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As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 8/12/22 Campbell Strategic Allocation… LP 10-Q 6/30/22 58:6.8M Broadridge Fin’l So… Inc |
Document/Exhibit Description Pages Size 1: 10-Q Quarterly Report HTML 1.76M 2: EX-31.01 Certification -- §302 - SOA'02 HTML 25K 3: EX-31.02 Certification -- §302 - SOA'02 HTML 25K 4: EX-32.01 Certification -- §906 - SOA'02 HTML 18K 5: EX-32.02 Certification -- §906 - SOA'02 HTML 18K 11: R1 Document and Entity Information HTML 64K 12: R2 Condensed Schedule of Investments HTML 231K 13: R3 Condensed Schedule of Investments (Parenthetical) HTML 96K 14: R4 Statements of Financial Condition HTML 93K 15: R5 Statements of Financial Condition (Parenthetical) HTML 29K 16: R6 Statements of Operations HTML 83K 17: R7 Statements of Cash Flows HTML 62K 18: R8 Statements of Cash Flows (Parenthetical) HTML 35K 19: R9 Statements of Changes in Partners' Capital (Net HTML 53K Assets Value) 20: R10 Statements of Changes in Partners' Capital (Net HTML 20K Assets Value) (Parenthetical) 21: R11 Financial Highlights HTML 42K 22: R12 Organization and Summary of Significant Accounting HTML 82K Policies 23: R13 General Partner and Commodity Trading Advisor HTML 22K 24: R14 Administrator and Transfer Agent HTML 20K 25: R15 Cash Manager and Custodian HTML 20K 26: R16 Deposits With Futures Brokers HTML 20K 27: R17 Deposits With Interbank Market Makers HTML 20K 28: R18 Deposits With Swaps Broker HTML 20K 29: R19 Operating Expenses HTML 19K 30: R20 Subscriptions, Distributions and Redemptions HTML 20K 31: R21 Credit Derivatives and Credit-Related Contingency HTML 27K Features 32: R22 Trading Activities and Related Risks HTML 239K 33: R23 Indemnifications HTML 22K 34: R24 Interim Financial Statements HTML 21K 35: R25 Subsequent Events HTML 20K 36: R26 Organization and Summary of Significant Accounting HTML 95K Policies (Policies) 37: R27 Organization and Summary of Significant Accounting HTML 62K Policies (Tables) 38: R28 Credit Derivatives and Credit-Related Contingency HTML 27K Features (Tables) 39: R29 Trading Activities and Related Risks (Tables) HTML 232K 40: R30 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING HTML 58K POLICIES, Fair Value (Details) 41: R31 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING HTML 34K POLICIES, Income Taxes (Details) 42: R32 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING HTML 25K POLICIES, Offering Costs (Details) 43: R33 General Partner and Commodity Trading Advisor HTML 38K (Details) 44: R34 Deposits With Interbank Market Makers (Details) HTML 23K 45: R35 Operating Expenses (Details) HTML 22K 46: R36 Subscriptions, Distributions and Redemptions HTML 19K (Details) 47: R37 Credit Derivatives and Credit-Related Contingency HTML 33K Features (Details) 48: R38 TRADING ACTIVITIES AND RELATED RISKS, Derivatives HTML 64K by Instrument Type and Location of Instruments on the Statements of Financial Condition (Details) 49: R39 TRADING ACTIVITIES AND RELATED RISKS, Derivatives HTML 41K by Instrument Type (Details) 50: R40 TRADING ACTIVITIES AND RELATED RISKS, Location of HTML 68K Gains and Losses on the Statements of Operations (Details) 51: R41 TRADING ACTIVITIES AND RELATED RISKS, Credit Risk HTML 39K (Details) 52: R42 TRADING ACTIVITIES AND RELATED RISKS, Offsetting HTML 60K of Derivative Assets and Collateral Received by Counterparty (Details) 53: R43 TRADING ACTIVITIES AND RELATED RISKS, Offsetting HTML 57K of Derivative Liabilities and Collateral Pledged by Counterparty (Details) 56: XML IDEA XML File -- Filing Summary XML 99K 54: XML XBRL Instance -- brhc10040527_10q_htm XML 2.01M 55: EXCEL IDEA Workbook of Financial Reports XLSX 111K 7: EX-101.CAL XBRL Calculations -- csaf-20220630_cal XML 150K 8: EX-101.DEF XBRL Definitions -- csaf-20220630_def XML 485K 9: EX-101.LAB XBRL Labels -- csaf-20220630_lab XML 1.42M 10: EX-101.PRE XBRL Presentations -- csaf-20220630_pre XML 795K 6: EX-101.SCH XBRL Schema -- csaf-20220630 XSD 180K 57: JSON XBRL Instance as JSON Data -- MetaLinks 261± 395K 58: ZIP XBRL Zipped Folder -- 0001140361-22-029472-xbrl Zip 308K
i ☑ |
Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
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i ☐ |
Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
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i Delaware
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i 52-1823554
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(State or other jurisdiction of incorporation or organization)
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(IRS Employer Identification Number)
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i 2850 Quarry Lake Drive
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||
i Baltimore, i Maryland i 21209
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||
(Address of principal executive offices, including zip code)
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||
( i 410) i 413-2600 | ||
(Registrant’s telephone number, including area code) |
Title of each class
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Trading Symbol(s)
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Name of each exchange on which registered
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||
Not applicable.
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Not applicable.
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Not applicable.
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Large accelerated filer ☐
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Accelerated filer ☐
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i Non-accelerated filer ☑
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Smaller reporting company i ☐
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Page
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||
PART I — FINANCIAL INFORMATION
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|||
Item 1.
|
Financial Statements.
|
||
1-6
|
|||
7 | |||
8 | |||
9 | |||
10 | |||
11 | |||
12-26
|
|||
Item 2.
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27-33
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||
Item 3.
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34-38
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||
Item 4.
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38 |
||
Item 1.
|
39 |
||
Item 1A.
|
39 | ||
Item 2.
|
39 | ||
Item 3.
|
39 | ||
Item 4.
|
39 | ||
Item 5.
|
39 | ||
Item 6.
