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As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 5/14/21 Campbell Strategic Allocation… LP 10-Q 3/31/21 57:5.2M Edgarfilings Ltd. |
Document/Exhibit Description Pages Size 1: 10-Q Quarterly Report HTML 503K 2: EX-31.1 Exhibit 31.01 HTML 24K 3: EX-31.2 Exhibit 31.02 HTML 24K 4: EX-32.1 Exhibit 32.01 HTML 17K 5: EX-32.2 Exhibit 32.02 HTML 17K 12: R1 Document and Entity Information HTML 47K 13: R2 Condensed Schedule of Investments HTML 224K 14: R3 Condensed Schedule of Investments (Parenthetical) HTML 91K 15: R4 Statements of Financial Condition HTML 83K 16: R5 Statements of Financial Condition (Parenthetical) HTML 28K 17: R6 Statements of Operations HTML 75K 18: R7 Statements of Cash Flows HTML 58K 19: R8 Statements of Cash Flows (Parenthetical) HTML 33K 20: R9 Statements of Changes in Partners' Capital (Net HTML 39K Asset Value) 21: R10 Statements of Changes in Partners' Capital (Net HTML 19K Asset Value) (Parenthetical) 22: R11 Financial Highlights HTML 40K 23: R12 Organization and Summary of Significant Accounting HTML 73K Policies 24: R13 General Partner and Commodity Trading Advisor HTML 21K 25: R14 Administrator and Transfer Agent HTML 20K 26: R15 Cash Manager and Custodian HTML 20K 27: R16 Deposits With Futures Brokers HTML 19K 28: R17 Deposits With Interbank Market Makers HTML 19K 29: R18 Deposits With Swaps Broker HTML 19K 30: R19 Operating Expenses HTML 19K 31: R20 Subscriptions, Distributions and Redemptions HTML 20K 32: R21 Credit Derivatives and Credit-Related Contingency HTML 25K Features 33: R22 Trading Activities and Related Risks HTML 171K 34: R23 Indemnifications HTML 20K 35: R24 Interim Financial Statements HTML 20K 36: R25 Subsequent Events HTML 20K 37: R26 Organization and Summary of Significant Accounting HTML 89K Policies (Policies) 38: R27 Organization and Summary of Significant Accounting HTML 58K Policies (Tables) 39: R28 Credit Derivatives and Credit-Related Contingency HTML 26K Features (Tables) 40: R29 Trading Activities and Related Risks (Tables) HTML 168K 41: R30 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING HTML 57K POLICIES, Fair Value (Details) 42: R31 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING HTML 30K POLICIES, Income Taxes (Details) 43: R32 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING HTML 25K POLICIES, Offering Costs (Details) 44: R33 General Partner and Commodity Trading Advisor HTML 40K (Details) 45: R34 Deposits With Interbank Market Makers (Details) HTML 22K 46: R35 Operating Expenses (Details) HTML 21K 47: R36 Subscriptions, Distributions and Redemptions HTML 19K (Details) 48: R37 Credit Derivatives and Credit-Related Contingency HTML 30K Features (Details) 49: R38 TRADING ACTIVITIES AND RELATED RISKS, Derivatives HTML 64K by Instrument Type and Location of Instruments on the Statements of Financial Condition (Details) 50: R39 TRADING ACTIVITIES AND RELATED RISKS, Derivatives HTML 39K by Instrument Type (Details) 51: R40 TRADING ACTIVITIES AND RELATED RISKS, Location of HTML 59K Gains and Losses on the Statements of Operations (Details) 52: R41 TRADING ACTIVITIES AND RELATED RISKS, Credit Risk HTML 38K (Details) 53: R42 TRADING ACTIVITIES AND RELATED RISKS, Offsetting HTML 61K of Derivative Assets and Collateral Received by Counterparty (Details) 54: R43 TRADING ACTIVITIES AND RELATED RISKS, Offsetting HTML 56K of Derivative Liabilities and Collateral Pledged by Counterparty (Details) 56: XML IDEA XML File -- Filing Summary XML 99K 55: EXCEL IDEA Workbook of Financial Reports XLSX 73K 6: EX-101.INS XBRL Instance -- csaf-20210331 XML 1.85M 8: EX-101.CAL XBRL Calculations -- csaf-20210331_cal XML 143K 9: EX-101.DEF XBRL Definitions -- csaf-20210331_def XML 493K 10: EX-101.LAB XBRL Labels -- csaf-20210331_lab XML 1.37M 11: EX-101.PRE XBRL Presentations -- csaf-20210331_pre XML 783K 7: EX-101.SCH XBRL Schema -- csaf-20210331 XSD 177K 57: ZIP XBRL Zipped Folder -- 0001140361-21-017408-xbrl Zip 163K
☑ |
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)
|
2850 Quarry Lake Drive
|
||
(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 ☐
|
Page
|
|||
PART I — FINANCIAL INFORMATION
|
|||
Item 1.
|
Financial Statements.
|
||
1-6
|
|||
7 | |||
8 | |||
9 | |||
10 | |||
11 | |||
12-25
|
|||
Item 2.
|
26-30
|
||
Item 3.
|
31-34
|
||
Item 4.
|
35 | ||
PART II — OTHER INFORMATION
|
|||
Item 1.
|
36 | ||
Item 1A.
|
36 | ||
Item 2.
