Company Quick10K Filing
Quick10K
Campbell Strategic Allocation Fund
10-Q 2019-03-31 Quarter: 2019-03-31
10-K 2018-12-31 Annual: 2018-12-31
10-Q 2018-09-30 Quarter: 2018-09-30
10-Q 2018-06-30 Quarter: 2018-06-30
10-Q 2018-03-31 Quarter: 2018-03-31
10-K 2017-12-31 Annual: 2017-12-31
10-Q 2017-09-30 Quarter: 2017-09-30
10-Q 2017-06-30 Quarter: 2017-06-30
10-Q 2017-03-31 Quarter: 2017-03-31
10-K 2016-12-31 Annual: 2016-12-31
10-Q 2016-09-30 Quarter: 2016-09-30
10-Q 2016-06-30 Quarter: 2016-06-30
10-Q 2016-03-31 Quarter: 2016-03-31
10-K 2015-12-31 Annual: 2015-12-31
10-Q 2015-09-30 Quarter: 2015-09-30
10-Q 2015-06-30 Quarter: 2015-06-30
10-Q 2015-03-31 Quarter: 2015-03-31
10-K 2014-12-31 Annual: 2014-12-31
10-Q 2014-09-30 Quarter: 2014-09-30
10-Q 2014-06-30 Quarter: 2014-06-30
10-Q 2014-03-31 Quarter: 2014-03-31
10-K 2013-12-31 Annual: 2013-12-31
8-K 2018-12-19 Other Events
8-K 2018-08-07 Other Events
8-K 2018-07-31 Other Events
EXPE Expedia 17,750
RBA Ritchie Bros Auctioneers 3,770
PLCE Children's Place 1,770
TRCB Two River Bancorp 133
ERYP Erytech Pharma 129
GLTC Geltech Solutions 0
SPRS Surge Components 0
MDCL Medicine Man Technologies 0
CNCL Cancer Capital 0
CHTA Wari 0
CSAF 2019-03-31
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. Operating Expenses
Note 8. Subscriptions, Distributions and Redemptions
Note 9. Trading Activities and Related Risks
Note 10. Indemnifications
Note 11. Interim Financial Statements
Note 12. 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

Campbell Strategic Allocation Fund Earnings 2019-03-31

CSAF 10Q Quarterly Report

Balance SheetIncome StatementCash Flow

10-Q 1 csaf10q_mar2019.htm
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

FORM 10-Q

Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the quarterly period ended March 31, 2019
or

Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the transition period from ________ to _________

Commission File number: 000-22260

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

(Exact name of Registrant as specified in charter)

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)
 

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.  Yes ☑ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive data File required to be submitted pursuant to Rule 405 of regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).  Yes ☑ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

 Large accelerated filer ☐
Accelerated filer ☐
Non-accelerated filer ☑
Smaller reporting company ☐
       
Emerging growth company ☐
     
       

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Securities Act.

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).  Yes ☐ No ☑

The Registrant has no voting stock. As of March 31, 2019, there were 83,971.535 Units of General and Limited Partnership Interest issued and outstanding.



TABLE OF CONTENTS

 
Page
PART I — FINANCIAL INFORMATION
 
       
 
Item 1.
Financial Statements.
 
       
   
1-4
       
   
5
       
   
6
       
   
7
       
   
8
       
   
9
       
   
10-19
       
 
Item 2.
20-23
       
 
Item 3.
24-27
       
 
Item 4.
27
       
PART II — OTHER INFORMATION
 
       
 
Item 1.
28
       
 
Item 1A.
28
       
 
Item 2.
28
       
 
Item 3.
28
       
 
Item 4.
28
       
 
Item 5.
28
       
 
Item 6.
28-29
       
30

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31, 2019 (Unaudited)

FIXED INCOME SECURITIES

Maturity
Face Value
 
Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
     
Asset Backed Securities
           
     
United States
           
     
Auto Loans
 
$
7,073,359
     
3.88
%
     
Credit Cards
   
3,291,211
     
1.80
%
     
Equipment Loans
   
365,717
     
0.20
%
     
Utility Rate Reduction Bonds
   
304,098
     
0.17
%
     
Total Asset Backed Securities (cost $11,025,441)
   
11,034,385
     
6.05
%
                        
     
Commercial Paper
               
     
Norway
               
     
Financials (cost $1,198,594)
   
1,198,491
     
0.66
%
     
Switzerland
               
     
Financials (cost $1,602,196)
   
1,602,941
     
0.88
%
     
United Kingdom
               
     
Financials (cost $698,192)
   
698,121
     
0.38
%
     
United States
               
     
Communications
   
1,019,764
     
0.56
%
     
Consumer Discretionary
   
10,525,279
     
5.77
%
     
Consumer Staples
   
5,100,809
     
2.80
%
     
Energy
   
4,677,632
     
2.56
%
     
Financials
   
11,362,913
     
6.23
%
     
Industrials
   
2,795,856
     
1.53
%
     
Utilities
   
16,253,743
     
8.91
%
     
Total United States (cost $51,747,087)
   
51,735,996
     
28.36
%
     
Total Commercial Paper (cost $55,246,069)
   
55,235,549
     
30.28
%
                        
     
Corporate Bonds
               
     
Australia
               
     
Financials (cost $967,069)
   
970,116
     
0.53
%
     
Canada
               
     
Financials
   
4,044,396
     
2.22
%
     
Industrials
   
912,832
     
0.50
%
     
Total Canada (cost $4,956,907)
   
4,957,228
     
2.72
%
     
Japan
               
     
Financials (cost $2,045,419)
   
2,045,728
     
1.12
%
     
United Kingdom
               
     
Energy
   
1,454,676
     
0.80
%
     
Financials
   
1,877,853
     
1.03
%
     
Total United Kingdom (cost $3,333,452)
   