|
40-41
|
||
42
|
Maturity
Face Value
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||||
Asset Backed Securities
|
|||||||||||
United States
|
|||||||||||
Auto Loans
|
$
|
i 8,832,592
|
i 5.25
|
%
|
|||||||
Equipment Loans
|
i 1,095,304
|
i 0.65
|
%
|
||||||||
Total Asset Backed Securities (cost $ i 10,014,228)
|
i 9,927,896
|
i 5.90
|
%
|
||||||||
Bank Deposits
|
|||||||||||
United States
|
|||||||||||
Financials (cost $ i 1,050,000)
|
i 1,049,412
|
i 0.62
|
%
|
||||||||
Commercial Paper
|
|||||||||||
Switzerland
|
|||||||||||
Financials (cost $ i 1,123,869)
|
i 1,124,012
|
i 0.67
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $ i 3,239,981)
|
i 3,237,138
|
i 1.92
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
i 1,588,507
|
i 0.94
|
%
|
||||||||
Consumer Discretionary
|
i 4,452,251
|
i 2.64
|
%
|
||||||||
Consumer Staples
|
i 649,189
|
i 0.39
|
%
|
||||||||
Financials
|
i 14,423,079
|
i 8.57
|
%
|
||||||||
Industrials
|
i 3,094,133
|
i 1.84
|
%
|
||||||||
Materials
|
i 844,425
|
i 0.50
|
%
|
||||||||
Real estate
|
i 9,728,610
|
i 5.78
|
%
|
||||||||
Health care
|
i 1,858,408
|
i 1.10
|
%
|
||||||||
Technology
|
i 999,396
|
i 0.59
|
%
|
||||||||
Utilities
|
i 16,169,966
|
i 9.60
|
%
|
||||||||
Total United States (cost $ i 53,821,028)
|
i 53,807,964
|
i 31.95
|
%
|
||||||||
Total Commercial Paper (cost $ i 58,184,878)
|
i 58,169,114
|
i 34.54
|
%
|
Maturity
Face Value
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||||
Corporate Bonds
|
|||||||||||
Australia
|
|||||||||||
Financials (cost $ i 1,910,000)
|
i 1,907,643
|
i 1.13
|
%
|
||||||||
Canada
|
|||||||||||
Financials
|
i 6,353,325
|
i 3.77
|
%
|
||||||||
Energy
|
i 787,138
|
i 0.47
|
%
|
||||||||
Total Canada (cost $ i 7,243,594)
|
i 7,140,463
|
i 4.24
|
%
|
||||||||
Germany
|
|||||||||||
Consumer Discretionary
|
i 500,754
|
i 0.30
|
%
|
||||||||
Industrials
|
i 772,665
|
i 0.46
|
%
|
||||||||
Total Germany (cost $ i 1,280,250)
|
i 1,273,419
|
i 0.76
|
%
|
||||||||
Japan
|
|||||||||||
Financials (cost $ i 500,208)
|
i 500,025
|
i 0.30
|
%
|
||||||||
Spain
|
|||||||||||
Financials (cost $ i 1,000,000)
|
i 996,465
|
i 0.59
|
%
|
||||||||
Switzerland
|
|||||||||||
Financials (cost $ i 1,624,904)
|
i 1,604,452
|
i 0.95
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $ i 838,852)
|
i 815,012
|
i 0.48
|
%
|
||||||||
United States
|
|||||||||||
Consumer Discretionary
|
i 2,907,038
|
i 1.73
|
%
|
||||||||
Consumer Staples
|
i 845,291
|
i 0.50
|
%
|
||||||||
Energy
|
i 4,005,131
|
i 2.38
|
%
|
||||||||
Financials
|
i 8,126,276
|
i 4.83
|
%
|
||||||||
Health care
|
i 2,090,008
|
i 1.24
|
%
|
||||||||
Industrials
|
i 3,712,847
|
i 2.21
|
%
|
||||||||
Technology
|
i 1,600,582
|
i 0.95
|
%
|
||||||||
Materials
|
i 481,084
|
i 0.29
|
%
|
||||||||
Real estate
|
i 1,187,201
|
i 0.71
|
%
|
||||||||
Utilities
|
i 2,499,371
|
i 1.48
|
%
|
||||||||
Total United States (cost $ i 27,785,448)
|
i 27,454,829
|
i 16.32
|
%
|
||||||||
Total Corporate Bonds (cost $ i 42,183,256)
|
i 41,692,308
|
i 24.77
|
%
|
||||||||
Government and Agency Obligations
|
|||||||||||
United States
|
|||||||||||
U.S. Treasury Bills
|
|||||||||||
$ | i 2,135,000 |
U.S. Treasury Bills Due i 07/21/2022 (1)
|
i 2,133,819
|
i 1.27
|
%
|
||||||
$
|
i 6,300,000
|
U.S. Treasury Bills Due i 08/11/2022 (1)
|
i 6,290,411
|
i 3.73
|
%
|
||||||
$ | i 7,400,000 |
U.S. Treasury Bills Due i 09/15/2022 (1)
|
i 7,375,203
|
i 4.38
|
%
|
||||||
Total Government and Agency Obligations (cost $ i 15,801,803)
|
i 15,799,433 | i 9.38 | % | ||||||||
Total Fixed Income Securities (2) (cost $ i 127,234,165)
|
$ | i 126,638,163 | i 75.21 | % |
(1) |
Pledged as collateral for the trading of futures positions.
|
(2) |
Included in fixed income securities are U.S. Treasury Bills with a fair value of $ i 15,799,433 deposited with the futures brokers.
|
Fair |
% of Net
|
|||||||
Description |
Value ($)
|
Asset Value | ||||||
Money Market Funds
|
||||||||
United States
|
||||||||
Money Market Funds (cost $ i 3,877,443)
|
$ | i 3,877,443 | i 2.30 | % | ||||
Total Short Term Investments (cost $ i 3,877,443)
|
$ | i 3,877,443 | i 2.30 | % |
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Agriculture
|
$ | ( i 776,705 | ) | ( i 0.46 | )% | |||
Energy
|
( i 1,235,665 | ) | ( i 0.73 | )% | ||||
Metals
|
( i 3,728,753 | ) | ( i 2.21 | )% | ||||
Stock indices
|
( i 59,866 | ) | ( i 0.04 | )% | ||||
Short-term interest rates
|
i 184,669 | i 0.11 | % | |||||
Long-term interest rates
|
i 465,297 | i 0.28 | % | |||||
Net unrealized gain (loss) on long futures contracts
|
( i 5,151,023 | ) | ( i 3.05 | )% |
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Agriculture
|
i 1,725,209 | i 1.02 | % | |||||
Energy
|
i 231,060 | i 0.14 | % | |||||
Metals
|
i 3,803,872 | i 2.26 | % | |||||
Stock indices
|
i 903,181 | i 0.54 | % | |||||
Short-term interest rates
|
( i 276,721 | ) | ( i 0.16 | )% | ||||
Long-term interest rates
|
( i 1,080,270 | ) | ( i 0.64 | )% | ||||
Net unrealized gain (loss) on short futures contracts
|
i 5,306,331 | i 3.16 | % | |||||
Net unrealized gain (loss) on open futures contracts
|
$ | i 155,308 | i 0.11 | % |
Fair |
% of Net |
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Various long forward currency contracts
|
$ | ( i 9,345,616 | ) | ( i 5.55 | )% | |||
Various short forward currency contracts
|
i 13,941,218 | i 8.28 | % | |||||
Net unrealized gain (loss) on open forward currency contracts
|
$ | i 4,595,602 | i 2.73 | % |
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Centrally cleared credit default index swaps - Sell protection (net cost $ i 40,421)
(3)
|
$ | i 46,812 | i 0.03 | % |
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Centrally cleared interest rate swaps - Pay fixed (net proceeds $ i 221,230) (4)
|
$ | ( i 11,423 | ) | ( i 0.01 | )% |
(3) |
Includes $ i 45,718 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps broker in
the statement of financial condition.
|
(4) |
Includes $ i 13,507 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps broker in
the statement of financial condition.
