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As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 5/15/20 Campbell Strategic Allocation… LP 10-Q 3/31/20 53:4.9M Broadridge Fin’l So… Inc |
Document/Exhibit Description Pages Size 1: 10-Q Quarterly Report HTML 496K 2: EX-31.1 Exhibit 31.01 HTML 25K 3: EX-31.2 Exhibit 31.02 HTML 25K 4: EX-32.1 Exhibit 32.01 HTML 18K 5: EX-32.2 Exhibit 32.02 HTML 18K 16: R1 Document and Entity Information HTML 47K 37: R2 Condensed Schedule of Investments (Unaudited) HTML 232K 43: R3 Condensed Schedule of Investments (Unaudited) HTML 100K (Parenthetical) 32: R4 Statements of Financial Condition (Unaudited) HTML 76K 19: R5 Statements of Financial Condition (Unaudited) HTML 29K (Parenthetical) 40: R6 Statements of Operations (Unaudited) HTML 67K 46: R7 Statements of Cash Flows (Unaudited) HTML 56K 29: R8 Statements of Cash Flows (Unaudited) HTML 33K (Parenthetical) 20: R9 Statements of Changes in Partners' Capital (Net HTML 38K Asset Value) (Unaudited) 12: R10 Statements of Changes in Partners' Capital (Net HTML 20K Asset Value) (Unaudited) (Parenthetical) 27: R11 Financial Highlights (Unaudited) HTML 41K 48: R12 Organization and Summary of Significant Accounting HTML 74K Policies 41: R13 General Partner and Commodity Trading Advisor HTML 22K 13: R14 Administrator and Transfer Agent HTML 20K 28: R15 Cash Manager and Custodian HTML 20K 49: R16 Deposits With Futures Brokers HTML 19K 42: R17 Deposits With Interbank Market Makers HTML 20K 15: R18 Operating Expenses HTML 19K 26: R19 Subscriptions, Distributions and Redemptions HTML 20K 52: R20 Trading Activities and Related Risks HTML 186K 33: R21 Indemnifications HTML 20K 21: R22 Interim Financial Statements HTML 22K 24: R23 Subsequent Events HTML 20K 53: R24 Organization and Summary of Significant Accounting HTML 94K Policies (Policies) 34: R25 Organization and Summary of Significant Accounting HTML 56K Policies (Tables) 22: R26 Trading Activities and Related Risks (Tables) HTML 184K 25: R27 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING HTML 48K POLICIES, Fair Value (Details) 51: R28 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING HTML 31K POLICIES, Income Taxes (Details) 35: R29 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING HTML 25K POLICIES, Offering Costs (Details) 39: R30 General Partner and Commodity Trading Advisor HTML 41K (Details) 45: R31 Deposits With Interbank Market Makers (Details) HTML 22K 31: R32 Operating Expenses (Details) HTML 22K 18: R33 Subscriptions, Distributions and Redemptions HTML 19K (Details) 38: R34 TRADING ACTIVITIES AND RELATED RISKS, Derivatives HTML 55K by Instrument Type and Location of Instruments on the Statements of Financial Condition (Details) 44: R35 TRADING ACTIVITIES AND RELATED RISKS, Derivatives HTML 35K by Instrument Type (Details) 30: R36 TRADING ACTIVITIES AND RELATED RISKS, Location of HTML 51K Gains and Losses on the Statements of Operations (Details) 17: R37 TRADING ACTIVITIES AND RELATED RISKS, Credit Risk HTML 35K (Details) 36: R38 TRADING ACTIVITIES AND RELATED RISKS, Offsetting HTML 72K of Derivative Assets and Collateral Received by Counterparty (Details) 47: R39 TRADING ACTIVITIES AND RELATED RISKS, Offsetting HTML 81K of Derivative Liabilities and Collateral Pledged by Counterparty (Details) 50: XML IDEA XML File -- Filing Summary XML 91K 14: EXCEL IDEA Workbook of Financial Reports XLSX 59K 6: EX-101.INS XBRL Instance -- csaf-20200331 XML 1.75M 8: EX-101.CAL XBRL Calculations -- csaf-20200331_cal XML 127K 9: EX-101.DEF XBRL Definitions -- csaf-20200331_def XML 420K 10: EX-101.LAB XBRL Labels -- csaf-20200331_lab XML 1.20M 11: EX-101.PRE XBRL Presentations -- csaf-20200331_pre XML 698K 7: EX-101.SCH XBRL Schema -- csaf-20200331 XSD 159K 23: ZIP XBRL Zipped Folder -- 0001140361-20-011755-xbrl Zip 149K
☑ |
Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
|
☐ |
Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
|
Delaware
|
52-1823554
|
|
(State or other jurisdiction of incorporation or organization)
|
(IRS Employer Identification Number)
|
(Address of principal executive offices, including zip code)
|
||
(410) 413-2600
|
||
(Registrant’s telephone number, including area code)
|
Title of each class
|
Trading Symbol(s)
|
Name of each exchange on which registered
|
||
Not applicable.
|
Not applicable.
|
Not applicable.
|
Large accelerated filer ☐
|
Accelerated filer ☐
|
Non-accelerated filer ☑
|
Smaller reporting company ☐
|
Emerging growth company ☐
|
Page
|
|||
PART I — FINANCIAL INFORMATION
|
|||
Item 1.
|
Financial Statements.
|
||
1-4
|
|||
5
|
|||
6
|
|||
7
|
|||
8
|
|||
9
|
|||
10-20
|
|||
Item 2.
|
21-25
|
||
Item 3.
|
25-29
|
||
Item 4.
|
29
|
||
PART II — OTHER INFORMATION
|
|||
Item 1.
|
30
|
||
Item 1A.
|
30
|
||
Item 2.
|
30
|
||
Item 3.
|
30
|
||
Item 4.
|
30
|
||
Item 5.
|
30
|
||
Item 6.