3,332,529
     
1.83
%
     
United States
               
     
Communications
   
3,055,625
     
1.68
%
     
Consumer Discretionary
   
5,608,373
     
3.07
%
     
Consumer Staples
   
3,150,665
     
1.73
%
     
Energy
   
1,321,507
     
0.72
%
     
Financials
   
24,250,706
     
13.30
%
     
Industrials
   
2,088,811
     
1.15
%
     
Materials
   
325,684
     
0.18
%
     
Technology
   
1,808,411
     
0.99
%
     
Utilities
   
478,695
     
0.26
%
     
Total United States (cost $42,056,700)
   
42,088,477
     
23.08
%
     
Total Corporate Bonds (cost $53,359,547)
   
53,394,078
     
29.28
%
                        
     
Government and Agency Obligations
               
     
United States
               
     
U.S. Treasury Bills
               
$ 5,175,000  
U.S. Treasury Bills * Due 04/25/2019
   
5,166,944
     
2.83
%
$
14,670,000
 
U.S. Treasury Bills * Due 05/16/2019
   
14,626,586
     
8.02
%
$
12,650,000
 
U.S. Treasury Bills * Due 06/20/2019
   
12,583,681
     
6.90
%
     
Total Government And Agency Obligations (cost $32,376,369)
   
32,377,211
     
17.75
%
     
Total Fixed Income Securities ** (cost $152,007,426)
 
$
152,041,223
     
83.36
%

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31, 2019 (Unaudited)

SHORT TERM INVESTMENTS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Money Market Funds
           
United States
           
Money Market Funds (cost $13,348)
 
$
13,348
     
0.01
%
Total Short Term Investments (cost $13,348)
 
$
13,348
     
0.01
%

LONG FUTURES CONTRACTS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Agriculture
 
$
(23,640
)
   
(0.01
)%
Energy
   
16,475
     
0.01
%
Metals
   
1,312,667
     
0.72
%
Stock indices
   
762,637
     
0.42
%
Short-term interest rates
   
1,980,693
     
1.08
%
Long-term interest rates
   
3,176,527
     
1.74
%
Net unrealized gain (loss) on long futures contracts
   
7,225,359
     
3.96
%

SHORT FUTURES CONTRACTS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Agriculture
   
2,338,055
     
1.28
%
Energy
   
690
     
0.00
%
Metals
   
(1,510,109
)
   
(0.83
)%
Stock indices
   
19,127
     
0.01
%
Short-term interest rates
   
(16,150
)
   
(0.01
)%
Long-term interest rates
   
(354,195
)
   
(0.19
)%
Net unrealized gain (loss) on short futures contracts
   
477,418
     
0.26
%
Net unrealized gain (loss) on open futures contracts
 
$
7,702,777
     
4.22
%

FORWARD CURRENCY CONTRACTS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Various long forward currency contracts
 
$
(4,893,995
)
   
(2.68
)%
Various short forward currency contracts
   
3,203,412
     
1.75
%
Net unrealized gain (loss) on open forward currency contracts
 
$
(1,690,583
)
   
(0.93
)%


*
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 $22,581,569 deposited with the futures brokers and $9,795,642 deposited with the interbank market makers.

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2018 (Unaudited)

FIXED INCOME SECURITIES

Maturity
Face Value
 
Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
     
Asset Backed Securities
           
     
United States
           
     
Auto Loans
 
$
7,569,517
     
4.04
%
     
Credit Cards
   
3,931,654
     
2.10
%
     
Total Asset Backed Securities (cost $11,532,711)
   
11,501,171
     
6.14
%
                        
     
Bank Deposits
               
     
United States
               
     
Financials
   
2,249,220
     
1.20
%
     
Total Bank Deposits (cost $2,250,068)
   
2,249,220
     
1.20
%
                        
     
Commercial Paper
               
     
Switzerland
               
     
Financials (cost $1,590,983)
   
1,589,640
     
0.85
%
     
United States
               
     
Communications
   
1,504,169
     
0.80
%
     
Consumer Discretionary
   
5,190,962
     
2.77
%
     
Consumer Staples
   
8,848,532
     
4.73
%
     
Financials
   
10,413,321
     
5.56
%
     
Industrials
   
3,848,945
     
2.06
%
     
Utilities
   
18,430,323
     
9.84
%
     
Total United States (cost $48,238,552)
   
48,236,252
     
25.76
%
     
Total Commercial Paper (cost $49,829,535)
   
49,825,892
     
26.61
%
                        
     
Corporate Bonds
               
     
Australia
               
     
Financials (cost $364,957)
   
365,276
     
0.19
%
     
Canada
               
     
Financials (cost $6,289,499)
   
6,261,609
     
3.34
%
     
Japan
               
     
Financials (cost $2,043,076)
   
2,033,119
     
1.09
%
     
United Kingdom
               
     
Energy
   
1,199,357
     
0.64
%
     
Financials
   
2,819,871
     
1.51
%
     
Total United Kingdom (cost $4,041,771)
   
4,019,228
     
2.15
%
     
United States
               
     
Communications
   
7,496,773
     
4.00
%
     
Consumer Discretionary
   
5,583,595
     
2.98
%
     
Consumer Staples
   
4,737,658
     
2.53
%
     
Energy
   
1,317,702
     
0.70
%
     
Financials
   
23,589,978
     
12.60
%
     
Industrials
   
1,687,442
     
0.90
%
     
Materials
   
323,148
     
0.17
%
     
Technology
   
4,000,181
     
2.14
%
     
Utilities
   
476,050
     
0.26
%
     
Total United States (cost $49,338,343)
   
49,212,527
     
26.28
%
     
Total Corporate Bonds (cost $62,077,646)
   
61,891,759
     
33.05
%
                        
     
Government and Agency Obligations
               
     
United States
               
     
U.S. Treasury Bills
               
$
5,560,000
 
U.S. Treasury Bills * Due 01/17/2019
   
5,554,640
     
2.97
%
$
14,620,000
 
U.S. Treasury Bills * Due 02/21/2019
   
14,571,303
     
7.78
%
$
10,597,500
 
U.S. Treasury Bills * Due 03/28/2019
   
10,537,129
     
5.63
%
     
Total Government And Agency Obligations (cost $30,664,487)
   
