ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934
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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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(
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Registrant’s telephone number, including area code
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Title of each class
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Trading Symbol(s)
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Name of each exchange on which registered
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Not applicable.
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Not applicable.
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Not applicable.
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Units of Limited Partnership Interest
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(Title of Class)
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Large accelerated filer ☐
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Accelerated filer ☐
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Smaller reporting company
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Emerging growth company
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TABLE OF CONTENTS
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Page
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PART I
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Item 1.
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1–7
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Item 1A.
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7-24
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Item 1B.
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24 | |
Item 2.
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24 | |
Item 3.
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24 | |
Item 4.
|
24 | |
PART II
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Item 5.
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25 | |
Item 6.
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25 | |
Item 7.
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25-40
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Item 7A.
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40-45
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Item 8.
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45 |
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Item 9.
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45 | |
Item 9A.
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45-46 | |
Item 9B.
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46 | |
PART III
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Item 10.
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47-49
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Item 11.
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49 | |
Item 12.
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49 | |
Item 13.
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49 | |
Item 14.
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50 | |
PART IV
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Item 15.
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51 | |
Item 16.
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52 | |
53 |
Item 1. |
Business.
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Commodities
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Interest Rates
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Equity Indices
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Foreign Exchange (1)
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Credit Default Swaps
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Interest Rate Swaps (5-Year)
|
|||||
Aluminum
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3-Month SOFR
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CAC 40 Stock Index
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Australian Dollar (2)
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CDX Emerging Markets
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Czech Koruna
|
|||||
Canola
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3MTH SONIA
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DAX Index
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Brazilian Real (3)
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CDX High Yield North American Index
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Hong Kong Dollar
|
|||||
China Iron Ore 62%
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Australian 90-Day Bill
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DJ Euro Stoxx 50
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British Pound (2)
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CDX Investment Grade North American Index
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Hungarian Forint
|
|||||
Cocoa
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Australian 3-Year Bond
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DJ Index
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Canadian Dollar (2)
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iTraxx Crossover Europe Index
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Mexican Peso
|
|||||
Coffee
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Australian 10-Year Bond
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E-Mini S&P 500 ESG
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Chilean Peso (3)
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iTraxx Investment Grade Europe Index
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New Zealand Dollar
|
|||||
Copper
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Canadian 10-Year Bond
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FTSE 100 Index
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Chinese Yuan (3)
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iTraxx Senior Financials Europe Index
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Norwegian Krone
|
|||||
Corn
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Canadian 90-Day Bill
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FTSE China A50
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Colombian Peso
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Polish Zloty
|
||||||
Cotton
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Euro-BTP Italian Gov Bond
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FTSE JSE Top 40
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Czech Koruna
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Singapore Dollar
|
||||||
Crude Oil
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Euro-BUND
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FTSE MIB Index
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Euro (2)
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South African Rand
|
||||||
ECX Emissions Allowance
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Euro-BOBL
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FTSE Taiwan Index
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Hungarian Forint
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Swedish Krona
|
||||||
Gold
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Euro-Buxl 30-Year Bond
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Hang Seng China Enterprises Index
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Indian Rupee (3)
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Swiss Franc
|
||||||
Heating Oil
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Euro-OAT French 10-Year Bond