|
Maturity
Face Value
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||||
Asset Backed Securities
|
|||||||||||
United States
|
|||||||||||
Auto Loans
|
$ | i 6,309,574 | i 4.83 | % | |||||||
Equipment Loans
|
i 700,893 | i 0.54 | % | ||||||||
Total Asset Backed Securities (cost $ i 7,025,355)
|
i 7,010,467 | i 5.37 | % | ||||||||
|
|||||||||||
Bank Deposits
|
|||||||||||
United States
|
|||||||||||
Financials (cost $ i 870,000)
|
i 869,530 | i 0.67 | % | ||||||||
Total Bank Deposits (cost $ i 870,000)
|
i 869,530 | i 0.67 | % | ||||||||
|
|||||||||||
Commercial Paper
|
|||||||||||
United States
|
|||||||||||
Communications
|
i 584,926 | i 0.45 | % | ||||||||
Consumer Discretionary
|
i 2,619,659 | i 2.00 | % | ||||||||
Financials
|
i 7,620,623 | i 5.83 | % | ||||||||
Industrials | i 4,894,819 | i 3.74 | % | ||||||||
Materials | i 2,894,711 | i 2.21 | % | ||||||||
Real estate
|
i 5,311,670 | i 4.06 | % | ||||||||
Technology
|
i 964,975 | i 0.73 | % | ||||||||
Utilities
|
i 10,368,925 | i 7.93 | % | ||||||||
Total United States (cost $ i 35,265,102)
|
i 35,260,308 | i 26.95 | % | ||||||||
Total Commercial Paper (cost $ i 35,265,102)
|
$ | i 35,260,308 | i 26.95 | % |
Maturity
Face Value |
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||||
Corporate Bonds
|
|||||||||||
Australia
|
|||||||||||
Financials (cost $ i 1,910,000)
|
$ | i 1,916,961 | i 1.47 | % | |||||||
Canada
|
|||||||||||
Energy | i 701,726 | i 0.54 | % | ||||||||
Financials
|
i 5,127,444 | i 3.92 | % | ||||||||
Total Canada (cost $ i 5,836,218) | i 5,829,170 | i 4.46 | % | ||||||||
Germany
|
|||||||||||
Consumer Discretionary (cost $ i 1,550,000)
|
i 1,552,240 | i 1.19 | % | ||||||||
Japan | |||||||||||
Financials (cost $ i 1,177,638) | i 1,177,652 | i 0.90 | % | ||||||||
Switzerland
|
|||||||||||
Financials (cost $ i 2,019,793)
|
i 2,021,376 | i 1.55 | % | ||||||||
United Kingdom
|
|||||||||||
Financials (cost $ i 300,000) | i 299,958 | i 0.23 | % | ||||||||
Health care (cost $ i 656,356) | i 655,377 | i 0.50 | % | ||||||||
Total United Kingdom (cost $ i 956,356) | i 955,335 | i 0.73 | % | ||||||||
United States
|
|||||||||||
Consumer Discretionary
|
i 2,389,928 | i 1.83 | % | ||||||||
Consumer Staples
|
i 1,367,745 | i 1.05 | % | ||||||||
Energy
|
i 2,649,366 | i 2.02 | % | ||||||||
Financials
|
i 4,870,526 | i 3.72 | % | ||||||||
Health care
|
i 1,987,364 | i 1.52 | % | ||||||||
Industrials | i 2,360,179 | i 1.81 | % | ||||||||
Technology | i 1,815,102 | i 1.39 | % | ||||||||
Materials | i 496,422 | i 0.38 | % | ||||||||
Real estate
|
i 794,270 | i 0.61 | % | ||||||||
Utilities
|
i 1,276,319 | i 0.98 | % | ||||||||
Total United States (cost $ i 20,022,816)
|
i 20,007,221 | i 15.31 | % | ||||||||
Total Corporate Bonds (cost $ i 33,472,821)
|
i 33,459,955 | i 25.61 | % | ||||||||
Government and Agency Obligations
|
|||||||||||
United States
|
|||||||||||
U.S. Treasury Bills
|
|||||||||||
$ | i 2,135,000 |
U.S. Treasury Bills Due i 01/20/2022 (1)
|
i 2,134,987 | i 1.63 | % | ||||||
$ | i 5,000,000 |
U.S. Treasury Bills Due i 03/17/2022 (1)
|
i 4,999,440 | i 3.82 | % | ||||||
$ | i 6,300,000 |
U.S. Treasury Bills Due i 05/12/2022 (1)
|
i 6,297,965 | i 4.82 | % | ||||||
Total Government and Agency Obligations (cost $ i 13,433,291)
|
i 13,432,392 | i 10.27 | % | ||||||||
Total Fixed Income Securities (cost $ i 90,066,569) (2)
|
$ | i 90,032,652 | i 68.87 | % |
(1) |
Pledged as collateral for the trading of futures positions.
|
(2) |
Included in fixed income securities are U.S. Treasury Bills with a fair
value of $ i 13,432,392 deposited with the futures brokers.
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Money Market Funds
|
||||||||
United States
|
||||||||
Money Market Funds (cost $ i 5,214,406)
|
$ | i 5,214,406 | i 3.99 | % | ||||
Total Short Term Investments (cost $ i 5,214,406)
|
$ | i 5,214,406 | i 3.99 | % |
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Agriculture
|
$ | ( i 50,364 | ) | ( i 0.04 | )% | |||
Energy
|
i 251,020 | i 0.19 | % | |||||
Metals
|
i 2,598,920 | i 2.00 | % | |||||
Stock indices
|
i 732,644 | i 0.56 | % | |||||
Short-term interest rates
|
( i 176,978 | ) | ( i 0.14 | )% | ||||
Long-term interest rates
|
( i 1,033,100 | ) | ( i 0.79 | )% | ||||
Net unrealized gain (loss) on long futures contracts
|
i 2,322,142 | i 1.78 | % |
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Agriculture
|
i 382,119 | i 0.29 | % | |||||
Energy
|
( i 228,728 | ) | ( i 0.17 | )% | ||||
Metals
|
( i 2,987,719 | ) | ( i 2.29 | )% | ||||
Stock indices
|
( i 25,447 | ) | ( i 0.02 | )% | ||||
Short-term interest rates
|
i 162,008 | i 0.12 | % | |||||
Long-term interest rates
|
i 569,626 | i 0.44 | % | |||||
Net unrealized gain (loss) on short futures contracts
|
( i 2,128,141 | ) | ( i 1.63 | )% | ||||
Net unrealized gain (loss) on open futures contracts
|
$ | i 194,001 | i 0.15 | % |
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Various long forward currency contracts
|
$ | i 3,836,008 | i 2.93 | % | ||||
Various short forward currency contracts
|
( i 4,630,557 | ) | ( i 3.54 | )% | ||||
Net unrealized gain (loss) on open forward currency contracts
|
$ | ( i 794,549 | ) | ( i 0.61 | )% |
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Centrally cleared credit default index swaps - Sell protection (net cost $ i 1,419,925)
(3)
|
$ | i 1,432,745 | i 1.10 | % |
(3) |
Includes $ i 1,423,996 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps
broker in the statement of financial condition.