|
36 | ||
Item 3.
|
36 | ||
Item 4.
|
36 | ||
Item 5.
|
36 | ||
Item 6.
|
37-38
|
||
39
|
Maturity
Face Value
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||||
Asset Backed Securities
|
|||||||||||
United States
|
|||||||||||
Auto Loans
|
$
|
6,358,696
|
4.63
|
%
|
|||||||
Credit Cards
|
545,399
|
0.40
|
%
|
||||||||
Equipment Loans
|
670,809
|
0.49
|
%
|
||||||||
Total Asset Backed Securities (cost $7,572,505)
|
7,574,904
|
5.52
|
%
|
||||||||
|
|||||||||||
Bank Deposits
|
|||||||||||
Australia
|
|||||||||||
Financials (cost $799,895)
|
799,842
|
0.58
|
%
|
||||||||
United States
|
|||||||||||
Financials (cost $875,043)
|
875,195
|
0.64
|
%
|
||||||||
Total Bank Deposits (cost $1,674,938)
|
1,675,037
|
1.22
|
%
|
||||||||
|
|||||||||||
Commercial Paper
|
|||||||||||
United Kingdom
|
|||||||||||
Financials (cost $3,709,265)
|
3,709,151
|
2.70
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
998,850
|
0.73
|
%
|
||||||||
Consumer Discretionary
|
4,354,183
|
3.17
|
%
|
||||||||
Financials
|
5,576,256
|
4.06
|
%
|
||||||||
Industrials
|
639,368 | 0.47 |
% |
||||||||
Materials
|
3,214,098
|
2.34
|
%
|
||||||||
Real Estate
|
2,274,585
|
1.66
|
%
|
||||||||
Technology
|
804,938 | 0.59 | % |
||||||||
Utilities
|
11,698,467
|
8.53
|
%
|
||||||||
Total United States (cost $29,562,189)
|
29,560,745
|
21.55
|
%
|
||||||||
Total Commercial Paper (cost $33,271,454)
|
$
|
33,269,896
|
24.24
|
%
|
Maturity
Face Value |
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||||
Corporate Bonds
|
|||||||||||
Australia
|
|||||||||||
Financials (cost $1,910,000)
|
$
|
1,919,361
|
1.40
|
%
|
|||||||
Canada
|
|||||||||||
Energy
|
240,711
|
0.18%
|
|||||||||
Financials
|
2,448,345
|
1.78
|
%
|
||||||||
Total Canada (cost $2,683,790)
|
2,689,056
|
1.96
|
%
|
||||||||
Germany
|
|||||||||||
Consumer Discretionary (cost $2,144,796)
|
2,159,284
|
1.57
|
%
|
||||||||
Japan
|
|||||||||||
Financials (cost $401,767)
|
401,676
|
0.29
|
%
|
||||||||
Switzerland
|
|||||||||||
Financials (cost $1,819,804)
|
1,830,890
|
1.33
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $1,880,000)
|
1,881,258
|
1.37
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
545,522
|
0.40
|
%
|
||||||||
Consumer Discretionary
|
5,108,442
|
3.72
|
%
|
||||||||
Consumer Staples
|
2,282,484
|
1.66
|
%
|
||||||||
Energy
|
2,521,013
|
1.84
|
%
|
||||||||
Financials
|
5,891,749
|
4.29
|
%
|
||||||||
Health Care
|
1,178,293
|
0.86
|
%
|
||||||||
Industrials
|
2,677,694
|
1.95
|
%
|
||||||||
Technology
|
649,266
|
0.47
|
%
|
||||||||
Utilities
|
1,173,138
|
0.85
|
%
|
||||||||
Total United States (cost $21,951,209)
|
22,027,601
|
16.04
|
%
|
||||||||
Total Corporate Bonds (cost $32,791,366)
|
32,909,126
|
23.96
|
%
|
||||||||
|
|||||||||||
Government and Agency Obligations
|
|||||||||||
United States
|
|||||||||||
U.S. Treasury Bills
|
|||||||||||
$
|
2,135,000
|
U.S. Treasury Bills Due 04/15/2021 (1)
|
2,134,987
|
1.56
|
%
|
||||||
$
|
8,175,000
|
U.S. Treasury Bills Due 05/13/2021 (1)
|
8,174,787
|
5.96
|
%
|
||||||
$
|
10,000,000
|
U.S. Treasury Bills Due 06/10/2021 (1)
|
9,999,680
|
7.29
|
%
|
||||||
Total Government and Agency Obligations (cost $20,309,045)
|
20,309,454 | 14.81 | % |
||||||||
Total Fixed Income Securities (cost $95,619,307) (2)
|
$ | 95,738,417 | 69.75 | % |
(1) |
Pledged as collateral for the trading of future positions.
|
(2) |
Included in fixed income securities are U.S. Treasury Bills with a fair value of $20,309,454 deposited with the futures brokers.