30,663,072
     
16.38
%
     
Total Fixed Income Securities ** (cost $156,354,447)
 
$
156,131,114
     
83.38
%

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2018 (Unaudited)

SHORT TERM INVESTMENTS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Money Market Funds
           
United States
           
Money Market Funds (cost $2,208)
 
$
2,208
     
0.00
%
Total Short Term Investments (cost $2,208)
 
$
2,208
     
0.00
%

LONG FUTURES CONTRACTS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Agriculture
 
$
124,980
     
0.07
%
Energy
   
(883,950
)
   
(0.47
)%
Metals
   
(1,694,502
)
   
(0.91
)%
Stock indices
   
(112,136
)
   
(0.06
)%
Short-term interest rates
   
1,084,485
     
0.58
%
Long-term interest rates
   
1,236,423
     
0.66
%
Net unrealized gain (loss) on long futures contracts
   
(244,700
)
   
(0.13
)%

SHORT FUTURES CONTRACTS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Agriculture
   
1,771,406
     
0.94
%
Energy
   
559,274
     
0.30
%
Metals
   
2,435,221
     
1.30
%
Stock indices
   
107,927
     
0.06
%
Short-term interest rates
   
(5,783
)
   
0.00
%
Long-term interest rates
   
(1,201,282
)
   
(0.64
)%
Net unrealized gain (loss) on short futures contracts
   
3,666,763
     
1.96
%
Net unrealized gain (loss) on open futures contracts
 
$
3,422,063
     
1.83
%

FORWARD CURRENCY CONTRACTS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Various long forward currency contracts
 
$
3,835,197
     
2.05
%
Various short forward currency contracts
   
841,205
     
0.45
%
Net unrealized gain (loss) on open forward currency contracts
 
$
4,676,402
     
2.50
%


*
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 $22,932,456 deposited with the futures brokers and $7,730,616 deposited with the interbank market makers.

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
MARCH 31, 2019 AND DECEMBER 31, 2018 (Unaudited)

   
March 31, 2019
   
December 31, 2018
 
ASSETS
           
Equity in futures brokers trading accounts
           
Cash
 
$
18,185,663
   
$
14,784,105
 
Fixed income securities (cost $22,580,943 and $22,933,994, respectively)
   
22,581,569
     
22,932,456
 
Net unrealized gain (loss) on open futures contracts
   
7,702,777
     
3,422,063
 
Total equity in futures brokers trading accounts
   
48,470,009
     
41,138,624
 
                 
Cash and cash equivalents
   
3,881,154
     
8,959,535
 
Restricted cash at interbank market makers
   
8,234,912
     
4,424,114
 
Short term investments (cost $13,348 and $2,208, respectively)
   
13,348
     
2,208
 
Fixed income securities (cost $129,426,483 and $133,420,453, respectively)
   
129,459,654
     
133,198,658
 
Net unrealized gain (loss) on open forward currency contracts
   
(1,690,583
)
   
4,676,402
 
Interest receivable
   
344,684
     
426,967
 
Total assets
 
$
188,713,178
   
$
192,826,508
 
                 
LIABILITIES
               
Accounts payable
 
$
281,026
   
$
218,277
 
Brokerage fee payable
   
1,094,947
     
1,123,003
 
Payable for securities purchased
   
613,540
     
0
 
Accrued commissions and other trading fees on open contracts
   
37,946
     
35,861
 
Offering costs payable
   
75,434
     
57,600
 
Redemptions payable
   
4,213,742
     
4,145,725
 
Total liabilities
   
6,316,635
     
5,580,466
 
PARTNERS’ CAPITAL (Net Asset Value)
               
General Partner - 0.000 and 0.000 redeemable units outstanding at March 31, 2019 and December 31, 2018
   
0
     
0
 
Limited Partners - 83,971.535 and 89,103.635 redeemable units outstanding at March 31, 2019 and December 31, 2018
   
182,396,543
     
187,246,042
 
Total partners’ capital (Net Asset Value)
   
182,396,543
     
187,246,042
 
Total liabilities and partners’ capital (Net Asset Value)
 
$
188,713,178
   
$
192,826,508
 

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
FOR THE THREE MONTHS ENDED MARCH 31, 2019 AND 2018 (Unaudited)

   
Three Months Ended March 31,
 
TRADING GAINS (LOSSES)
 
2019
   
2018
 
Futures trading gains (losses)
           
Realized
 
$
6,238,601
   
$
(9,727,117
)
Change in unrealized
   
4,280,714
     
(61,947
)
Brokerage commissions
   
(279,583
)
   
(195,301
)
Net gain (loss) from futures trading
   
10,239,732
     
(9,984,365
)
                 
Forward currency trading gains (losses)
               
Realized
   
4,419,395
     
5,065,354
 
Change in unrealized
   
(6,366,985
)
   
(3,113,213
)
Brokerage commissions
   
(37,267
)
   
(15,002
)
Net gain (loss) from forward currency trading
   
(1,984,857
)
   
1,937,139
 
Total net trading gain (loss)
   
8,254,875
     
(8,047,226
)
                 
NET INVESTMENT INCOME (LOSS)
               
Investment income
               
Interest income
   
1,145,873
     
1,054,011
 
Realized gain (loss) on fixed income securities
   
250
     
420
 
Change in unrealized gain (loss) on fixed income securities
   
257,130
     
(168,847
)
Total investment income
   
1,403,253
     
885,584
 
                 
Expenses
               
Brokerage fee
   
3,243,295
     
4,618,862
 
Operating expenses
   
203,843
     
186,946
 
Total expenses
   
3,447,138
     
4,805,808
 
Net investment income (loss)
   
(2,043,885
)
   
(3,920,224
)
NET INCOME (LOSS)
 