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Hang Seng Index
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Indonesian Rupiah
|
|||||||
High Grade Copper
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Euro-Schatz
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IBEX35 Stock Index
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Japanese Yen (2)
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|||||||
KC Hard Red-Winter Wheat
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Euribor
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Mini MSCI Emerging Markets
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Mexican Peso
|
|||||||
Live Cattle
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Japanese 10-Year Bond
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Mini MSCI EAFE Index
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New Zealand Dollar
|
|||||||
London Brent Crude
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Long Gilt
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MSCI Singapore
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Norwegian Krone
|
|||||||
London Gas Oil
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Treasury Notes/2-Year
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NASDAQ 100 Index
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Philippine Peso (3)
|
|||||||
NY Gasoline RBOB
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Treasury Notes/5-Year
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Nikkei
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Polish Zloty
|
|||||||
Natural Gas
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Treasury Notes/10-Year
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OMX Stock Index
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Singapore Dollar
|
|||||||
Palladium
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Treasury Notes/30-Year
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Russell 2000 Index
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South African Rand
|
|||||||
Platinum
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Treasury Ultra Long Bond
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S&P 400 Index
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South Korean Won (3)
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|||||||
Silver
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Euro-Bono Spanish Gov. Bond
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S&P 500 Index
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Swedish Krona
|
|||||||
Soybean Meal
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Short Term Euro-BTP
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STOXX Europe 600 ESG
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Swiss Franc (2)
|
|||||||
Soybean Oil
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S&P Canada 60 Index
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Taiwan Dollar (3)
|
||||||||
Soybeans
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SPI 200 Index
|
|||||||||
Sugar #11 (World)
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SGX CNX Nifty
|
|||||||||
Wheat
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TOPIX
|
|||||||||
Zinc
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(1) |
Traded as forward contracts, not futures
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(2) |
Also may be traded as cross rates
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(3) |
Traded as non-deliverable forward
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RECIPIENT
|
NATURE OF PAYMENT
|
AMOUNT OF PAYMENT
|
||
Campbell & Company
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Brokerage Fee
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The Fund pays Campbell & Company a brokerage fee of 7% of the Fund’s month-end net asset value per annum (prior to accruals for such brokerage fee or performance fees), irrespective
of profitability, of which 4% is paid to the selling agents. Campbell & Company retains the remaining 3%.
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Campbell & Company
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Performance Fee
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Campbell & Company is paid a quarterly performance fee equal to 20% of aggregate cumulative appreciation in the Fund’s net asset value per Unit, if any, excluding interest income
and as adjusted for subscriptions and redemptions.
|
||
Campbell & Company
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Offering Costs
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Campbell & Company pays the Fund’s offering costs and is subsequently reimbursed by the Fund. Reimbursement of the Fund’s offering costs is limited to 2.5% of the aggregate
subscriptions accepted by Campbell & Company.
|
||
Cash Manager and Custodian Fees
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Cash Management and Custody Fees
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The Fund pays a combined annualized fee of approximately 0.10% per annum of the funds managed by the Cash Manager for cash management services, custodian fee, and fees associated with
monitoring the Fund’s cash management portfolio.
|
||
Goldman, Sachs & Co. and UBS Securities LLC
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Brokerage Commissions
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Brokerage commissions are paid at a rate of approximately $4 per round-turn contract executed for the Fund, or approximately 0.55% of the Fund’s net assets annually, up to 1% of the
Fund’s net asset value per annum (which includes payments to the over-the-counter counterparty as referenced below).
|
||
NatWest Markets plc and UBS AG
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Over-the-Counter
Counterparty Execution and Clearing Costs
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The over-the-counter counterparties’ execution costs are included in the price of each forward contract purchased or sold, and, accordingly, such costs cannot be determined but are
charged. In addition, the over-the-counter counterparties charge between $3 and $4 per $1 million, plus any additional electronic platform charges, for forward contracts they facilitate on behalf of the Fund with third party banks. These
prime brokerage fees, combined with the futures and swaps brokers’ charges, will equal approximately 0.60% of the Fund’s net assets and will not exceed 1% of the Fund’s net asset value per annum, as referenced above.
|
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Other
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Operating Expenses
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The Fund may experience operating expenses such as legal, auditing, administration, printing and postage, as incurred, up to a maximum of 0.50% of the Fund’s net asset value per annum.
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Item 1A. |
Risk Factors.
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Item 1B. |
Unresolved Staff Comments.
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Item 2. |
Properties.
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Item 3. |
Legal Proceedings.
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Item 4. |
Mine Safety Disclosures.
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Item 5. |
Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.
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Item 6. |
Selected Financial Data.
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Item 7. |
Management’s Discussion and Analysis of Financial Condition and Results of Operations.