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Money Market Funds
|
||||||||
United States
|
||||||||
Money Market Funds (cost $2,223,437)
|
$
|
2,223,437
|
1.62
|
%
|
||||
Total Short Term Investments (cost $2,223,437)
|
$
|
2,223,437
|
1.62
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Agriculture
|
$
|
720,966
|
0.52
|
%
|
||||
Energy
|
(171,636
|
)
|
(0.13
|
)%
|
||||
Metals
|
(747,318
|
)
|
(0.54
|
)%
|
||||
Stock indices
|
1,236,007
|
0.90
|
%
|
|||||
Short-term interest rates
|
(276,473
|
)
|
(0.20
|
)%
|
||||
Long-term interest rates
|
(325,780
|
)
|
(0.24
|
)%
|
||||
Net unrealized gain (loss) on long futures contracts
|
435,766
|
0.31
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Agriculture
|
212,651
|
0.15
|
%
|
|||||
Energy
|
(40,694
|
)
|
(0.03
|
)%
|
||||
Metals
|
617,151
|
0.45
|
%
|
|||||
Stock indices
|
(54,110
|
)
|
(0.04
|
)%
|
||||
Short-term interest rates
|
(53,700
|
)
|
(0.04
|
)%
|
||||
Long-term interest rates
|
(66,937
|
)
|
(0.05
|
)%
|
||||
Net unrealized gain (loss) on short futures contracts
|
614,361
|
0.44
|
%
|
|||||
Net unrealized gain (loss) on open futures contracts
|
$
|
1,050,127
|
0.75
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Various long forward currency contracts
|
$
|
(2,694,204
|
)
|
(1.96
|
)%
|
|||
Various short forward currency contracts
|
8,254,242
|
6.02
|
%
|
|||||
Net unrealized gain (loss) on open forward currency contracts
|
$
|
5,560,038
|
4.06
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Centrally cleared credit default index swaps - Sell protection (net cost $1,411,638) (3)
|
$
|
1,486,107
|
1.08
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Centrally cleared interest rate swaps - Receive fixed (net cost $57,622) (4)
|
$
|
35,374
|
0.03
|
%
|
(3) |
Includes $1,408,245 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) |
Excludes $14,510 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps
broker in the statement of financial condition.
|
Maturity
Face Value
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||||
Asset Backed Securities
|
|||||||||||
United States
|
|||||||||||
Auto Loans
|
$
|
5,362,418
|
3.97
|
%
|
|||||||
Credit Cards
|
548,406
|
0.41
|
%
|
||||||||
Equipment Loans
|
610,982
|
0.45
|
%
|
||||||||
Total Asset Backed Securities (cost $6,496,521)
|
6,521,806
|
4.83
|
%
|
||||||||
|
|||||||||||
Bank Deposits
|
|||||||||||
United States
|
|||||||||||
Financials
|
874,999
|
0.65
|
%
|
||||||||
Total Bank Deposits (cost $875,109)
|
874,999
|
0.65
|
%
|
||||||||
|
|||||||||||
Commercial Paper
|
|||||||||||
Switzerland
|
|||||||||||
Financials (cost $1,063,200)
|
1,064,733
|
0.79
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $729,469)
|
729,374
|
0.55
|
%
|
||||||||
United States
|
|||||||||||
Consumer Discretionary
|
2,394,214
|
1.78
|
%
|
||||||||
Consumer Staples
|
1,464,908
|
1.08
|
%
|
||||||||
Energy
|
1,364,790
|
1.01
|
%
|
||||||||
Financials
|
8,276,221
|
6.12
|
%
|
||||||||
Industrials
|
2,434,867
|
1.80
|
%
|
||||||||
Utilities
|
9,903,470
|
7.33
|
%
|
||||||||
Total United States (cost $25,835,969)
|
25,838,470
|
19.12
|
%
|
||||||||
Total Commercial Paper (cost $27,628,638)
|
$ |
27,632,577
|
20.45
|
%
|
Maturity
Face Value |
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||||
Corporate Bonds
|
|||||||||||
Australia
|
|||||||||||
Financials (cost $1,910,000)
|
$ |
1,918,395
|
1.42
|
%
|
|||||||
Canada
|
|||||||||||
Financials (cost $3,752,648)
|
3,759,657
|
2.78
|
%
|
||||||||
Germany
|
|||||||||||
Consumer Discretionary (cost $2,144,696)
|
2,158,878
|
1.60
|
%
|
||||||||
Switzerland
|
|||||||||||
Financials (cost $1,304,759)
|
1,322,027
|
0.98
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $1,880,000)
|
1,883,519
|
1.38
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
545,680
|
0.40
|
%
|
||||||||
Consumer Discretionary
|
6,017,125
|
4.46
|
%
|
||||||||
Consumer Staples
|
909,534
|
0.67
|
%
|
||||||||
Energy
|
2,551,362
|
1.89
|
%
|
||||||||
Financials
|
10,134,257
|
7.50
|
%
|
||||||||
Industrials
|
2,475,189
|
1.83
|
%
|
||||||||
Technology
|
3,041,520
|
2.25
|
%
|
||||||||
Total United States (cost $25,556,403)
|
25,674,667
|
19.00
|
%
|
||||||||
Total Corporate Bonds (cost $36,548,506)
|
36,717,143
|
27.16
|
%
|
||||||||
Government and Agency Obligations
|
|||||||||||
United States
|
|||||||||||
U.S. Treasury Bills
|
|||||||||||
$
|
2,135,000
|
U.S. Treasury Bills Due 01/14/2021 (1)
|
2,134,972
|
1.58
|
%
|
||||||
$
|
7,675,000
|
U.S. Treasury Bills Due 02/11/2021 (1)
|
7,674,517
|
5.68
|
%
|
||||||
$
|
12,085,000
|
U.S. Treasury Bills Due 03/11/2021 (1)
|
12,083,332
|
8.94
|
%
|
||||||
Total Government and Agency Obligations (cost $21,892,544)
|
21,892,821
|
16.20
|
% |
||||||||
Total Fixed Income Securities (cost $93,441,318) (2)
|
$ |
93,639,346 | 69.29 | % |
(1) |
Pledged as collateral for the trading of future positions.
|
(2) |
Included in fixed income securities are U.S. Treasury Bills with a fair value of $21,892,821 deposited with the futures brokers.
