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
|
|
|
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(State or other jurisdiction of incorporation or organization)
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(IRS Employer Identification Number)
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||
|
||
(Address of principal executive offices, including zip code)
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(
|
||
(Registrant’s telephone number, including area code)
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Title of each class
|
Trading Symbol(s)
|
Name of each exchange on which registered
|
Not applicable.
|
Not applicable.
|
Not applicable.
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Large accelerated filer ☐
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Accelerated filer ☐
|
|
Smaller reporting company
|
Page
|
|||
PART I — FINANCIAL INFORMATION
|
|||
Item 1.
|
Financial Statements.
|
||
1-6
|
|||
7 | |||
8 | |||
9 | |||
10 | |||
11 | |||
12-26
|
|||
Item 2.
|
27-34
|
||
Item 3.
|
34-39
|
||
Item 4.
|
39 | ||
PART II — OTHER INFORMATION
|
|||
Item 1.
|
40 | ||
Item 1A.
|
40 | ||
Item 2.
|
40 | ||
Item 3.
|
40 | ||
Item 4.
|
40 | ||
Item 5.
|
40 | ||
Item 6.
|
41-42
|
||
43
|
Maturity |
Fair
|
% of Net
|
|||||||||
Face Value |
Description
|
Value ($)
|
Asset Value
|
||||||||
Asset Backed Securities
|
|||||||||||
United States
|
|||||||||||
Auto Loans
|
$
|
|
|
%
|
|||||||
Credit Cards
|
|
|
%
|
||||||||
Equipment Loans
|
|
|
%
|
||||||||
Total Asset Backed Securities (cost $
|
|
|
%
|
||||||||
Bank Deposits
|
|||||||||||
Australia
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Singapore
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United States
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Total Bank Deposits (cost $
|
|
|
%
|
||||||||
Commercial Paper
|
|||||||||||
France
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
|
|
%
|
||||||||
Consumer Discretionary
|
|
|
%
|
||||||||
Consumer Staples
|
|
|
%
|
||||||||
Financials
|
|
|
%
|
||||||||
Industrials
|
|
|
%
|
||||||||
Real estate
|
|
|
%
|
||||||||
Utilities
|
|
|
%
|
||||||||
Total United States (cost $
|
|
|
%
|
||||||||
Total Commercial Paper (cost $
|
$
|
|
$
|
|
%
|
Maturity
|
Fair
|
% of Net
|
|||||||||
Face Value
|
Description
|
Value ($)
|
Asset Value
|
||||||||
Corporate Bonds
|
|||||||||||
Australia
|
|||||||||||
Financials (cost $
|
$
|
|
|
%
|
|||||||
Canada
|
|||||||||||
Financials
|
|
|
%
|
||||||||
Energy
|
|
|
%
|
||||||||
Total Canada (cost $
|
|
|
%
|
||||||||
Germany
|
|||||||||||
Consumer Discretionary (cost $
|
|
|
%
|
||||||||
Japan
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Switzerland
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
|
|
%
|
||||||||
Consumer Discretionary
|
|
|
%
|
||||||||
Consumer Staples
|
|
|
%
|
||||||||
Energy
|
|
|
%
|
||||||||
Financials
|
|
|
%
|
||||||||
Health care
|
|
|
%
|
||||||||
Industrials
|
|
|
%
|
||||||||
Technology
|
|
|
%
|
||||||||
Real estate
|
|
|
%
|
||||||||
Utilities
|
|
|
%
|
||||||||
Total United States (cost $
|
|
|
%
|
||||||||
Total Corporate Bonds (cost $
|
|
|
%
|
||||||||
Government and Agency Obligations
|
|||||||||||
United States
|
|||||||||||
U.S. Treasury Bills
|
|||||||||||
$
|
|
U.S. Treasury Bills Due
|
|
|
%
|
||||||
$
|
|
U.S. Treasury Bills Due
|
|
|
%
|
||||||
$
|
|
U.S. Treasury Bills Due
|
|
|
%
|
||||||
Total Government and Agency Obligations (cost $
|
|
|
%
|
||||||||
Total Fixed Income Securities (cost $
|
$
|
|
|
%
|
(1) |
|
(2) |
|
Fair |
% of Net
|
|||||||
Description |
Value ($)
|
Asset Value | ||||||
Money Market Funds
|
||||||||
United States
|
||||||||
Money Market Funds (cost $
|
$
|
|
|
%
|
||||
Total Short Term Investments (cost $
|
$
|
|
|
%
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Agriculture
|
$
|
|
|
%
|
||||
Energy
|
|
|
%
|
|||||
Metals
|
(
|
)
|
(
|
)%
|
||||
Stock indices
|
|
|
%
|
|||||
Short-term interest rates
|
(
|
)
|
(
|
)%
|
||||
Long-term interest rates
|
|
|
%
|
|||||
Net unrealized gain (loss) on long futures contracts
|
(
|
)
|
(
|
)%
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Agriculture
|
(
|
)
|
(
|
)%
|
||||
Energy
|
|
|
%
|
|||||
Metals
|
|
|
%
|
|||||
Stock indices
|
|
|
%
|
|||||
Short-term interest rates
|
|
|
%
|
|||||
Long-term interest rates
|
(
|
)
|
(
|
)%
|
||||
Net unrealized gain (loss) on short futures contracts
|
|
|
%
|
|||||
Net unrealized gain (loss) on open futures contracts
|
$
|
|
|
%
|
Fair |
% of Net |
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Various long forward currency contracts
|
$
|
(
|
)
|
(
|
)%
|
|||
Various short forward currency contracts
|
|
|
%
|
|||||
Net unrealized gain (loss) on open forward currency contracts
|
$
|
(
|
)
|
(
|
)%
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Centrally cleared credit default index swaps - Sell protection (net cost $
|
$
|
|
|
%
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Centrally cleared interest rate swaps - Receive fixed (net cost $
|
$
|
|
|
%
|
(3) |
|
(4) |
|
Maturity
Face Value
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||||
Asset Backed Securities
|
|||||||||||
United States
|
|||||||||||
Auto Loans
|
$
|
|
|
%
|
|||||||
Credit Cards
|
|
|
%
|
||||||||
Equipment Loans
|
|
|
%
|
||||||||
Total Asset Backed Securities (cost $
|
|
|
%
|
||||||||
|
|||||||||||
Bank Deposits
|
|||||||||||
United States
|
|||||||||||
Financials
|
|
|
%
|
||||||||
Total Bank Deposits (cost $
|
|
|
%
|
||||||||
|
|||||||||||
Commercial Paper
|
|||||||||||
Switzerland
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United States
|
|||||||||||
Consumer Discretionary
|
|
|
%
|
||||||||
Consumer Staples
|
|
|
%
|
||||||||
Energy
|
|
|
%
|
||||||||
Financials
|
|
|
%
|
||||||||
Industrials
|
|
|
%
|
||||||||
Utilities
|
|
|
%
|
||||||||
Total United States (cost $
|
|
|
%
|
||||||||
Total Commercial Paper (cost $
|
$
|
|
|
%
|
Maturity
Face Value |
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||||
Corporate Bonds
|
|||||||||||
Australia
|
|||||||||||
Financials (cost $
|
$
|
|
|
%
|
|||||||
Canada
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Germany
|
|||||||||||
Consumer Discretionary (cost $
|
|
|
%
|
||||||||
Switzerland
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
|
|
%
|
||||||||
Consumer Discretionary
|
|
|
%
|
||||||||
Consumer Staples
|
|
|
%
|
||||||||
Energy
|
|
|
%
|
||||||||
Financials
|
|
|
%
|
||||||||
Industrials
|
|
|
%
|
||||||||
Technology
|
|
|
%
|
||||||||
Total United States (cost $
|
|
|
%
|
||||||||
Total Corporate Bonds (cost $
|
|
|
%
|
||||||||
Government and Agency Obligations
|
|||||||||||
United States
|
|||||||||||
U.S. Treasury Bills
|
|||||||||||
$
|
|
U.S. Treasury Bills Due
|
|
|
%
|
||||||
$
|
|
U.S. Treasury Bills Due
|
|
|
%
|
||||||
$
|
|
U.S. Treasury Bills Due
|
|
|
%
|
||||||
Total Government and Agency Obligations (cost $
|
|
|
%
|
||||||||
Total Fixed Income Securities (cost $
|
$ | % |
(1) |
|
(2) |
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Money Market Funds
|
||||||||
United States
|
||||||||
Money Market Funds (cost $
|
$
|
|
|
%
|
||||
Total Short Term Investments (cost $
|
$
|
|
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Agriculture
|
$
|
|
|
%
|
||||
Energy
|
|
|
%
|
|||||
Metals
|
|
|
%
|
|||||
Stock indices
|
|
|
%
|
|||||
Short-term interest rates
|
|
|
%
|
|||||
Long-term interest rates
|
|
|
%
|
|||||
Net unrealized gain (loss) on long futures contracts
|
|
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Agriculture
|
(
|
)
|
(
|
)%
|
||||
Energy
|
|
|
%
|
|||||
Metals
|
(
|
)
|
(
|
)%
|
||||
Stock indices
|
|
|
%
|
|||||
Short-term interest rates
|
|
|
%
|
|||||
Long-term interest rates
|
(
|
)
|
(
|
)%
|
||||
Net unrealized gain (loss) on short futures contracts
|
(
|
)
|
(
|
)%
|
||||
Net unrealized gain (loss) on open futures contracts
|
$
|
|
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Various long forward currency contracts
|
$
|
|
|
%
|
||||
Various short forward currency contracts
|
(
|
)
|
(
|
)%
|
||||
Net unrealized gain (loss) on open forward currency contracts
|
$
|
|
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Centrally cleared credit default index swaps - Sell protection (net cost $
|
$
|
|
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Centrally cleared interest rate swaps - Receive fixed (net cost $
|
$
|
|
|
%
|
(3) |
|
(4) |
|
June 30, 2021
|
December 31, 2020
|
|||||||
ASSETS
|
||||||||
Equity in futures brokers trading accounts
|
||||||||
Cash
|
$
|
|
$
|
|
||||
Restricted cash
|
|
|||||||
Fixed income securities (cost $
|
|
|
||||||
Net unrealized gain (loss) on open futures contracts
|
|
|
||||||
Total equity in futures brokers trading accounts
|
|
|
||||||
Cash and cash equivalents
|
|
|
||||||
Cash at interbank market maker
|
|
|
||||||
Restricted cash at interbank market makers
|
|
|
||||||
Short term investments (cost $
|
|
|
||||||
Cash at swaps broker
|
|
|
||||||
Restricted cash at swaps broker
|
|
|
||||||
Fixed income securities (cost $
|
|
|
||||||
Credit default index swaps
|
|
|
||||||
Interest rate swaps
|
|
|
||||||
Due from swaps broker
|
|
|
||||||
Net unrealized gain on open forward currency contracts
|
|
|
||||||
Interest receivable
|
|
|
||||||
Total assets
|
$
|
|
$
|
|
||||
LIABILITIES
|
||||||||
Accounts payable
|
$
|
|
$
|
|
||||
Brokerage fee payable
|
|
|
||||||
Net unrealized loss on open forward currency contracts
|
|
|||||||
Interest rate swaps
|
|
|
||||||
Accrued commissions and other trading fees on open contracts
|
|
|
||||||
Offering costs payable
|
|
|
||||||
Redemptions payable
|
|
|
||||||
Total liabilities
|
|
|
||||||
PARTNERS’ CAPITAL (Net Asset Value)
|
||||||||
General Partner -
|
|
|
||||||
Limited Partners -
