Fund.
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PART II-OTHER INFORMATION
Item 1. Legal Proceedings.
None
Item 2. Changes in Securities
None
Item 3. Defaults Upon Senior Securities
Not applicable.
Item 4. Submissions of Matters to a vote of Security Holders.
None
Item 5. Other Information
None
Item 6. Exhibits and Reports on Form 8-K.
None
There are no exhibits to this Form 10-Q.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Registrant)
By: Campbell & Company, Inc.
General Partner
Date: November 11, 1997 By: /s/Theresa D. Livesey
-------------------------------------------
Theresa D. Livesey
Chief Financial Officer/Treasurer/Director
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