|
31-32
|
||
33
|
Maturity
Face Value
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
|||||||
Asset Backed Securities
|
||||||||||
United States
|
||||||||||
Auto Loans
|
$
|
9,239,561
|
5.55
|
%
|
||||||
Equipment Loans
|
317,601
|
0.19
|
%
|
|||||||
Utility Rate Reduction Bonds
|
366,251
|
0.22
|
%
|
|||||||
Total Asset Backed Securities (cost $9,893,237)
|
9,923,413
|
5.96
|
%
|
|||||||
|
||||||||||
Bank Deposits
|
||||||||||
United States
|
||||||||||
Financials
|
1,344,643
|
0.81
|
%
|
|||||||
Total Bank Deposits (cost $1,341,126)
|
1,344,643
|
0.81
|
%
|
|||||||
|
||||||||||
Commercial Paper
|
||||||||||
Australia
|
||||||||||
Financials (cost $1,398,910)
|
1,399,038
|
0.84
|
%
|
|||||||
Netherlands
|
||||||||||
Energy (cost $1,191,015)
|
1,195,292
|
0.72
|
%
|
|||||||
Spain
|
||||||||||
Financials (cost $604,109)
|
604,182
|
0.36
|
%
|
|||||||
Switzerland
|
||||||||||
Financials (cost $1,785,030)
|
1,787,021
|
1.07
|
%
|
|||||||
United Kingdom
|
||||||||||
Financials (cost $1,065,039)
|
1,065,440
|
0.64
|
%
|
|||||||
United States
|
||||||||||
Communications
|
498,405
|
0.30
|
%
|
|||||||
Consumer Discretionary
|
9,368,780
|
5.63
|
%
|
|||||||
Consumer Staples
|
4,484,902
|
2.69
|
%
|
|||||||
Financials
|
14,513,972
|
8.72
|
%
|
|||||||
Industrials
|
4,897,974
|
2.94
|
%
|
|||||||
Materials
|
4,504,310
|
2.70
|
%
|
|||||||
Technology
|
899,205
|
0.54
|
%
|
|||||||
Utilities
|
13,020,516
|
7.82
|
%
|
|||||||
Total United States (cost $52,199,985)
|
52,188,064
|
31.34
|
%
|
|||||||
Total Commercial Paper (cost $58,244,088)
|
58,239,037
|
34.97
|
%
|
|||||||
Corporate Bonds
|
||||||||||
Australia
|
||||||||||
Financials (cost $2,274,995)
|
2,171,176
|
1.30
|
%
|
|||||||
Canada
|
||||||||||
Financials (cost $3,240,000)
|
3,186,172
|
1.91
|
%
|
|||||||
Germany
|
||||||||||
Consumer Discretionary (cost $2,144,389)
|
2,071,931
|
1.25
|
%
|
|||||||
Switzerland
|
||||||||||
Financials (cost $700,000)
|
655,707
|
0.39
|
%
|
|||||||
United Kingdom
|
||||||||||
Financials (cost $2,985,065)
|
2,853,311
|
1.71
|
%
|
|||||||
United States
|
||||||||||
Communications
|
1,408,120
|
0.85
|
%
|
|||||||
Consumer Discretionary
|
5,696,496
|
3.42
|
%
|
|||||||
Consumer Staples
|
1,969,597
|
1.18
|
%
|
|||||||
Energy
|
1,380,624
|
0.83
|
%
|
|||||||
Financials
|
9,967,441
|
5.98
|
%
|
|||||||
Industrials
|
3,188,398
|
1.91
|
%
|
|||||||
Materials
|
476,560
|
0.29
|
%
|
|||||||
Technology
|
2,541,985
|
1.53
|
%
|
|||||||
Utilities
|
1,290,829
|
0.78
|
%
|
|||||||
Total United States (cost $28,409,242)
|
27,920,050
|
16.77
|
%
|
|||||||
Total Corporate Bonds (cost $39,753,691)
|
$ |
38,858,347
|
23.33
|
%
|
Maturity
Face Value
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||||
Government and Agency Obligations
|
|||||||||||
United States
|
|||||||||||
U.S. Treasury Bills
|
|||||||||||
$
|
1,635,000
|
U.S. Treasury Bills * Due 04/16/2020
|
$ |
1,634,949
|
0.98
|
%
|
|||||
$
|
7,675,000
|
U.S. Treasury Bills * Due 05/14/2020
|
7,674,286
|
4.61
|
%
|
||||||
$
|
8,835,000
|
U.S. Treasury Bills * Due 06/11/2020
|
8,833,410
|
5.30
|
%
|
||||||
Total Government and Agency Obligations (cost $18,123,005)
|
18,142,645
|
10.89
|
%
|
||||||||
Total Fixed Income Securities ** (cost $127,355,147)
|
$
|
126,508,085
|
75.96
|
%
|
Description | Fair Value ($) |
% of Net Asset Value |
||||||
Money Market Funds
|
||||||||
United States
|
||||||||
Money Market Funds (cost $10,245)
|
$
|
10,245
|
0.01
|
%
|
||||
Total Short Term Investments (cost $10,245)
|
$
|
10,245
|
0.01
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Agriculture
|
$
|
28,593
|
0.02
|
%
|
||||
Energy
|
12,621
|
0.01
|
%
|
|||||
Metals
|
(5,100,732
|
)
|
(3.06
|
)%
|
||||
Stock indices
|
(122,299
|
)
|
(0.08
|
)%
|
||||
Short-term interest rates
|
24,930
|
0.01
|
%
|
|||||
Long-term interest rates
|
168,209
|
0.10
|
%
|
|||||
Net unrealized gain (loss) on long futures contracts
|
(4,988,678
|
)
|
(3.00
|
)%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Agriculture
|
(37,079
|
)
|
(0.02
|
)%
|
||||
Energy
|
413,327
|
0.25
|
%
|
|||||
Metals
|
8,560,055
|
5.14
|
%
|
|||||
Stock indices
|
(719,335
|
)
|
(0.43
|
)%
|
||||
Short-term interest rates
|
-
|
0.00
|
%
|
|||||
Long-term interest rates
|
(392,124
|
)
|
(0.24
|
)%
|
||||
Net unrealized gain (loss) on short futures contracts
|
7,824,844
|
4.70
|
%
|
|||||
Net unrealized gain (loss) on open futures contracts
|
$
|
2,836,166
|
1.70
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Various long forward currency contracts
|
$
|
(15,268,448
|
)
|
(9.17
|
)%
|
|||
Various short forward currency contracts
|
24,273,680
|
14.58
|
%
|
|||||
Net unrealized gain (loss) on open forward currency contracts
|
$
|
9,005,232
|
5.41
|
%
|
* |
Pledged as collateral for the trading of futures positions.
