Price | -0.00 | EPS | 341 | |
Shares | 0 | P/E | -0 | |
MCap | -0 | P/FCF | -0 | |
Net Debt | -35 | EBIT | 27 | |
TEV | -35 | TEV/EBIT | -1 | TTM 2019-09-30, in MM, except price, ratios |
10-Q | 2020-09-30 | Filed 2020-11-16 |
10-Q | 2020-06-30 | Filed 2020-08-14 |
10-Q | 2020-03-31 | Filed 2020-05-15 |
10-K | 2019-12-31 | Filed 2020-03-27 |
10-Q | 2019-09-30 | Filed 2019-11-14 |
10-Q | 2019-06-30 | Filed 2019-08-14 |
10-Q | 2019-03-31 | Filed 2019-05-15 |
10-K | 2018-12-31 | Filed 2019-03-29 |
10-Q | 2018-09-30 | Filed 2018-11-14 |
10-Q | 2018-06-30 | Filed 2018-08-14 |
10-Q | 2018-03-31 | Filed 2018-05-15 |
10-K | 2017-12-31 | Filed 2018-03-29 |
10-Q | 2017-09-30 | Filed 2017-11-14 |
10-Q | 2017-06-30 | Filed 2017-08-14 |
10-Q | 2017-03-31 | Filed 2017-05-12 |
10-K | 2016-12-31 | Filed 2017-03-29 |
10-Q | 2016-09-30 | Filed 2016-11-14 |
10-Q | 2016-06-30 | Filed 2016-08-15 |
10-Q | 2016-03-31 | Filed 2016-05-13 |
10-K | 2015-12-31 | Filed 2016-03-29 |
10-Q | 2015-09-30 | Filed 2015-11-16 |
10-Q | 2015-06-30 | Filed 2015-08-14 |
10-Q | 2015-03-31 | Filed 2015-05-15 |
10-K | 2014-12-31 | Filed 2015-03-30 |
10-Q | 2014-09-30 | Filed 2014-11-14 |
10-Q | 2014-06-30 | Filed 2014-08-14 |
10-Q | 2014-03-31 | Filed 2014-05-15 |
10-K | 2013-12-31 | Filed 2014-03-26 |
10-Q | 2013-09-30 | Filed 2013-11-14 |
10-Q | 2013-06-30 | Filed 2013-08-14 |
10-Q | 2013-03-31 | Filed 2013-05-15 |
10-K | 2012-12-31 | Filed 2013-04-01 |
10-Q | 2012-09-30 | Filed 2012-11-14 |
10-Q | 2012-06-30 | Filed 2012-08-14 |
10-Q | 2012-03-31 | Filed 2012-05-15 |
10-K | 2011-12-31 | Filed 2012-03-30 |
10-Q | 2011-09-30 | Filed 2011-11-14 |
10-Q | 2011-06-30 | Filed 2011-08-15 |
10-Q | 2011-03-31 | Filed 2011-05-16 |
10-K | 2010-12-31 | Filed 2011-03-31 |
10-Q | 2010-09-30 | Filed 2010-11-15 |
10-Q | 2010-06-30 | Filed 2010-08-16 |
10-Q | 2010-03-31 | Filed 2010-05-17 |
10-K | 2009-12-31 | Filed 2010-03-31 |
8-K | 2020-03-31 | |
8-K | 2020-01-31 | |
8-K | 2019-11-30 | |
8-K | 2018-12-19 | |
8-K | 2018-08-07 | |
8-K | 2018-07-31 |
Note 1. Organization and Summary of Significant Accounting Policies |
Note 2. General Partner and Commodity Trading Advisor |
Note 3. Administrator and Transfer Agent |
Note 4. Cash Manager and Custodian |
Note 5. Deposits with Futures Brokers |
Note 6. Deposits with Interbank Market Makers |
Note 7. Deposits with Swaps Broker |
Note 8. Operating Expenses |
Note 9. Subscriptions, Distributions and Redemptions |
Note 10. Credit Derivatives and Credit - Related Contingency Features |
Note 11. Trading Activities and Related Risks |
Note 12. Indemnifications |
Note 13. Interim Financial Statements |
Note 14. Subsequent Events |
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations. |
Item 3. Quantitative and Qualitative Disclosures About Market Risk. |
Item 4. Controls and Procedures. |
Part II - Other Information |
Item 1. Legal Proceedings. |
Item 1A. Risk Factors. |
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds. |
Item 3. Defaults Upon Senior Securities. |
Item 4. Mine Safety Disclosures. |
Item 5. Other Information. |
Item 6. Exhibits. |
EX-31.1 | csafexhibit31_01.htm |
EX-31.2 | csafexhibit31_02.htm |
EX-32.1 | csafexhibit32_01.htm |
EX-32.2 | csafexhibit32_02.htm |
Balance Sheet | Income Statement | Cash Flow |
---|---|---|
☑ | 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 | ||
Baltimore, Maryland 21209 | ||