|
|
|
||||||
Total partners’ capital (Net Asset Value)
|
|
|
||||||
Total liabilities and partners’ capital (Net Asset Value)
|
$
|
|
$
|
|
Three Months Ended June 30,
|
Six Months Ended June 30,
|
|||||||||||||||
|
2021
|
2020
|
2021
|
2020
|
||||||||||||
TRADING GAINS (LOSSES)
|
||||||||||||||||
Futures trading gains (losses)
|
||||||||||||||||
Realized
|
$
|
|
$
|
|
$
|
|
$
|
(
|
)
|
|||||||
Change in unrealized
|
(
|
)
|
(
|
)
|
(
|
)
|
|
|||||||||
Brokerage commissions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
Net gain (loss) from futures trading
|
|
(
|
)
|
|
(
|
)
|
||||||||||
Forward currency trading gains (losses)
|
||||||||||||||||
Realized
|
|
|
|
|
||||||||||||
Change in unrealized
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
Brokerage commissions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
Net gain (loss) from forward currency trading
|
(
|
)
|
(
|
)
|
|
|
||||||||||
Swap trading gains (losses)
|
||||||||||||||||
Realized
|
|
|
(
|
)
|
|
|||||||||||
Change in unrealized
|
|
|
(
|
)
|
|
|||||||||||
Net gain (loss) from swap trading
|
|
|
(
|
)
|
|
|||||||||||
Total net trading gain (loss)
|
|
(
|
)
|
|
|
|||||||||||
NET INVESTMENT INCOME (LOSS)
|
||||||||||||||||
Investment income
|
||||||||||||||||
Interest income
|
|
|
|
|
||||||||||||
Realized gain (loss) on fixed income securities
|
(
|
)
|
|
(
|
)
|
|
||||||||||
Change in unrealized gain (loss) on fixed income securities
|
(
|
)
|
|
(
|
)
|
|
||||||||||
Total investment income
|
|
|
|
|
||||||||||||
Expenses
|
||||||||||||||||
Brokerage fee
|
|
|
|
|
||||||||||||
Operating expenses
|
|
|
|
|
||||||||||||
Total expenses
|
|
|
|
|
||||||||||||
Net investment income (loss)
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
NET INCOME (LOSS)
|
$
|
|
$
|
(
|
)
|
$
|
|
$
|
(
|
)
|
||||||
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT
|
||||||||||||||||
(based on weighted average number of units outstanding during the period)
|
$
|
|
$
|
(
|
)
|
$
|
|
$
|
(
|
)
|
||||||
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT
|
$
|
|
$ | ( |
) |
$
|
|
$
|
(
|
)
|
||||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
|
|
|
|
|
Three Months Ended June 30,
|
||||||||
2021
|
2020
|
|||||||
Cash flows from (for) operating activities
|
||||||||
Net income (loss)
|
$
|
|
$
|
(
|
)
|
|||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
|
||||||||
Net change in unrealized on futures, forwards, swaps and investments
|
|
(
|
)
|
|||||
(Increase) decrease in interest receivable
|
|
|
||||||
(Increase) decrease in due from swaps broker
|
(
|
)
|
|
|||||
Increase (decrease) in accounts payable and accrued expenses
|
(
|
)
|
(
|
)
|
||||
Net purchases from swap contracts
|
(
|
)
|
|
|||||
Purchases of investments
|
(
|
)
|
(
|
)
|
||||
Sales/maturities of investments
|
|
|
||||||
Net cash from (for) operating activities
|
|
|
||||||
Cash flows from (for) financing activities
|
||||||||
Redemption of units
|
(
|
)
|
(
|
)
|
||||
Offering costs paid
|
(
|
)
|
(
|
)
|
||||
Net cash from (for) financing activities
|
(
|
)
|
(
|
)
|
||||
Net increase (decrease) in cash, cash equivalents and restricted cash
|
|
|
||||||
Cash, cash equivalents and restricted cash at beginning of period
|
|
|
||||||
Cash, cash equivalents and restricted cash at end of period
|
$
|
|
$
|
|
June 30, 2021
|
December 31,2020
|
|||||||
Cash, cash equivalents and restricted cash at end of period consists of:
|
||||||||
Equity in futures brokers trading accounts:
|
||||||||
Cash
|
$
|
|
$
|
|
||||
Restricted cash
|
||||||||
Cash and cash equivalents
|
|
|
||||||
Cash at interbank market maker
|
|
|
||||||
Restricted cash at interbank market makers
|
|
|
||||||
Cash at swaps broker
|
|
|
||||||
Restricted cash at swaps broker
|
|
|
||||||
Total cash, cash equivalents and restricted cash at end of period
|
$
|
|
$
|
|
Partners’ Capital
|
||||||||||||||||||||||||
General Partner
|
Limited Partners
|
Total
|
||||||||||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
|||||||||||||||||||
Six Months Ended June 30, 2021
|
||||||||||||||||||||||||
Balances at December 31, 2020
|
|
$
|
|
|
$
|
|
|
$
|
|
|||||||||||||||
Net income (loss) for the three months ended March 31, 2021
|
|
|
|
|||||||||||||||||||||
Redemptions
|
|
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||||||
Offering costs
|
|
(
|
)
|
(
|
)
|
|||||||||||||||||||
Balances at March 31, 2021
|
|
$
|
|
|
$
|
|
|
$
|
|
|||||||||||||||
Net income (loss) for the three months ended June 30, 2021
|
|
|
|
|||||||||||||||||||||
Redemptions
|
|
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||||||
Offering costs
|
|
(
|
)
|
(
|
)
|
|||||||||||||||||||
Balances at June 30, 2021
|
|
$
|
|
|
$
|
|
|
$
|
|
|||||||||||||||
Six Months Ended June 30, 2020
|
||||||||||||||||||||||||
Balances at December 31, 2020
|
|
$
|
|
|
$
|
|
|
$
|
|
|||||||||||||||
Net income (loss) for the three months ended March 31, 2020
|
|
|
$
|
|
||||||||||||||||||||
Redemptions
|
|
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||||||
Offering costs
|
|
(
|
)
|
(
|
)
|
|||||||||||||||||||
Balances at March 31, 2020
|
|
$
|
|
|
$
|
|
|
$
|
|
|||||||||||||||
Net income (loss) for the three months ended June 30, 2020
|
|
(
|
)
|
(
|
)
|
|||||||||||||||||||
Redemptions
|
|
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||||||
Offering costs
|
|
(
|
)
|
(
|
)
|
|||||||||||||||||||
Balances at June 30, 2020
|
|
$
|
|
|
$
|
|
|
$
|
|
June 30, 2021
|
March 31, 2021
|
December 31, 2020
|
June 30, 2020
|
March 31, 2020
|
December 31, 2019
|
|||||||||||||||||
$
|
|
$
|
|
$
|
|
$
|
|
$
|
|
$
|
|
Three Months Ended June 30,
|
Six Months Ended June 30,
|
|||||||||||||||
2021
|
2020
|
2021
|
2020
|
|||||||||||||
Per Unit Performance
|
||||||||||||||||
(for a unit outstanding throughout the entire period)
|
||||||||||||||||
Net asset value per unit at beginning of period
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Income (loss) from operations:
|
||||||||||||||||
Total net trading gains (losses) (1)
|
|
(
|
)
|
|
|
|||||||||||
Net investment income (loss) (1)
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
Total net income (loss) from operations
|
|
(
|
)
|
|
(
|
)
|
||||||||||
Offering costs (1)
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
Net asset value per unit at end of period
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Total Return (4)
|
|
%
|
(
|
)%
|
|
%
|
(
|
)%
|
||||||||
Supplemental Data
|
||||||||||||||||
Ratios to average net asset value:
|
||||||||||||||||
Expenses prior to performance fee (3)
|
|
%
|
|
%
|
|
%
|
|
%
|
||||||||
Performance fee (4)
|
|
|
|
|
||||||||||||
Total expenses
|
|
%
|
|
%
|
|
%
|
|
%
|
||||||||
Net investment income (loss) (2) (3)
|
(
|
)%
|
(
|
)%
|
(
|
)%
|
(
|
)%
|
(1) |
|
(2) |
|
(3) |
|
(4) |
|
Fair Value at June 30, 2021
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Short term investments
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Fixed income securities
|
|
|
|
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
|
|
|
|
||||||||||||
Forward currency contracts
|
|
(
|
|
(
|
||||||||||||
Credit default index swap contracts
|
|
|
|
|
||||||||||||
Interest rate swap contracts
|
|
|
|
|
||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
Fair Value at December 31, 2020
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Short term investments
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Fixed income securities
|
|
|
|
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
|
|
|
|
||||||||||||
Forward currency contracts
|
|
|
|
|
||||||||||||
Credit default index swap contracts
|
|
|
|
|
||||||||||||
Interest rate swap contracts
|
|
|
|
|
||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
June 30, 2021
|
December 31, 2020
|
|||||||
Credit Default Index Swaps
|
Maturity Date:
|
Maturity Date:
|
||||||
Investment grade
|
$
|
|
$
|
|
||||
Non-investment grade
|
|
|
||||||
Total
|
$
|
|
$
|
|
Type of Instrument *
|
Statements of Financial Condition Location
|
Asset
Derivatives at
June 30, 2021
Fair Value |
Liability
Derivatives at
June 30, 2021
Fair Value
|
Net
|
|||||||||
Agriculture Contracts |
Net unrealized gain (loss) on open futures contracts
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
||||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
)
|
|||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
||||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
)
|
|||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
)
|
|||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
|
(
|
)
|
(
|
)
|
|||||||
Credit Default Index Swap Contracts**
|
Credit default index swaps
|
|
(
|
)
|
|
||||||||
Interest Rate Swap Contracts**
|
Interest rate swaps
|
|
(
|
)
|
|
||||||||
Total
|
|
$
|
|
$
|
(
|
)
|
$
|
|
*
|
Derivatives not designated as hedging instruments under ASC 815
|
**
|
|
Type of Instrument *
|
Statements of Financial Condition Location
|
Asset
Derivatives at
December 31, 2020
Fair Value
|
Liability
Derivatives at
December 31, 2020
Fair Value
|
Net
|
|||||||||
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
||||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
||||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
||||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
||||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
||||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
|
(
|
)
|
|
||||||||
Credit Default Index Swap Contracts**
|
Credit default index swaps
|
|
(
|
)
|
|
||||||||
Interest Rate Swap Contracts**
|
Interest rate swaps
|
|
(
|
)
|
|
||||||||
Total
|
|
$
|
|
$
|
(
|
)
|
$
|
|
*
|
Derivatives not designated as hedging instruments under ASC 815
|
**
|
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the
statements of financial condition.