|
** |
Included in fixed income securities are U.S. Treasury Bills with a fair value of $18,142,645 deposited with the futures broker.
|
Maturity
Face Value
|
Description |
Fair
Value ($) |
% of Net
Asset Value |
|||||||
Asset Backed Securities
|
||||||||||
United States
|
||||||||||
Auto Loans
|
$
|
8,083,815
|
4.93
|
%
|
||||||
Credit Cards
|
1,495,173
|
0.91
|
%
|
|||||||
Equipment Loans
|
563,774
|
0.35
|
%
|
|||||||
Utility Rate Reduction Bond
|
366,602
|
0.22
|
%
|
|||||||
Total Asset Backed Securities (cost $10,469,597)
|
10,509,364
|
6.41
|
%
|
|||||||
Bank Deposits
|
||||||||||
Singapore
|
||||||||||
Financials
|
1,145,043
|
0.70
|
%
|
|||||||
Total Bank Deposits (cost $1,145,035)
|
1,145,043
|
0.70
|
%
|
|||||||
Commercial Paper
|
||||||||||
Australia
|
||||||||||
Financials (cost $1,392,419)
|
1,392,117
|
0.85
|
%
|
|||||||
Canada
|
||||||||||
Financials (cost $599,779)
|
599,772
|
0.37
|
%
|
|||||||
Spain
|
||||||||||
Financials (cost $806,584)
|
806,563
|
0.49
|
%
|
|||||||
Sweden
|
||||||||||
Financials (cost $1,679,537)
|
1,679,728
|
1.02
|
%
|
|||||||
Switzerland
|
||||||||||
Financials (cost $2,223,438)
|
2,223,543
|
1.36
|
%
|
|||||||
United States
|
||||||||||
Communications
|
1,547,565
|
0.94
|
%
|
|||||||
Consumer Discretionary
|
9,757,433
|
5.95
|
%
|
|||||||
Consumer Staples
|
1,099,493
|
0.67
|
%
|
|||||||
Financials
|
16,563,388
|
10.11
|
%
|
|||||||
Industrials
|
1,098,672
|
0.67
|
%
|
|||||||
Utilities
|
16,262,810
|
9.93
|
%
|
|||||||
Total United States (cost $46,329,947)
|
46,329,361
|
28.27
|
%
|
|||||||
Total Commercial Paper (cost $53,031,704)
|
53,031,084
|
32.36
|
%
|
|||||||
Corporate Bonds
|
||||||||||
Australia
|
||||||||||
Financials (cost $364,988)
|
366,759
|
0.23
|
%
|
|||||||
Canada
|
||||||||||
Financials
|
2,864,957
|
1.75
|
%
|
|||||||
Industrials
|
915,229
|
0.56
|
%
|
|||||||
Total Canada (cost $3,774,685)
|
3,780,186
|
2.31
|
%
|
|||||||
Germany
|
||||||||||
Consumer Discretionary (cost $2,893,453)
|
2,904,359
|
1.77
|
%
|
|||||||
Japan
|
||||||||||
Financials (cost $980,000)
|
980,181
|
0.60
|
%
|
|||||||
United Kingdom
|
||||||||||
Energy
|
250,061
|
0.15
|
%
|
|||||||
Financials
|
1,886,738
|
1.15
|
%
|
|||||||
Total United Kingdom (cost $2,129,873)
|
2,136,799
|
1.30
|
%
|
|||||||
United States
|
||||||||||
Communications
|
1,434,626
|
0.87
|
%
|
|||||||
Consumer Discretionary
|
7,073,288
|
4.32
|
%
|
|||||||
Consumer Staples
|
2,124,263
|
1.30
|
%
|
|||||||
Energy
|
3,177,393
|
1.94
|
%
|
|||||||
Financials
|
12,781,953
|
7.80
|
%
|
|||||||
Industrials
|
2,931,869
|
1.79
|
%
|
|||||||
Materials
|
481,657
|
0.29
|
%
|
|||||||
Technology
|
2,568,233
|
1.57
|
%
|
|||||||
Utilities
|
1,327,017
|
0.81
|
%
|
|||||||
Total United States (cost $33,819,239)
|
33,900,299
|
20.69
|
%
|
|||||||
Total Corporate Bonds (cost $43,962,238)
|
$ |
44,068,583
|
26.90
|
%
|
Maturity
Face Value
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||||
Government and Agency Obligations
|
|||||||||||
United States
|
|||||||||||
U.S. Treasury Bills
|
|||||||||||
$
|
6,875,000
|
U.S. Treasury Bills * Due 01/02/2020
|
$ |
6,875,000
|
4.20
|
%
|
|||||
$
|
1,850,000
|
U.S. Treasury Bills * Due 01/16/2020
|
1,848,998
|
1.13
|
%
|
||||||
$
|
17,805,000
|
U.S. Treasury Bills * Due 02/13/2020
|
17,774,205
|
10.85
|
%
|
||||||
$
|
12,250,000
|
U.S. Treasury Bills * Due 03/12/2020
|
12,214,330
|
7.45
|
%
|
||||||
Total Government And Agency Obligations (cost $38,708,611)
|
38,712,533
|
23.63
|
%
|
||||||||
Total Fixed Income Securities ** (cost $147,317,185)
|
$
|
147,466,607
|
90.00
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Money Market Funds
|
||||||||
United States
|
||||||||
Money Market Funds (cost $3,076)
|
$
|
3,076
|
0.00
|
%
|
||||
Total Short Term Investments (cost $3,076)
|
$
|
3,076
|
0.00
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Agriculture
|
$
|
61,364
|
0.04
|
%
|
||||
Energy
|
529,188
|
0.32
|
%
|
|||||
Metals
|
1,141,530
|
0.70
|
%
|
|||||
Stock indices
|
128,401
|
0.08
|
%
|
|||||
Short-term interest rates
|
(409,618
|
)
|
(0.25
|
)%
|
||||
Long-term interest rates
|
(2,644,733
|
)
|
(1.62
|
)%
|
||||
Net unrealized gain (loss) on long futures contracts
|
(1,193,868
|
)
|
(0.73
|
)%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Agriculture
|
(1,529,207
|
)
|
(0.93
|
)%
|
||||
Energy
|
311,400
|
0.19
|
%
|
|||||
Metals
|
(2,366,834
|
)
|
(1.44
|
)%