(Address of principal executive offices, including zip code) | ||
(410) 413-2600 | ||
(Registrant’s telephone number, including area code) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered |
Not applicable. | Not applicable. | Not applicable. |
Large accelerated filer ☐ | Accelerated filer ☐ | Non-accelerated filer ☑ | Smaller reporting company ☐ |
Emerging growth company ☐ |
Page | |||
PART I — FINANCIAL INFORMATION | |||
Item 1. | Financial Statements. | ||
1-4 | |||
5 | |||
6 | |||
7 | |||
8 | |||
9 | |||
10-24 | |||
Item 2. | 25-33 | ||
Item 3. | 34-37 | ||
Item 4. | 38 | ||
PART II — OTHER INFORMATION | |||
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 | $ | 6,875,842 | 5.12 | % | ||||||
Credit Cards | 551,548 | 0.41 | % | |||||||
Equipment Loans | 441,692 | 0.33 | % | |||||||
Utility Rate Reduction Bonds | 11,634 | 0.01 | % | |||||||
Total Asset Backed Securities (cost $7,826,310) | 7,880,716 | 5.87 | % | |||||||
Bank Deposits | ||||||||||
United States | ||||||||||
Financials | 1,125,184 | 0.84 | % | |||||||
Total Bank Deposits (cost $1,125,171) | 1,125,184 | 0.84 | % | |||||||
Commercial Paper | ||||||||||
Australia | ||||||||||
Financials (cost $249,803) | 249,971 | 0.19 | % | |||||||
Switzerland | ||||||||||
Financials (cost $1,057,971) | 1,064,294 | 0.79 | % | |||||||
United Kingdom | ||||||||||
Financials (cost $3,753,846) | 3,753,828 | 2.80 | % | |||||||
United States | ||||||||||
Communications | 1,828,928 | 1.36 | % | |||||||
Energy | 2,598,677 | 1.94 | % | |||||||
Financials | 15,510,601 | 11.56 | % | |||||||
Industrials | 3,388,481 | 2.53 | % | |||||||
Utilities | 5,246,530 | 3.91 | % | |||||||
Total United States (cost $28,555,449) | 28,573,217 | 21.30 | % | |||||||
Total Commercial Paper (cost $33,617,069) | 33,641,310 | 25.08 | % | |||||||
Corporate Bonds | ||||||||||
Australia | ||||||||||
Financials (cost $1,910,000) | 1,917,378 | 1.43 | % | |||||||
Canada | ||||||||||
Financials (cost $3,752,367) | 3,761,020 | 2.80 | % | |||||||
Germany | ||||||||||
Consumer Discretionary (cost $2,144,593) | 2,157,326 | 1.61 | % | |||||||
Switzerland | ||||||||||
Financials (cost $1,304,712) | 1,323,610 | 0.99 | % | |||||||
United Kingdom | ||||||||||
Financials (cost $1,880,000) | 1,885,444 | 1.40 | % | |||||||
United States | ||||||||||
Communications | 545,907 | 0.41 | % | |||||||
Consumer Discretionary | 6,027,244 | 4.49 | % | |||||||
Energy | 2,556,538 | 1.90 | % | |||||||
Financials | 10,176,765 | 7.59 | % | |||||||
Health Care | 911,879 | 0.68 | % | |||||||
Industrials | 2,758,181 | 2.06 | % | |||||||
Materials | 476,967 | 0.35 | % | |||||||
Technology | 3,050,684 | 2.27 | % | |||||||
Total United States (cost $26,338,188) | 26,504,165 | 19.75 | % | |||||||
Total Corporate Bonds (cost $37,329,860) | $ | 37,548,943 | 27.98 | % |
Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | |||||||
Government and Agency Obligations | ||||||||||
United States | ||||||||||
U.S. Treasury Bills | ||||||||||
$135,000 | U.S. Treasury Bills * Due 10/15/2020 | $ | 134,996 | 0.10 | % | |||||
$7,675,000 | U.S. Treasury Bills * Due 11/12/2020 | 7,674,187 | 5.72 | % | ||||||
$12,085,000 | U.S. Treasury Bills * Due 12/17/2020 | 12,082,607 | 9.01 | % | ||||||
Total Government and Agency Obligations (cost $19,891,687) | 19,891,790 | 14.83 | % | |||||||