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Money Market Funds
|
||||||||
United States
|
||||||||
Money Market Funds (cost $8,053,123)
|
$
|
8,053,123
|
5.96
|
%
|
||||
Total Short Term Investments (cost $8,053,123)
|
$
|
8,053,123
|
5.96
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Agriculture
|
$
|
1,420,040
|
1.05
|
%
|
||||
Energy
|
233,562
|
0.17
|
%
|
|||||
Metals
|
2,030,713
|
1.50
|
%
|
|||||
Stock indices
|
946,270
|
0.70
|
%
|
|||||
Short-term interest rates
|
163,439
|
0.12
|
%
|
|||||
Long-term interest rates
|
971,543
|
0.72
|
%
|
|||||
Net unrealized gain (loss) on long futures contracts
|
5,765,567
|
4.26
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Agriculture
|
(132,206
|
)
|
(0.10
|
)%
|
||||
Energy
|
53,644
|
0.04
|
%
|
|||||
Metals
|
(860,760
|
)
|
(0.64
|
)%
|
||||
Stock indices
|
9,072
|
0.01
|
%
|
|||||
Short-term interest rates
|
33,161
|
0.02
|
%
|
|||||
Long-term interest rates
|
(107,424
|
)
|
(0.08
|
)%
|
||||
Net unrealized gain (loss) on short futures contracts
|
(1,004,513
|
)
|
(0.75
|
)%
|
||||
Net unrealized gain (loss) on open futures contracts
|
$
|
4,761,054
|
3.51
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Various long forward currency contracts
|
$
|
4,948,421
|
3.66
|
%
|
||||
Various short forward currency contracts
|
(3,823,010
|
)
|
(2.83
|
)%
|
||||
Net unrealized gain (loss) on open forward currency contracts
|
$
|
1,125,411
|
0.83
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Centrally cleared credit default index swaps - Sell protection (net cost $817,091) (3)
|
$
|
1,265,353
|
0.94
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Centrally cleared interest rate swaps - Receive fixed (net cost $111,176) (4)
|
$
|
392,904
|
0.29
|
%
|
(3) |
Includes $1,261,433 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 $465,134 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
|
$
|
13,893,621
|
$
|
7,921,729
|
||||
Fixed income securities (cost $20,309,044 and $21,892,544, respectively)
|
20,309,454
|
21,892,821
|
||||||
Net unrealized gain (loss) on open futures contracts
|
1,050,127
|
4,761,054
|
||||||
Total equity in futures brokers trading accounts
|
35,253,202
|
34,575,604
|
||||||
Cash and cash equivalents
|
2,799,082
|
530,925
|
||||||
Cash at interbank market maker
|
6,080,662
|
6,016,235
|
||||||
Restricted cash at interbank market makers
|
7,587,664
|
9,501,426
|
||||||
Short term investments (cost $2,223,437 and $8,053,123, respectively)
|
2,223,437
|
8,053,123
|
||||||
Cash at swaps broker
|
4,152,847
|
3,252,089
|
||||||
Restricted cash at swaps broker
|
593,406
|
4,035,982
|
||||||
Fixed income securities (cost $75,310,263 and $71,548,774, respectively)
|
75,428,963
|
71,746,525
|
||||||
Credit default index swaps
|
77,862
|
3,920
|
||||||
Interest rate swaps
|
49,884
|
0
|
||||||
Due from swaps broker
|
22,012
|
22,431
|
||||||
Net unrealized gain on open forward currency contracts
|
5,560,038
|
1,125,411
|
||||||
Interest receivable
|
108,628
|
109,689
|
||||||
Total assets
|
$
|
139,937,687
|
$
|
138,973,360
|
||||
LIABILITIES
|
||||||||
Accounts payable
|
$
|
165,921
|
$
|
143,714
|
||||
Brokerage fee payable
|
814,862
|
808,965
|
||||||
Interest rate swaps
|
0
|
72,230
|
||||||
Accrued commissions and other trading fees on open contracts
|
28,540
|
32,264
|
||||||
Offering costs payable
|
52,607
|
45,477
|
||||||
Redemptions payable
|
1,651,068
|
2,725,737
|
||||||
Total liabilities
|
2,712,998
|
3,828,387
|
||||||
PARTNERS’ CAPITAL (Net Asset Value)
|
||||||||
General Partner - 0.000 and 0.000 redeemable units outstanding at March 31, 2021 and December 31, 2020
|
0
|
0
|
||||||
Limited Partners - 60,760.146 and 63,149.651 redeemable units outstanding at March 31, 2021 and December 31, 2020
|
137,224,689
|
135,144,973
|
||||||
Total partners’ capital (Net Asset Value)
|
137,224,689
|
135,144,973
|
||||||
Total liabilities and partners’ capital (Net Asset Value)
|
$
|
139,937,687
|
$
|
138,973,360
|
Three Months Ended March 31,
|
||||||||
2020 | ||||||||
TRADING GAINS (LOSSES)
|
|
|||||||
Futures trading gains (losses)
|
||||||||
Realized
|
$
|
8,939,450
|
$
|
(8,732,159
|
)
|
|||
Change in unrealized
|
(3,710,927