$
6,210,990
   
$
(11,967,450
)
                 
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT
               
(based on weighted average number of units outstanding during the period)
 
$
71.05
   
$
(106.95
)
                 
INCREASE (DECREASE) IN NET ASSET VALUE PER  GENERAL AND LIMITED PARTNER UNIT
 
$
70.68
   
$
(110.21
)
                 
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
   
87,412.626
     
111,902.347
 

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
FOR THE THREE MONTHS ENDED MARCH 31, 2019 AND 2018 (Unaudited)


   
Three Months Ended March 31,
 
   
2019
   
2018
 
Cash flows from (for) operating activities
           
Net income (loss)
 
$
6,210,990
   
$
(11,967,450
)
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
               
Net change in unrealized on futures, forwards and investments
   
1,829,141
     
3,344,007
 
Increase (decrease) in payable for securities purchased
   
613,540
     
646,317
 
(Increase) decrease in interest receivable
   
82,283
     
145,979
 
Increase (decrease) in accounts payable and accrued expenses
   
36,778
     
(180,777
)
Purchases of investments
   
(519,766,470
)
   
(697,413,660
)
Sales/maturities of investments
   
524,102,351
     
731,901,293
 
Net cash from (for) operating activities
   
13,108,613
     
26,475,709
 
                 
Cash flows from (for) financing activities
               
Redemption of units
   
(10,769,681
)
   
(14,924,810
)
Offering costs paid
   
(204,957
)
   
(206,689
)
Net cash from (for) financing activities
   
(10,974,638
)
   
(15,131,499
)
                 
Net increase (decrease) in cash, cash equivalents and restricted cash
   
2,133,975
     
11,344,210
 
                 
Cash, cash equivalents and restricted cash at beginning of period
   
28,167,754
     
25,795,630
 
Cash, cash equivalents and restricted cash at end of period
 
$
30,301,729
   
$
37,139,840
 

The following table provides a reconciliation of cash, cash equivalents and restricted cash reported within the Statements of Financial Condition that sum to the total of the same such amounts shown in the Statements of Cash Flows.

   
March 31, 2019
   
December 31, 2018
 
Cash, cash equivalents and restricted cash at end of period consists of:
               
Cash in futures brokers trading accounts
 
$
18,185,663
   
$
14,784,105
 
Restricted cash in futures brokers trading accounts
   
0
     
0
 
Cash and cash equivalents
   
3,881,154
     
8,959,535
 
Restricted cash at interbank market makers
   
8,234,912
     
4,424,114
 
Total cash, cash equivalents and restricted cash at end of period
 
$
30,301,729
   
$
28,167,754
 

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL (NET ASSET VALUE)
FOR THE THREE MONTHS ENDED MARCH 31, 2019 AND 2018 (Unaudited)

   
Partners’ Capital
 
   
General Partner
   
Limited Partners
   
Total
 
   
Units
   
Amount
   
Units
   
Amount
   
Units
   
Amount
 
Three Months Ended March 31, 2019
                               
                                     
Balances at December 31, 2018
   
0.000
   
$
0
     
89,103.635
   
$
187,246,042
     
89,103.635
   
$
187,246,042
 
Net income (loss) for the three months ended March 31, 2019
           
0
             
6,210,990
             
6,210,990
 
Redemptions
   
0.000
     
0
     
(5,132.100
)
   
(10,837,698
)
   
(5,132.100
)
   
(10,837,698
)
Offering costs
           
0
             
(222,791
)
           
(222,791
)
Balances at March 31, 2019
   
0.000
   
$
0
     
83,971.535
   
$
182,396,543
     
83,971.535
   
$
182,396,543
 
                                                 
Three Months Ended March 31, 2018
                                         
                                                 
Balances at December 31, 2017
   
0.000
   
$
0
     
113,775.724
   
$
270,904,104
     
113,775.724
   
$
270,904,104
 
Net income (loss) for the three months ended March 31, 2018
           
0
             
(11,967,450
)
           
(11,967,450
)
Redemptions
   
0.000
     
0
     
(6,038.577
)
   
(14,071,811
)
   
(6,038.577
)
   
(14,071,811
)
Offering costs
           
0
             
(212,402
)
           
(212,402
)
Balances at March 31, 2018
   
0.000
   
$
0
     
107,737.147
   
$
244,652,441
     
107,737.147
   
$
244,652,441
 

Net Asset Value per General and Limited Partner Unit
 
March 31, 2019
   
December 31, 2018
   
March 31, 2018
   
December 31, 2017
 
$
2,172.12
   
$
2,101.44
   
$
2,270.83
   
$
2,381.04
 

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS ENDED MARCH 31, 2019 AND 2018 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for the three months ended March 31, 2019 and 2018. This information has been derived from information presented in the financial statements.

   
Three Months Ended March 31,
 
   
2019
   
2018
 
Per Unit Performance
           
(for a unit outstanding throughout the entire period)
           
Net asset value per unit at beginning of period
 
$
2,101.44
   
$
2,381.04
 
                 
Income (loss) from operations:
               
Total net trading gains (losses) (1)
   
96.61

   
(73.28
)
Net investment income (loss) (1)
   
(23.38
)
   
(35.03
)
Total net income (loss) from operations
   
73.23

   
(108.31
)
Offering costs (1)
   
(2.55
)
   
(1.90
)
Net asset value per unit at end of period
 
$
2,172.12
   
$
2,270.83
 
Total Return (4)
   
3.36
%
   
(4.63
)%
                 
Supplemental Data
               
Ratios to average net asset value:
               
Expenses prior to performance fee (3)
   
7.52
%
   
7.33
%
Performance fee (4)
   
0.00
%
   
0.00
%
Total expenses
   
7.52
%
   
7.33
%
Net investment income (loss) (2),(3)
   
(4.46
)%
   
(5.98
)%

Total returns are calculated based on the change in value of a unit during the period. An individual partner’s total returns and ratios may vary from the above total returns and ratios based on the timing of transfers and redemptions.