Total Fixed Income Securities ** (cost $99,790,097) | $ | 100,087,943 | 74.60 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Agriculture | $ | 687,002 | 0.51 | % | ||||
Energy | (4,416 | ) | 0.00 | % | ||||
Metals | 261,091 | 0.19 | % | |||||
Stock indices | (262,329 | ) | (0.19 | )% | ||||
Short-term interest rates | 36,224 | 0.03 | % | |||||
Long-term interest rates | 579,572 | 0.43 | % | |||||
Net unrealized gain (loss) on long futures contracts | 1,297,144 | 0.97 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Agriculture | (75,410 | ) | (0.06 | )% | ||||
Energy | 846,075 | 0.63 | % | |||||
Metals | 287,564 | 0.22 | % | |||||
Stock indices | (76,974 | ) | (0.06 | )% | ||||
Short-term interest rates | 34,602 | 0.03 | % | |||||
Long-term interest rates | (51,231 | ) | (0.04 | )% | ||||
Net unrealized gain (loss) on short futures contracts | 964,626 | 0.72 | % | |||||
Net unrealized gain (loss) on open futures contracts | $ | 2,261,770 | 1.69 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Various long forward currency contracts | $ | (4,858,162 | ) | (3.62 | )% | |||
Various short forward currency contracts | 4,152,526 | 3.09 | % | |||||
Net unrealized gain (loss) on open forward currency contracts | $ | (705,636 | ) | (0.53 | )% |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Centrally cleared credit default index swaps - Sell protection (net cost $491,806) | $ | 412,214 | 0.31 | % | ||||
Total credit default swaps (net cost $491,806) | $ | 412,214 | 0.31 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Centrally cleared interest rate swaps - Receive fixed (net cost $279,320) | $ | 453,384 | 0.34 | % | ||||
Centrally cleared interest rate swaps - Pay fixed (net cost $1,957) | (2,185 | ) | 0.00 | % | ||||
Total interest rate swaps (net cost $281,277) | $ | 451,199 | 0.34 | % |
* | Pledged as collateral for the trading of futures positions. |
** | Included in fixed income securities are U.S. Treasury Bills with a fair value of $19,891,790 deposited with the futures broker. |
Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | |||||||
Asset Backed Securities | ||||||||||
United States | ||||||||||
Auto Loans | $ | 8,083,815 | 4.93 | % | ||||||
Credit Cards | 1,495,173 | 0.91 | % | |||||||
Equipment Loans | 563,774 | 0.35 | % | |||||||
Utility Rate Reduction Bond | 366,602 | 0.22 | % | |||||||
Total Asset Backed Securities (cost $10,469,597) | 10,509,364 | 6.41 | % | |||||||
Bank Deposits | ||||||||||
Singapore | ||||||||||
Financials | 1,145,043 | 0.70 | % | |||||||
Total Bank Deposits (cost $1,145,035) | 1,145,043 | 0.70 | % | |||||||
Commercial Paper | ||||||||||
Australia | ||||||||||
Financials (cost $1,392,419) | 1,392,117 | 0.85 | % | |||||||
Canada | ||||||||||
Financials (cost $599,779) | 599,772 | 0.37 | % | |||||||
Spain | ||||||||||
Financials (cost $806,584) | 806,563 | 0.49 | % | |||||||
Sweden | ||||||||||
Financials (cost $1,679,537) | 1,679,728 | 1.02 | % | |||||||
Switzerland | ||||||||||
Financials (cost $2,223,438) | 2,223,543 | 1.36 | % | |||||||
United States | ||||||||||
Communications | 1,547,565 | 0.94 | % | |||||||
Consumer Discretionary | 9,757,433 | 5.95 | % | |||||||
Consumer Staples | 1,099,493 | 0.67 | % | |||||||
Financials | 16,563,388 | 10.11 | % | |||||||
Industrials | 1,098,672 | 0.67 | % | |||||||
Utilities | 16,262,810 | 9.93 | % | |||||||
Total United States (cost $46,329,947) | 46,329,361 | 28.27 | % | |||||||