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Sector
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% Gain (Loss)
|
|||
Credit
|
1.52
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%
|
||
Commodities
|
9.43
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%
|
||
Foreign Exchange
|
20.25
|
%
|
||
Interest Rates
|
16.46
|
%
|
||
Equity Indices
|
1.06
|
%
|
||
48.72
|
%
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Sector
|
% Gain (Loss)
|
|||
Credit
|
(0.61
|
)%
|
||
Commodities
|
10.99
|
%
|
||
Foreign Exchange
|
8.09
|
%
|
||
Interest Rates
|
(10.04
|
)%
|
||
Equity Indices
|
8.70
|
%
|
||
17.12
|
%
|
Sector
|
% Gain (Loss)
|
|||
Credit
|
0.08
|
%
|
||
Commodities
|
10.47
|
%
|
||
Foreign Exchange
|
4.34
|
%
|
||
Interest Rates
|
2.73
|
%
|
||
Equity Indices
|
(12.41
|
)%
|
||
5.21
|
%
|
Item 7A. |
Quantitative and Qualitative Disclosures About Market Risk.
|
December 31, 2022
|
||||||||
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Credit
|
0.09
|
%
|
1.52
|
%
|
||||
Commodities
|
0.54
|
%
|
9.43
|
%
|
||||
Foreign Exchange
|
1.15
|
%
|
20.25
|
%
|
||||
Interest Rates
|
0.98
|
%
|
16.46
|
%
|
||||
Equity Indices
|
0.53
|
%
|
1.06
|
%
|
||||
Aggregate/Total
|
1.66
|
%
|
48.72
|
%
|
* |
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 41.83% year to date return, approximately 48.72% was due to trading gains (before commissions) and approximately 1.42% due to investment income, offset by approximately (8.31)% due to brokerage fees,
operating expenses and offering costs borne by the Fund.
|
December 31, 2021
|
||||||||
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Credit
|
0.07
|
%
|
(0.61
|
)%
|
||||
Commodities
|
0.91
|
%
|
10.99
|
%
|
||||
Foreign Exchange
|
0.90
|
%
|
8.09
|
%
|
||||
Interest Rates
|
0.58
|
%
|
(10.04
|
)%
|
||||
Equity Indices
|
0.92
|
%
|
8.70
|
%
|
||||
Aggregate/Total
|
2.09
|
%
|
17.12
|
%
|
* |
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Fund’s open positions across all market sectors, and is less than
the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
|
** |
Of the 9.26% year to date return, approximately 17.12% was due to trading gains (before commissions) and approximately 0.08% due to investment income, offset by approximately (7.94)% due to brokerage fees,
operating expenses and offering costs borne by the Fund.
|
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.
|
Item 8. |
Financial Statements and Supplementary Data.
|
Item 9. |
Changes in and Disagreements with Accountants on Accounting and Financial Disclosure.
|
Item 9A. |
Controls and Procedures.
|
● |
Pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Fund;
|
● |
Provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that the Fund’s transactions are being made only in
accordance with authorizations of Management and;
|
● |
Provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Fund’s assets that could have a material effect on the financial statements.
|
Item 9B. |
Other Information.
|
Item 10. |
Directors, Executive Officers and Corporate Governance.
|
Item 11. |
Executive Compensation.
|
Item 12. |
Security Ownership of Certain Beneficial Owners and Management and Related Shareholder Matters.
|
(a) |
Security Ownership of Certain Beneficial Owners. As of December 31, 2022, there are no beneficial owners of the Limited Partnership.
|
(b) |
Security Ownership of Management. As of December 31, 2022, Campbell & Company owned 0.000 Units of General Partnership Interest having a value of $0. Units of General Partnership will only be owned by Campbell & Company in its
capacity as general partner. The amounts are summarized in the table below:
|
Title of Class
|
Name of Beneficial Owner
|
Amount and Nature of Beneficial Ownership
|
Percentage of Class
|
|||
Units of General Partnership Interest
|
Campbell & Company, L.P.
|
0.000 Units
|
0.00% of Units outstanding
|
Item 13. |
Certain Relationships and Related Transactions, and Director Independence.