|
||||
Stock indices
|
42,062
|
0.03
|
%
|
|||||
Short-term interest rates
|
(207
|
)
|
0.00
|
%
|
||||
Long-term interest rates
|
567,801
|
0.35
|
%
|
|||||
Net unrealized gain (loss) on short futures contracts
|
(2,974,985
|
)
|
(1.80
|
)%
|
||||
Net unrealized gain (loss) on open futures contracts
|
$
|
(4,168,853
|
)
|
(2.53
|
)%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Various long forward currency contracts
|
$
|
11,794,066
|
7.20
|
%
|
||||
Various short forward currency contracts
|
(13,216,424
|
)
|
(8.07
|
)%
|
||||
Net unrealized gain (loss) on open forward currency contracts
|
$
|
(1,422,358
|
)
|
(0.87
|
)%
|
**
|
Included in fixed income securities are U.S. Treasury Bills with a fair value of $28,785,653 deposited with the futures brokers and $9,926,880 deposited with the interbank market makers.
|
ASSETS
|
||||||||
Equity in futures brokers trading accounts
|
||||||||
Cash
|
$
|
3,319,678
|
$
|
8,760,955
|
||||
Restricted cash
|
726,286
|
2,311,537
|
||||||
Fixed income securities (cost $18,123,005 and $28,782,516, respectively)
|
18,142,645
|
28,785,653
|
||||||
Net unrealized gain (loss) on open futures contracts
|
2,836,166
|
(4,168,853
|
)
|
|||||
Total equity in futures brokers trading accounts
|
25,024,775
|
35,689,292
|
||||||
Cash and cash equivalents
|
26,682,001
|
5,834,745
|
||||||
Restricted cash at interbank market makers
|
0
|
7,963,188
|
||||||
Short term investments (cost $10,245 and $3,076, respectively)
|
10,245
|
3,076
|
||||||
Fixed income securities (cost $109,232,142 and $118,534,669, respectively)
|
108,365,440
|
118,680,954
|
||||||
Net unrealized gain on open forward currency contracts
|
9,005,232
|
0
|
||||||
Interest receivable
|
222,703
|
284,924
|
||||||
Total assets
|
$
|
169,310,396
|
$
|
168,456,179
|
||||
LIABILITIES
|
||||||||
Accounts payable
|
$
|
231,083
|
$
|
245,160
|
||||
Brokerage fee payable
|
985,706
|
972,132
|
||||||
Net unrealized loss on open forward currency contracts
|
0
|
1,422,358
|
||||||
Accrued commissions and other trading fees on open contracts
|
38,500
|
67,189
|
||||||
Offering costs payable
|
62,673
|
70,313
|
||||||
Redemptions payable
|
1,447,011
|
1,825,504
|
||||||
Total liabilities
|
2,764,973
|
4,602,656
|
||||||
PARTNERS’ CAPITAL (Net Asset Value)
|
||||||||
General Partner - 0.000 and 0.000 redeemable units outstanding at March 31, 2020 and December 31, 2019
|
0
|
0
|
||||||
Limited Partners - 72,661.938 and 74,725.829 redeemable units outstanding at March 31, 2020 and December 31, 2019
|
166,545,423
|
163,853,523
|
||||||
Total partners’ capital (Net Asset Value)
|
166,545,423
|
163,853,523
|
||||||
Total liabilities and partners’ capital (Net Asset Value)
|
$
|
169,310,396
|
$
|
168,456,179
|
|
Three Months Ended March 31,
|
|||||||
|
2019
|
|||||||
TRADING GAINS (LOSSES) | ||||||||
Futures trading gains (losses)
|
||||||||
Realized
|
$
|
(8,732,159
|
)
|
$
|
6,238,601
|
|||
Change in unrealized
|
7,005,019
|
4,280,714
|
||||||
Brokerage commissions
|
(306,106
|
)
|
(279,583
|
)
|
||||
Net gain (loss) from futures trading
|
(2,033,246
|
)
|
10,239,732
|
|||||
Forward currency trading gains (losses)
|
||||||||
Realized
|
2,723,787
|
4,419,395
|
||||||
Change in unrealized
|
10,427,590
|
(6,366,985
|
)
|
|||||
Brokerage commissions
|
(25,841
|
)
|
(37,267
|
)
|
||||
Net gain (loss) from forward currency trading
|
13,125,536
|
(1,984,857
|
)
|
|||||
Total net trading gain (loss)
|
11,092,290
|
8,254,875
|
||||||
NET INVESTMENT INCOME (LOSS)
|
||||||||
Investment income (loss)
|
||||||||
Interest income
|
754,381
|
1,145,873
|
||||||
Realized gain (loss) on fixed income securities
|
10,991
|
250
|
||||||
Change in unrealized gain (loss) on fixed income securities
|
(996,484
|
)
|
257,130
|
|||||
Total investment income (loss)
|
(231,112
|
)
|
1,403,253
|
|||||
Expenses
|
||||||||
Brokerage fee
|
3,016,225
|
3,243,295
|
||||||
Operating expenses
|
166,094
|
203,843
|
||||||
Total expenses
|
3,182,319
|
3,447,138
|
||||||
Net investment income (loss)
|
(3,413,431
|
)
|
(2,043,885
|
)
|
||||
NET INCOME (LOSS)
|
$
|
7,678,859
|
$
|
6,210,990
|
||||
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT
|
||||||||
(based on weighted average number of units outstanding during the period)
|
$
|
103.72
|
$
|
71.05
|
||||
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT
|
$
|
99.33
|
$
|
70.68
|
||||
|