Total Commercial Paper (cost $53,031,704) | 53,031,084 | 32.36 | % | |||||||
Corporate Bonds | ||||||||||
Australia | ||||||||||
Financials (cost $364,988) | 366,759 | 0.23 | % | |||||||
Canada | ||||||||||
Financials | 2,864,957 | 1.75 | % | |||||||
Industrials | 915,229 | 0.56 | % | |||||||
Total Canada (cost $3,774,685) | 3,780,186 | 2.31 | % | |||||||
Germany | ||||||||||
Consumer Discretionary (cost $2,893,453) | 2,904,359 | 1.77 | % | |||||||
Japan | ||||||||||
Financials (cost $980,000) | 980,181 | 0.60 | % | |||||||
United Kingdom | ||||||||||
Energy | 250,061 | 0.15 | % | |||||||
Financials | 1,886,738 | 1.15 | % | |||||||
Total United Kingdom (cost $2,129,873) | 2,136,799 | 1.30 | % | |||||||
United States | ||||||||||
Communications | 1,434,626 | 0.87 | % | |||||||
Consumer Discretionary | 7,073,288 | 4.32 | % | |||||||
Consumer Staples | 2,124,263 | 1.30 | % | |||||||
Energy | 3,177,393 | 1.94 | % | |||||||
Financials | 12,781,953 | 7.80 | % | |||||||
Industrials | 2,931,869 | 1.79 | % | |||||||
Materials | 481,657 | 0.29 | % | |||||||
Technology | 2,568,233 | 1.57 | % | |||||||
Utilities | 1,327,017 | 0.81 | % | |||||||
Total United States (cost $33,819,239) | 33,900,299 | 20.69 | % | |||||||
Total Corporate Bonds (cost $43,962,238) | $ | 44,068,583 | 26.90 | % |
Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | |||||||
Government and Agency Obligations | ||||||||||
United States | ||||||||||
U.S. Treasury Bills | ||||||||||
$6,875,000 | U.S. Treasury Bills * Due 01/02/2020 | $ | 6,875,000 | 4.20 | % | |||||
$1,850,000 | U.S. Treasury Bills * Due 01/16/2020 | 1,848,998 | 1.13 | % | ||||||
$17,805,000 | U.S. Treasury Bills * Due 02/13/2020 | 17,774,205 | 10.85 | % | ||||||
$12,250,000 | U.S. Treasury Bills * Due 03/12/2020 | 12,214,330 | 7.45 | % | ||||||
Total Government And Agency Obligations (cost $38,708,611) | 38,712,533 | 23.63 | % | |||||||
Total Fixed Income Securities ** (cost $147,317,185) | $ | 147,466,607 | 90.00 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Money Market Funds | ||||||||
United States | ||||||||
Money Market Funds (cost $3,076) | $ | 3,076 | 0.00 | % | ||||
Total Short Term Investments (cost $3,076) | $ | 3,076 | 0.00 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Agriculture | $ | 61,364 | 0.04 | % | ||||
Energy | 529,188 | 0.32 | % | |||||
Metals | 1,141,530 | 0.70 | % | |||||
Stock indices | 128,401 | 0.08 | % | |||||
Short-term interest rates | (409,618 | ) | (0.25 | )% | ||||
Long-term interest rates | (2,644,733 | ) | (1.62 | )% | ||||
Net unrealized gain (loss) on long futures contracts | (1,193,868 | ) | (0.73 | )% |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Agriculture | (1,529,207 | ) | (0.93 | )% | ||||
Energy | 311,400 | 0.19 | % | |||||
Metals | (2,366,834 | ) | (1.44 | )% | ||||
Stock indices | 42,062 | 0.03 | % | |||||
Short-term interest rates | (207 | ) | 0.00 | % | ||||
Long-term interest rates | 567,801 | 0.35 | % | |||||
Net unrealized gain (loss) on short futures contracts | (2,974,985 | ) | (1.80 | )% | ||||
Net unrealized gain (loss) on open futures contracts | $ | (4,168,853 | ) | (2.53 | )% |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Various long forward currency contracts | $ | 11,794,066 | 7.20 | % | ||||
Various short forward currency contracts | (13,216,424 | ) | (8.07 | )% | ||||