(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.

See Accompanying Notes to Financial Statements.

9

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2019 (Unaudited)
Note 1.  ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

A.  General Description of the Fund

Campbell Strategic Allocation Fund, L.P. (the “Fund”) is a Delaware limited partnership which operates as a commodity investment pool. The Fund engages in the speculative trading of futures contracts and forward currency contracts.

Effective January 6, 2012, Units in the Fund were no longer offered for sale. For existing investors in the Fund, business has been and will be conducted as usual. There was no change in trading, operations, or monthly statements, etc., and redemptions will continue to be offered on a monthly basis.

B.  Regulation

As a registrant with the Securities and Exchange Commission (the “SEC”), the Fund is subject to the regulatory requirements under the Securities Exchange Act of 1934. Prior to January 6, 2012, the Fund was also subject to the regulatory requirements under the Securities Act of 1933.  As a commodity investment pool, the Fund is subject to the regulations of the Commodity Futures Trading Commission, an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Fund executes transactions. Additionally, the Fund is subject to the requirements of futures commission merchants (the “futures brokers”) and interbank market makers through which the Fund trades.

C.  Method of Reporting

The Fund’s financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which may require the use of certain estimates made by the Fund’s management. Actual results may differ from these estimates.

These financial statements should be read in conjunction with the financial statements and notes thereto included in the Fund’s Annual Report on Form 10-K filed with the SEC for the year ended December 31, 2018. All adjustments of a normal recurring nature considered necessary for a fair presentation have been included herein.

The Fund meets the definition of an investment company according to the provisions of Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946-10, Financial Services – Investment Companies.

Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade value and fair value) are reported in the Statements of Financial Condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with ASC 210-20, Offsetting - Balance Sheet. The fair value of futures (exchange-traded) contracts is based on various futures exchanges, and reflects the settlement price for each contract as of the close on the last business day of the reporting period. The fair value of forward currency (non-exchange traded) contracts was extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period.

The fixed income investments are marked to market on the last business day of the reporting period using a third party vendor hierarchy of pricing providers who specialize in such markets. The prices furnished by the providers consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Premiums and discounts on fixed income securities are amortized and accreted for financial reporting purposes.

The short term investments represent cash held at the custodian and invested overnight in a money market fund.

For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value by the number of outstanding units.

10

Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2019 (Unaudited)
D. Fair Value

The Fund follows the provisions of ASC 820, Fair Value Measurements and Disclosures (“ASC 820”). ASC 820 provides guidance for determining fair value and requires increased disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).

Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Fund has the ability to access at the measurement date. An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The value of the Fund’s exchange-traded futures contracts and short term investments fall into this category.

Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes forward currency contracts that the Fund values using models or other valuation methodologies derived from observable market data. This category also includes fixed income investments.

Level 3 inputs are unobservable inputs for an asset or liability (including the Fund’s own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of March 31, 2019 and December 31, 2018, and for the periods ended March 31, 2019 and 2018, the Fund did not have any Level 3 assets or liabilities.

The following tables set forth by level within the fair value hierarchy the Fund’s investments accounted for at fair value on a recurring basis as of March 31, 2019 and December 31, 2018.

   
Fair Value at March 31, 2019
 
Description
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Investments
                       
Short term investments
 
$
13,348
   
$
0
   
$
0
   
$
13,348
 
Fixed income securities
   
0
     
152,041,223
     
0
     
152,041,223
 
                                 
Other Financial Instruments
                               
Exchange-traded futures contracts
   
7,702,777
     
0
     
0
     
7,702,777
 
Forward currency contracts
   
0
     
(1,690,583
)
   
0
     
(1,690,583
)
Total
 
$
7,716,125
   
$
150,350,640
   
$
0
   
$
158,066,765
 

   
Fair Value at December 31, 2018
 
Description
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Investments
                       
Short term investments
 
$
2,208
   
$
0
   
$
0
   
$
2,208
 
Fixed income securities
   
0
     
156,131,114
     
0
     
156,131,114
 
                                 
Other Financial Instruments
                               
Exchange-traded futures contracts
   
3,422,063
     
0
     
0
     
3,422,063
 
Forward currency contracts
   
0
     
4,676,402
     
0
     
4,676,402
 
Total
 
$
3,424,271
   
$
160,807,516
   
$
0
   
$
164,231,787
 

The gross presentation of the fair value of the Fund’s derivatives by instrument type is shown in Note 9. See Condensed Schedules of Investments for additional detail categorization.

E.  Cash and Cash Equivalents

Cash and cash equivalents includes cash and overnight money market investments at financial institutions.

F.  Income Taxes

The Fund prepares calendar year U.S. federal and applicable state tax returns and reports to the partners their allocable shares of the Fund’s income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as each partner is individually responsible for reporting income or loss based on such partner’s respective share of the Fund’s income and expenses as reported for income tax purposes.

Management has continued to evaluate the application of ASC 740, Income Taxes, to the Fund, and has determined that no reserves for uncertain tax positions were required. There are no tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly increase or decrease within twelve months. The Fund files federal and state tax returns. The 2015 through 2018 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

11

Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2019 (Unaudited)
G.  Offering Costs

Campbell & Company, LP (“Campbell & Company”) has incurred all costs in connection with the initial and continuous offering of units of the Fund (“offering costs”). In addition, Campbell & Company continues to compensate wholesalers for services rendered to Limited Partners. The Fund’s liability for offering costs is limited to the maximum of total offering costs incurred by Campbell & Company, not to exceed 2.5% of the aggregate subscriptions accepted during the initial and continuous offerings. As of March 31, 2019 and December 31, 2018, the Fund has the potential remaining reimbursement amount of approximately $35.4 million and $35.6 million, respectively. If the Fund terminates prior to completion of payment of the calculated amounts to Campbell & Company, Campbell & Company will not be entitled to any additional payments, and the Fund will have no further obligation to Campbell & Company.