|
ASSETS
|
||||||||
Equity in futures brokers trading accounts
|
||||||||
Cash
|
$
|
i 18,083,673
|
$
|
i 14,702,234
|
||||
Restricted cash
|
i 0 |
i 542,373
|
||||||
Fixed income securities (cost $ i 15,801,803 and $ i 13,433,291,
respectively)
|
i 15,799,433
|
i 13,432,392
|
||||||
Net unrealized gain (loss) on open futures contracts
|
i 155,308
|
i 194,001
|
||||||
Total equity in futures brokers trading accounts
|
i 34,038,414
|
i 28,871,000
|
||||||
Cash and cash equivalents
|
i 2,458,821
|
i 477,204
|
||||||
Cash at interbank market maker
|
i 2,585,405
|
i 5,720,106
|
||||||
Restricted cash at interbank market makers
|
i 6,474,313
|
i 11,728,326
|
||||||
Short term investments (cost $ i 3,877,443 and $ i 5,214,406, respectively)
|
i 3,877,443
|
i 5,214,406
|
||||||
Cash at swaps broker
|
i 4,709,769
|
i 4,268,767
|
||||||
Restricted cash at swaps broker
|
i 897,907
|
i 440,326
|
||||||
Fixed income securities (cost $ i 111,432,362 and $ i 76,633,278, respectively)
|
i 110,838,730
|
i 76,600,260
|
||||||
Credit default index swaps
|
i 1,094
|
i 8,749
|
||||||
Interest rate swaps
|
i 2,084 | i 0 | ||||||
Due from swaps broker
|
i 10,149
|
i 28,825
|
||||||
Net unrealized gain on open forward currency contracts
|
i 4,595,602
|
i 0
|
||||||
Interest receivable
|
i 175,349
|
i 79,494
|
||||||
Total assets
|
$
|
i 170,665,080
|
$
|
i 133,437,463
|
||||
LIABILITIES
|
||||||||
Accounts payable
|
$
|
i 111,757
|
$
|
i 117,350
|
||||
Brokerage fee payable
|
i 994,595
|
i 772,725
|
||||||
Net unrealized loss on open forward currency contracts | i 0 | i 794,549 | ||||||
Accrued commissions and other trading fees on open contracts
|
i 13,643
|
i 16,851
|
||||||
Offering costs payable
|
i 37,714
|
i 41,532
|
||||||
Redemptions payable
|
i 1,131,217
|
i 975,086
|
||||||
Total liabilities
|
i 2,288,926
|
i 2,718,093
|
||||||
PARTNERS’ CAPITAL (Net Asset Value)
|
||||||||
General Partner - i 0.000 and i 0.000 redeemable units outstanding at June 30, 2022
and December 31, 2021
|
i 0
|
i 0
|
||||||
Limited Partners - i 52,890.885 and i 55,906.286 redeemable units outstanding at June 30,
2022 and December 31, 2021
|
i 168,376,154
|
i 130,719,370
|
||||||
Total partners’ capital (Net Asset Value)
|
i 168,376,154
|
i 130,719,370
|
||||||
Total liabilities and partners’ capital (Net Asset Value)
|
$
|
i 170,665,080
|
$
|
i 133,437,463
|
Three Months Ended June 30,
|
Six Months Ended June 30, | |||||||||||||||
|
2021
|
2022
|
2021
|
|||||||||||||
TRADING GAINS (LOSSES)
|
||||||||||||||||
Futures trading gains (losses)
|
||||||||||||||||
Realized
|
$
|
i 13,769,611
|
$
|
i 11,949,966
|
$
|
i 31,804,485
|
$
|
i 20,889,416
|
||||||||
Change in unrealized
|
( i 2,684,327
|
)
|
( i 641,912
|
)
|
( i 38,693
|
)
|
( i 4,352,839
|
)
|
||||||||
Brokerage commissions
|
( i 138,257
|
)
|
( i 288,003
|
)
|
( i 283,212
|
)
|
( i 568,269
|
)
|
||||||||
Net gain (loss) from futures trading
|
i 10,947,027
|
i 11,020,051
|
i 31,482,580
|
i 15,968,308
|
||||||||||||
Forward currency trading gains (losses)
|
||||||||||||||||
Realized
|
i 11,382,796
|
i 6,694,081
|
i 14,594,799
|
i 9,572,951
|
||||||||||||
Change in unrealized
|
i 1,092,538
|
( i 6,986,943
|
)
|
i 5,390,151
|
( i 2,552,316
|
)
|
||||||||||
Brokerage commissions
|
( i 20,931
|
)
|
( i 43,354
|
)
|
( i 48,321
|
)
|
( i 71,696
|
)
|
||||||||
Net gain (loss) from forward currency trading
|
i 12,454,403
|
( i 336,216
|
)
|
i 19,936,629
|
i 6,948,939
|
|||||||||||
Swap trading gains (losses)
|
||||||||||||||||
Realized
|
i 964,901
|
i 29,899
|
i 685,855
|
( i 1,745,470
|
)
|
|||||||||||
Change in unrealized
|
( i 268,471
|
)
|
i 169,571
|
i 203,378
|
( i 508,198
|
)
|
||||||||||
Net gain (loss) from swap trading
|
i 696,430
|
i 199,470
|
i 889,233
|
( i 2,253,668
|
)
|
|||||||||||
Total net trading gain (loss)
|
i 24,097,860
|
i 10,883,305
|
i 52,308,442
|
i 20,663,579
|
||||||||||||
NET INVESTMENT INCOME (LOSS)
|
||||||||||||||||
Investment income
|
||||||||||||||||
Interest income
|
i 368,002
|
i 102,856
|
i 468,760
|
i 230,821
|
||||||||||||
Realized gain (loss) on fixed income securities
|
( i 5,468
|
)
|
( i 13,034
|
)
|
( i 13,460
|
)
|
( i 16,788
|
)
|
||||||||
Change in unrealized gain (loss) on fixed income securities
|
( i 309,510
|
)
|
( i 32,450
|
)
|
( i 562,085
|
)
|
( i 111,368
|
)
|
||||||||
Total investment income (loss)
|
i 53,024
|
i 57,372
|
( i 106,785
|
)
|
i 102,665
|
|||||||||||
Expenses
|
||||||||||||||||
Brokerage fee
|
i 2,914,955
|
i 2,527,891
|
i 5,441,976
|
i 4,879,296
|
||||||||||||
Operating expenses
|
i 144,202
|
i 128,970
|
i 265,671
|
i 256,582
|
||||||||||||
Total expenses
|
i 3,059,157
|
i 2,656,861
|
i 5,707,647
|
i 5,135,878
|
||||||||||||
Net investment income (loss)
|
( i 3,006,133
|
)
|
( i 2,599,489
|
)
|
( i 5,814,432
|
)
|
( i 5,033,213
|
)
|
||||||||
NET INCOME (LOSS)
|
$
|
i 21,091,727
|
$
|
i 8,283,816
|
$
|
i 46,494,010
|
$
|
i 15,630,366
|
||||||||
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT
|
||||||||||||||||
(based on weighted average number of units outstanding during the period)
|
$
|
i 391.86
|
$
|
i 137.19
|
$
|
i 850.41
|
$
|
i 254.86
|
||||||||
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT
|
$
|
i 388.76
|
$ | i 134.09 |
$
|