Net unrealized gain (loss) on open forward currency contracts | $ | (1,422,358 | ) | (0.87 | )% |
* | Pledged as collateral for the trading of futures and forward positions. |
** | Included in fixed income securities are U.S. Treasury Bills with a fair value of $28,785,653 deposited with the futures brokers and $9,926,880 deposited with the interbank market makers. |
September 30, 2020 | December 31, 2019 | |||||||
ASSETS | ||||||||
Equity in futures brokers trading accounts | ||||||||
Cash | $ | 9,306,489 | $ | 8,760,955 | ||||
Restricted cash | 544,944 | 2,311,537 | ||||||
Fixed income securities (cost $19,891,687 and $28,782,516, respectively) | 19,891,790 | 28,785,653 | ||||||
Net unrealized gain (loss) on open futures contracts | 2,261,770 | (4,168,853 | ) | |||||
Total equity in futures brokers trading accounts | 32,004,993 | 35,689,292 | ||||||
Cash and cash equivalents | 576,627 | 693,006 | ||||||
Cash at interbank market maker | 7,066,228 | 5,141,739 | ||||||
Restricted cash at interbank market maker | 11,670,816 | 7,963,188 | ||||||
Cash at swaps broker | 1,697,625 | 0 | ||||||
Restricted cash at swaps broker | 4,650,309 | 0 | ||||||
Short term investments (cost $0 and $3,076, respectively) | 0 | 3,076 | ||||||
Fixed income securities (cost $79,898,410 and $118,534,669, respectively) | 80,196,153 | 118,680,954 | ||||||
Credit default index swaps (cost $491,806 and $0, respectively) | 412,214 | 0 | ||||||
Interest rate swaps (cost $281,277 and $0, respectively) | 451,199 | 0 | ||||||
Due from swaps broker | 17,877 | 0 | ||||||
Interest receivable | 141,678 | 284,924 | ||||||
Total assets | $ | 138,885,719 | $ | 168,456,179 | ||||
LIABILITIES | ||||||||
Accounts payable | $ | 160,115 | $ | 245,160 | ||||
Brokerage fee payable | 804,636 | 972,132 | ||||||
Net unrealized loss on forward currency contracts | 705,636 | 1,422,358 | ||||||
Accrued commissions and other trading fees on open contracts | 31,367 | 67,189 | ||||||
Offering costs payable | 51,076 | 70,313 | ||||||
Redemptions payable | 2,975,662 | 1,825,504 | ||||||
Total liabilities | 4,728,492 | 4,602,656 | ||||||
PARTNERS’ CAPITAL (Net Asset Value) | ||||||||
General Partner - 0.000 and 0.000 redeemable units outstanding at September 30, 2020 and December 31, 2019 | 0 | 0 | ||||||
Limited Partners - 67,365.223 and 74,725.829 redeemable units outstanding at September 30, 2020 and December 31, 2019 | 134,157,227 | 163,853,523 | ||||||
Total partners’ capital (Net Asset Value) | 134,157,227 | 163,853,523 | ||||||
Total liabilities and partners’ capital (Net Asset Value) | $ | 138,885,719 | $ | 168,456,179 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
| 2020 | 2019 | 2020 | 2019 | ||||||||||||
TRADING GAINS (LOSSES) | ||||||||||||||||
Futures trading gains (losses) | ||||||||||||||||
Realized | $ | (7,166,326 | ) | $ | 16,955,842 | $ | (15,897,993 | ) | $ | 38,453,492 | ||||||
Change in unrealized | 1,486,490 | (5,678,297 | ) | 6,430,623 | (3,342,066 | ) | ||||||||||
Brokerage commissions | (315,278 | ) | (255,366 | ) | (855,258 | ) | (814,815 | ) | ||||||||
Net gain (loss) from futures trading | (5,995,114 | ) | 11,022,179 | (10,322,628 | ) | 34,296,611 | ||||||||||
Forward currency trading gains (losses) | ||||||||||||||||
Realized | (3,501,984 | ) | (301,828 | ) | 3,205,835 | 2,165,363 | ||||||||||
Change in unrealized | 1,191,188 | 3,034,226 | 716,722 | (3,130,164 | ) | |||||||||||