||||||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
|
74,037.033
|
87,412.626
|
|
Three Months Ended March 31,
|
|||||||
2019
|
||||||||
Cash flows from (for) operating activities
|
||||||||
Net income (loss)
|
$
|
7,678,859
|
$
|
6,210,990
|
||||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
|
||||||||
Net change in unrealized on futures, forwards and investments
|
(16,436,125
|
)
|
1,829,141
|
|||||
Increase (decrease) in payable for securities purchased
|
0
|
613,540
|
||||||
(Increase) decrease in interest receivable
|
62,221
|
82,283
|
||||||
Increase (decrease) in accounts payable and accrued expenses
|
(29,192
|
)
|
36,778
|
|||||
Purchases of investments
|
(415,593,097
|
)
|
(519,766,470
|
)
|
||||
Sales/maturities of investments
|
435,547,966
|
524,102,351
|
||||||
Net cash from (for) operating activities
|
11,230,632
|
13,108,613
|
||||||
Cash flows from (for) financing activities
|
||||||||
Redemption of units
|
(5,158,505
|
)
|
(10,769,681
|
)
|
||||
Offering costs paid
|
(214,587
|
)
|
(204,957
|
)
|
||||
Net cash from (for) financing activities
|
(5,373,092
|
)
|
(10,974,638
|
)
|
||||
Net increase (decrease) in cash, cash equivalents and restricted cash
|
5,857,540
|
2,133,975
|
||||||
Cash, cash equivalents and restricted cash at beginning of period
|
24,870,425
|
28,167,754
|
||||||
Cash, cash equivalents and restricted cash at end of period
|
$
|
30,727,965
|
$
|
30,301,729
|
Cash, cash equivalents and restricted cash at end of period consists of:
|
||||||||
Cash in futures brokers trading accounts
|
$
|
3,319,678
|
$
|
8,760,955
|
||||
Restricted cash in futures brokers trading accounts
|
726,286
|
2,311,537
|
||||||
Cash and cash equivalents
|
26,682,001
|
5,834,745
|
||||||
Restricted cash at interbank market makers
|
0
|
7,963,188
|
||||||
Total cash, cash equivalents and restricted cash at end of period
|
$
|
30,727,965
|
$
|
24,870,425
|
Partners’ Capital
|
||||||||||||||||||||||||
General Partner
|
Limited Partners
|
Total
|
||||||||||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
|||||||||||||||||||
Three Months Ended March 31, 2020
|
||||||||||||||||||||||||
Balances at December 31, 2019
|
0.000
|
$
|
0
|
74,725.829
|
$
|
163,853,523
|
74,725.829
|
$
|
163,853,523
|
|||||||||||||||
Net income (loss) for the three months ended March 31, 2020
|
0
|
7,678,859
|
7,678,859
|
|||||||||||||||||||||
Redemptions
|
0.000
|
0
|
(2,063.891
|
)
|
(4,780,012
|
)
|
(2,063.891
|
)
|
(4,780,012
|
)
|
||||||||||||||
Offering costs
|
0
|
(206,947
|
)
|
(206,947
|
)
|
|||||||||||||||||||
Balances at March 31, 2020
|
0.000
|
$
|
0
|
72,661.938
|
$
|
166,545,423
|
72,661.938
|
$
|
166,545,423
|
|||||||||||||||
Three Months Ended March 31, 2019
|
||||||||||||||||||||||||
Balances at December 31, 2018
|
0.000
|
$
|
0
|
89,103.635
|
$
|
187,246,042
|
89,103.635
|
$
|
187,246,042
|
|||||||||||||||
Net income (loss) for the three months ended March 31, 2019
|
0
|
6,210,990
|
6,210,990
|
|||||||||||||||||||||
Redemptions
|
0.000
|
0
|
(5,132.100
|
)
|
(10,837,698
|
)
|
(5,132.100
|
)
|
(10,837,698
|
)
|
||||||||||||||
Offering costs
|
0
|
(222,791
|
)
|
(222,791
|
)
|
|||||||||||||||||||
Balances at March 31, 2019
|
0.000
|
$
|
0
|
83,971.535
|
$
|
182,396,543
|
83,971.535
|
$
|
182,396,543
|
Net Asset Value per General and Limited Partner Unit
|
||||||||||||||
$
|
2,292.06
|
$
|
2,192.73
|
$
|
2,172.12
|
$
|
2,101.44
|
Three Months Ended March 31,
|
||||||||
2019
|
||||||||
Per Unit Performance
|
||||||||
(for a unit outstanding throughout the entire period)
|
||||||||
Net asset value per unit at beginning of period
|
$
|
2,192.73
|
$
|
2,101.44
|
||||
Income (loss) from operations:
|
||||||||
Total net trading gains (losses) (1)
|
148.23
|
96.61
|
||||||
Net investment income (loss) (1)
|
(46.10
|
)
|
(23.38
|
)
|
||||
Total net income (loss) from operations
|
102.13
|
73.23
|
||||||
Offering costs (1)
|
(2.80
|
)
|
(2.55
|
)
|
||||
Net asset value per unit at end of period
|
$
|
2,292.06
|
$
|
2,172.12
|
||||
Total Return (4)
|
4.53
|
%
|
3.36
|
%
|
||||
Supplemental Data
|
||||||||
Ratios to average net asset value:
|
||||||||
Expenses prior to performance fee (3)
|
7.55
|
%
|
7.52
|
%
|
||||
Performance fee (4)
|
0.00
|
%
|
0.00
|
%
|
||||
Total expenses
|
7.55
|
%
|
7.52
|
%
|
||||
Net investment income (loss) (2),(3)
|
(8.10
|
)%
|
(4.46
|
)%
|
(1) |
Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period.
Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
|
(2) |
Excludes performance fee.
|
(3) |
Annualized.
|
(4) |
Not Annualized.
|
Table of Contents |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL SATEMENTS MARCH 31, 2020 (Unaudited) |
Table of Contents |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL SATEMENTS MARCH 31, 2020 (Unaudited) |
Fair Value at March 31, 2020
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Short term investments
|
$
|
10,245
|
$
|
0
|
$
|
0
|
$
|
10,245
|
||||||||
Fixed income securities
|
0
|
126,508,085
|
0
|
126,508,085
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
2,836,166
|
0
|
0
|
2,836,166
|
||||||||||||
Forward currency contracts
|
0
|
9,005,232
|
0
|
9,005,232
|
||||||||||||
Total
|
$
|
2,846,411
|
$
|
135,513,317
|
$
|
0
|
$
|
138,359,728
|
Fair Value at December 31, 2019
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Short term investments
|
$
|
3,076
|
$
|
0
|
$
|
0
|
$
|
3,076
|
||||||||
Fixed income securities
|
0
|
147,466,607
|
0
|
147,466,607
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
(4,168,853
|
)
|
0
|
0
|
(4,168,853
|
)
|
||||||||||
Forward currency contracts
|
0
|
(1,422,358
|
)
|
0
|
(1,422,358
|
)
|
||||||||||
Total
|
$
|
(4,165,777
|
)
|
$
|
146,044,249
|
$
|
0
|
$
|
141,878,472
|
Table of Contents |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL SATEMENTS MARCH 31, 2020 (Unaudited) |
Table of Contents |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL SATEMENTS MARCH 31, 2020 (Unaudited) |
Table of Contents |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL SATEMENTS MARCH 31, 2020 (Unaudited) |
Table of Contents |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL SATEMENTS MARCH 31, 2020 (Unaudited) |
Type of Instrument *
|
Statements of Financial Condition Location
|
Asset
Derivatives at
Fair Value
|
Liability
Derivatives at
Fair Value
|
Net
|
|||||||||
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
$
|
224,809
|
$
|
(233,295
|
)
|
$
|
(8,486
|
)
|
||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
426,528
|
(580
|
)
|
425,948
|
||||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
8,739,973
|
(5,280,650
|
)
|
3,459,323
|
||||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
52,620
|
(894,254
|
)
|
(841,634
|
)
|
|||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
137,328
|
(112,398
|
)
|
24,930
|
||||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
446,007
|
(669,922
|
)
|
(223,915
|
)
|
|||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
28,325,494
|
(19,320,262
|
)
|
9,005,232
|
||||||||
Totals
|
$
|
38,352,759
|
$
|
(26,511,361
|
)
|
$
|
11,841,398
|
* |
Derivatives not designated as hedging instruments under ASC 815
|
Type of Instrument *
|
Statements of Financial Condition Location
|
Asset
Derivatives at
Fair Value
|
Liability
Derivatives at
Fair Value
|
Net
|
|||||||||
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
$
|
100,996
|
$
|
(1,568,839
|
)
|
$
|
(1,467,843
|
)
|
||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
976,245
|
(135,657
|
)
|
840,588
|
||||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
2,891,613
|
(4,116,917
|
)
|
(1,225,304
|
)
|
|||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
780,153
|
(609,690
|
)
|
170,463
|
||||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
168,765
|
(578,590
|
)
|
(409,825
|
)
|
|||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
768,719
|
(2,845,651
|
)
|
(2,076,932
|
)
|
|||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
12,443,080
|
(13,865,438
|
)
|
(1,422,358
|
)
|
|||||||
Totals
|
$
|
18,129,571
|
$
|
(23,720,782
|
)
|
$
|
(5,591,211
|
)
|
* |
Derivatives not designated as hedging instruments under ASC 815
|
Table of Contents |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL SATEMENTS MARCH 31, 2020 (Unaudited) |
Type of Instrument
|
Trading Gains/(Losses) for
the Three Months Ended
|
Trading Gains/(Losses) for
the Three Months Ended
|
||||||
Agriculture Contracts
|
$
|
1,923,105
|
$
|
459,265
|
||||
Energy Contracts
|
5,226,283
|
(2,309,824
|
)
|
|||||
Metal Contracts
|
4,486,773
|
(999,028
|
)
|
|||||
Stock Indices Contracts
|
(23,567,212
|
)
|
4,351,957
|
|||||
Short-Term Interest Rate Contracts
|
8,009,183
|
2,427,530
|
||||||
Long-Term Interest Rate Contracts
|
2,194,728
|
6,589,415
|
||||||
Forward Currency Contracts
|
13,151,377
|
(1,947,590
|
)
|
|||||
Total
|
$
|
11,424,237
|
$
|
8,571,725
|
Line Item in the Statements of Operations
|
Trading Gains/(Losses) for
the Three Months Ended
|
Trading Gains/(Losses) for
the Three Months Ended
|
||||||
Futures trading gains (losses):
|
||||||||
Realized**
|
$
|
(8,732,159
|
)
|
$
|
6,238,601
|
|||
Change in unrealized
|
7,005,019
|
4,280,714
|
||||||
Forward currency trading gains (losses):
|
||||||||
Realized**
|
2,723,787
|
4,419,395
|
||||||
Change in unrealized
|
10,427,590
|
(6,366,985
|
)
|
|||||
Total
|
$
|
11,424,237
|
$
|
8,571,725
|
** |
For the three months ended March 31, 2020 and 2019, the amounts above include gains and losses on foreign currency cash balances at the futures brokers of $46,054 and $51,367, respectively,
and gains and losses on spot trades in connection with forward currency trading at the interbank market makers of $(884,299) and $0, respectively.