|
Type of Instrument
|
Trading Gains/(Losses) for
the Three Months Ended
|
Trading Gains/(Losses) for
the Three Months Ended
|
||||||
Agriculture Contracts
|
$
|
|
$
|
(
|
)
|
|||
Energy Contracts
|
|
(
|
)
|
|||||
Metal Contracts
|
|
(
|
)
|
|||||
Stock Indices Contracts
|
|
|
||||||
Short-Term Interest Rate Contracts
|
(
|
)
|
|
|||||
Long-Term Interest Rate Contracts
|
(
|
)
|
|
|||||
Forward Currency Contracts
|
(
|
)
|
(
|
)
|
||||
Credit Default Index Swap Contracts
|
|
|
||||||
Interest Rate Swap Contracts
|
(
|
)
|
|
|||||
Total
|
$
|
|
$
|
(
|
)
|
Type of Instrument
|
Trading Gains/(Losses) for
the Six Months Ended
|
Trading Gains/(Losses) for
the Six Months Ended
|
||||||
Agriculture Contracts
|
$
|
|
$
|
|
||||
Energy Contracts
|
|
|
||||||
Metal Contracts
|
|
|
||||||
Stock Indices Contracts
|
|
(
|
)
|
|||||
Short-Term Interest Rate Contracts
|
(
|
)
|
|
|||||
Long-Term Interest Rate Contracts
|
(
|
)
|
|
|||||
Forward Currency Contracts
|
|
|
||||||
Credit Default Index Swap Contracts
|
|
|
||||||
Interest Rate Swap Contracts
|
(
|
)
|
|
|||||
Total
|
$
|
|
$
|
|
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**
|
$
|
|
$
|
|
||||
Change in unrealized
|
(
|
)
|
(
|
)
|
||||
Forward currency trading gains (losses):
|
||||||||
Realized**
|
|
|
||||||
Change in unrealized
|
(
|
)
|
(
|
)
|
||||
Swap trading gains (losses):
|
||||||||
Realized
|
|
|
||||||
Change in unrealized
|
|
|
||||||
Total
|
$
|
|
$
|
(
|
)
|
Line Item in the Statements of Operations
|
Trading Gains/(Losses) for
the Six Months Ended
|
Trading Gains/(Losses) for
the Six Months Ended
|
||||||
Futures trading gains (losses):
|
||||||||
Realized***
|
$
|
|
$
|
(
|
)
|
|||
Change in unrealized
|
(
|
)
|
|
|||||
Forward currency trading gains (losses):
|
||||||||
Realized***
|
|
|
||||||
Change in unrealized
|
(
|
)
|
(
|
)
|
||||
Swap trading gains (losses):
|
||||||||
Realized
|
(
|
)
|
|
|||||
Change in unrealized
|
(
|
)
|
|
|||||
Total
|
$
|
|
$
|
|
** |
|
*** |
|
Offsetting of Derivative Assets by Counterparty
|
As of June 30, 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.
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
Forward currency contracts
|
NatWest Markets Plc
|
|
(
|
)
|
|
||||||||
Centrally cleared swap contracts*
|
Centrally Cleared
|
|
(
|
)
|
|
||||||||
Total derivatives
|
$
|
|
$
|
(
|
)
|
$
|
|
* |
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.
|
Derivative Assets and Collateral Received by Counterparty
|
|||||||||
As of June 30, 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.
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
NatWest Markets Plc
|
|
|
|
|
||||||||||||
Centrally Cleared
|
|
|
|
|
||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
Offsetting of Derivative Liabilities by Counterparty
|
As of June 30, 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.
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
Forward currency contracts
|
NatWest Markets Plc
|
|
(
|
)
|
|
||||||||
Centrally cleared swap contracts
|
Centrally Cleared
|
|
(
|
)
|
|
||||||||
Total derivatives
|
|
$
|
|
$
|
(
|
)
|
$
|
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
As of June 30, 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.
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
NatWest Markets Plc
|
|
|
(
|
|
||||||||||||
Centrally Cleared
|
|
|
|
|
||||||||||||
Total
|
$
|
|
$
|
|
$
|
(
|
$
|
|
Offsetting of Derivative Assets by Counterparty
|
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.
|
$
|
|
$ | ( |
) | $ | ||||||
Forward currency contracts
|
NatWest Markets Plc
|
|
(
|
)
|
|
||||||||
Centrally cleared swap contracts*
|
Centrally Cleared
|
|
(
|
)
|
|
||||||||
Total derivatives
|
|
$
|
|
$
|
(
|
)
|
$
|
|
* |
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.
|
Derivative Assets and Collateral Received by Counterparty
|
As of December 31, 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.
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
NatWest Markets Plc
|
|
|
|
|
||||||||||||
Centrally Cleared
|
|
|
|
|
||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
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.
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
Forward currency contracts
|
NatWest Markets Plc
|
|
(
|
)
|
|
||||||||
Centrally cleared swap contracts
|
Centrally Cleared
|
|
(
|
)
|
|
||||||||
Total derivatives
|
|
$
|
|
$
|
(
|
)
|
$
|
|
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.
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
NatWest Markets Plc
|
|
|
|
|
||||||||||||
Centrally Cleared
|
|
|
|
|
||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
Sector
|
% Gain (Loss)
|
||
Credit
|
(2.03)%
|
||
Commodities
|
5.36%
|
||
Foreign Exchange
|
10.85%
|
||
Interest Rates
|
(5.32)%
|
||
Equity Indices
|
6.86%
|
||
15.72%
|
Sector
|
% Gain (Loss) | ||
Commodities
|
4.65%
|
||
Foreign Exchange
|
3.81%
|
||
Interest Rates
|
6.39%
|
||
Equity Indices
|
(13.66)%
|
||
1.19%
|
June 30, 2021
|
||||||||
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Credit
|
0.05
|
%
|
(2.03
|
)%
|
||||
Commodities
|
0.81
|
%
|
5.36
|
%
|
||||
Foreign Exchange
|
0.52
|
%
|
10.85
|
%
|
||||
Interest Rates
|
0.28
|
%
|
(5.32
|
)%
|
||||
Equity Indices
|
0.82
|
%
|
6.86
|
%
|
||||
Aggregate/Total
|
1.69
|
%
|
15.72
|
%
|
* |
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 11.80% year to date return, approximately 15.72% was due to trading gains (before commissions) and approximately 0.07% due to investment income,
offset by approximately (3.99)% due to brokerage fees, operating expenses and offering costs borne by the Fund.
|
December 31, 2020
|
||||||||
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
|
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of June 30, 2021 and
December 31, 2020, (ii) Statements of Financial Condition as of June 30, 2020 and December 31, 2020, (iii) Statements of Operations For the Three Months and Six Months Ended June 30, 2021 and 2020, (iv) Statements of Cash Flows For the Six
Months Ended June 30, 2021 and 2020, (v) Statements of Changes in Partners’ Capital (Net Asset Value) For the Six Months Ended June 30, 2021 and 2020, (vi) Financial Highlights For the Three Months and Six Months Ended June 30, 2021 and 2020,
(vii) Notes to Financial Statements.
|
|
104
|
Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).
|
(1) |
Incorporated by reference to the respective exhibit to the Registrant’s Registration Statement on Form S-1 on April 27, 2010.
|
(2) |
Incorporated by reference to the respective exhibit to Post-Effective Amendment No. 2 to the Registration Statement on Form S-1 on April 7, 2011.
|
(3) |
Incorporated by reference to the respective exhibit to the Quarterly Report on Form 10-Q on November 14, 2017.
|
(4) |
Incorporated by reference to the respective exhibit to the Quarterly Report on Form 10-Q on May 15, 2014.
|
31.01
|
Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of
1934.
|
|
31.02
|
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of
1934.
|
|
32.01
|
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.
|
|
32.02
|
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
|
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of June 30, 2021 and
December 31, 2020, (ii) Statements of Financial Condition as of June 30, 2020 and December 31, 2020, (iii) Statements of Operations For the Three Months and Six Months Ended June 30, 2021 and 2020, (iv) Statements of Cash Flows For the Six
Months Ended June 30, 2021 and 2020, (v) Statements of Changes in Partners’ Capital (Net Asset Value) For the Six Months Ended June 30, 2021 and 2020, (vi) Financial Highlights For the Three Months and Six Months Ended June 30, 2021 and 2020,
(vii) Notes to Financial Statements.
|
|
104
|
Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).
|
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Registrant)
|
|||
By:
|
Campbell & Company, LP
|
||
General Partner
|
|||
Date: August 13, 2021
|
By:
|
/s/ G. William Andrews
|
|
G. William Andrews
|
|||
Chief Executive Officer
|
1. |
I have reviewed this quarterly report on Form 10-Q of the Fund;
|
2. |
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
|
3. |
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and
for, the periods presented in this report;
|
4. |
The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting
(as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
(a) |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b) |
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and
the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c) |
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this
report based on such evaluation; and
|
(d) |
Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report)
that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
|
5. |
The registrant's other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of
directors (or persons performing the equivalent functions):
|
(a) |
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report
financial information; and
|
(b) |
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
|
Date: August 13, 2021
|
|||
By:
|
/s/ G. William Andrews
|
||
G. William Andrews
|
|||
Chief Executive Officer
|
|||
Campbell & Company, LP
|
|||
General Partner
|
|||
Campbell Strategic Allocation Fund, L.P.
|
1. |
I have reviewed this quarterly report on Form 10-Q of the Fund;
|
2. |
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
|
3. |
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and
for, the periods presented in this report;
|
4. |
The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting
(as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
(a) |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b) |
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and
the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c) |
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this
report based on such evaluation; and
|
(d) |
Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report)
that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
|
5. |
The registrant's other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of
directors (or persons performing the equivalent functions):
|
(a) |
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report
financial information; and
|
(b) |
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
|
Date: August 13, 2021
|
|||
By:
|
/s/ Gabriel A. Morris
|
||
Gabriel A. Morris
|
|||
Chief Operating Officer
|
|||
Campbell & Company, LP
|
|||
General Partner
|
|||
Campbell Strategic Allocation Fund, L.P.