Brokerage commissions | (33,974 | ) | (27,151 | ) | (82,124 | ) | (104,341 | ) | ||||||||
Net gain (loss) from forward currency trading | (2,344,770 | ) | 2,705,247 | 3,840,433 | (1,069,142 | ) | ||||||||||
Swap trading gains (losses) | ||||||||||||||||
Realized | 266,524 | 0 | 266,524 | 0 | ||||||||||||
Change in unrealized | 90,330 | 0 | 90,330 | 0 | ||||||||||||
Net gain (loss) from swap trading | 356,854 | 0 | 356,854 | 0 | ||||||||||||
Total net trading gain (loss) | (7,983,030 | ) | 13,727,426 | (6,125,341 | ) | 33,227,469 | ||||||||||
NET INVESTMENT INCOME (LOSS) | ||||||||||||||||
Investment income | ||||||||||||||||
Interest income | 234,886 | 1,100,127 | 1,456,025 | 3,408,722 | ||||||||||||
Realized gain (loss) on fixed income securities | 20,887 | 7,956 | 40,613 | 10,100 | ||||||||||||
Change in unrealized gain (loss) on fixed income securities | (49,274 | ) | 14,438 | 148,424 | 384,407 | |||||||||||
Total investment income | 206,499 | 1,122,521 | 1,645,062 | 3,803,229 | ||||||||||||
Expenses | ||||||||||||||||
Brokerage fee | 2,517,276 | 3,419,317 | 8,344,240 | 9,903,830 | ||||||||||||
Operating expenses | 167,555 | 211,580 | 499,566 | 592,987 | ||||||||||||
Total expenses | 2,684,831 | 3,630,897 | 8,843,806 | 10,496,817 | ||||||||||||
Net investment income (loss) | (2,478,332 | ) | (2,508,376 | ) | (7,198,744 | ) | (6,693,588 | ) | ||||||||
NET INCOME (LOSS) | $ | (10,461,362 | ) | $ | 11,219,050 | $ | (13,324,085 | ) | $ | 26,533,881 | ||||||
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT | ||||||||||||||||
(based on weighted average number of units outstanding during the period) | $ | (149.55 | ) | $ | 140.31 | $ | (184.96 | ) | $ | 318.29 | ||||||
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT | $ | (151.64 | ) | $ | 135.93 | $ | (201.24 | ) | $ | 314.81 | ||||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD | 69,953.500 | 79,960.188 | 72,038.345 | 83,364.848 |
Nine Months Ended September 30, | ||||||||
2020 | 2019 | |||||||
Cash flows from (for) operating activities | ||||||||
Net income (loss) | $ | (13,324,085 | ) | $ | 26,533,881 | |||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities | ||||||||
Net change in unrealized on futures, forwards, swaps and investments | (7,386,099 | ) | 6,087,823 | |||||
(Increase) decrease in interest receivable | 143,246 | 124,643 | ||||||
(Increase) decrease in due from swaps broker | (17,877 | ) | 0 | |||||
Increase (decrease) in accounts payable and accrued expenses | (288,363 | ) | 10,074 | |||||
Payments for swap contracts | (5,579,255 | ) | 0 | |||||
Proceeds from swap contracts | 4,806,172 | 0 | ||||||
Purchases of investments | (977,668,498 | ) | (1,471,874,920 | ) | ||||
Sales/maturities of investments | 1,025,198,662 | 1,472,340,209 | ||||||
Net cash from (for) operating activities | 25,883,903 | 33,221,710 | ||||||
Cash flows from (for) financing activities | ||||||||
Redemption of units | (14,690,939 | ) | (26,096,557 | ) | ||||
Offering costs paid | (550,351 | ) | (635,974 | ) | ||||
Net cash from (for) financing activities | (15,241,290 | ) | (26,732,531 | ) | ||||
Net increase (decrease) in cash, cash equivalents and restricted cash | 10,642,613 | 6,489,179 | ||||||
Cash, cash equivalents and restricted cash at beginning of period | 24,870,425 | 28,167,754 | ||||||