i 845.27
|
$
|
i 252.49
|
||||||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
|
i 53,825.024
|
i 60,381.403
|
i 54,672.270
|
i 61,329.242
|
Six Months Ended
|
||||||||
2021
|
||||||||
Cash flows from (for) operating activities
|
||||||||
Net income (loss)
|
$
|
i 46,494,010
|
$
|
i 15,630,366
|
||||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
|
||||||||
Net change in unrealized on futures, forwards, swaps and investments
|
( i 4,992,751
|
)
|
i 7,524,721
|
|||||
(Increase) decrease in interest receivable
|
( i 95,855
|
)
|
i 6,921
|
|||||
(Increase) decrease in due from swaps broker
|
i 18,676
|
( i 3,498
|
)
|
|||||
Increase (decrease) in accounts payable and accrued expenses
|
i 213,069
|
( i 2,887
|
)
|
|||||
Net purchases from swap broker
|
i 208,949
|
( i 670,517
|
)
|
|||||
Purchases of investments
|
( i 786,900,963
|
)
|
( i 706,654,831
|
)
|
||||
Sales/maturities of investments
|
i 751,070,330
|
i 708,776,972
|
||||||
Net cash from (for) operating activities
|
i 6,015,465
|
i 24,607,247
|
||||||
Cash flows from (for) financing activities
|
||||||||
Redemption of units
|
( i 8,386,096
|
)
|
( i 9,668,602
|
)
|
||||
Offering costs paid
|
( i 298,817
|
)
|
( i 303,268
|
)
|
||||
Net cash from (for) financing activities
|
( i 8,684,913
|
)
|
( i 9,971,870
|
)
|
||||
Net increase (decrease) in cash, cash equivalents and restricted cash
|
( i 2,669,448
|
)
|
i 14,635,377
|
|||||
Cash, cash equivalents and restricted cash at beginning of period
|
i 37,879,336
|
i 31,258,386
|
||||||
Cash, cash equivalents and restricted cash at end of period
|
$
|
i 35,209,888
|
$
|
i 45,893,763
|
Cash, cash equivalents and restricted cash at end of period consists of:
|
||||||||
Equity in futures brokers trading accounts:
|
||||||||
Cash
|
$
|
i 18,083,673
|
$
|
i 14,702,234
|
||||
Restricted cash
|
i 0 |
i 542,373 | ||||||
Cash and cash equivalents
|
i 2,458,821
|
i 477,204
|
||||||
Cash at interbank market maker
|
i 2,585,405
|
i 5,720,106
|
||||||
Restricted cash at interbank market makers
|
i 6,474,313
|
i 11,728,326
|
||||||
Cash at swaps broker
|
i 4,709,769
|
i 4,268,767
|
||||||
Restricted cash at swaps broker
|
i 897,907
|
i 440,326
|
||||||
Total cash, cash equivalents and restricted cash at end of period
|
$
|
i 35,209,888
|
$
|
i 37,879,336
|
Partners’ Capital
|
||||||||||||||||||||||||
General Partner
|
Limited Partners
|
Total
|
||||||||||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
|||||||||||||||||||
Six Months Ended June 30, 2022
|
||||||||||||||||||||||||
Balances at December 31, 2021
|
i 0.000
|
$
|
i 0
|
i 55,906.286
|
$
|
i 130,719,370
|
i 55,906.286
|
$
|
i 130,719,370
|
|||||||||||||||
Net income (loss) for the three months ended March 31, 2022
|
i 0
|
i 25,402,283
|
i 25,402,283
|
|||||||||||||||||||||
Redemptions
|
i 0.000
|
i 0
|
( i 1,498.696
|
)
|
( i 3,898,869
|
)
|
( i 1,498.696
|
)
|
( i 3,898,869
|
)
|
||||||||||||||
Offering costs
|
i 0
|
( i 170,076
|
)
|
( i 170,076
|
)
|
|||||||||||||||||||
Balances at March 31, 2022
|
i 0.000
|
$
|
i 0
|
i 54,407.590
|
$
|
i 152,052,708
|
i 54,407.590
|
$
|
i 152,052,708
|
|||||||||||||||
Net income (loss) for the three months ended June 30, 2022
|
i 0
|
i 21,091,727
|
i 21,091,727
|
|||||||||||||||||||||
Redemptions
|
i 0.000
|
i 0
|
( i 1,517.000
|
)
|
( i 4,643,358
|
)
|
( i 1,517.000
|
)
|
( i 4,643,358
|
)
|
||||||||||||||
Offering costs
|
i 0
|
( i 124,923
|
)
|
( i 124,923
|
)
|
|||||||||||||||||||
Balances at June 30, 2022
|
i 0.000
|
$
|
i 0
|
i 52,890.885
|
$
|
i 168,376,154
|
i 52,890.885
|
$
|
i 168,376,154
|
|||||||||||||||
Six Months Ended June 30, 2021
|
||||||||||||||||||||||||
Balances at December 31, 2020
|
i 0.000
|
$
|
i 0
|
i 63,149.651
|
$
|
i 135,144,973
|
i 63,149.651
|
$
|
i 135,144,973
|
|||||||||||||||
Net income (loss) for the three months ended March 31, 2021
|
i 0
|
i 7,346,550
|
$
|
i 7,346,550
|
||||||||||||||||||||
Redemptions
|
i 0.000
|
i 0
|
( i 2,389.505
|
)
|
( i 5,110,068
|
)
|
( i 2,389.505
|
)
|
( i 5,110,068
|
)
|
||||||||||||||
Offering costs
|
i 0
|
( i 156,766
|
)
|
( i 156,766
|
)
|
|||||||||||||||||||
Balances at March 31, 2021
|
i 0.000
|
$
|
i 0
|
i 60,760.146
|
$
|
i 137,224,689
|
i 60,760.146
|
$
|
i 137,224,689
|
|||||||||||||||
Net income (loss) for the three months ended June 30, 2021
|
i 0
|
i 8,283,816
|
i 8,283,816
|
|||||||||||||||||||||
Redemptions
|
i 0.000
|
i 0
|
( i 1,175.663
|
)
|
( i 2,798,099
|
)
|
( i 1,175.663
|
)
|
( i 2,798,099
|
)
|
||||||||||||||
Offering costs
|
i 0
|
( i 150,734
|
)
|
( i 150,734
|
)
|
|||||||||||||||||||
Balances at June 30, 2021
|
i 0.000
|
$
|
i 0
|
i 59,584.483
|
$
|
i 142,559,672
|
i 59,584.483
|
$
|
i 142,559,672
|
$
|
i 3,183.46
|
$
|
i 2,794.70
|
$
|
i 2,338.19
|
$
|
i 2,392.56
|
$
|
i 2,258.47
|
$
|
i 2,140.07
|
Three Months Ended June 30,
|
Six Months Ended June 30,
|
|||||||||||||||
2021
|
2022
|
2021
|
||||||||||||||
Per Unit Performance
|
||||||||||||||||
(for a unit outstanding throughout the entire period)
|
||||||||||||||||
Net asset value per unit at beginning of period
|
$
|
i 2,794.70
|
$
|
i 2,258.47
|
$
|
i 2,338.19
|
$
|
i 2,140.07
|
||||||||
Income (loss) from operations:
|
||||||||||||||||
Total net trading gains (losses) (1)
|
i 446.93