|
Item 14. |
Principal Accounting Fees and Services.
|
(a) |
Audit Fees
|
(b) |
Audit Related Fees
|
(c) |
Tax Fees
|
(d) |
All Other Fees
|
(e) |
The Board of Directors of Campbell & Company approved all of the services described above. The Board of Directors has determined that the payments made to its independent accountants for these services are compatible with
maintaining such auditors’ independence. The Board of Directors explicitly pre-approves all audit and non-audit services and all engagement fees and terms.
|
Item 15. |
Exhibit and Financial Statement Schedules.
|
(a) |
The following documents are filed as part of this report:
|
(1) |
See Financial Statements beginning on page 50 hereof.
|
(2) |
Schedules:
|
(3) |
Exhibits
|
Exhibit Number
|
Description of Document
|
|
3.01
|
||
3.02
|
||
4.01
|
||
10.01
|
||
10.02
|
||
10.03
|
||
Certification of Kevin D. Cole, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of Kevin D. Cole, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
Certification of John R. Radle, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
101.01
|
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of December 31, 2022 and 2021, (ii) Statements of Financial Condition as of
December 31, 2022 and 2021, (iii) Statements of Operations For the Years Ended December 31, 2022, 2021 and 2020, (iv) Statements of Cash Flows For the Years Ended December 31, 2022, 2021 and 2020, (v) Statements of Changes in Unitholders’
Capital (Net Asset Value) For the Years Ended December 31, 2022, 2021 and 2020, (vi) Financial Highlights For the Years Ended December 31, 2022, 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.
|
Item 16. |
Form 10-K Summary.
|
Certification of Kevin D. Cole, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
|
Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
|
Certification of Kevin D. Cole, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
|
Certification of John R. Radle, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
|
101.01
|
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of December 31, 2022 and 2021, (ii) Statements of Financial Condition as of
December 31, 2022 and 2021, (iii) Statements of Operations For the Years Ended December 31, 2022, 2021 and 2020, (iv) Statements of Cash Flows For the Years Ended December 31, 2022, 2021 and 2020, (v) Statements of Changes in Unitholders’
Capital (Net Asset Value) For the Years Ended December 31, 2022, 2021 and 2020, (vi) Financial Highlights For the Years Ended December 31, 2022, 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.
|
|||
By:
|
CAMPBELL & COMPANY, LP
General Partner
|
||
By:
|
/s/ Kevin D. Cole
|
||
Kevin D. Cole
|
|||
Chief Executive Officer
|
Signature
|
Capacity
|
|
/s/ Kevin D. Cole
|
Chief Executive Officer
|
|
Kevin D. Cole
|
||
/s/ Thomas P. Lloyd
|
General Counsel and Chief Compliance Officer
|
|
Thomas P. Lloyd
|
||
/s/ John R. Radle
|
Chief Operating Officer
|
|
John R. Radle
|
PAGES
|
|
56 | |
Financial Statements
|
|
57-62
|
|
63
|
|
64
|
|
65 |
|
66 |
|
67 | |
68-81
|
FIXED INCOME SECURITIES
|
|||||||||||
Maturity
|
Fair
|
% of Net
|
|||||||||
Face Value
|
Description
|
Value ($)
|
Asset Value
|
||||||||
Asset Backed Securities
|
|||||||||||
United States
|
|||||||||||
Auto Loans
|
$
|
|
|
%
|
|||||||
Equipment Loans
|
|
|
%
|
||||||||
Total Asset Backed Securities (cost $
|
|
|
%
|
||||||||
Bank Deposits
|
|||||||||||
United States
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Commercial Paper
|
|||||||||||
Ireland
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
|
|
%
|
||||||||
Consumer Discretionary