Cash, cash equivalents and restricted cash at end of period | $ | 35,513,038 | $ | 34,656,933 |
September 30, 2020 | December 31, 2019 | |||||||
Cash, cash equivalents and restricted cash at end of period consists of: | ||||||||
Equity in futures brokers trading accounts: | ||||||||
Cash | $ | 9,306,489 | $ | 8,760,955 | ||||
Restricted cash | 544,944 | 2,311,537 | ||||||
Cash and cash equivalents | 576,627 | 693,006 | ||||||
Cash at interbank market maker | 7,066,228 | 5,141,739 | ||||||
Restricted cash at interbank market maker | 11,670,816 | 7,963,188 | ||||||
Cash at swaps broker | 1,697,625 | 0 | ||||||
Restricted cash at swaps broker | 4,650,309 | 0 | ||||||
Total cash, cash equivalents and restricted cash at end of period | $ | 35,513,038 | $ | 24,870,425 |
Partners’ Capital | ||||||||||||||||||||||||
General Partner | Limited Partners | Total | ||||||||||||||||||||||
Units | Amount | Units | Amount | Units | Amount | |||||||||||||||||||
Nine Months Ended September 30, 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 | |||||||||||||||
Net income (loss) for the three months ended June 30, 2020 | 0 | (10,541,582 | ) | (10,541,582 | ) | |||||||||||||||||||
Redemptions | 0.000 | 0 | (1,786.399 | ) | (3,943,483 | ) | (1,786.399 | ) | (3,943,483 | ) | ||||||||||||||
Offering costs | 0 | (164,543 | ) | (164,543 | ) | |||||||||||||||||||
Balances at June 30, 2020 | 0.000 | $ | 0 | 70,875.539 | $ | 151,895,815 | 70,875.539 | $ | 151,895,815 | |||||||||||||||
Net income (loss) for the three months ended September 30, 2020 | 0 | (10,461,362 | ) | (10,461,362 | ) | |||||||||||||||||||
Redemptions | 0.000 | 0 | (3,510.316 | ) | (7,117,602 | ) | (3,510.316 | ) | (7,117,602 | ) | ||||||||||||||
Offering costs | 0 | (159,624 | ) | (159,624 | ) | |||||||||||||||||||
Balances at September 30, 2020 | 0.000 | $ | 0 | 67,365.223 | $ | 134,157,227 | 67,365.223 | $ | 134,157,227 | |||||||||||||||
Nine Months Ended September 30, 2019 | ||||||||||||||||||||||||
Balances at December 31, 2018 | 0.000 | $ | 0 | 89,103.635 | $ | 187,246,042 | 89,103.635 | $ | 187,246,042 | |||||||||||||||
Net income (loss) for the three months ended March 31, 2019 | 0 | 6,210,990 | 6,210,990 | |||||||||||||||||||||
Redemptions | 0.000 | 0 | (5,132.100 | ) | (10,837,698 | ) | (5,132.100 | ) | (10,837,698 | ) | ||||||||||||||
Offering costs | 0 | (222,791 | ) | (222,791 | ) | |||||||||||||||||||
Balances at March 31, 2019 | 0.000 | $ | 0 | 83,971.535 | $ | 182,396,543 | 83,971.535 | $ | 182,396,543 | |||||||||||||||
Net income (loss) for the three months ended June 30, 2019 | 0 | 9,103,841 | 9,103,841 | |||||||||||||||||||||
Redemptions | 0.000 | 0 | (3,239.772 | ) | (7,190,366 | ) | (3,239.772 | ) | (7,190,366 | ) | ||||||||||||||
Offering costs | 0 | (215,876 | ) | (215,876 | ) | |||||||||||||||||||
Balances at June 30, 2019 | 0.000 | $ | 0 | 80,731.763 | $ | 184,094,142 | 80,731.763 | $ | 184,094,142 | |||||||||||||||
Net income (loss) for the three months ended September 30, 2019 | 0 | 11,219,050 | 11,219,050 | |||||||||||||||||||||
Redemptions | 0.000 | 0 | (2,870.395 | ) | (6,976,935 | ) | (2,870.395 | ) | (6,976,935 | ) | ||||||||||||||
Offering costs | 0 | (203,781 | ) | (203,781 | ) | |||||||||||||||||||
Balances at September 30, 2019 | 0.000 | $ | 0 | 77,861.368 | $ | 188,132,476 | 77,861.368 | $ | 188,132,476 |
Net Asset Value per General and Limited Partner Unit | ||||||||||||||