|
i 179.64
|
i 957.02
|
i 339.57
|
||||||||||||
Net investment income (loss) (1)
|
( i 55.85
|
)
|
( i 43.05
|
)
|
( i 106.35
|
)
|
( i 82.07
|
)
|
||||||||
Total net income (loss) from operations
|
i 391.08
|
i 136.59
|
i 850.67
|
i 257.50
|
||||||||||||
Offering costs (1)
|
( i 2.32
|
)
|
( i 2.50
|
)
|
( i 5.40
|
)
|
( i 5.01
|
)
|
||||||||
Net asset value per unit at end of period
|
$
|
i 3,183.46
|
$
|
i 2,392.56
|
$
|
i 3,183.46
|
$
|
i 2,392.56
|
||||||||
Total Return (4)
|
i 13.91
|
%
|
i 5.94
|
%
|
i 36.15
|
%
|
i 11.80
|
%
|
||||||||
Supplemental Data
|
||||||||||||||||
Ratios to average net asset value:
|
||||||||||||||||
Expenses prior to performance fee (3)
|
i 7.60
|
%
|
i 7.51
|
%
|
i 7.60
|
%
|
i 7.49
|
%
|
||||||||
Performance fee (4)
|
i 0.00
|
%
|
i 0.00
|
%
|
i 0.00
|
%
|
i 0.00
|
%
|
||||||||
Total expenses
|
i 7.60
|
%
|
i 7.51
|
%
|
i 7.60
|
%
|
i 7.49
|
%
|
||||||||
Net investment income (loss) (2) (3)
|
( i 7.44
|
)%
|
( i 7.35
|
)%
|
( i 7.74
|
)%
|
( i 7.34
|
)%
|
(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
|
Fair Value at June 30, 2022
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Short term investments
|
$
|
i 3,877,443
|
$
|
i 0
|
$
|
i 0
|
$
|
i 3,877,443
|
||||||||
Fixed income securities
|
i 0
|
i 126,638,163
|
i 0
|
i 126,638,163
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
i 155,308
|
i 0
|
i 0
|
i 155,308
|
||||||||||||
Forward currency contracts
|
i 0
|
i 4,595,602
|
i 0
|
i 4,595,602
|
||||||||||||
Credit default index swap contracts
|
i 0
|
i 46,812
|
i 0
|
i 46,812
|
||||||||||||
Interest rate swap contracts
|
i 0
|
( i 11,423
|
)
|
i 0
|
( i 11,423
|
)
|
||||||||||
Total
|
$
|
i 4,032,751
|
$
|
i 131,269,154
|
$
|
i 0
|
$
|
i 135,301,905
|
Fair Value at December 31, 2021
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Short term investments
|
$
|
i 5,214,406
|
$
|
i 0
|
$
|
i 0
|
$
|
i 5,214,406
|
||||||||
Fixed income securities
|
i 0
|
i 90,032,652
|
i 0
|
i 90,032,652
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
i 194,001
|
i 0
|
i 0
|
i 194,001
|
||||||||||||
Forward currency contracts
|
i 0
|
( i 794,549
|
)
|
i 0
|
( i 794,549
|
)
|
||||||||||
Credit default index swap contracts
|
i 0
|
i 1,432,745
|
i 0
|
i 1,432,745
|
||||||||||||
Total
|
$
|
i 5,408,407
|
$
|
i 90,670,848
|
$
|
i 0
|
$
|
i 96,079,255
|
Credit Default Index Swaps
|
Maturity Date:
June 2027
|
Maturity Date:
December 2026
|
|||||||
Investment grade
|
$
|
( i 934,777
|
)
|
$
|
i 19,078,137
|
||||
Non-investment grade
|
( i 355,505
|
)
|
i 16,769,930
|
||||||
Total
|
$
|
( i 1,290,282
|
)
|
$
|
i 35,848,067
|
Type of Instrument *
|
Statements of Financial Condition Location
|
Liability
Derivatives at
Fair Value
|
Net
|
||||||||||
Agriculture Contracts |
Net unrealized gain (loss) on open futures contracts
|
$
|
i 1,846,947
|
$
|
( i 898,443
|
)
|
$
|
i 948,504
|
|||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
i 245,928
|
( i 1,250,533
|
)
|
( i 1,004,605
|
)
|
|||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
i 3,806,293
|
( i 3,731,174
|
)
|
i 75,119
|
||||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
i 1,027,396
|
( i 184,081
|
)
|
i 843,315
|
||||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
i 314,201
|
( i 406,253
|
)
|
( i 92,052
|
)
|
|||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
i 838,400
|
( i 1,453,373
|
)
|
( i 614,973
|
)
|
|||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
i 15,684,346
|
( i 11,088,744
|
)
|
i 4,595,602
|
||||||||
Credit Default Index Swap Contracts**
|
Credit default index swaps
|
i 49,019
|
( i 2,207
|
)
|
i 46,812
|
||||||||
Interest Rate Swap Contracts**
|
Interest rate swaps
|
i 110,801
|
( i 122,224
|
)
|
( i 11,423
|
)
|
|||||||
Total
|
|
$
|
i 23,923,331
|
$
|
( i 19,137,032
|
)
|
$
|
i 4,786,299
|
*
|
Derivatives not designated as hedging instruments under ASC 815
|
**
|
Amount of centrally cleared swap contracts is not reconciled with the
statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.
|
Type of Instrument *
|
Statements of Financial Condition Location
|
Fair Value
|
Fair Value
|
Net
|
|||||||||
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
$
|
i 670,890
|
$
|
( i 339,135
|
)
|
$
|
i 331,755
|
|||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
i 374,147
|
( i 351,855
|
)
|
i 22,292
|
||||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
i 2,649,310
|
( i 3,038,109
|
)
|
( i 388,799
|
)
|
|||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
i 875,863
|
( i 168,666
|
)
|
i 707,197
|
||||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
i 175,142
|
( i 190,112
|
)
|
( i 14,970
|
)
|
|||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
i 887,576
|
( i 1,351,050
|
)
|
( i 463,474
|
)
|
|||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
i 6,779,979
|
( i 7,574,528
|
)
|
( i 794,549
|
)
|
|||||||
Credit Default Index Swap Contracts**
|
Credit default index swaps
|
i 1,649,303
|
( i 216,558
|
)
|
i 1,432,745
|
||||||||
Total
|
|
$
|
i 14,062,210
|
$
|
( i 13,230,013
|
)
|
$
|
i 832,197
|
*
|
Derivatives not designated as hedging instruments under ASC 815
|
**
|
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the
statements of financial condition.