|
Date: August 13, 2021
|
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
|
||
By: Campbell & Company, LP, General Partner
|
|||
By:
|
/s/ G. William Andrews
|
||
G.William Andrews
|
|||
Chief Executive Officer
|
Date: August 13, 2021
|
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
|
||
By: Campbell & Company, LP, General Partner
|
|||
By:
|
/s/ Gabriel A. Morris
|
||
Gabriel A. Morris
|
|||
Chief Operating Officer
|
CONDENSED SCHEDULE OF INVESTMENTS (Parenthetical) - USD ($) |
Jun. 30, 2021 |
Dec. 31, 2020 |
---|---|---|
Fixed Income Securities [Member] | ||
Investment Owned | ||
Cost | $ 96,283,797 | $ 93,441,318 |
Fixed Income Securities [Member] | Asset Backed Securities [Member] | ||
Investment Owned | ||
Cost | 6,571,025 | 6,496,521 |
Fixed Income Securities [Member] | Bank Deposits [Member] | ||
Investment Owned | ||
Cost | 2,444,936 | 875,109 |
Fixed Income Securities [Member] | Bank Deposits [Member] | Australia [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 799,936 | |
Fixed Income Securities [Member] | Bank Deposits [Member] | Singapore [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 775,000 | |
Fixed Income Securities [Member] | Bank Deposits [Member] | United States [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 870,000 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | ||
Investment Owned | ||
Cost | 37,760,690 | 27,628,638 |
Fixed Income Securities [Member] | Commercial Paper [Member] | France [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 774,290 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | Switzerland [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 1,063,200 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | United Kingdom [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 3,504,395 | 729,469 |
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | ||
Investment Owned | ||
Cost | 33,482,005 | 25,835,969 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | ||
Investment Owned | ||
Cost | 32,072,327 | 36,548,506 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Australia [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 1,910,000 | 1,910,000 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Canada [Member] | ||
Investment Owned | ||
Cost | 3,650,279 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Canada [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 3,752,648 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Germany [Member] | Consumer Discretionary [Member] | ||
Investment Owned | ||
Cost | 2,144,897 | 2,144,696 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Japan [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 1,193,313 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Switzerland [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 2,019,647 | 1,304,759 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | United Kingdom [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 1,880,000 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | ||
Investment Owned | ||
Cost | 21,154,191 | 25,556,403 |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | ||
Investment Owned | ||
Cost | 17,434,819 | 21,892,544 |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | ||
Investment Owned | ||
Fixed income securities deposited with futures brokers | 17,433,730 | 21,892,821 |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 07/15/2021 [Member] | ||
Investment Owned | ||
Maturity face value | $ 2,135,000 | |
Due date | Jul. 15, 2021 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 08/12/2021 [Member] | ||
Investment Owned | ||
Maturity face value | $ 5,300,000 | |
Due date | Aug. 12, 2021 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 09/16/2021 [Member] | ||
Investment Owned | ||
Maturity face value | $ 10,000,000 | |
Due date | Sep. 16, 2021 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 01/14/2021 [Member] | ||
Investment Owned | ||
Maturity face value | $ 2,135,000 | |
Due date | Jan. 14, 2021 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 02/11/2021 [Member] | ||
Investment Owned | ||
Maturity face value | $ 7,675,000 | |
Due date | Feb. 11, 2021 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 03/11/2021 [Member] | ||
Investment Owned | ||
Maturity face value | $ 12,085,000 | |
Due date | Mar. 11, 2021 | |
Short Term Investments [Member] | ||
Investment Owned | ||
Cost | $ 3,088,504 | $ 8,053,123 |
Short Term Investments [Member] | Money Market Funds [Member] | United States [Member] | ||
Investment Owned | ||
Cost | 3,088,504 | 8,053,123 |
Credit Default Swaps [Member] | Centrally Cleared - Sell Protection [Member] | ||
Investment Owned | ||
Cost | 1,474,832 | 817,091 |
Variation margin receivable | 1,773,275 | 1,261,433 |
Interest Rate Swaps [Member] | Receive Fixed Interest Rate [Member] | ||
Investment Owned | ||
Cost | 603,242 | 111,176 |
Variation margin receivable | $ 432,583 | $ 465,134 |
STATEMENTS OF FINANCIAL CONDITION - USD ($) |
Jun. 30, 2021 |
Dec. 31, 2020 |
---|---|---|
Equity in futures brokers trading accounts | ||
Cash | $ 14,664,319 | $ 7,921,729 |
Restricted cash | 2,253,752 | 0 |
Fixed income securities (cost $17,434,819 and $21,892,544, respectively) | 17,433,730 | 21,892,821 |
Net unrealized gain (loss) on open futures contracts | 408,215 | 4,761,054 |
Total equity in futures brokers trading accounts | 34,760,016 | 34,575,604 |
Cash and cash equivalents | 570,528 | 530,925 |
Cash at interbank market maker | 3,301,939 | 6,016,235 |
Restricted cash at interbank market makers | 20,122,283 | 9,501,426 |
Short term investments (cost $3,088,504 and $8,053,123, respectively) | 3,088,504 | 8,053,123 |
Cash at swaps broker | 3,187,753 | 3,252,089 |
Restricted cash at swaps broker | 1,793,189 | 4,035,982 |
Fixed income securities (cost $78,848,978 and $71,548,774, respectively) | 78,936,727 | 71,746,525 |
Credit default index swaps | 17,473 | 3,920 |
Interest rate swaps | 76,535 | 0 |
Due from swaps broker | 25,929 | 22,431 |
Net unrealized gain on open forward currency contracts | 0 | 1,125,411 |
Interest receivable | 102,768 | 109,689 |
Total assets | 145,983,644 | 138,973,360 |
LIABILITIES | ||
Accounts payable | 100,706 | 143,714 |
Brokerage fee payable | 842,142 | 808,965 |
Net unrealized loss on forward currency contracts | 1,426,905 | 0 |
Interest rate swaps | 0 | 72,230 |
Accrued commissions and other trading fees on open contracts | 39,208 | 32,264 |
Offering costs payable | 49,709 | 45,477 |
Redemptions payable | 965,302 | 2,725,737 |
Total liabilities | 3,423,972 | 3,828,387 |
PARTNERS' CAPITAL (Net Asset Value) | ||
General Partner - 0.000 and 0.000 redeemable units outstanding at June 30, 2021 and December 31, 2020 | 0 | 0 |
Limited Partners - 59,584.483 and 63,149.651 redeemable units outstanding at June 30, 2021 and December 31, 2020 | 142,559,672 | 135,144,973 |
Total partners' capital (Net Asset Value) | 142,559,672 | 135,144,973 |
Total liabilities and partners' capital (Net Asset Value) | $ 145,983,644 | $ 138,973,360 |
STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) |
Jun. 30, 2021 |
Dec. 31, 2020 |
---|---|---|
Equity in futures brokers trading accounts | ||
Fixed income securities, cost | $ 17,434,819 | $ 21,892,544 |
Short term investments, cost | 3,088,504 | 8,053,123 |
Fixed income securities, cost | $ 78,848,978 | $ 71,548,774 |
PARTNERS' CAPITAL (Net Asset Value) | ||
General Partner, redeemable units outstanding (in units) | 0.000 | 0.000 |
Limited Partners, redeemable units outstanding (in units) | 59,584.483 | 63,149.651 |
STATEMENTS OF OPERATIONS - USD ($) |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2021 |
Jun. 30, 2020 |
Jun. 30, 2021 |
Jun. 30, 2020 |
|
Futures trading gains (losses) | ||||
Realized | $ 11,949,966 | $ 492 | $ 20,889,416 | $ (8,731,667) |
Change in unrealized | (641,912) | (2,060,886) | (4,352,839) | 4,944,133 |
Brokerage commissions | (288,003) | (233,874) | (568,269) | (539,980) |
Net gain (loss) from futures trading | 11,020,051 | (2,294,268) | 15,968,308 | (4,327,514) |
Forward currency trading gains (losses) | ||||
Realized | 6,694,081 | 3,984,032 | 9,572,951 | 6,707,819 |
Change in unrealized | (6,986,943) | (10,902,056) | (2,552,316) | (474,466) |
Brokerage commissions | (43,354) | (22,309) | (71,696) | (48,150) |
Net gain (loss) from forward currency trading | (336,216) | (6,940,333) | 6,948,939 | 6,185,203 |
Swap trading gains (losses) | ||||
Realized | 29,899 | 0 | (1,745,470) | 0 |
Change in unrealized | 169,571 | 0 | (508,198) | 0 |
Net gain (loss) from swap trading | 199,470 | 0 | (2,253,668) | 0 |
Total net trading gain (loss) | 10,883,305 | (9,234,601) | 20,663,579 | 1,857,689 |
Investment income | ||||
Interest income | 102,856 | 466,758 | 230,821 | 1,221,139 |
Realized gain (loss) on fixed income securities | (13,034) | 8,735 | (16,788) | 19,726 |
Change in unrealized gain (loss) on fixed income securities | (32,450) | 1,194,182 | (111,368) | 197,698 |
Total investment income | 57,372 | 1,669,675 | 102,665 | 1,438,563 |
Expenses | ||||
Brokerage fee | 2,527,891 | 2,810,739 | 4,879,296 | 5,826,964 |
Operating expenses | 128,970 | 165,917 | 256,582 | 332,011 |
Total expenses | 2,656,861 | 2,976,656 | 5,135,878 | 6,158,975 |
Net investment income (loss) | (2,599,489) | (1,306,981) | (5,033,213) | (4,720,412) |
NET INCOME (LOSS) | $ 8,283,816 | $ (10,541,582) | $ 15,630,366 | $ (2,862,723) |
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT (based on weighted average number of units outstanding during the period) (in dollars per unit) | $ 137.19 | $ (146.16) | $ 254.86 | $ (39.17) |
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT (in dollars per unit) | $ 134.09 | $ (148.93) | $ 252.49 | $ (49.60) |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 60,381.403 | 72,124.503 | 61,329.242 | 73,080.768 |
STATEMENTS OF CASH FLOWS - USD ($) |
6 Months Ended | |
---|---|---|
Jun. 30, 2021 |
Jun. 30, 2020 |
|
Cash flows from (for) operating activities | ||
Net income (loss) | $ 15,630,366 | $ (2,862,723) |
Adjustments to reconcile net income (loss) to net cash from (for) operating activities | ||
Net change in unrealized on futures, forwards, swaps and investments | 7,524,721 | (4,667,365) |
(Increase) decrease in interest receivable | 6,921 | 63,289 |
(Increase) decrease in due from swaps broker | (3,498) | 0 |
Increase (decrease) in accounts payable and accrued expenses | (2,887) | (184,340) |
Net purchases from swap contracts | (670,517) | 0 |
Purchases of investments | (706,654,831) | (691,182,950) |
Sales/maturities of investments | 708,776,972 | 719,684,453 |
Net cash from (for) operating activities | 24,607,247 | 20,850,364 |
Cash flows from (for) financing activities | ||
Redemption of units | (9,668,602) | (9,199,571) |
Offering costs paid | (303,268) | (386,376) |
Net cash from (for) financing activities | (9,971,870) | (9,585,947) |
Net increase (decrease) in cash, cash equivalents and restricted cash | 14,635,377 | 11,264,417 |
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 | $ 45,893,763 | $ 36,134,842 |
STATEMENTS OF CASH FLOWS (Parenthetical) - USD ($) |
Jun. 30, 2021 |
Dec. 31, 2020 |
Jun. 30, 2020 |
Dec. 31, 2019 |
---|---|---|---|---|
Equity in futures brokers trading accounts | ||||
Cash | $ 14,664,319 | $ 7,921,729 | ||
Restricted cash | 2,253,752 | 0 | ||
Cash and cash equivalents | 570,528 | 530,925 | ||
Cash at interbank market maker | 3,301,939 | 6,016,235 | ||
Restricted cash at interbank market makers | 20,122,283 | 9,501,426 | ||
Cash at swaps broker | 3,187,753 | 3,252,089 | ||
Restricted cash at swaps broker | 1,793,189 | 4,035,982 | ||
Total cash, cash equivalents and restricted cash at end of period | $ 45,893,763 | $ 31,258,386 | $ 36,134,842 | $ 24,870,425 |
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSETS VALUE) - USD ($) |
General Partner [Member] |
Limited Partners [Member] |
Total |
---|---|---|---|
Balances at Dec. 31, 2019 | $ 0 | $ 163,853,523 | $ 163,853,523 |
Balances (in units) at Dec. 31, 2019 | 0.000 | 74,725.829 | 74,725.829 |
Net income (loss) | $ 0 | $ 7,678,859 | $ 7,678,859 |
Redemptions | $ 0 | $ (4,780,012) | $ (4,780,012) |