|
|
|
%
|
||||||||
Consumer Staples
|
|
|
%
|
||||||||
Financials
|
|
|
%
|
||||||||
Industrials
|
|
|
%
|
||||||||
Materials
|
|
|
%
|
||||||||
Real Estate
|
|
|
%
|
||||||||
Technology
|
|
|
%
|
||||||||
Utilities
|
|
|
%
|
||||||||
Total United States (cost $
|
|
|
%
|
||||||||
Total Commercial Paper (cost $
|
$ |
|
|
%
|
FIXED INCOME SECURITIES
|
|||||||||||
Maturity
|
Fair
|
% of Net
|
|||||||||
Face Value
|
Description
|
Value ($)
|
Asset Value
|
||||||||
Corporate Bonds
|
|||||||||||
Australia
|
|||||||||||
Financials (cost $
|
$ |
|
|
%
|
|||||||
Canada
|
|||||||||||
Financials
|
|
|
%
|
||||||||
Energy
|
|
|
%
|
||||||||
Total Canada (cost $
|
|
|
%
|
||||||||
Germany
|
|||||||||||
Consumer Discretionary
|
|
|
%
|
||||||||
Industrials
|
|
|
%
|
||||||||
Total Germany (cost $
|
|
|
%
|
||||||||
Spain
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Switzerland
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
|
|
%
|
||||||||
Consumer Discretionary
|
|
|
%
|
||||||||
Consumer Staples
|
|
|
%
|
||||||||
Energy
|
|
|
%
|
||||||||
Financials
|
|
|
%
|
||||||||
Health Care
|
|
|
%
|
||||||||
Industrials
|
|
|
%
|
||||||||
Technology
|
|
|
%
|
||||||||
Materials
|
|
|
%
|
||||||||
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)
|
|
SHORT TERM INVESTMENTS
|
||||||||
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Money Market Funds
|
||||||||
United States | ||||||||
Money Market Funds (cost $
|
$
|
|
|
%
|
||||
Total Short Term Investments (cost $
|
$
|
|
|
%
|
LONG FUTURES CONTRACTS
|
||||||||
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Agriculture
|
$
|
(
|
)
|
(
|
)%
|
|||
Energy
|
|
|
%
|
|||||
Metals
|
|
|
%
|
|||||
Stock indices
|
(
|
)
|
(
|
)%
|
||||
Long-term interest rates
|
(
|
)
|
(
|
)%
|
||||
Net unrealized gain (loss) on long futures contracts
|
(
|
)
|
(
|
)%
|
SHORT 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
|
$
|
|
|
%
|
FORWARD CURRENCY 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
|
$ |
|
|
%
|
CREDIT DEFAULT INDEX SWAPS
|
||||||||
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Centrally cleared credit default index swaps - Sell protection (net proceeds $ |
$
|
|
|
%
|
INTEREST RATE SWAPS
|
||||||||
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
|
$
|
|
|
%
|
|||||||
Equipment Loans
|
|
|
%
|
||||||||
Total Asset Backed Securities (cost $
|
|
|
%
|
||||||||
|
|||||||||||
Bank Deposits
|
|||||||||||
United States
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Total Bank Deposits (cost $
|
|
|
%
|
||||||||
|
|||||||||||
Commercial Paper
|
|||||||||||
United States
|
|||||||||||
Communications | % | ||||||||||
Consumer Discretionary
|
|
|
%
|
||||||||
Financials
|
|
|
%
|
||||||||
Industrials | % | ||||||||||
Materials
|
|
|
%
|
||||||||
Real Estate
|
|
|
%
|
||||||||
Technology
|
|
|
%
|
||||||||
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
|
|||||||||||
Energy
|
% | ||||||||||
Financials
|
|
% | |||||||||
Total Canada (cost $ |
% | ||||||||||
Germany
|
|||||||||||
Consumer Discretionary (cost $
|
|
|
%
|
||||||||
Japan | |||||||||||
Financials (cost $ |
% | ||||||||||
Switzerland
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $
|
% | ||||||||||
Health Care (cost $
|
|
|
%
|
||||||||
Total United Kingdom (cost $
|
% | ||||||||||
United States
|
|||||||||||
Consumer Discretionary
|
|
|
%
|
||||||||
Consumer Staples
|
|
|
%
|
||||||||
Energy
|
|
|
%
|
||||||||
Financials | % | ||||||||||
Health Care | % | ||||||||||
Industrials | % | ||||||||||
Technology
|
|
|
%
|
||||||||
Materials
|
|
|
%
|
||||||||
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 $