September 30, 2020 | June 30, 2020 | March 31, 2020 | December 31, 2019 | |||||||||||
$ | 1,991.49 | $ | 2,143.13 | $ | 2,292.06 | $ | 2,192.73 |
September 30, 2019 | June 30, 2019 | March 31, 2019 | December 31, 2018 | |||||||||||
$ | 2,416.25 | $ | 2,280.32 | $ | 2,172.12 | $ | 2,101.44 |
| Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
| 2020 | 2019 | 2020 | 2019 | ||||||||||||
Per Unit Performance | ||||||||||||||||
(for a unit outstanding throughout the entire period) | ||||||||||||||||
Net asset value per unit at beginning of period | $ | 2,143.13 | $ | 2,280.32 | $ | 2,192.73 | $ | 2,101.44 | ||||||||
| ||||||||||||||||
Income (loss) from operations: | ||||||||||||||||
Total net trading gains (losses) (1) | (113.93 | ) | 169.85 | (93.94 | ) | 402.81 | ||||||||||
Net investment income (loss) (1) | (35.43 | ) | (31.37 | ) | (99.93 | ) | (80.29 | ) | ||||||||
Total net income (loss) from operations | (149.36 | ) | 138.48 | (193.87 | ) | 322.52 | ||||||||||
Offering costs (1) | (2.28 | ) | (2.55 | ) | (7.37 | ) | (7.71 | ) | ||||||||
Net asset value per unit at end of period | $ | 1,991.49 | $ | 2,416.25 | $ | 1,991.49 | $ | 2,416.25 | ||||||||
Total Return (4) | (7.08 | )% | 5.96 | % | (9.18 | )% | 14.98 | % | ||||||||
| ||||||||||||||||
Supplemental Data | ||||||||||||||||
Ratios to average net asset value: | ||||||||||||||||
Expenses prior to performance fee (3) | 7.45 | % | 7.61 | % | 7.50 | % | 7.55 | % | ||||||||
Performance fee (4) | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Total expenses | 7.45 | % | 7.61 | % | 7.50 | % | 7.55 | % | ||||||||
Net investment income (loss) (2),(3) | (6.88 | )% | (5.26 | )% | (6.10 | )% | (4.82 | )% |
(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. |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 (Unaudited) |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 (Unaudited) |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 (Unaudited) |
Fair Value at September 30, 2020 | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Fixed income securities | $ | 0 | $ | 100,087,943 | $ | 0 | $ | 100,087,943 | ||||||||
Other Financial Instruments | ||||||||||||||||
Exchange-traded futures contracts | 2,261,770 | 0 | 0 | 2,261,770 | ||||||||||||
Forward currency contracts | 0 | (705,636 | ) | 0 | (705,636 | ) | ||||||||||
Credit default index swap contracts | 0 | 412,214 | 0 | 412,214 | ||||||||||||
Interest rate swap contracts | 0 | 451,199 | 0 | 451,199 | ||||||||||||
Total | $ | 2,261,770 | $ | 100,245,720 | $ | 0 | $ | 102,507,490 |
Fair Value at December 31, 2019 | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Short term investments | $ | 3,076 | $ | 0 | $ | 0 | $ | 3,076 | ||||||||
Fixed income securities | 0 | 147,466,607 | 0 | 147,466,607 | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Exchange-traded futures contracts | (4,168,853 | ) | 0 | 0 | (4,168,853 | ) | ||||||||||
Forward currency contracts | 0 | (1,422,358 | ) | 0 | (1,422,358 | ) | ||||||||||
Total | $ | (4,165,777 | ) | $ | 146,044,249 | $ | 0 | $ | 141,878,472 |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 (Unaudited) |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 (Unaudited) |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 (Unaudited) |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 (Unaudited) |
September 30, 2020 | December 31, |