Redemptions (in units) | 0.000 | (2,063.891) | (2,063.891) |
Offering costs | $ 0 | $ (206,947) | $ (206,947) |
Balances at Mar. 31, 2020 | $ 0 | $ 166,545,423 | $ 166,545,423 |
Balances (in units) at Mar. 31, 2020 | 0.000 | 72,661.938 | 72,661.938 |
Balances at Dec. 31, 2019 | $ 0 | $ 163,853,523 | $ 163,853,523 |
Balances (in units) at Dec. 31, 2019 | 0.000 | 74,725.829 | 74,725.829 |
Net income (loss) | $ (2,862,723) | ||
Balances at Jun. 30, 2020 | $ 0 | $ 151,895,815 | $ 151,895,815 |
Balances (in units) at Jun. 30, 2020 | 0.000 | 70,875.539 | 70,875.539 |
Balances at Mar. 31, 2020 | $ 0 | $ 166,545,423 | $ 166,545,423 |
Balances (in units) at Mar. 31, 2020 | 0.000 | 72,661.938 | 72,661.938 |
Net income (loss) | $ 0 | $ (10,541,582) | $ (10,541,582) |
Redemptions | $ 0 | $ (3,943,483) | $ (3,943,484) |
Redemptions (in units) | 0.000 | (1,786.399) | (1,786.399) |
Offering costs | $ 0 | $ (164,543) | $ (164,542) |
Balances at Jun. 30, 2020 | $ 0 | $ 151,895,815 | $ 151,895,815 |
Balances (in units) at Jun. 30, 2020 | 0.000 | 70,875.539 | 70,875.539 |
Balances at Dec. 31, 2020 | $ 0 | $ 135,144,973 | $ 135,144,973 |
Balances (in units) at Dec. 31, 2020 | 0.000 | 63,149.651 | 63,149.651 |
Net income (loss) | $ 0 | $ 7,346,550 | $ 7,346,550 |
Redemptions | $ 0 | $ (5,110,068) | $ (5,110,068) |
Redemptions (in units) | 0.000 | (2,389.505) | (2,389.505) |
Offering costs | $ 0 | $ (156,766) | $ (156,766) |
Balances at Mar. 31, 2021 | $ 0 | $ 137,224,689 | $ 137,224,689 |
Balances (in units) at Mar. 31, 2021 | 0.000 | 60,760.146 | 60,760.146 |
Balances at Dec. 31, 2020 | $ 0 | $ 135,144,973 | $ 135,144,973 |
Balances (in units) at Dec. 31, 2020 | 0.000 | 63,149.651 | 63,149.651 |
Net income (loss) | $ 15,630,366 | ||
Balances at Jun. 30, 2021 | $ 0 | $ 142,559,672 | $ 142,559,672 |
Balances (in units) at Jun. 30, 2021 | 0.000 | 59,584.483 | 59,584.483 |
Balances at Mar. 31, 2021 | $ 0 | $ 137,224,689 | $ 137,224,689 |
Balances (in units) at Mar. 31, 2021 | 0.000 | 60,760.146 | 60,760.146 |
Net income (loss) | $ 0 | $ 8,283,816 | $ 8,283,816 |
Redemptions | $ 0 | $ (2,798,099) | $ (2,798,099) |
Redemptions (in units) | 0.000 | (1,175.663) | (1,175.663) |
Offering costs | $ 0 | $ (150,734) | $ (150,734) |
Balances at Jun. 30, 2021 | $ 0 | $ 142,559,672 | $ 142,559,672 |
Balances (in units) at Jun. 30, 2021 | 0.000 | 59,584.483 | 59,584.483 |
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSETS VALUE) (Parenthetical) - $ / shares |
Jun. 30, 2021 |
Mar. 31, 2021 |
Dec. 31, 2020 |
Jun. 30, 2020 |
Mar. 31, 2020 |
Dec. 31, 2019 |
---|---|---|---|---|---|---|
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSETS VALUE) [Abstract] | ||||||
Net Asset Value per General and Limited Partner Unit (in dollars per unit) | $ 2,392.56 | $ 2,258.47 | $ 2,140.07 | $ 2,143.13 | $ 2,292.06 | $ 2,192.73 |
FINANCIAL HIGHLIGHTS - $ / shares |
3 Months Ended | 6 Months Ended | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2021 |
Jun. 30, 2020 |
Jun. 30, 2021 |
Jun. 30, 2020 |
|||||||||
Per Unit Performance (for a unit outstanding throughout the entire period) | ||||||||||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 2,258.47 | $ 2,292.06 | $ 2,140.07 | $ 2,192.73 | ||||||||
Income (loss) from operations: | ||||||||||||
Total net trading gains (losses) (in dollars per unit) | [1] | 179.64 | (128.53) | 339.57 | 20.07 | |||||||
Net investment income (loss) (in dollars per unit) | [1] | (43.05) | (18.12) | (82.07) | (64.59) | |||||||
Total net income (loss) from operations (in dollars per unit) | 136.59 | (146.65) | 257.50 | (44.52) | ||||||||
Offering costs (in dollars per unit) | [1] | (2.50) | (2.28) | (5.01) | (5.08) | |||||||
Net asset value per unit at end of period (in dollars per unit) | $ 2,392.56 | $ 2,143.13 | $ 2,392.56 | $ 2,143.13 | ||||||||
Total Return | [2] | 5.94% | (6.50%) | 11.80% | (2.26%) | |||||||
Ratios to average net asset value: | ||||||||||||
Expenses prior to performance fee | [3] | 7.51% | 7.41% | 7.49% | 7.50% | |||||||
Performance fee | [2] | 0.00% | 0.00% | 0.00% | 0.00% | |||||||
Total expenses | 7.51% | 7.41% | 7.49% | 7.50% | ||||||||
Net investment income (loss) | [3],[4] | (7.35%) | (3.25%) | (7.34%) | (5.75%) | |||||||
|
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
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Jun. 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (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, forward currency contracts, and centrally cleared swap 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 the futures commission merchants (“futures brokers”), interbank market makers, and centrally cleared swaps broker
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.
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, including futures, forwards and fixed income securities are accounted for on the trade date. Gains or
losses are realized when contracts are liquidated. Realized gains or losses on spot trades associated with forward currency contract trading are included in realized gains or losses from forward currency trading. 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 daily exchange of variation margin associated with a Central Counterparty Clearing House derivative instrument is legally
characterized as the daily settlement of the derivative instrument itself. Accordingly, the Fund accounts for the daily receipt or payment of variation margin associated with its centrally cleared swaps and futures as a direct reduction to the
carrying value of the centrally cleared swaps and futures derivative asset or liability, respectively. The carrying amount of centrally cleared swaps and futures reflected in the Fund’s Statements of Financial Condition is equal to the unsettled
fair value of such instruments, which generally represents the change in fair value that occurred on the last day of the reporting period.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)
Centrally cleared credit default index swaps and interest rate swap transactions are recorded on the trade date. Realized gains or
losses are determined using the identified cost method. The fair value of centrally cleared swap contracts is determined by using current market quotations provided by an independent external pricing source. Valuation using an external pricing
source involves the use of observable inputs in accordance with the fair value hierarchy. Any change in net unrealized gain or loss from the prior period is reported in Swap trading gains (losses) - Change in unrealized in the Statements of
Operations. Period payments received or paid on swap contracts, commissions and fees associated with trading the swap contracts and cash payments received or made due to the underlying obligation in the event of a credit event are recorded as part
of “Swap trading gains (losses) – Realized” in the Statements of Operations.
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.
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. For centrally cleared swap contracts, the Fund uses
current market quotations provided by an independent external pricing source to determine fair value. 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 June 30, 2021 and December 31, 2020, and for the periods ended June 30, 2021 and 2020, the Fund did not have any Level 3 assets or liabilities.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)
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 June 30, 2021 and December 31, 2020.
The gross presentation of the fair value of the Fund’s derivatives by instrument type is shown in Note 11. 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 2017 through 2020 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (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 June 30, 2021 and December 31, 2020, the Fund has the potential remaining reimbursement amount of approximately $34.1
million and $34.2 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
June 30, 2021 and December 31, 2020, the amount of unreimbursed offering costs incurred by Campbell & Company and reflected as a liability in the Statements of Financial Condition for offering costs payable to Campbell & Company is $49,709 and $45,477, 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 April 2020, the FASB issued ASU-2020-04, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the
Effects of Reference Rate Reform on Financial Reporting to provide optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. In July
2017, the head of the United Kingdom Financial Conduct Authority announced the desire to phase out the use of the London Interbank Offered Rate (“LIBOR”) and other Interbank offered rates (IBORs). In November 2020, United States and United Kingdom
regulators made announcements planning to cease publication of overnight, one-month, three-month, six-month and one-year LIBOR and IBOR tenors after June 2023. If LIBOR and IBORs prematurely cease to exist, the Fund may need to renegotiate
outstanding swaps to replace affected rates with the identified replacement rates. There is currently no definitive information regarding the future discontinuance of LIBORs or IBORs prior to 2023. As such, the potential effect of any such event on
our cost of capital and net investment income cannot yet be determined.
|
GENERAL PARTNER AND COMMODITY TRADING ADVISOR |
6 Months Ended |
---|---|
Jun. 30, 2021 | |
GENERAL PARTNER AND COMMODITY TRADING ADVISOR [Abstract] | |
GENERAL PARTNER AND COMMODITY TRADING ADVISOR |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)
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 general partner does not have currently an investment in the Fund.
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
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, interbank market makers and swaps broker for execution and clearing costs is limited to 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.
|
ADMINISTRATOR AND TRANSFER AGENT |
6 Months Ended |
---|---|
Jun. 30, 2021 | |
ADMINISTRATOR AND TRANSFER AGENT [Abstract] | |
ADMINISTRATOR AND TRANSFER AGENT |
Note 3. ADMINISTRATOR AND TRANSFER AGENT
Effective January 1, 2020, NAV Consulting, Inc. became 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. Prior to January 1, 2020, Northern Trust Hedge Fund Services LLC served as the Administrator of the Fund.
NAV Consulting, Inc. serves as the Transfer Agent of 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.
|
CASH MANAGER AND CUSTODIAN |
6 Months Ended |
---|---|
Jun. 30, 2021 | |
CASH MANAGER AND CUSTODIAN [Abstract] | |
CASH MANAGER AND CUSTODIAN |
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.
|
DEPOSITS WITH FUTURES BROKERS |
6 Months Ended |
---|---|
Jun. 30, 2021 | |
DEPOSITS WITH FUTURES BROKERS [Abstract] | |
DEPOSITS WITH FUTURES BROKERS |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)
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.
|
DEPOSITS WITH INTERBANK MARKET MAKERS |
6 Months Ended |
---|---|
Jun. 30, 2021 | |
DEPOSITS WITH INTERBANK MARKET MAKERS [Abstract] | |
DEPOSITS WITH INTERBANK MARKET MAKERS |
Note 6. DEPOSITS WITH INTERBANK MARKET MAKERS
The Fund’s counterparties with regard to its forward currency transactions are NatWest Markets Plc (“NatWest”) 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 June 30, 2021 and December 31, 2020. 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.
|
DEPOSITS WITH SWAPS BROKER |
6 Months Ended |
---|---|
Jun. 30, 2021 | |
DEPOSITS WITH SWAPS BROKER [Abstract] | |
DEPOSITS WITH SWAPS BROKER |
Note 7. DEPOSITS WITH SWAPS BROKER
The Fund deposits cash with Goldman, Sachs & Co. to act as swaps broker for its centrally cleared swap contracts, subject to
Commodity Futures Trading Commission regulations and central counterparty and broker requirements. Margin requirements are satisfied by the deposit of cash with such swaps broker. Accordingly, assets used to meet margin and other broker or
regulatory requirements are partially restricted. The Fund typically earns interest on its credit balances and pays interest on debit balances with the swaps broker.