|
)
|
7,005,019
|
|||||
Brokerage commissions
|
(280,266
|
)
|
(306,106
|
)
|
||||
Net gain (loss) from futures trading
|
4,948,257
|
(2,033,246
|
)
|
|||||
Forward currency trading gains (losses)
|
||||||||
Realized
|
2,878,870
|
2,723,787
|
||||||
Change in unrealized
|
4,434,627
|
10,427,590
|
||||||
Brokerage commissions
|
(28,342
|
)
|
(25,841
|
)
|
||||
Net gain (loss) from forward currency trading
|
7,285,155
|
13,125,536
|
||||||
Swap trading gains (losses)
|
||||||||
Realized
|
(1,775,371
|
)
|
0
|
|||||
Change in unrealized
|
(677,769
|
)
|
0
|
|||||
Net gain (loss) from swap trading
|
(2,453,140
|
)
|
0
|
|||||
Total net trading gain (loss)
|
9,780,272
|
11,092,290
|
||||||
NET INVESTMENT INCOME (LOSS)
|
||||||||
Investment income
|
||||||||
Interest income
|
127,968
|
754,381
|
||||||
Realized gain (loss) on fixed income securities
|
(3,755
|
)
|
10,991
|
|||||
Change in unrealized gain (loss) on fixed income securities
|
(78,918
|
)
|
(996,484
|
)
|
||||
Total investment income
|
45,295
|
(231,112
|
)
|
|||||
Expenses
|
||||||||
Brokerage fee
|
2,351,405
|
3,016,225
|
||||||
Operating expenses
|
127,612
|
166,094
|
||||||
Total expenses
|
2,479,017
|
3,182,319
|
||||||
Net investment income (loss)
|
(2,433,722
|
)
|
(3,413,431
|
)
|
||||
NET INCOME (LOSS)
|
$
|
7,346,550
|
$
|
7,678,859
|
||||
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT
|
||||||||
(based on weighted average number of units outstanding during the period)
|
$
|
117.97
|
$
|
103.72
|
||||
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT
|
$
|
118.40
|
$
|
99.33
|
||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
|
62,277.082
|
74,037.033
|
Three Months Ended March 31,
|
||||||||
2020
|
||||||||
Cash flows from (for) operating activities
|
||||||||
Net income (loss)
|
$
|
7,346,550
|
$
|
7,678,859
|
||||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
|
||||||||
Net change in unrealized on futures, forwards, swaps and investments
|
32,987
|
(16,436,125
|
)
|
|||||
(Increase) decrease in interest receivable
|
1,061
|
62,221
|
||||||
(Increase) decrease in due from swaps broker
|
419
|
0
|
||||||
Increase (decrease) in accounts payable and accrued expenses
|
24,380
|
(29,192
|
)
|
|||||
Payments for swap contracts
|
(873,825
|
)
|
0
|
|||||
Purchases of investments
|
(389,773,120
|
)
|
(415,593,097
|
)
|
||||
Sales/maturities of investments
|
393,424,817
|
435,547,966
|
||||||
Net cash from (for) operating activities
|
10,183,269
|
11,230,632
|
||||||
Cash flows from (for) financing activities
|
||||||||
Redemption of units
|
(6,184,737
|
)
|
(5,158,505
|
)
|
||||
Offering costs paid
|
(149,636
|
)
|
(214,587
|
)
|
||||
Net cash from (for) financing activities
|
(6,334,373
|
)
|
(5,373,092
|
)
|
||||
Net increase (decrease) in cash, cash equivalents and restricted cash
|
3,848,896
|
5,857,540
|
||||||
Cash, cash equivalents and restricted cash at beginning of period
|
31,258,386
|
24,870,425
|
||||||
Cash, cash equivalents and restricted cash at end of period
|
$
|
35,107,282
|
$
|
30,727,965
|
Cash, cash equivalents and restricted cash at end of period consists of:
|
||||||||
Equity in futures brokers trading accounts:
|
||||||||
Cash
|
$
|
13,893,621
|
$
|
7,921,729
|
||||
Cash and cash equivalents
|
2,799,082
|
530,925
|
||||||
Cash at interbank market maker
|
6,080,662
|
6,016,235
|
||||||
Restricted cash at interbank market makers
|
7,587,664
|
9,501,426
|
||||||
Cash at swaps broker
|
4,152,847
|
3,252,089
|
||||||
Restricted cash at swaps broker
|
593,406
|
4,035,982
|
||||||
Total cash, cash equivalents and restricted cash at end of period
|
$
|
35,107,282
|
$
|
31,258,386
|
Partners’ Capital
|
||||||||||||||||||||||||
General Partner
|
Limited Partners
|
Total
|
||||||||||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
|||||||||||||||||||
Three Months Ended March 31, 2021
|
||||||||||||||||||||||||
Balances at December 31, 2020
|
0.000
|
$
|
0
|
63,149.651
|
$
|
135,144,973
|
63,149.651
|
$
|
135,144,973
|
|||||||||||||||
Net income (loss) for the three months ended March 31, 2021
|
0
|
7,346,550
|
7,346,550
|
|||||||||||||||||||||
Redemptions
|
0.000
|
0
|
(2,389.505
|
)
|
(5,110,068
|
)
|
(2,389.505
|
)
|