The Fund is only liable for payment of offering costs on a monthly basis as calculated based on the limitations stated above. At March 31, 2019 and December 31, 2018, the amount of unreimbursed offering costs incurred by Campbell & Company is $75,434 and $57,600, respectively. At March 31, 2019 and December 31, 2018, the Fund reflects a liability in the Statements of Financial Condition for offering costs payable to Campbell & Company of $75,434 and $57,600, respectively. The amount of monthly reimbursement due to Campbell & Company is charged directly to partners’ capital.

H.  Foreign Currency Transactions

The Fund’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income.

I.  Recently Issued Accounting Pronouncements

In August 2018, the FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement. The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Campbell & Company has adopted the new guidance, and management has determined its adoption has no material impact on the Fund’s financial statement disclosures.

Note 2.  GENERAL PARTNER AND COMMODITY TRADING ADVISOR

The general partner of the Fund is Campbell & Company, which conducts and manages the business of the Fund. Campbell & Company is also the commodity trading advisor of the Fund. The Amended Agreement of Limited Partnership provides that Campbell & Company may make withdrawals of its units, provided that such withdrawals do not reduce Campbell & Company’s aggregate percentage interest in the Fund to less than 1% of the net aggregate contributions.

Campbell & Company is required by the Amended Agreement of Limited Partnership to maintain a net worth equal to at least 5% of the capital contributed by all the limited partnerships for which it acts as general partner, including the Fund. The minimum net worth shall in no case be less than $50,000 nor shall net worth in excess of $1,000,000 be required.

The Fund pays a monthly brokerage fee equal to 1/12 of 7% (7% annualized) of month-end net assets to Campbell & Company and approximately $4 per round turn to the futures brokers for execution and clearing costs. From the 7% fee, a portion (4%) is used to compensate selling agents for ongoing services rendered and a portion (3%) is retained by Campbell & Company for trading and management services rendered. The amount paid to the futures brokers and interbank market makers for execution and clearing costs is limited to 1/12 of 1% (1% annualized) of month-end net assets.

Campbell & Company is also paid a quarterly performance fee of 20% of the Fund’s aggregate cumulative appreciation in the Net Asset Value per unit, exclusive of appreciation attributable to interest income. More specifically, the performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark) adjusting for investment income. In determining the brokerage and performance fees (the “fees”), adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The performance fee is not subject to any clawback provisions. The fees are typically paid in the month following the month in which they are earned. The fees are paid from the available cash at the Fund’s bank, futures brokers or cash management accounts.

12

Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2019 (Unaudited)
Note 3.  ADMINISTRATOR AND TRANSFER AGENT

Northern Trust Hedge Fund Services LLC serves as the Administrator of the Fund. The Administrator receives fees at rates agreed upon between the Fund and the Administrator and is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties. The Administrator’s primary responsibilities are portfolio accounting and fund accounting services.

Effective January 1, 2019, NAV Consulting, Inc. serves as the Transfer Agent for the Fund. The Transfer Agent receives fees at rates agreed upon between the Fund and the Transfer Agent and is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties.

Note 4.  CASH MANAGER AND CUSTODIAN

PNC Capital Advisors, LLC serves as the cash manager under the Investment Advisory Agreement to manage and control the liquid assets of the Fund. PNC Capital Advisors, LLC is registered as an investment adviser with the SEC of the United States under the Investment Advisers Act of 1940.

The Fund opened a custodial account at the Northern Trust Company (the “custodian”) and has granted the cash manager authority to make certain investments on behalf of the Fund provided such investments are consistent with the investment guidelines created by the general partner. All securities purchased by the cash manager on behalf of the Fund will be held in the Fund’s custody account at the custodian. The cash manager will have no beneficial or other interest in the securities and cash in such custody account.

Note 5.  DEPOSITS WITH FUTURES BROKERS

The Fund deposits assets with UBS Securities LLC and Goldman, Sachs & Co. subject to Commodity Futures Trading Commission regulations and various exchange and futures broker requirements. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with such futures brokers. The Fund typically earns interest income on its assets deposited with the futures brokers.

Note 6.  DEPOSITS WITH INTERBANK MARKET MAKERS

The Fund’s counterparties with regard to its forward currency transactions are NatWest Markets PLC (“NatWest”), formerly The Royal Bank of Scotland, and UBS AG (“UBS”). The Fund has entered into an International Swap and Derivatives Association, Inc. agreement (“ISDA Agreement”) with NatWest and UBS which governs these transactions. The credit ratings reported by the three major rating agencies for NatWest and UBS were considered investment grade as of March 31, 2019. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with NatWest and UBS. The Fund typically earns interest income on its assets deposited with NatWest and UBS.

Note 7.  OPERATING EXPENSES

Operating expenses of the Fund are limited by the Amended Agreement of Limited Partnership to 0.5% per year of the average month-end Net Asset Value of the Fund. Actual operating expenses were less than 0.5% (annualized) of average month-end Net Asset Value for the three months ended March 31, 2019 and 2018.

Note 8.  SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

Investments in the Fund were made by subscription agreement, subject to acceptance by Campbell & Company.

The Fund is not required to make distributions, but may do so at the sole discretion of Campbell & Company. A limited partner may request and receive redemption of units owned, subject to restrictions in the Amended Agreement of Limited Partnership. Units are transferable, but no market exists for their sale and none is expected to develop. Monthly redemptions are permitted upon ten (10) business days advance written notice to Campbell & Company.

Note 9.  TRADING ACTIVITIES AND RELATED RISKS

The Fund engages in the speculative trading of U.S. and foreign futures contracts and forward currency contracts (collectively, “derivatives”). Specifically, the Fund trades a portfolio focused on futures and forward contracts, which are instruments designed to hedge changes in interest rates, currency exchange rates, stock index values, metals, energy and agriculture values. The Fund is exposed to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract.