The Fund pays commissions to the swaps broker on a transaction basis at rates agreed upon between the Fund and the swaps broker.
|
OPERATING EXPENSES |
6 Months Ended |
---|---|
Jun. 30, 2021 | |
OPERATING EXPENSES [Abstract] | |
OPERATING EXPENSES |
Note 8. 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
than 0.5% (annualized) of average month-end Net Asset
Value for the six months ended June 30, 2021 and 2020. |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS |
6 Months Ended |
---|---|
Jun. 30, 2021 | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS [Abstract] | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS |
Note 9. 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.
|
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES |
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)
Note 10. CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES
Credit derivatives generally require the seller to make a payment to the buyer in the event the underlying referenced security or
index to the contract defaults or another triggering event, as defined in the applicable derivative contract, occurs. The Fund sells credit derivative contracts for speculative investment purposes. The following table summarizes the notional
amounts of credit derivative contracts sold by the Fund by their maturity for contracts which are outstanding at June 30, 2021 and December 31, 2020. Notional amounts are disclosed as they represent the maximum potential payout. At
June 30, 2021 and December 31, 2020, the carrying value of such credit derivative contracts sold was $1,790,748 and $1,265,353, respectively.
The Fund does not monitor its exposure to credit derivatives based on the notional amounts because that measure does not take into
consideration the probability of a credit default event, the legal right to offset assets and liabilities by a counterparty, or collateral posted. However, the notional value of these credit derivative contracts has been included to provide
information about the magnitude of involvement with these types of contracts.
|
TRADING ACTIVITIES AND RELATED RISKS |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
TRADING ACTIVITIES AND RELATED RISKS [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
TRADING ACTIVITIES AND RELATED RISKS |
Note 11. TRADING ACTIVITIES AND RELATED RISKS
The Fund engages in the speculative trading of U.S. and foreign futures contracts, forward currency contracts and centrally
cleared swap contracts (collectively, “derivatives”). Specifically, the Fund trades a portfolio focused on futures, forward, credit default index swap and interest rate swap contracts, which are instruments designed to hedge changes in interest
rates, currency exchange rates, stock index values, metals, energy, agriculture values, and credit risks. 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.
In February 2020, the Fund transferred all futures contracts held with UBS Securities LLC to Goldman, Sachs & Co., and all
forward currency contracts held with UBS to NatWest. Goldman, Sachs & Co. and NatWest serve as the sole futures broker and interbank market maker, respectively, for the Fund’s ongoing trading. In July 2020, the Fund began trading centrally
cleared swap contracts.
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. The value of an interest rate swap will change as market interest rates rise and fall in conjunction with whether
the contract is to receive or pay a fixed interest rate. As a purchaser of credit default index swaps, the Fund’s risk of loss is limited to any cash payments required under the swap contracts. Written credit default contracts (i.e., sell
protection) expose the Fund to a market risk equal to the notional value of such swap contracts and any cash payments required under the swap contracts. 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.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)
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 June 30, 2021 and December 31, 2020 is as follows:
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (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 and six months ended June 30, 2021 and 2020 is as follows:
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)
For the three months ended June 30, 2021 and 2020, the monthly average of futures contracts bought and sold was
approximately 26,800 and 19,400,
respectively, the monthly average of notional value of centrally cleared swap contracts was approximately $3,435,500,000 and $0, respectively, and the monthly average of notional value of forward currency contracts was $1,623,700,000 and $986,400,000, respectively.
For the six months ended June 30, 2021 and 2020, the monthly average of futures contracts bought and sold was approximately 27,300 and 25,300, respectively, the
monthly average of notional value of centrally cleared swap contracts was approximately $2,540,400,000 and $0, respectively, and the monthly average of notional value of forward currency contracts was $1,418,500,000 and $1,056,500,000, respectively.
Open contracts generally mature within three months; as of June 30, 2021, the latest maturity date for open futures contracts is
and the latest maturity date for open forward currency contracts is . However, the Fund intends
to close all futures and offset all forward currency contracts prior to maturity. The latest termination date for centrally cleared swap contracts is .Credit Risk
The Fund trades futures contracts on exchanges that require margin deposits with the futures brokers and centrally cleared swap
contracts that require margin deposits with the swaps broker. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a futures broker or swaps broker to segregate all customer transactions and
assets from such future s broker’s or swaps broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury Bills) deposited with a futures broker or swaps broker are considered commingled with all other customer
funds subject to the futures broker’s or swaps broker’s segregation requirements. In the event of a futures broker’s or swaps 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.
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 LLC and Goldman, Sachs & Co., upon occurrence of a
default by the Fund, as defined in respective account documents, UBS Securities LLC and Goldman, Sachs & Co. 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 June 30, 2021 and December 31, 2020 was $17,433,730 and $21,892,821, respectively, which equals approximately 12%
and 16% of Net Asset Value, respectively. Included in cash deposits with the futures brokers, swaps broker and interbank market makers
at June 30, 2021 and December 31, 2020 was restricted cash for margin requirements of $21,915,472 and $13,537,408, respectively, which equals approximately 16%
and 10% of Net Asset Value, respectively. There were no cash deposits held at UBS Securities LLC or UBS AG, a futures broker and interbank market maker, respectively, at June 30, 2021 and December 31, 2020.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)
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.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)
Campbell & Company has established procedures to actively monitor market risk and minimize credit risk, although there can be
no assurance that it will, in fact, succeed in doing so. Campbell & Company’s basic market risk control procedures consist of continuously monitoring open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio
that rarely exceeds 30%. Campbell & Company’s attempt to manage the risk of the Fund’s open positions is essentially the same in
all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company
follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses. Campbell & Company controls the
risk of the Fund’s non-trading fixed income instruments by limiting the duration of such instruments and requiring a minimum credit quality of the issuers of those instruments.
Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the Fund’s assets at financial
institutions and brokers which Campbell & Company believes to be credit worthy. The limited partners bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances,
distributions and redemptions received.
|
INDEMNIFICATIONS |
6 Months Ended |
---|---|
Jun. 30, 2021 | |
INDEMNIFICATIONS [Abstract] | |
INDEMNIFICATIONS |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)
Note 12. INDEMNIFICATIONS
In the normal course of business, the Fund enters into contracts and agreements that contain a variety of representations and
warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. The Fund expects the risk of any
future obligation under these indemnifications to be remote.
|
INTERIM FINANCIAL STATEMENTS |
6 Months Ended |
---|---|
Jun. 30, 2021 | |
INTERIM FINANCIAL STATEMENTS [Abstract] | |
INTERIM FINANCIAL STATEMENTS |
Note 13. INTERIM FINANCIAL STATEMENTS
The Statements of Financial Condition, including the Condensed Schedules of Investments, as of June 30, 2021 and December 31, 2020, the
Statements of Operations and Financial Highlights for the three months and six months ended June 30, 2021 and 2020, and the Statements of Cash Flows and Changes in Partners’ Capital (Net Asset Value) for the six months ended June 30, 2021 and
2020 are unaudited. In the opinion of management, such financial statements reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of financial position as of June 30, 2021 and December 31, 2020,
the results of operations and financial highlights for the three months and six months ended June 30, 2021 and 2020, and cash flows and changes in partners’ capital (Net Asset Value) for the six months ended June 30, 2021 and 2020.
|
SUBSEQUENT EVENTS |
6 Months Ended |
---|---|
Jun. 30, 2021 | |
SUBSEQUENT EVENTS [Abstract] | |
SUBSEQUENT EVENTS |
Note 14. SUBSEQUENT EVENTS
Management of the Fund has evaluated subsequent events through the date the financial statements were filed. There are no subsequent
events to disclose or record.
|
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Policies) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Basis of Accounting |
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.
|
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Investments |
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, including futures, forwards and fixed income securities are accounted for on the trade date. Gains or
losses are realized when contracts are liquidated. Realized gains or losses on spot trades associated with forward currency contract trading are included in realized gains or losses from forward currency trading. 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 daily exchange of variation margin associated with a Central Counterparty Clearing House derivative instrument is legally
characterized as the daily settlement of the derivative instrument itself. Accordingly, the Fund accounts for the daily receipt or payment of variation margin associated with its centrally cleared swaps and futures as a direct reduction to the
carrying value of the centrally cleared swaps and futures derivative asset or liability, respectively. The carrying amount of centrally cleared swaps and futures reflected in the Fund’s Statements of Financial Condition is equal to the unsettled
fair value of such instruments, which generally represents the change in fair value that occurred on the last day of the reporting period.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)
Centrally cleared credit default index swaps and interest rate swap transactions are recorded on the trade date. Realized gains or
losses are determined using the identified cost method. The fair value of centrally cleared swap contracts is determined by using current market quotations provided by an independent external pricing source. Valuation using an external pricing
source involves the use of observable inputs in accordance with the fair value hierarchy. Any change in net unrealized gain or loss from the prior period is reported in Swap trading gains (losses) - Change in unrealized in the Statements of
Operations. Period payments received or paid on swap contracts, commissions and fees associated with trading the swap contracts and cash payments received or made due to the underlying obligation in the event of a credit event are recorded as part
of “Swap trading gains (losses) – Realized” in the Statements of Operations.
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.
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Net Asset Value per Unit |
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.
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Fair Value |
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. For centrally cleared swap contracts, the Fund uses
current market quotations provided by an independent external pricing source to determine fair value. 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 June 30, 2021 and December 31, 2020, and for the periods ended June 30, 2021 and 2020, the Fund did not have any Level 3 assets or liabilities.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)
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 June 30, 2021 and December 31, 2020.
The gross presentation of the fair value of the Fund’s derivatives by instrument type is shown in Note 11. See Condensed Schedules
of Investments for additional detail categorization.
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Cash and Cash Equivalents |
E. Cash and Cash Equivalents
Cash and cash equivalents includes cash and overnight money market investments at financial institutions.
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Income Taxes |
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 2017 through 2020 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.
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Offering Costs |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (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 June 30, 2021 and December 31, 2020, the Fund has the potential remaining reimbursement amount of approximately $34.1
million and $34.2 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
June 30, 2021 and December 31, 2020, the amount of unreimbursed offering costs incurred by Campbell & Company and reflected as a liability in the Statements of Financial Condition for offering costs payable to Campbell & Company is $49,709 and $45,477, respectively.
The amount of monthly reimbursement due to Campbell & Company is charged directly to partners’ capital.
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Foreign Currency Transactions |
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.