|
Table of Contents |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL SATEMENTS MARCH 31, 2020 (Unaudited) |
Offsetting of Derivative Assets by Counterparty
|
|||||||||||||
As of March 31, 2020
|
|||||||||||||
Type of Instrument
|
Counterparty
|
Gross
Amounts of
Recognized
Assets
|
Gross
Amounts
Offset in the
Statements of
Financial Condition
|
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
|
|||||||||
Futures contracts
|
Goldman Sachs
|
$
|
10,027,265
|
$
|
(7,191,099
|
)
|
$
|
2,836,166
|
|||||
Forward currency contracts
|
NatWest Markets PLC
|
28,325,494
|
(19,320,262
|
)
|
9,005,232
|
||||||||
Total derivatives
|
$
|
38,352,759
|
$
|
(26,511,361
|
)
|
$
|
11,841,398
|
Derivative Assets and Collateral Received by Counterparty
|
||||||||||||||||
As of March 31, 2020
|
||||||||||||||||
Net Amounts of
Unrealized Gain
in the Statements of
Financial Condition
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|||||||||||||||
Counterparty
|
Financial
Instruments
|
Cash Collateral
Received
|
Net Amount
|
|||||||||||||
Goldman Sachs
|
$
|
2,836,166
|
$
|
0
|
$
|
0
|
$
|
2,836,166
|
||||||||
NatWest Markets PLC
|
9,005,232
|
0
|
0
|
9,005,232
|
||||||||||||
Total
|
$
|
11,841,398
|
$
|
0
|
$
|
0
|
$
|
11,841,398
|
Table of Contents |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL SATEMENTS MARCH 31, 2020 (Unaudited) |
Offsetting of Derivative Liabilities by Counterparty
|
|||||||||||||
As of March 31, 2020
|
|||||||||||||
Type of Instrument
|
Counterparty
|
Gross
Amounts
of Recognized
Liabilities
|
Gross
Amounts
Offset in the
Statements of
Financial Condition
|
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
|
|||||||||
Futures contracts
|
Goldman Sachs
|
$
|
7,191,099
|
$
|
(7,191,099
|
)
|
$
|
0
|
|||||
Forward currency contracts
|
NatWest Markets PLC
|
19,320,262
|
(19,320,262
|
)
|
0
|
||||||||
Total derivatives
|
$
|
26,511,361
|
$
|
(26,511,361
|
)
|
$
|
0
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
||||||||||||||||
As of March 31, 2020
|
||||||||||||||||
Net Amounts of
Unrealized Loss
in the Statements
of Financial Condition
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|||||||||||||||
Counterparty
|
Financial
Instruments
|
Cash Collateral
Pledged
|
Net Amount
|
|||||||||||||
Goldman Sachs
|
$
|
0
|
$
|
0
|
$
|
0
|
$
|
0
|
||||||||
NatWest Markets PLC
|
0
|
0
|
0
|
0
|
||||||||||||
Total
|
$
|
0
|
$
|
0
|
$
|
0
|
$
|
0
|
Offsetting of Derivative Assets by Counterparty
|
|||||||||||||
As of December 31, 2019
|
|||||||||||||
Type of Instrument
|
Counterparty
|
Gross
Amounts of
Recognized
Assets
|
Gross
Amounts
Offset in the
Statements of
Financial Condition
|
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
|
|||||||||
Futures contracts
|
UBS Securities LLC
|
$
|
2,834,912
|
$
|
(2,834,912
|
)
|
$
|
0
|
|||||
Futures contracts
|
Goldman Sachs
|
2,851,579
|
(2,851,579
|
)
|
0
|
||||||||
Total futures contracts
|
5,686,491
|
(5,686,491
|
)
|
0
|
|||||||||
Forward currency contracts
|
UBS AG
|
6,221,540
|
(6,221,540
|
)
|
0
|
||||||||
Forward currency contracts
|
NatWest Markets PLC
|
6,221,540
|
(6,221,540
|
)
|
0
|
||||||||
Total forward currency contracts
|
12,443,080
|
(12,443,080
|
)
|
0
|
|||||||||
Total derivatives
|
$
|
18,129,571
|
$
|
(18,129,571
|
)
|
$
|
0
|
Table of Contents |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL SATEMENTS MARCH 31, 2020 (Unaudited) |
Derivative Assets and Collateral Received by Counterparty
|
||||||||||||||||
As of December 31, 2019
|
||||||||||||||||
Net Amounts of
Unrealized Gain
in the Statements of
Financial Condition
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|||||||||||||||
Counterparty
|
Financial
Instruments
|
Cash Collateral
Received
|
Net Amount
|
|||||||||||||
UBS Securities LLC
|
$
|
0
|
$
|
0
|
$
|
0
|
$
|
0
|
||||||||
Goldman Sachs
|
0
|
0
|
0
|
0
|
||||||||||||
UBS AG
|
0
|
0
|
0
|
0
|
||||||||||||
NatWest Markets PLC
|
0
|
0
|
0
|
0
|
||||||||||||
Total
|
$
|
0
|
$
|
0
|
$
|
0
|
$
|
0
|
Offsetting of Derivative Liabilities by Counterparty
|
|||||||||||||
As of December 31, 2019
|
|||||||||||||
Type of Instrument
|
Counterparty
|
Gross
Amounts
of Recognized
Liabilities
|
Gross
Amounts
Offset in the
Statements of
Financial Condition
|
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
|
|||||||||
Futures contracts
|
UBS Securities LLC
|
$
|
4,929,967
|
$
|
(2,834,912
|
)
|
$
|
2,095,055
|
|||||
Futures contracts
|
Goldman Sachs
|
4,925,377
|
(2,851,579
|
)
|
2,073,798
|
||||||||
Total futures contracts
|
9,855,344
|
(5,686,491
|
)
|
4,168,853
|
|||||||||
Forward currency contracts
|
UBS AG
|
6,932,719
|
(6,221,540
|
)
|
711,179
|
||||||||
Forward currency contracts
|
NatWest Markets PLC
|
6,932,719
|
(6,221,540
|
)
|
711,179
|
||||||||
Total forward currency contracts
|
13,865,438
|
(12,443,080
|
)
|
1,422,358
|
|||||||||
Total derivatives
|
$
|
23,720,782
|
$
|
(18,129,571
|
)
|
$
|
5,591,211
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
||||||||||||||||
As of December 31, 2019
|
||||||||||||||||
Net Amounts of
Unrealized Loss
in the Statements
of Financial Condition
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|||||||||||||||
Counterparty
|
Financial
Instruments
|
Cash Collateral
Pledged
|
Net Amount
|
|||||||||||||
UBS Securities LLC
|
$
|
2,095,055
|
$
|
0
|
$
|
(2,095,055
|
)
|
$
|
0
|
|||||||
Goldman Sachs
|
2,073,798
|
0
|
(2,073,798
|
)
|
0
|
|||||||||||
UBS AG
|
711,179
|
(711,179
|
)*
|
0
|
0
|
|||||||||||
NatWest Markets PLC
|
711,179
|
0
|
(711,179
|
)
|
0
|
|||||||||||
Total
|
$
|
5,591,211
|
$
|
(711,179
|
)
|
$
|
(4,880,032
|
)
|
$
|
0
|
* |
Represents a portion of the $9,926,880 fair value in U.S. Treasury Bills held at the interbank market makers.