13

Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2019 (Unaudited)
Market Risk

For derivatives, risks arise from changes in the fair value of the contracts. Market movements result in frequent changes in the fair value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the fair value of financial instruments and contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades. Theoretically, the Fund is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. See Note 1.C. for an explanation of how the Fund determines its valuation for derivatives as well as the netting of derivatives.

The Fund adopted the provisions of ASC 815, Derivatives and Hedging, (“ASC 815”). ASC 815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entity’s financial position, financial performance and cash flows.

The following tables summarize quantitative information required by ASC 815.  The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statements of Financial Condition, as of March 31, 2019 and December 31, 2018 is as follows:

Type of Instrument *
Statements of Financial Condition Location
 
Asset
Derivatives at
March 31, 2019
Fair Value
   
Liability
Derivatives at
March 31, 2019
Fair Value
   
Net
 
Agriculture Contracts
Net unrealized gain (loss) on open futures contracts
 
$
2,512,655
   
$
(198,240
)
 
$
2,314,415
 
Energy Contracts
Net unrealized gain (loss) on open futures contracts
   
62,762
     
(45,597
)
   
17,165
 
Metal Contracts
Net unrealized gain (loss) on open futures contracts
   
1,975,920
     
(2,173,362
)
   
(197,442
)
Stock Indices Contracts
Net unrealized gain (loss) on open futures contracts
   
932,228
     
(150,464
)
   
781,764
 
Short-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
   
2,033,008
     
(68,465
)
   
1,964,543
 
Long-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
   
3,295,955
     
(473,623
)
   
2,822,332
 
Forward Currency Contracts
Net unrealized gain (loss) on open forward currency contracts
   
6,331,411
     
(8,021,994
)
   
(1,690,583
)
Totals
   
$
17,143,939
   
$
(11,131,745
)
 
$
6,012,194
 

*
Derivatives not designated as hedging instruments under ASC 815

Type of Instrument *
Statements of Financial Condition Location
 
Asset
Derivatives at
December 31, 2018
Fair Value
   
Liability
Derivatives at
December 31, 2018
Fair Value
   
Net
 
Agriculture Contracts
Net unrealized gain (loss) on open futures contracts
 
$
1,930,551
   
$
(34,165
)
 
$
1,896,386
 
Energy Contracts
Net unrealized gain (loss) on open futures contracts
   
577,340
     
(902,016
)
   
(324,676
)
Metal Contracts
Net unrealized gain (loss) on open futures contracts
   
2,645,961
     
(1,905,242
)
   
740,719
 
Stock Indices Contracts
Net unrealized gain (loss) on open futures contracts
   
727,473
     
(731,682
)
   
(4,209
)
Short-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
   
1,094,862
     
(16,160
)
   
1,078,702
 
Long-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
   
1,313,742
     
(1,278,601
)
   
35,141
 
Forward Currency Contracts
Net unrealized gain (loss) on open forward currency contracts
   
12,839,236
     
(8,162,834
)
   
4,676,402
 
Totals
   
$
21,129,165
   
$
(13,030,700
)
 
$
8,098,465
 

*
Derivatives not designated as hedging instruments under ASC 815

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2019 (Unaudited)
The trading gains and losses of the Fund’s derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the three months ended March 31, 2019 and 2018 is as follows:

Type of Instrument
 
Trading Gains/(Losses)
for the Three Months Ended
March 31, 2019
   
Trading Gains/(Losses)
for the Three Months Ended
March 31, 2018
 
Agriculture Contracts
 
$
459,265
   
$
(2,105,622
)
Energy Contracts
   
(2,309,824
)
   
1,109,727
 
Metal Contracts
   
(999,028
)
   
(207,371
)
Stock Indices Contracts
   
4,300,590
     
(13,130,522
)
Short-Term Interest Rate Contracts
   
2,427,530
     
2,038,475
 
Long-Term Interest Rate Contracts
   
6,589,415
     
2,491,812
 
Forward Currency Contracts
   
(1,947,590
)
   
1,952,141
 
Total
 
$
8,520,358
   
$
(7,851,360
)

Line Item in the Statements of Operations
 
Trading Gains/(Losses)
for the Three Months Ended
March 31, 2019
   
Trading Gains/(Losses)
for the Three Months Ended
March 31, 2018
 
Futures trading gains (losses):
           
Realized**
 
$
6,187,234
   
$
(9,741,554
)
Change in unrealized
   
4,280,714
     
(61,947
)
Forward currency trading gains (losses):
               
Realized
   
4,419,395
     
5,065,354
 
Change in unrealized
   
(6,366,985
)
   
(3,113,213
)
Total
 
$
8,520,358
   
$
(7,851,360
)

**
Amounts differ from the amounts on the Statements of Operations as the amounts above do not include gains and losses on foreign currency cash balances at the futures brokers.

For the three months ended March 31, 2019 and 2018, the monthly average of futures contracts bought and sold was approximately 27,000 and 21,300, respectively, and the monthly average of notional value of forward currency contracts was $1,961,100,000 and $1,006,400,000, respectively.

Open contracts generally mature within three months; as of March 31, 2019, the latest maturity date for open futures contracts is June 2020 and the latest maturity date for open forward currency contracts is June 2019. However, the Fund intends to close all futures and offset all forward currency contracts prior to maturity.

Credit Risk

The Fund trades futures contracts on exchanges that require margin deposits with the futures brokers. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a futures broker to segregate all customer transactions and assets from such futures broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury Bills) deposited with a futures broker are considered commingled with all other customer funds subject to the futures broker’s segregation requirements. In the event of a futures broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than total cash and other property deposited.

The Fund trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with forward currency contracts are generally greater than those associated with exchange traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency contracts typically involves delayed cash settlement.