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Recently Issued Accounting Pronouncements |
I. Recently Issued Accounting Pronouncements
In April 2020, the FASB issued ASU-2020-04, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the
Effects of Reference Rate Reform on Financial Reporting to provide optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. In July
2017, the head of the United Kingdom Financial Conduct Authority announced the desire to phase out the use of the London Interbank Offered Rate (“LIBOR”) and other Interbank offered rates (IBORs). In November 2020, United States and United Kingdom
regulators made announcements planning to cease publication of overnight, one-month, three-month, six-month and one-year LIBOR and IBOR tenors after June 2023. If LIBOR and IBORs prematurely cease to exist, the Fund may need to renegotiate
outstanding swaps to replace affected rates with the identified replacement rates. There is currently no definitive information regarding the future discontinuance of LIBORs or IBORs prior to 2023. As such, the potential effect of any such event on
our cost of capital and net investment income cannot yet be determined.
|
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments Accounted for at Fair Value on a Recurring Basis |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)
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 June 30, 2021 and December 31, 2020.
|
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES (Tables) |
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||
Credit Default Index Swaps | At
June 30, 2021 and December 31, 2020, the carrying value of such credit derivative contracts sold was $1,790,748 and $1,265,353, respectively.
|
TRADING ACTIVITIES AND RELATED RISKS (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
TRADING ACTIVITIES AND RELATED RISKS [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value of the Fund's Derivatives by Instrument Type and Location of Instruments on the Statements of Financial Condition |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)
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 June 30, 2021 and December 31, 2020 is as follows:
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Trading Gains and Losses of the Fund's Derivatives by Instrument Type and Location of Gains and Losses on the Statements of Operations |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (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 and six months ended June 30, 2021 and 2020 is as follows:
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)
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Offsetting of Derivative Assets and Collateral Received by Counterparty |
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Offsetting of Derivative Liabilities and Collateral Pledged by Counterparty |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)
|
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, Fair Value (Details) - Recurring [Member] - USD ($) |
Jun. 30, 2021 |
Dec. 31, 2020 |
---|---|---|
Investments [Abstract] | ||
Short term investments | $ 3,088,504 | $ 8,053,123 |
Fixed income securities | 96,370,457 | 93,639,346 |
Total | 100,740,137 | 109,237,191 |
Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 408,215 | 4,761,054 |
Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | (1,426,905) | 1,125,411 |
Credit Default Index Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 1,790,748 | 1,265,353 |
Interest Rate Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 509,118 | 392,904 |
Level 1 [Member] | ||
Investments [Abstract] | ||
Short term investments | 3,088,504 | 8,053,123 |
Fixed income securities | 0 | 0 |
Total | 3,496,719 | 12,814,177 |
Level 1 [Member] | Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 408,215 | 4,761,054 |
Level 1 [Member] | Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 1 [Member] | Credit Default Index Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 1 [Member] | Interest Rate Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 2 [Member] | ||
Investments [Abstract] | ||
Short term investments | 0 | 0 |
Fixed income securities | 96,370,457 | 93,639,346 |
Total | 97,243,418 | 96,423,014 |
Level 2 [Member] | Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 2 [Member] | Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | (1,426,905) | 1,125,411 |
Level 2 [Member] | Credit Default Index Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 1,790,748 | 1,265,353 |
Level 2 [Member] | Interest Rate Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 509,118 | 392,904 |
Level 3 [Member] | ||
Investments [Abstract] | ||
Short term investments | 0 | 0 |
Fixed income securities | 0 | 0 |
Total | 0 | 0 |
Level 3 [Member] | Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 3 [Member] | Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 3 [Member] | Credit Default Index Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 3 [Member] | Interest Rate Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | $ 0 | $ 0 |
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, Income Taxes (Details) |
6 Months Ended |
---|---|
Jun. 30, 2021
USD ($)
| |
Income Taxes [Abstract] | |
Reserves for uncertain tax positions | $ 0 |
Increase in unrecognized tax benefits within twelve months | 0 |
Decrease in unrecognized tax benefits within twelve months | $ 0 |
Federal Tax Authority [Member] | Earliest Tax Year [Member] | |
Income Taxes [Abstract] | |
Open tax year | 2017 |
Federal Tax Authority [Member] | Latest Tax Year [Member] | |
Income Taxes [Abstract] | |
Open tax year | 2020 |
State Tax Authorities [Member] | Earliest Tax Year [Member] | |
Income Taxes [Abstract] | |
Open tax year | 2017 |
State Tax Authorities [Member] | Latest Tax Year [Member] | |
Income Taxes [Abstract] | |
Open tax year | 2020 |
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, Offering Costs (Details) - USD ($) |
6 Months Ended | |
---|---|---|
Jun. 30, 2021 |
Dec. 31, 2020 |
|
Offering Costs [Abstract] | ||
Maximum percentage of aggregate subscriptions accepted during initial and continuous offerings | 2.50% | |
Maximum potential remaining reimbursement for offering costs | $ 34,100,000 | $ 34,200,000 |
Unreimbursed offering costs | 49,709 | 45,477 |
Offering costs payable | $ 49,709 | $ 45,477 |
GENERAL PARTNER AND COMMODITY TRADING ADVISOR (Details) |
6 Months Ended |
---|---|
Jun. 30, 2021
USD ($)
$ / RoundTurn
| |
GENERAL PARTNER AND COMMODITY TRADING ADVISOR [Abstract] | |
Minimum percentage of capital contributed by all limited partnerships | 5.00% |
Minimum net worth required by Amended Agreement of Limited Partnership | $ 50,000 |
Maximum net worth required by Amended Agreement of Limited Partnership | $ 1,000,000 |
Monthly brokerage fee percentage | 0.5833% |
Annualized brokerage fee percentage | 7.00% |
Execution and clearing costs fee | $ / RoundTurn | 4 |
Annualized fee percentage to compensate selling agents for ongoing services rendered | 4.00% |
Annualized fee percentage retained for trading and management services rendered | 3.00% |
Monthly maximum percentage of month-end net assets paid for execution and clearing costs | 0.0833% |
Annualized maximum percentage of month-end net assets paid for execution and clearing costs | 1.00% |
Quarterly performance fee percentage | 20.00% |
DEPOSITS WITH INTERBANK MARKET MAKERS (Details) |
Jun. 30, 2021
Counterparty
|
---|---|
UBS AG [Member] | |
Deposits with Interbank Market Makers [Abstract] | |
Number of major rating agencies reporting credit ratings considered investment grade for interbank market maker | 3 |
NatWest Markets Plc [Member] | |
Deposits with Interbank Market Makers [Abstract] | |
Number of major rating agencies reporting credit ratings considered investment grade for interbank market maker | 3 |
OPERATING EXPENSES (Details) |
6 Months Ended | |||
---|---|---|---|---|
Jun. 30, 2021 |
Jun. 30, 2020 |
|||
OPERATING EXPENSES [Abstract] | ||||
Maximum annual percentage of average month-end Net Asset Value of Fund used to limit operating expenses | 0.50% | |||
Actual operating expenses as a percentage of average month-end Net Asset Value | [1] | |||
|
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS (Details) |
6 Months Ended |
---|---|
Jun. 30, 2021 | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS [Abstract] | |
Number of business days advance written notice is required for monthly redemptions | 10 days |
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES (Details) - USD ($) |
6 Months Ended | 12 Months Ended |
---|---|---|
Jun. 30, 2021 |
Dec. 31, 2020 |
|
Summary of Derivative Instruments [Abstract] | ||
Fair value of credit default index swaps | $ 1,790,748 | $ 1,265,353 |
Credit Default Index Swaps [Member] | ||
Summary of Derivative Instruments [Abstract] | ||
Maturity date | Jun. 30, 2026 | Dec. 31, 2025 |
Notional amount | $ 41,623,463 | $ 35,508,808 |
Credit Default Index Swaps [Member] | Investment Grade [Member] | ||
Summary of Derivative Instruments [Abstract] | ||
Notional amount | 21,223,471 | 19,273,236 |
Credit Default Index Swaps [Member] | Non-Investment Grade [Member] | ||
Summary of Derivative Instruments [Abstract] | ||
Notional amount | $ 20,399,992 | $ 16,235,572 |
TRADING ACTIVITIES AND RELATED RISKS, Derivatives by Instrument Type and Location of Instruments on the Statements of Financial Condition (Details) - USD ($) |
Jun. 30, 2021 |
Dec. 31, 2020 |
||
---|---|---|---|---|
Derivatives at Fair Value, Net [Abstract] | ||||
Asset derivatives at fair value | $ 2,708,081 | $ 7,544,722 | ||
Liability derivatives at fair value | (1,426,905) | 0 | ||
Not Designated as Hedging Instruments [Member] | ||||
Derivatives at Fair Value, Net [Abstract] | ||||
Asset derivatives at fair value | 25,677,056 | 14,924,369 | ||
Liability derivatives at fair value | (24,395,880) | (7,379,647) | ||
Net | 1,281,176 | 7,544,722 | ||
Agriculture Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||||
Derivatives at Fair Value, Net [Abstract] | ||||
Asset derivatives at fair value | 675,516 | 1,448,359 | ||
Liability derivatives at fair value | (445,351) | (160,525) | ||
Net | 230,165 | 1,287,834 | ||
Energy Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||||
Derivatives at Fair Value, Net [Abstract] | ||||
Asset derivatives at fair value | 761,441 | 476,936 | ||
Liability derivatives at fair value | (51,195) | (189,730) | ||
Net | 710,246 | 287,206 | ||
Metal Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||||
Derivatives at Fair Value, Net [Abstract] | ||||
Asset derivatives at fair value | 3,282,890 | 2,607,512 | ||
Liability derivatives at fair value | (3,390,389) | (1,437,559) | ||
Net | (107,499) | 1,169,953 | ||
Stock Indices Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||||
Derivatives at Fair Value, Net [Abstract] | ||||
Asset derivatives at fair value | 1,016,473 | 1,286,506 | ||
Liability derivatives at fair value | (552,584) | (331,164) | ||
Net | 463,889 | 955,342 | ||
Short-Term Interest Rate Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||||
Derivatives at Fair Value, Net [Abstract] | ||||
Asset derivatives at fair value | 329,050 | 196,631 | ||
Liability derivatives at fair value | (718,620) | (31) | ||
Net | (389,570) | 196,600 | ||
Long-Term Interest Rate Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||||
Derivatives at Fair Value, Net [Abstract] | ||||
Asset derivatives at fair value | 197,506 | 1,048,732 | ||
Liability derivatives at fair value | (696,522) | (184,613) | ||
Net | (499,016) | 864,119 | ||
Forward Currency Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Forward Currency Contracts [Member] | ||||
Derivatives at Fair Value, Net [Abstract] | ||||
Asset derivatives at fair value | 16,830,387 | 5,879,307 | ||