|
Type of Instrument
|
Trading Gains (Losses) for
the Three Months Ended
|
Trading Gains (Losses) for
the Three Months Ended
|
||||||
Agriculture Contracts
|
$
|
i 1,279,268
|
$
|
i 4,311,266
|
||||
Energy Contracts
|
i 1,595,927
|
i 4,376,545
|
||||||
Metal Contracts
|
( i 500,534
|
)
|
i 1,407,195
|
|||||
Stock Indices Contracts
|
i 1,242,029
|
i 3,907,952
|
||||||
Short-Term Interest Rate Contracts
|
( i 178,968
|
)
|
( i 398,843
|
)
|
||||
Long-Term Interest Rate Contracts
|
i 7,647,562
|
( i 2,296,061
|
)
|
|||||
Forward Currency Contracts
|
i 12,475,334
|
( i 292,862
|
)
|
|||||
Credit Default Index Swap Contracts
|
( i 1,124,494
|
)
|
i 471,639
|
|||||
Interest Rate Swap Contracts
|
i 1,820,924
|
( i 272,169
|
)
|
|||||
Total
|
$
|
i 24,257,048
|
$
|
i 11,214,662
|
Type of Instrument
|
Trading Gains (Losses) for
the Six Months Ended
|
Trading Gains (Losses) for
the Six Months Ended
|
||||||
Agriculture Contracts
|
$
|
i 3,544,568
|
$
|
i 6,880,173
|
||||
Energy Contracts
|
i 9,945,129
|
i 6,830,221
|
||||||
Metal Contracts
|
i 2,387,642
|
i 1,093,785
|
||||||
Stock Indices Contracts
|
i 1,670,993
|
i 9,220,087
|
||||||
Short-Term Interest Rate Contracts
|
i 1,900,049
|
( i 1,735,000
|
)
|
|||||
Long-Term Interest Rate Contracts
|
i 12,317,411
|
( i 5,752,689
|
)
|
|||||
Forward Currency Contracts
|
i 19,984,950
|
i 7,020,635
|
||||||
Credit Default Index Swap Contracts
|
( i 1,736,167
|
)
|
i 475,604
|
|||||
Interest Rate Swap Contracts
|
i 2,625,400
|
( i 2,729,272
|
)
|
|||||
Total
|
$
|
i 52,639,975
|
$
|
i 21,303,544
|
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**
|
$
|
i 13,769,611
|
$
|
i 11,949,966
|
||||
Change in unrealized
|
( i 2,684,327
|
)
|
( i 641,912
|
)
|
||||
Forward currency trading gains (losses):
|
||||||||
Realized**
|
i 11,382,796
|
i 6,694,081
|
||||||
Change in unrealized
|
i 1,092,538
|
( i 6,986,943
|
)
|
|||||
Swap trading gains (losses):
|
||||||||
Realized
|
i 964,901
|
i 29,899
|
||||||
Change in unrealized
|
( i 268,471
|
)
|
i 169,571
|
|||||
Total
|
$
|
i 24,257,048
|
$
|
i 11,214,662
|
Line Item in the Statements of Operations
|
Trading Gains (Losses) for
the Six Months Ended
|
Trading Gains (Losses) for
the Six Months Ended
|
||||||
Futures trading gains (losses):
|
||||||||
Realized***
|
$
|
i 31,804,485
|
$
|
i 20,889,416
|
||||
Change in unrealized
|
( i 38,693
|
)
|
( i 4,352,839
|
)
|
||||
Forward currency trading gains (losses):
|
||||||||
Realized***
|
i 14,594,799
|
i 9,572,951
|
||||||
Change in unrealized
|
i 5,390,151
|
( i 2,552,316
|
)
|
|||||
Swap trading gains (losses):
|
||||||||
Realized
|
i 685,855
|
( i 1,745,470
|
)
|
|||||
Change in unrealized
|
i 203,378
|
( i 508,198
|
)
|
|||||
Total
|
$
|
i 52,639,975
|
$
|
i 21,303,544
|
** |
For the three months ended June 30, 2022 and 2021, the amounts above include
gains/(losses) on foreign currency cash balances at the futures brokers of $ i 63,257 and $( i 23,285),
respectively, and gains/(losses) on spot trades in connection with forward currency trading at the interbank market makers of $ i 596,209 and $ i 200,081,
respectively.
|
*** |
For the six months ended June 30, 2022
and 2021, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $ i 77,218 and $ i 8,504,
respectively, and gains/(losses) on spot trades in connection with forward currency trading at the interbank market makers of $ i 1,064,136
and $( i 136,125), respectively.
|
Offsetting of Derivative Assets by Counterparty
|
As of June 30, 2022
|
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 & Co.
|
$
|
i 8,079,165
|
$
|
( i 7,923,857
|
)
|
$
|
i 155,308
|
|||||
Forward currency contracts
|
NatWest Markets Plc
|
i 15,684,346
|
( i 11,088,744
|
)
|
i 4,595,602
|
||||||||
Centrally cleared swap contracts*
|
Centrally Cleared
|
i 159,820
|
( i 124,431
|
)
|
i 35,389
|
||||||||
Total derivatives
|
$
|
i 23,923,331
|
$
|
( i 19,137,032
|
)
|
$
|
i 4,786,299
|
* |
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.
|
Derivative Assets and Collateral Received by Counterparty
|
|||||||||
As of June 30, 2022
|
Net Amounts of
Unrealized Gain
Presented in the
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|||||||||||||||
Counterparty
|
Statements of
Financial Condition |
Financial
Instruments
|
Cash Collateral
Received |
Net Amount
|
||||||||||||
Goldman, Sachs & Co.
|
$
|
i 155,308
|
$
|
i 0
|
$
|
i 0
|
$
|
i 155,308
|
||||||||
NatWest Markets Plc
|
i 4,595,602
|
i 0
|
i 0
|
i 4,595,602
|
||||||||||||
Centrally Cleared
|
i 35,389
|
i 0
|
i 0
|
i 35,389
|
||||||||||||
Total
|
$
|
i 4,786,299
|
$
|
i 0
|
$
|
i 0
|
$
|
i 4,786,299
|
Offsetting of Derivative Liabilities by Counterparty
|
As of June 30, 2022
|
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 & Co.
|
$
|
i 7,923,857
|
$
|
( i 7,923,857
|
)
|
$
|
i 0
|
|||||
Forward currency contracts
|
NatWest Markets Plc
|
i 11,088,744
|
( i 11,088,744
|
)
|
i 0
|
||||||||
Centrally cleared swap contracts
|
Centrally Cleared
|
i 124,431
|
( i 124,431
|
)
|
i 0
|
||||||||
Total derivatives
|
|
$
|
i 19,137,032
|
$
|
( i 19,137,032
|
)
|
$
|
i 0
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
As of June 30, 2022
|
Net Amounts of
Unrealized Loss Presented in the
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|||||||||||||||
Counterparty
|
Statements of
Financial Condition |
Financial
Instruments
|
Cash Collateral
Pledged |
Net Amount
|
||||||||||||
Goldman, Sachs & Co.
|
$
|
i 0
|
$
|
i 0
|
$
|
i 0
|
$
|
i 0
|
||||||||
NatWest Markets Plc
|
i 0
|
i 0
|
i 0
|
i 0
|
||||||||||||
Centrally Cleared
|
i 0
|
i 0
|
i 0
|
i 0
|
||||||||||||
Total
|
$
|
i 0
|
$
|
i 0
|
$
|
i 0
|
$
|
i 0
|
Offsetting of Derivative Assets by Counterparty
|
As of December 31, 2021
|
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 & Co.