(5,110,068
|
)
|
||||||||||||||
Offering costs
|
0
|
(156,766
|
)
|
(156,766
|
)
|
|||||||||||||||||||
Balances at March 31, 2021
|
0.000
|
$
|
0
|
60,760.146
|
$
|
137,224,689
|
60,760.146
|
$
|
137,224,689
|
|||||||||||||||
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
|
$
|
2,258.47
|
$
|
2,140.07
|
$
|
2,292.06
|
$
|
2,192.73
|
Three Months Ended March 31,
|
||||||||
2020
|
||||||||
Per Unit Performance
|
||||||||
(for a unit outstanding throughout the entire period)
|
||||||||
Net asset value per unit at beginning of period
|
$
|
2,140.07
|
$
|
2,192.73
|
||||
Income (loss) from operations:
|
||||||||
Total net trading gains (losses) (1)
|
160.00
|
148.23
|
||||||
Net investment income (loss) (1)
|
(39.08
|
)
|
(46.10
|
)
|
||||
Total net income (loss) from operations
|
120.92
|
102.13
|
||||||
Offering costs (1)
|
(2.52
|
)
|
(2.80
|
)
|
||||
Net asset value per unit at end of period
|
$
|
2,258.47
|
$
|
2,292.06
|
||||
Total Return (4)
|
5.53
|
%
|
4.53
|
%
|
||||
Supplemental Data
|
||||||||
Ratios to average net asset value:
|
||||||||
Expenses prior to performance fee (3)
|
7.44
|
%
|
7.55
|
%
|
||||
Performance fee (4)
|
0.00
|
%
|
0.00
|
%
|
||||
Total expenses
|
7.44
|
%
|
7.55
|
%
|
||||
Net investment income (loss) (2) (3)
|
(7.32
|
)%
|
(8.10
|
)%
|
(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 March 31, 2021
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Short term investments
|
$
|
2,223,437
|
$
|
0
|
$
|
0
|
$
|
2,223,437
|
||||||||
Fixed income securities
|
0
|
95,738,417
|
0
|
95,738,417
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
1,050,127
|
0
|
0
|
1,050,127
|
||||||||||||
Forward currency contracts
|
0
|
5,560,038
|
0
|
5,560,038
|
||||||||||||
Credit default index swap contracts
|
0
|
1,486,107
|
0
|
1,486,107
|
||||||||||||
Interest rate swap contracts
|
0
|
35,374
|
0
|
35,374
|
||||||||||||
Total
|
$
|
3,273,564
|
$
|
102,819,936
|
$
|
0
|
$
|
106,093,500
|
Fair Value at December 31, 2020
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Short term investments
|
$
|
8,053,123
|
$
|
0
|
$
|
0
|
$
|
8,053,123
|
||||||||
Fixed income securities
|
0
|
93,639,346
|
0
|
93,639,346
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
4,761,054
|
0
|
0
|
4,761,054
|
||||||||||||
Forward currency contracts
|
0
|
1,125,411
|
0
|
1,125,411
|
||||||||||||
Credit default index swap contracts
|
0
|
1,265,353
|
0
|
1,265,353
|
||||||||||||
Interest rate swap contracts
|
0
|
392,904
|
0
|
392,904
|
||||||||||||
Total
|
$
|
12,814,177
|
$
|
96,423,014
|
$
|
0
|
$
|
109,237,191
|
Credit Default Index Swaps
|
Maturity Date:
June 2026
|
Maturity Date:
December 2025
|
||||||
Investment grade
|
$
|
18,816,698
|
$
|
19,273,236
|
||||
Non-investment grade
|
14,673,385
|
16,235,572
|
||||||
Total
|
$
|
33,490,083
|
$
|
35,508,808
|
Type of Instrument *
|
Statements of Financial Condition Location
|
Liability
Derivatives at
Fair Value
|
Net
|
|||||||||||
Agriculture Contracts |
Net unrealized gain (loss) on open futures contracts
|
$
|
1,580,648
|
$
|
(647,031
|
)
|
$
|
933,617
|
||||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
60,504
|
(272,834
|
)
|
(212,330
|
)
|
||||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
2,041,531
|
(2,171,698
|
)
|
(130,167
|
)
|
||||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
1,403,602
|
(221,705
|
)
|
1,181,897
|
|||||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
22,795
|
(352,968
|
)
|
(330,173
|
)
|
||||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
215,054
|
(607,771
|
)
|
(392,717
|
)
|
||||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
10,702,264
|
(5,142,226
|
)
|
5,560,038
|
|||||||||
Credit Default Index Swap Contracts**
|
Credit default index swaps
|
1,622,357
|
(136,250
|
)
|
1,486,107
|
|||||||||
Interest Rate Swap Contracts**
|
Interest rate swaps
|
72,659
|
(37,285
|
)
|
35,374
|
|||||||||
Total
|
|
$
|
17,721,414
|
$
|
(9,589,768
|
)
|
$
|
8,131,646
|
**
|
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
|
$
|
1,448,359
|
$
|
(160,525
|
)
|
$
|
1,287,834
|
||||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
476,936
|
(189,730
|
)
|
287,206
|
|||||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