|
$
|
|
|
%
|
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 $
|
$
|
|
|
%
|
(3)
|
|
2022
|
2021
|
|||||||
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
|
|
|
||||||
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)
|
$
|
|
$
|
|
|
2022
|
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 (loss)
|
|
|
|
|||||||||
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 year)
|
$
|
|
$
|
|
$
|
(
|
)
|
|||||
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT
|
$
|
|
$
|
|
$
|
(
|
)
|
|||||
|
||||||||||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE YEAR
|
|
|
|
2022
|
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 payable for securities purchased
|
( |
) | ||||||||||
Increase (decrease) in accounts payable and accrued expenses
|
|
(
|
)
|
(
|
)
|
|||||||
Net purchases from swap broker
|
|
(
|
)
|
|
||||||||
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 year
|
||||||||||||
Cash, cash equivalents and restricted cash at end of year
|
$
|
|
$
|
|
$
|
|
2022
|
2021
|
2020
|
||||||||||
Cash, cash equivalents and restricted cash at end of year 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 year
|
$
|
|
$
|
|
$
|
|
Partners’ Capital
|
||||||||||||||||||||||||
General Partner
|
Limited Partners
|
Total
|
||||||||||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
|||||||||||||||||||
Balances at December 31, 2019
|
|
$
|
|
|
$
|
|
|
$
|
|
|||||||||||||||
Net income (loss)
|
|
(
|
)
|
(
|
)
|
|||||||||||||||||||
Redemptions
|
|
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||||||
Offering costs
|
|
(
|
)
|
(
|
)
|
|||||||||||||||||||
Balances at December 31, 2020
|
|
$
|
|
|
$
|
|
|
$
|
|
|||||||||||||||
Net income (loss)
|
|
|
|
|||||||||||||||||||||
Redemptions
|
|
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||||||
Offering costs
|
|
(
|
)
|
(
|
)
|
|||||||||||||||||||
Balances at December 31, 2021
|
|
$
|
|
|
$
|
|
|
$
|
|
|||||||||||||||
Net income (loss)
|
|
|
|
|||||||||||||||||||||
Redemptions
|
|
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||||||
Offering costs
|
|
(
|
)
|
(
|
)
|
|||||||||||||||||||
Balances at December 31, 2022
|
|
$
|
|
|
$
|
|
|
$
|
|
December 31, 2022
|
December 31, 2021
|
December 31, 2020
|
||||||||
$
|
|
$
|
|
$
|
|
|
2022
|
2021
|
2020
|
|||||||||
Per Unit Performance
|
||||||||||||
(for a unit outstanding throughout the entire year)
|
||||||||||||
Net asset value per unit at beginning of year
|
$
|
|
$
|
|
$
|
|
||||||
|
||||||||||||
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 year
|
$
|
|
$
|
|
$
|
|
||||||
Total Return (3)
|
|
%
|
|
%
|
(
|
)%
|
||||||
|
||||||||||||
Supplemental Data
|
||||||||||||
Ratios to average net asset value:
|
||||||||||||
Expenses prior to performance fee
|
|
%
|
|
%
|
|
%
|
||||||
Performance fee
|
|
%
|
|
%
|
|
%
|
||||||
Total expenses
|
|
%
|
|
%
|
|
%
|
||||||
Net investment income (loss) (2)
|
(
|
)%
|
(
|
)%
|
(
|
)%
|
(1)
|
|
(2)
|
|
(3)
|
|
|
Fair Value at December 31, 2022
|
|||||||||||||||
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, 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 | ||||||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
|
December 31, 2022
|
December 31, 2021
|
||||||
Credit Default Index Swaps
|
Maturity Date:
|
Maturity Date:
|
||||||
Investment grade
|
$
|
|
$
|
|
||||
Non-investment grade
|
|
|
||||||
Total
|
$
|
|
$
|
|
|
Asset
Derivatives at |
Liability
Derivatives at |
||||||||||||
Type of Instrument *
|
Statements of Financial Condition Location
|
Fair Value
|
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
|
**
|
|
|
|
Asset
Derivatives at