|
Table of Contents |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL SATEMENTS MARCH 31, 2020 (Unaudited) |
Sector
|
% Gain (Loss)
|
|||
Commodities
|
6.66
|
% | ||
Currencies
|
8.05
|
% | ||
Interest Rates
|
5.92
|
% | ||
Stock Indices
|
(13.75
|
)% | ||
6.88
|
% |
Sector
|
% Gain (Loss)
|
|||
Commodities
|
(1.47
|
)% | ||
Currencies
|
(1.14
|
)% | ||
Interest Rates
|
5.01
|
% | ||
Stock Indices
|
2.38
|
% | ||
4.76
|
% |
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Commodities
|
0.78
|
%
|
6.66
|
%
|
||||
Currencies
|
0.83
|
%
|
8.05
|
%
|
||||
Interest Rates
|
1.00
|
%
|
5.92
|
%
|
||||
Stock Indices
|
1.54
|
%
|
(13.75
|
)%
|
||||
Aggregate/Total
|
1.34
|
%
|
6.88
|
%
|
* |
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. 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 4.53% year to date return, approximately 6.88% was due to trading gains (before commissions), offset by approximately (0.14)% due to investment loss and approximately (2.21)% due to brokerage fees,
operating expenses and offering costs borne by the Fund.
|
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Commodities
|
0.51
|
%
|
(8.27
|
)%
|
||||
Currencies
|
0.60
|
%
|
(3.68
|
)%
|
||||
Interest Rates
|
0.61
|
%
|
12.74
|
%
|
||||
Stock Indices
|
0.71
|
%
|
9.63
|
%
|
||||
Aggregate/Total
|
1.19
|
%
|
10.42
|
%
|
* |
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. 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 4.34% return for the year ended December 31, 2019, approximately 10.42% was due trading gains (before commissions) and approximately 2.60% due to investment income, offset by approximately (8.68)% due to
brokerage fees, operating expenses and offering costs borne by the Fund.
|
1) |
Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;
|
2) |
Changes in portfolio value caused by market movements may differ from those of the VaR model;
|
3) |
VaR results reflect past trading positions while future risk depends on future positions;
|
4) |
VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and
|
5) |
The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.
|
Exhibit
Number
|
Description of Document
|
|
3.01
|
||
3.02
|
||
4.01
|
||
10.01
|
||
10.02
|
||
10.03
|
||
Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
101.01
|
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of March 31, 2020 and December 31, 2019, (ii) Statements of Financial Condition as of
March 31, 2020 and December 31, 2019, (iii) Statements of Operations For the Three Months Ended March 31, 2020 and 2019, (iv) Statements of Cash Flows For the Three Months Ended March 31, 2020 and 2019, (v) Statements of Changes in
Partners’ Capital (Net Asset Value) For the Three Months Ended March 31, 2020 and 2019, (vi) Financial Highlights For the Three Months Ended March 31, 2020 and 2019, (vii) Notes to Financial Statements.
|
(1) |
Incorporated by reference to the respective exhibit to the Registrant’s Registration Statement on Form S-1 on April 27, 2010.
|
(2) |
Incorporated by reference to the respective exhibit to Post-Effective Amendment No. 2 to the Registration Statement on Form S-1 on April 7, 2011.
|
(3) |
Incorporated by reference to the respective exhibit to the Quarterly Report on Form 10-Q on November 14, 2017.
|
(4) |
Incorporated by reference to the respective exhibit to the Quarterly Report on Form 10-Q on May 15, 2014.
|
Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
101.01
|
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of March 31, 2020 and December 31, 2019, (ii) Statements of Financial Condition as of
March 31, 2020 and December 31, 2019, (iii) Statements of Operations For the Three Months Ended March 31, 2020 and 2019, (iv) Statements of Cash Flows For the Three Months Ended March 31, 2020 and 2019, (v) Statements of Changes in
Partners’ Capital (Net Asset Value) For the Three Months Ended March 31, 2020 and 2019, (vi) Financial Highlights For the Three Months Ended March 31, 2020 and 2019, (vii) Notes to Financial Statements.
|
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Registrant)
|
|||
By:
|
Campbell & Company, LP
|
||
General Partner
|
|||
Date: May 15, 2020
|
By:
|
||
Chief Executive Officer
|
This ‘10-Q’ Filing | Date | Other Filings | ||
---|---|---|---|---|
Filed on: | 5/15/20 | |||
For Period end: | 3/31/20 | 8-K | ||
1/1/20 | ||||
12/31/19 | 10-K | |||
12/15/19 | ||||
3/31/19 | 10-Q | |||
12/31/18 | 10-K | |||
11/14/17 | 10-Q | |||
5/15/14 | 10-Q | |||
1/6/12 | 8-K, RW | |||
4/7/11 | POS AM | |||
4/27/10 | CORRESP, S-1 | |||
4/18/94 | ||||
4/15/94 | ||||
1/12/94 | 3 | |||
List all Filings |