Liability derivatives at fair value | (18,257,292) | (4,753,896) | ||
Net | (1,426,905) | 1,125,411 | ||
Credit Default Index Swap Contracts [Member] | Not Designated as Hedging Instruments [Member] | Credit Default Index Swaps [Member] | ||||
Derivatives at Fair Value, Net [Abstract] | ||||
Asset derivatives at fair value | [1] | 1,985,948 | 1,427,593 | |
Liability derivatives at fair value | [1] | (195,200) | (162,240) | |
Net | [1] | 1,790,748 | 1,265,353 | |
Interest Rate Swap Contracts [Member] | Not Designated as Hedging Instruments [Member] | Interest Rate Swaps [Member] | ||||
Derivatives at Fair Value, Net [Abstract] | ||||
Asset derivatives at fair value | [1] | 597,845 | 552,793 | |
Liability derivatives at fair value | [1] | (88,727) | (159,889) | |
Net | [1] | $ 509,118 | $ 392,904 | |
|
TRADING ACTIVITIES AND RELATED RISKS, Derivatives by Instrument Type (Details) - USD ($) |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2021 |
Jun. 30, 2020 |
Jun. 30, 2021 |
Jun. 30, 2020 |
|
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains (losses) | $ 11,214,662 | $ (8,978,418) | $ 21,303,544 | $ 2,445,819 |
Agriculture Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains (losses) | 4,311,266 | (1,747,859) | 6,880,173 | 175,246 |
Energy Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains (losses) | 4,376,545 | (783,897) | 6,830,221 | 4,442,386 |
Metal Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains (losses) | 1,407,195 | (700,063) | 1,093,785 | 3,786,710 |
Stock Indices Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains (losses) | 3,907,952 | 390,867 | 9,220,087 | (23,176,345) |
Short-Term Interest Rate Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains (losses) | (398,843) | 439,171 | (1,735,000) | 8,448,354 |
Long-Term Interest Rate Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains (losses) | (2,296,061) | 341,387 | (5,752,689) | 2,536,115 |
Forward Currency Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains (losses) | (292,862) | (6,918,024) | 7,020,635 | 6,233,353 |
Credit Default Index Swap Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains (losses) | 471,639 | 0 | 475,604 | 0 |
Interest Rate Swap Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains (losses) | $ (272,169) | $ 0 | $ (2,729,272) | $ 0 |
TRADING ACTIVITIES AND RELATED RISKS, Location of Gains and Losses on the Statements of Operations (Details) |
3 Months Ended | 6 Months Ended | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2021
USD ($)
Contract
|
Jun. 30, 2020
USD ($)
Contract
|
Jun. 30, 2021
USD ($)
Contract
|
Jun. 30, 2020
USD ($)
Contract
|
|||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||||||
Trading gains (losses) | $ 11,214,662 | $ (8,978,418) | $ 21,303,544 | $ 2,445,819 | ||||||||
Derivatives [Abstract] | ||||||||||||
Average number of months until maturity for open contracts | 3 months | |||||||||||
Futures Trading Gains (Losses) - Realized [Member] | ||||||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||||||
Trading gains (losses) | 11,949,966 | [1] | 492 | [1] | $ 20,889,416 | [2] | (8,731,667) | [2] | ||||
Gains (losses) on foreign currency cash balances at futures brokers | (23,285) | 74,950 | 8,504 | 121,004 | ||||||||
Futures Trading Gains (Losses) - Change in Unrealized [Member] | ||||||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||||||
Trading gains (losses) | (641,912) | (2,060,886) | (4,352,839) | 4,944,133 | ||||||||
Forward Currency Trading Gains (Losses) - Realized [Member] | ||||||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||||||
Trading gains (losses) | 6,694,081 | [1] | 3,984,032 | [1] | 9,572,951 | [2] | 6,707,819 | [2] | ||||
Gains (losses) on spot trades in connection with forward currency trading at interbank market makers | 200,081 | 86,553 | (136,125) | (797,746) | ||||||||
Forward Currency Trading Gains (Losses) - Change in Unrealized [Member] | ||||||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||||||
Trading gains (losses) | (6,986,943) | (10,902,056) | (2,552,316) | (474,466) | ||||||||
Swap Trading Gains (Losses) - Realized [Member] | ||||||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||||||
Trading gains (losses) | 29,899 | 0 | (1,745,470) | 0 | ||||||||
Swap Trading Gains (Losses) - Change in Unrealized [Member] | ||||||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||||||
Trading gains (losses) | $ 169,571 | $ 0 | $ (508,198) | $ 0 | ||||||||
Futures Contracts [Member] | ||||||||||||
Derivatives [Abstract] | ||||||||||||
Monthly average of contracts bought and sold | Contract | 26,800 | 19,400 | 27,300 | 25,300 | ||||||||
Futures Contracts [Member] | Maximum [Member] | ||||||||||||
Derivatives [Abstract] | ||||||||||||
Maturity date for open contracts | Sep. 30, 2022 | |||||||||||
Forward Currency Contracts [Member] | ||||||||||||
Derivatives [Abstract] | ||||||||||||
Monthly average notional value | $ 1,623,700,000 | $ 986,400,000 | $ 1,418,500,000 | $ 1,056,500,000 | ||||||||
Forward Currency Contracts [Member] | Maximum [Member] | ||||||||||||
Derivatives [Abstract] | ||||||||||||
Maturity date for open contracts | Sep. 30, 2021 | |||||||||||
Centrally Cleared Swap Contracts [Member] | ||||||||||||
Derivatives [Abstract] | ||||||||||||
Monthly average notional value | $ 3,435,500,000 | $ 0 | $ 2,540,400,000 | $ 0 | ||||||||
Centrally Cleared Swap Contracts [Member] | Maximum [Member] | ||||||||||||
Derivatives [Abstract] | ||||||||||||
Maturity date for open contracts | Jun. 30, 2026 | |||||||||||
|
TRADING ACTIVITIES AND RELATED RISKS, Credit Risk (Details) - USD ($) |
6 Months Ended | |
---|---|---|
Jun. 30, 2021 |
Dec. 31, 2020 |
|
Credit Risk [Abstract] | ||
Percentage of Net Asset Value required for margin and good faith deposits, low end | 10.00% | |
Percentage of Net Asset Value required for margin and good faith deposits, high end | 30.00% | |
Fair value of securities held to satisfy margin and good faith deposits | $ 17,433,730 | $ 21,892,821 |
Margin and good faith deposits as a percentage of Net Asset Value | 12.00% | 16.00% |
Restricted cash for margin requirements | $ 21,915,472 | $ 13,537,408 |
Restricted cash for margin requirements as a percentage of Net Asset Value | 16.00% | 10.00% |
Cash at futures broker | $ 14,664,319 | $ 7,921,729 |
Cash at interbank market maker | $ 3,301,939 | 6,016,235 |
Maximum margin-to-equity ratio | 30.00% | |
UBS Securities LLC [Member] | ||
Credit Risk [Abstract] | ||
Cash at futures broker | $ 0 | 0 |
UBS AG [Member] | ||
Credit Risk [Abstract] | ||
Cash at interbank market maker | $ 0 | $ 0 |
TRADING ACTIVITIES AND RELATED RISKS, Offsetting of Derivative Assets and Collateral Received by Counterparty (Details) - USD ($) |
Jun. 30, 2021 |
Dec. 31, 2020 |
||
---|---|---|---|---|
Offsetting of Derivative Assets by Counterparty [Abstract] | ||||
Gross amounts of recognized assets | $ 25,677,056 | $ 14,924,369 | ||
Gross amounts offset in the Statements of Financial Condition | (22,968,975) | (7,379,647) | ||
Net amounts of unrealized gain presented in the Statements of Financial Condition | 2,708,081 | 7,544,722 | ||
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||||
Net amounts of unrealized gain presented in the Statements of Financial Condition | 2,708,081 | 7,544,722 | ||
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 | ||
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 | ||
Net amount | 2,708,081 | 7,544,722 | ||
Futures Contracts [Member] | Goldman, Sachs & Co. [Member] | Exchange-Traded [Member] | ||||
Offsetting of Derivative Assets by Counterparty [Abstract] | ||||
Gross amounts of recognized assets | 6,262,876 | 7,064,676 | ||
Gross amounts offset in the Statements of Financial Condition | (5,854,661) | (2,303,622) | ||
Net amounts of unrealized gain presented in the Statements of Financial Condition | 408,215 | 4,761,054 | ||
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||||
Net amounts of unrealized gain presented in the Statements of Financial Condition | 408,215 | 4,761,054 | ||
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 | ||
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 | ||
Net amount | 408,215 | 4,761,054 | ||
Forward Currency Contracts [Member] | NatWest Markets Plc [Member] | Over-the-Counter [Member] | ||||
Offsetting of Derivative Assets by Counterparty [Abstract] | ||||
Gross amounts of recognized assets | 16,830,387 | 5,879,307 | ||
Gross amounts offset in the Statements of Financial Condition | (16,830,387) | (4,753,896) | ||
Net amounts of unrealized gain presented in the Statements of Financial Condition | 0 | 1,125,411 | ||
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||||
Net amounts of unrealized gain presented in the Statements of Financial Condition | 0 | 1,125,411 | ||
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 | ||
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 | ||
Net amount | 0 | 1,125,411 | ||
Centrally Cleared Swap Contracts [Member] | Exchange-Traded [Member] | ||||
Offsetting of Derivative Assets by Counterparty [Abstract] | ||||
Gross amounts of recognized assets | [1] | 2,583,793 | 1,980,386 | |
Gross amounts offset in the Statements of Financial Condition | [1] | (283,927) | (322,129) | |
Net amounts of unrealized gain presented in the Statements of Financial Condition | [1] | 2,299,866 | 1,658,257 | |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||||
Net amounts of unrealized gain presented in the Statements of Financial Condition | [1] | 2,299,866 | 1,658,257 | |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 | ||
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 | ||
Net amount | $ 2,299,866 | $ 1,658,257 | ||
|
TRADING ACTIVITIES AND RELATED RISKS, Offsetting of Derivative Liabilities and Collateral Pledged by Counterparty (Details) - USD ($) |
Jun. 30, 2021 |
Dec. 31, 2020 |
---|---|---|
Offsetting of Derivative Liabilities by Counterparty [Abstract] | ||
Gross amounts of recognized liabilities | $ 24,395,880 | $ 7,379,647 |
Gross amounts offset in the Statements of Financial Condition | (22,968,975) | (7,379,647) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 1,426,905 | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss presented in the Statements of Financial Condition | 1,426,905 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | (1,426,905) | 0 |
Net amount | 0 | 0 |
Futures Contracts [Member] | Goldman, Sachs & Co. [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Liabilities by Counterparty [Abstract] | ||
Gross amounts of recognized liabilities | 5,854,661 | 2,303,622 |
Gross amounts offset in the Statements of Financial Condition | (5,854,661) | (2,303,622) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Forward Currency Contracts [Member] | NatWest Markets Plc [Member] | Over-the-Counter [Member] | ||
Offsetting of Derivative Liabilities by Counterparty [Abstract] | ||
Gross amounts of recognized liabilities | 18,257,292 | 4,753,896 |
Gross amounts offset in the Statements of Financial Condition | (16,830,387) | (4,753,896) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 1,426,905 | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss presented in the Statements of Financial Condition | 1,426,905 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | (1,426,905) | 0 |
Net amount | 0 | 0 |
Centrally Cleared Swap Contracts [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Liabilities by Counterparty [Abstract] | ||
Gross amounts of recognized liabilities | 283,927 | 322,129 |
Gross amounts offset in the Statements of Financial Condition | (283,927) | (322,129) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | 0 |
Net amount | $ 0 | $ 0 |
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