December 31, 2021
|
Liability
Derivatives at
December 31, 2021
|
|||||||||||
Type of Instrument *
|
Statements of Financial Condition Location
|
Fair Value
|
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 | ( |
) | |||||||||||
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 Year Ended
December 31, 2022
|
Trading Gains (Losses)
for the Year Ended
December 31, 2021
|
Trading Gains (Losses)
for the Year Ended
December 31, 2020
|
|||||||||
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
|
$
|
|
$
|
|
$
|
|
|
Trading Gains (Losses)
|
Trading Gains (Losses)
for the Year Ended |
Trading Gains (Losses)
|
|||||||||
Line Item in the Statements of Operations
|
December 31, 2022
|
December 31, 2021
|
December 31, 2020
|
|||||||||
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 December 31, 2022
|
Type of Instrument
|
Counterparty
|
Gross
Amounts of
Recognized Assets
|
Gross
Amounts
Offset in the |
Net Amounts of
Unrealized Gain |
||||||||||
Futures contracts
|
Goldman, Sachs & Co.
|
$
|
|
$
|
(
|
)
|
$
|
|
||||||
Forward currency contracts
|
NatWest Markets Plc
|
|
(
|
)
|
|
|||||||||
Centrally cleared swap contracts*
|
Centrally Cleared
|
|
(
|
)
|
|
|||||||||
Total derivatives
|
|
$
|
|
$
|
(
|
)
|
$
|
|
* |
|
Derivative Assets and Collateral Received by Counterparty
|
As of December 31, 2022
|
|
Net Amounts of
Unrealized Gain
Presented in the
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
||||||||||||||
Counterparty
|
Statements of
Financial Condition
|
Financial
Instruments
|
Cash Collateral
Received
|
Net Amount
|
||||||||||||
Goldman, Sachs & Co.
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
NatWest Markets Plc
|
|
|
|
|
||||||||||||
Centrally cleared
|
|
|
|
|
||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
Offsetting of Derivative Liabilities by Counterparty
|
As of December 31, 2022
|
Type of Instrument
|
Counterparty
|
Gross Amounts
of Recognized |
Gross
Amounts
Offset in the |
Net Amounts of
Unrealized Loss |
||||||||||
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, 2022
|
|
Net Amounts of
Unrealized Loss
Presented in the
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
||||||||||||||
Counterparty
|
Statements of
Financial Condition
|
Financial
Instruments
|
Cash Collateral
Pledged
|
Net Amount
|
||||||||||||
Goldman, Sachs & Co.
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
NatWest Markets Plc
|
|
|
|
|
||||||||||||
Centrally cleared
|
|
|
|
|
||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
Offsetting of Derivative Assets by Counterparty
|
|
As of December 31, 2021
|
Type of Instrument
|
Counterparty
|
Gross
Amounts of
Recognized Assets
|
Gross
Amounts
Offset in the |
Net Amounts of
Unrealized Gain |
||||||||||
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, 2021
|
Net Amounts of
Unrealized GainPresented in the
|
Gross Amounts Not Offset in the
Statements of Financial Condition |
|||||||||||||||
Counterparty
|
Statements of
Financial Condition |
Financial
Instruments
|
Cash Collateral
|
Net Amount
|
||||||||||||
Goldman, Sachs & Co.
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
NatWest Markets Plc
|
|
|
|
|
||||||||||||
Centrally cleared | ||||||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
Offsetting of Derivative Liabilities by Counterparty
|
As of December 31, 2021
|
Type of Instrument
|
Counterparty
|
Gross Amounts
of Recognized |
Gross
Amounts
Offset in the |
Net Amounts of
Unrealized Loss |
||||||||||
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, 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
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|