2,607,512
|
(1,437,559
|
)
|
1,169,953
|
|||||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
1,286,506
|
(331,164
|
)
|
955,342
|
|||||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
196,631
|
(31
|
)
|
196,600
|
|||||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
1,048,732
|
(184,613
|
)
|
864,119
|
|||||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
5,879,307
|
(4,753,896
|
)
|
1,125,411
|
|||||||||
Credit Default Index Swap Contracts**
|
Credit default index swaps
|
1,427,593
|
(162,240
|
)
|
1,265,353
|
|||||||||
Interest Rate Swap Contracts**
|
Interest rate swaps
|
552,793
|
(159,889
|
)
|
392,904
|
|||||||||
Total
|
|
$
|
14,924,369
|
$
|
(7,379,647
|
)
|
$
|
7,544,722
|
**
|
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
|
$
|
2,568,907
|
$
|
1,923,105
|
||||
Energy Contracts
|
2,453,676
|
5,226,283
|
||||||
Metal Contracts
|
(313,410
|
)
|
4,486,773
|
|||||
Stock Indices Contracts
|
5,312,135
|
(23,567,212
|
)
|
|||||
Short-Term Interest Rate Contracts
|
(1,336,157
|
)
|
8,009,183
|
|||||
Long-Term Interest Rate Contracts
|
(3,456,628
|
)
|
2,194,728
|
|||||
Forward Currency Contracts
|
7,313,497
|
13,151,377
|
||||||
Credit Default Index Swap Contracts
|
3,965
|
0
|
||||||
Interest Rate Swap Contracts
|
(2,457,105
|
)
|
0
|
|||||
Total
|
$
|
10,088,880
|
$
|
11,424,237
|
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**
|
$
|
8,939,450
|
$
|
(8,732,159
|
)
|
|||
Change in unrealized
|
(3,710,927
|
)
|
7,005,019
|
|||||
Forward currency trading gains (losses):
|
||||||||
Realized**
|
2,878,870
|
2,723,787
|
||||||
Change in unrealized
|
4,434,627
|
10,427,590
|
||||||
Swap trading gains (losses):
|
||||||||
Realized
|
(1,775,371
|
)
|
0
|
|||||
Change in unrealized
|
(677,769
|
)
|
0
|
|||||
Total
|
$
|
10,088,880
|
$
|
11,424,237
|
** |
For the three months ended March 31, 2021 and 2020, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $31,789 and $46,054 respectively,
and gains/(losses) on spot trades in connection with forward currency trading at the interbank market makers of $(336,205) and $(884,299), respectively.
|
As of March 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.
|
$
|
5,324,134
|
$
|
(4,274,007
|
)
|
$
|
1,050,127
|
||||||
Forward currency contracts
|
NatWest Markets Plc
|
10,702,264
|
(5,142,226
|
)
|
5,560,038
|
|||||||||
Centrally cleared swap contracts*
|
Centrally Cleared
|
1,695,016
|
(173,535
|
)
|
1,521,481
|
|||||||||
Total derivatives
|
|
$
|
17,721,414
|
$
|
(9,589,768
|
)
|
$
|
8,131,646
|
* |
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.
|
As of March 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.
|
$
|
1,050,127
|
$
|
0
|
$
|
0
|
$
|
1,050,127
|
||||||||
NatWest Markets Plc
|
5,560,038
|
0
|
0
|
5,560,038
|
||||||||||||
Centrally Cleared
|
1,521,481
|
0
|
0
|
1,521,481
|
||||||||||||
Total
|
$
|
8,131,646
|
$
|
0
|
$
|
0
|
$
|
8,131,646
|
Offsetting of Derivative Liabilities by Counterparty
|
As of March 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 of
Financial Condition
|
||||||||||
Futures contracts
|
Goldman, Sachs & Co.
|
$
|
4,274,007
|
$
|
(4,274,007
|
)
|
$
|
0
|
||||||
Forward currency contracts
|
NatWest Markets Plc
|
5,142,226
|
(5,142,226
|
)
|
0
|
|||||||||
Centrally cleared swap contracts
|
Centrally Cleared
|
173,535
|
(173,535
|
)
|
0
|
|||||||||
Total derivatives
|
|
$
|
9,589,768
|
$
|
(9,589,768
|
)
|
$
|
0
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
As of March 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.
|
$
|
0
|
$
|
0
|
$
|
0
|
$
|
0
|
||||||||
NatWest Markets Plc
|
0
|
0
|
0
|
0
|
||||||||||||
Centrally Cleared
|
0
|
0
|
0
|
0
|
||||||||||||
Total
|
$
|
0
|
$
|
0
|
$
|
0
|
$
|
0
|
As of December 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 & Co.
|
$
|
7,064,676
|
$
|
(2,303,622
|
)
|
$
|
4,761,054
|
||||||
Forward currency contracts
|
NatWest Markets Plc
|
5,879,307
|
(4,753,896
|
)
|
1,125,411
|
|||||||||
Centrally cleared swap contracts*
|
Centrally Cleared
|
1,980,386
|
(322,129
|
)
|
1,658,257
|
|||||||||
Total derivatives
|
|
$
|
14,924,369
|
$
|
(7,379,647
|
)
|
$
|
7,544,722
|
* |
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.