The Fund has a portion of its assets on deposit with PNC Bank. In the event of a financial institution’s insolvency, recovery of the Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2019 (Unaudited)
The Fund has entered into ISDA Agreements with UBS AG and NatWest. Under the terms of each ISDA Agreement, upon the designation of an Event of Default, as defined in each ISDA Agreement, the non-defaulting party may set-off any sum or obligation owed by the defaulting party to the non-defaulting party against any sum or obligation owed by the non-defaulting party to the defaulting party. If any sum or obligation is unascertained, the non-defaulting party may in good faith estimate that sum or obligation and set-off in respect to that estimate, accounting to the other party when such sum or obligation is ascertained.

Under the terms of each master netting agreement with UBS Securities and Goldman, upon occurrence of a default by the Fund, as defined in respective account documents, UBS Securities and Goldman have the right to close out any or all open contracts held in the Fund’s account; sell any or all of the securities held; and borrow or buy any securities, contracts or other property for the Fund’s account. The Fund would be liable for any deficiency in its account resulting from such transactions.

The amount of required margin and good faith deposits with the futures brokers and interbank market makers usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at March 31, 2019 and December 31, 2018 was $32,377,211 and $30,663,072, respectively, which equals approximately 18% and 16% of Net Asset Value, respectively. The cash deposited with the interbank market makers at March 31, 2019 and December 31, 2018 was $11,620,642 and $11,033,052, respectively, which equals approximately 6% and 6% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents. Included in cash deposits with the broker and interbank market makers at March 31, 2019 and December 31, 2018 was restricted cash for margin requirements of $8,234,912 and $4,424,114, respectively, which equals approximately 5% and 2% of Net Asset Value, respectively.

Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for offset in the Statements of Financial Condition and instruments and transactions that are subject to a master netting agreement as well as amounts related to financial collateral (including U.S. Treasury Bills and cash collateral) held at clearing brokers and counterparties. Margin reflected in the collateral tables is limited to the net amount of unrealized loss at each counterparty. Actual margin amounts required at each counterparty are based on the notional amounts or the number of contracts outstanding and may exceed the margin presented in the collateral tables.

Offsetting of Derivative Assets by Counterparty
 
As of March 31, 2019
                      
Type of Instrument
Counterparty
 
Gross
Amounts of
Recognized Assets
   
Gross
Amounts
Offset in the
Statements of
Financial Condition
   
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
 
Futures contracts
UBS Securities LLC
 
$
5,382,206
   
$
(1,556,632
)
 
$
3,825,574
 
Futures contracts
Goldman Sachs
   
5,430,322
     
(1,553,119
)
   
3,877,203
 
Total futures contracts
     
10,812,528
     
(3,109,751
)
   
7,702,777
 
Forward currency contracts
UBS AG
   
3,165,705
     
(3,165,705
)
   
0
 
Forward currency contracts
NatWest Markets PLC
   
3,165,706
     
(3,165,706
)
   
0
 
Total forward currency contracts
     
6,331,411
     
(6,331,411
)
   
0
 
Total derivatives
   
$
17,143,939
   
$
(9,441,162
)
 
$
7,702,777
 

Derivative Assets and Collateral Received by Counterparty
 
As of March 31, 2019
                        
   
Net Amounts of
Unrealized Gain
in the Statements
of Financial Condition
   
Gross Amounts Not Offset in the
Statements of Financial Condition
       
Counterparty
     
Financial
Instruments
   
Cash Collateral
Received
   
Net Amount
 
UBS Securities LLC
 
$
3,825,574
   
$
0
   
$
0
   
$
3,825,574
 
Goldman Sachs
   
3,877,203
     
0
     
0
     
3,877,203
 
UBS AG
   
0
     
0
     
0
     
0
 
NatWest Markets PLC
   
0
     
0
     
0
     
0
 
Total
 
$
7,702,777
   
$
0
   
$
0
   
$
7,702,777
 
 

16

Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2019 (Unaudited)
Offsetting of Derivative Liabilities by Counterparty
 
As of March 31, 2019
                      
Type of Instrument
Counterparty
 
Gross
Amounts of
Recognized Liabilities
   
Gross
Amounts
Offset in the
Statements of
Financial Condition
   
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
 
Futures contracts
UBS Securities LLC
 
$
1,556,632
   
$
(1,556,632
)
 
$
0
 
Futures contracts
Goldman Sachs
   
1,553,119
     
(1,553,119
)
   
0
 
Total futures contracts
     
3,109,751
     
(3,109,751
)
   
0
 
Forward currency contracts
UBS AG
   
4,010,949
     
(3,165,705
)
   
845,244
 
Forward currency contracts
NatWest Markets PLC
   
4,011,045
     
(3,165,706
)
   
845,339
 
Total forward currency contracts
     
8,021,994
     
(6,331,411
)
   
1,690,583
 
Total derivatives
   
$
11,131,745
   
$
(9,441,162
)
 
$
1,690,583
 

Derivative Liabilities and Collateral Pledged by Counterparty
 
As of March 31, 2019
                        
   
Net Amounts of
Unrealized Loss
in the Statements
of Financial Condition
   
Gross Amounts Not Offset in the
Statements of FinancialCondition
       
Counterparty
     
Financial
Instruments
   
Cash Collateral
Pledged
   
Net Amount
 
UBS Securities LLC
 
$
0
   
$
0
   
$
0
   
$
0
 
Goldman Sachs
   
0
     
0
     
0
     
0
 
UBS AG
   
845,244
     
(845,244
)*
   
0
     
0
 
NatWest Markets PLC
   
845,339
     
0
     
(845,339
)
   
0
 
Total
 
$
1,690,583
   
$
(845,244
)
 
$
(845,339
)
 
$
0
 

*
Represents a portion of the $9,795,642 fair value in U.S. Treasury Bills held at the interbank market makers.

Offsetting of Derivative Assets by Counterparty
 
As of December 31, 2018
                      
Type of Instrument
Counterparty
 
Gross
Amounts of
Recognized Assets
   
Gross
Amounts
Offset in the
Statements of
Financial Condition
   
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
 
Futures contracts
UBS Securities LLC
 
$
4,153,364
   
$
(2,429,240