|
$
|
i 5,632,928
|
$ | ( i 5,438,927 | ) | $ | i 194,001 | |||||
Forward currency contracts
|
NatWest Markets Plc
|
i 6,779,979
|
( i 6,779,979
|
)
|
i 0
|
||||||||
Centrally cleared swap contracts*
|
Centrally Cleared
|
i 1,649,303
|
( i 216,558
|
)
|
i 1,432,745
|
||||||||
Total derivatives
|
|
$
|
i 14,062,210
|
$
|
( i 12,435,464
|
)
|
$
|
i 1,626,746
|
* |
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.
|
Derivative Assets and Collateral Received by Counterparty
|
As of December 31, 2021
|
Net Amounts of
Unrealized Gain
Presented in the
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|||||||||||||||
Counterparty
|
Statements of
Financial Condition |
Financial
Instruments
|
Cash Collateral
Received |
Net Amount
|
||||||||||||
Goldman, Sachs & Co.
|
$
|
i 194,001
|
$
|
i 0
|
$
|
i 0
|
$
|
i 194,001
|
||||||||
NatWest Markets Plc
|
i 0
|
i 0
|
i 0
|
i 0
|
||||||||||||
Centrally Cleared
|
i 1,432,745
|
i 0
|
i 0
|
i 1,432,745
|
||||||||||||
Total
|
$
|
i 1,626,746
|
$
|
i 0
|
$
|
i 0
|
$
|
i 1,626,746
|
Offsetting of Derivative Liabilities by Counterparty
|
As of December 31, 2021
|
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 ofFinancial Condition
|
|||||||||
Futures contracts
|
Goldman, Sachs & Co.
|
$
|
i 5,438,927
|
$
|
( i 5,438,927
|
)
|
$
|
i 0
|
|||||
Forward currency contracts
|
NatWest Markets Plc
|
i 7,574,528
|
( i 6,779,979
|
)
|
i 794,549
|
||||||||
Centrally cleared swap contracts
|
Centrally Cleared
|
i 216,558
|
( i 216,558
|
)
|
i 0
|
||||||||
Total derivatives
|
|
$
|
i 13,230,013
|
$
|
( i 12,435,464
|
)
|
$
|
i 794,549
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
As of December 31, 2021
|
Net Amounts of
Unrealized Loss
Presented in the
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|||||||||||||||
Counterparty
|
Statements of
Financial Condition
|
Financial
Instruments |
Cash Collateral
Pledged |
Net Amount
|
||||||||||||
Goldman, Sachs & Co.
|
$
|
i 0
|
$
|
i 0
|
$
|
i 0
|
$
|
i 0
|
||||||||
NatWest Markets Plc
|
i 794,549
|
i 0
|
( i 794,549)
|
i 0
|
||||||||||||
Centrally Cleared
|
i 0
|
i 0
|
i 0
|
i 0
|
||||||||||||
Total
|
$
|
i 794,549
|
$
|
i 0
|
$
|
( i 794,549)
|
$
|
i 0
|
Sector
|
% Gain (Loss)
|
|||
Credit
|
0.48
|
%
|
||
Commodities
|
12.77
|
%
|
||
Foreign Exchange
|
15.26
|
%
|
||
Interest Rates
|
10.87
|
%
|
||
Equity Indices
|
1.07
|
%
|
||
40.45
|
%
|
Sector
|
% Gain (Loss)
|
|||
Credit
|
(2.03
|
)%
|
||
Commodities
|
5.36
|
%
|
||
Foreign Exchange
|
10.85
|
%
|
||
Interest Rates
|
(5.32
|
)%
|
||
Equity Indices
|
6.86
|
%
|
||
15.72
|
%
|
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Credit
|
0.07
|
%
|
0.48
|
%
|
||||
Commodities
|
0.62
|
%
|
12.77
|
%
|
||||
Foreign Exchange
|
1.06
|
%
|
15.26
|
%
|
||||
Interest Rates
|
0.78
|
%
|
10.87
|
%
|
||||
Equity Indices
|
0.51
|
%
|
1.07
|
%
|
||||
Aggregate/Total
|
1.64
|
%
|
40.45
|
%
|
* |
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 36.15% year to date return, approximately 40.45% was due to trading gains (before commissions) and approximately (0.07)% due to investment loss, offset by approximately (4.23)% due to brokerage fees,
operating expenses and offering costs borne by the Fund.
|
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Credit
|
0.07
|
%
|
(0.61
|
)%
|
||||
Commodities
|
0.91
|
%
|
10.99
|
%
|
||||
Foreign Exchange
|
0.90
|
%
|
8.09
|
%
|
||||
Interest Rates
|
0.58
|
%
|
(10.04
|
)%
|
||||
Equity Indices
|
0.92
|
%
|
8.70
|
%
|
||||
Aggregate/Total
|
2.09
|
%
|
17.12
|
%
|
* |
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 9.26% year to date return, approximately 17.12% was due to trading gains (before commissions) and approximately 0.08% due to investment income, offset by approximately (7.94)% 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 Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
Certification of John R. Radle, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
101
|
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments As of June 30, 2022 and December 31, 2021, (ii) Statements of Financial Condition As of June 30, 2022 and
December 31, 2021, (iii) Statements of Operations For the Three Months and Six Months Ended June 30, 2022 and 2021, (iv) Statements of Cash Flows For the Six Months Ended June 30, 2022 and 2021, (v) Statements of Changes in Unitholders’
Capital (Net Asset Value) For the Three Months and Six Months Ended June 30, 2022 and 2021, (vi) Financial Highlights For the Three Months and Six Months Ended June 30, 2022 and 2021, (vii) Notes to Financial Statements.
|
|
104
|
Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).
|
(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 Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
Certification of John R. Radle, 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 June 30, 2022 and December 31, 2021, (ii) Statements of Financial Condition As of
June 30, 2022 and December 31, 2021, (iii) Statements of Operations For the Three Months and Six Months Ended June 30, 2022 and 2021, (iv) Statements of Cash Flows For the Six Months Ended June 30, 2022 and 2021, (v) Statements of Changes in
Unitholders’ Capital (Net Asset Value) For the Three Months and Six Months Ended June 30, 2022 and 2021, (vi) Financial Highlights For the Three Months and Six Months Ended June 30, 2022 and 2021, (vii) Notes to Financial Statements.
|
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Registrant)
|
|||
By:
|
Campbell & Company, LP
|
||
General Partner
|
|||
Date: August 12, 2022
|
By:
|
/s/ Kevin D. Cole
|
|
Chief Executive Officer & Chief Investment Officer
|
This ‘10-Q’ Filing | Date | Other Filings | ||
---|---|---|---|---|
Filed on: | 8/12/22 | |||
For Period end: | 6/30/22 | |||
3/31/22 | 10-Q | |||
3/25/22 | 10-K | |||
12/31/21 | 10-K, 8-K | |||
6/30/21 | 10-Q | |||
3/31/21 | 10-Q | |||
12/31/20 | 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 |
As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 11/14/17 Campbell Strategic Allocation… LP 10-Q 9/30/17 51:5.2M Broadridge Fin’l So… Inc 5/15/14 Campbell Strategic Allocation… LP 10-Q 3/31/14 52:5.6M 4/07/11 Campbell Strategic Allocation… LP POS AM 5:8M Toppan Merrill/FA 4/27/10 Campbell Strategic Allocation… LP S-1 12:3.9M Donnelley … Solutions/FA |