|
As of December 31, 2020
|
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.
|
$
|
4,761,054
|
$
|
0
|
$
|
0
|
$
|
4,761,054
|
||||||||
NatWest Markets Plc
|
1,125,411
|
0
|
0
|
1,125,411
|
||||||||||||
Centrally Cleared
|
1,658,257
|
0
|
0
|
1,658,257
|
||||||||||||
Total
|
$
|
7,544,722
|
$
|
0
|
$
|
0
|
$
|
7,544,722
|
Offsetting of Derivative Liabilities by Counterparty
|
As of December 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 ofFinancial Condition
|
||||||||||
Futures contracts
|
Goldman, Sachs & Co.
|
$
|
2,303,622
|
$
|
(2,303,622
|
)
|
$
|
0
|
||||||
Forward currency contracts
|
NatWest Markets Plc
|
4,753,896
|
(4,753,896
|
)
|
0
|
|||||||||
Centrally cleared swap contracts
|
Centrally Cleared
|
322,129
|
(322,129
|
)
|
0
|
|||||||||
Total derivatives
|
|
$
|
7,379,647
|
$
|
(7,379,647
|
)
|
$
|
0
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
As of December 31, 2020
|
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.
|
$
|
0
|
$
|
0
|
$
|
0
|
$
|
0
|
||||||||
NatWest Markets Plc
|
0
|
0
|
0
|
0
|
||||||||||||
Centrally Cleared
|
0
|
0
|
0
|
0
|
||||||||||||
Total
|
$
|
0
|
$
|
0
|
$
|
0
|
$
|
0
|
Sector
|
% Gain (Loss)
|
|||
Credit
|
(2.04
|
)%
|
||
Commodities
|
3.52
|
%
|
||
Foreign Exchange
|
5.53
|
%
|
||
Interest Rates
|
(3.48
|
)%
|
||
Equity Indices
|
3.95
|
%
|
||
7.48
|
%
|
Sector
|
% Gain (Loss)
|
|||
Commodities
|
6.66
|
%
|
||
Foreign Exchange
|
8.05
|
%
|
||
Interest Rates
|
5.92
|
%
|
||
Equity Indices
|
(13.75
|
)%
|
||
6.88
|
%
|
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Credit
|
0.08
|
%
|
(2.04)
|
%
|
||||
Commodities
|
0.53
|
%
|
3.52
|
%
|
||||
Foreign Exchange
|
0.63
|
%
|
5.53
|
%
|
||||
Interest Rates
|
0.69
|
%
|
(3.48)
|
%
|
||||
Equity Indices
|
0.91
|
%
|
3.95
|
%
|
||||
Aggregate/Total
|
1.69
|
%
|
7.48
|
%
|
* |
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 5.53% year to date return, approximately 7.48% was due to trading gains (before commissions) and approximately 0.03% due to investment income, offset by approximately (1.98)% due to brokerage fees,
operating expenses and offering costs borne by the Fund.
|
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Credit
|
0.11
|
%
|
0.08
|
%
|
||||
Commodities
|
0.71
|
%
|
10.47
|
%
|
||||
Foreign Exchange
|
0.51
|
%
|
4.34
|
%
|
||||
Interest Rates
|
0.87
|
%
|
2.73
|
%
|
||||
Equity Indices
|
0.63
|
%
|
(12.41
|
)%
|
||||
Aggregate/Total
|
1.43
|
%
|
5.21
|
%
|
* |
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 (2.40)% year to date return, approximately 5.21% was due to trading gains (before commissions) and approximately 1.13% due to investment income, offset by approximately (8.74)% 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, 2021 and December 31, 2020, (ii) Statements of Financial Condition as of
March 31, 2020 and December 31, 2020, (iii) Statements of Operations For the Three Months Ended March 31, 2021 and 2020, (iv) Statements of Cash Flows For the Three Months Ended March 31, 2021 and 2020, (v) Statements of Changes in Partners’
Capital (Net Asset Value) For the Three Months Ended March 31, 2021 and 2020, (vi) Financial Highlights For the Three Months Ended March 31, 2021 and 2020, (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, 2021 and December 31, 2020, (ii) Statements of Financial Condition as of
March 31, 2021 and December 31, 2020, (iii) Statements of Operations For the Three Months Ended March 31, 2021 and 2020, (iv) Statements of Cash Flows For the Three Months Ended March 31, 2021 and 2020, (v) Statements of Changes in Partners’
Capital (Net Asset Value) For the Three Months Ended March 31, 2021 and 2020, (vi) Financial Highlights For the Three Months Ended March 31, 2021 and 2020, (vii) Notes to Financial Statements.
|
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Registrant)
|
|||
By:
|
Campbell & Company, LP
|
||
General Partner
|
|||
Date: May 14, 2021
|
By:
|
||
Chief Executive Officer
|
This ‘10-Q’ Filing | Date | Other Filings | ||
---|---|---|---|---|
Filed on: | 5/14/21 | |||
For Period end: | 3/31/21 | |||
3/26/21 | 10-K | |||
12/31/20 | 10-K | |||
3/31/20 | 10-Q, 8-K | |||
1/1/20 | ||||
12/31/19 | 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 |