UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

 

 

 

PRE-EFFECTIVE AMENDMENT

 

NUMBER 1 TO
FORM S-1
REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933

 

 

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

 

(Registrant)

CAMPBELL GLOBAL TREND FUND, L.P.

(Registrant)

(Exact name of registrant as specified in its charter)

 

 

 

 

 

 

Copies to:

 

Michael J. Schmidtberger, Esq.
Sidley Austin llp
787 Seventh Avenue
New York, New York 10019

 

Approximate date of commencement of proposed sale to the public:
As promptly as practicable after the effective date of this Registration Statement.

 

If any of the securities being registered on this Form are to be offered on a delayed or continuous basis pursuant to Rule 415 under the Securities Act of 1933, other than securities offered only in connection with dividend or interest reinvestment plans, check the following box.  þ

 

If this Form is filed to register additional securities for an offering pursuant to Rule 462(b) under the Securities Act, check the following box and list the Securities Act registration statement number of the earlier effective registration statement for the same offering.  o

 

If this Form is a post — effective amendment filed pursuant to Rule 462(c) under the Securities Act, check the following box and list the Securities Act registration statement number of the earlier effective registration statement for the same offering.  o

 

If this Form is a post — effective amendment filed pursuant to Rule 462(d) under the Securities Act, check the following box and list the Securities Act registration statement number of the earlier effective registration statement for the same offering.  o

 

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

 

 

REGISTRANTS HEREBY AMEND THIS REGISTRATION STATEMENT ON SUCH DATE OR DATES AS MAY BE NECESSARY TO DELAY ITS EFFECTIVE DATE UNTIL THE REGISTRANTS SHALL FILE A FURTHER AMENDMENT WHICH SPECIFICALLY STATES THAT THIS REGISTRATION STATEMENT SHALL THEREAFTER BECOME EFFECTIVE IN ACCORDANCE WITH SECTION 8(a) OF THE SECURITIES ACT OF 1933, OR UNTIL THE REGISTRATION STATEMENT SHALL BECOME EFFECTIVE ON SUCH DATES AS THE COMMISSION, ACTING UNDER SAID SECTION 8(a), MAY DETERMINE.

 

 

 

 

 

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

 

CAMPBELL GLOBAL TREND FUND, L.P.

 

 

The Offering

 

The Strategic Allocation Fund is being offered only to existing investors during the continuing offering. Units of each Class of the Global Trend Fund will initially be offered for a period ending ninety days from the date hereof, unless such date is extended by Campbell & Company for up to an additional ninety days. The subscription minimum for each Series of the Global Trend Fund as of the end of the initial offering period is $15,000,000. However, if after the expiration of the initial offering period, the subscription minimum is not reached, Campbell & Company may purchase Units with an aggregate initial Unit value in an amount equal to the difference between the actual total dollar amount of Units subscribed for during the initial offering period and $15,000,000. This initial offering period may be shorter if the subscription minimum is reached before the end of the initial offering period. If subscriptions for at least $15,000,000 for either Series have not been received and accepted by the end of the initial offering period, all subscriptions will be promptly returned to subscribers of that Series, with interest. After the end of the initial offering period, each of the Classes will be offered continuously.

 

The units are being offered on a best efforts basis without any firm underwriting commitment through selling agents which are registered broker-dealers and members of the Financial Industry Regulatory Authority. The selling agents are not required to sell any specific number or dollar amount of Units. There is no fixed termination date during the continuing offering of the Units; however, Campbell & Company may suspend, limit or terminate the continuing offering at any time.

 

The Risks

 

These are speculative securities. Before you decide whether to invest, read this entire prospectus carefully and consider “The Risks You Face” on page 14 and “Conflicts of Interest” on page 48.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

You are required to make representations and warranties relating to the suitability of this investment for you. You are encouraged to discuss this investment with your financial, legal and tax adviser.

 

These securities have not been approved or disapproved by the Securities and Exchange Commission or any state securities commission, nor has the Securities and Exchange Commission or any state securities commission passed upon the accuracy or adequacy of this prospectus. Any representation to the contrary is a criminal offense.

 

THE COMMODITY FUTURES TRADING COMMISSION HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN THIS POOL NOR HAS THE COMMISSION PASSED ON THE ADEQUACY OR ACCURACY OF THIS DISCLOSURE DOCUMENT.

 

CAMPBELL & COMPANY, INC.

General Partner of both Funds

March 1, 2010

 

COMMODITY FUTURES TRADING COMMISSION

 

RISK DISCLOSURE STATEMENT

 

YOU SHOULD CAREFULLY CONSIDER WHETHER YOUR FINANCIAL CONDITION PERMITS YOU TO PARTICIPATE IN A COMMODITY POOL. IN SO DOING, YOU SHOULD BE AWARE THAT FUTURES AND OPTIONS TRADING CAN QUICKLY LEAD TO LARGE LOSSES AS WELL AS GAINS. SUCH TRADING LOSSES CAN SHARPLY REDUCE THE NET ASSET VALUE OF THE POOL AND CONSEQUENTLY THE VALUE OF YOUR INTEREST IN THE POOL. IN ADDITION, RESTRICTIONS ON REDEMPTIONS MAY AFFECT YOUR ABILITY TO WITHDRAW YOUR PARTICIPATION IN THE POOL.

 

FURTHER, COMMODITY POOLS MAY BE SUBJECT TO SUBSTANTIAL CHARGES FOR MANAGEMENT, AND ADVISORY AND BROKERAGE FEES. IT MAY BE NECESSARY FOR THOSE POOLS THAT ARE SUBJECT TO THESE CHARGES TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID DEPLETION OR EXHAUSTION OF THEIR ASSETS. THIS DISCLOSURE DOCUMENT CONTAINS A COMPLETE DESCRIPTION OF EACH EXPENSE TO BE CHARGED THESE POOLS BEGINNING AT PAGE 50 AND A STATEMENT OF THE PERCENTAGE RETURN NECESSARY TO BREAK-EVEN, THAT IS, TO RECOVER THE AMOUNT OF YOUR INITIAL INVESTMENT, BEGINNING AT PAGE 4.

 

THIS BRIEF STATEMENT CANNOT DISCLOSE ALL THE RISKS AND OTHER FACTORS NECESSARY TO EVALUATE YOUR PARTICIPATION IN EITHER OF THESE COMMODITY POOLS. THEREFORE, BEFORE YOU DECIDE TO PARTICIPATE IN EITHER OF THESE COMMODITY POOLS, YOU SHOULD CAREFULLY STUDY THIS DISCLOSURE DOCUMENT, INCLUDING A DESCRIPTION OF THE PRINCIPAL RISK FACTORS OF THESE INVESTMENTS, BEGINNING AT PAGE 14.

 

YOU SHOULD CAREFULLY CONSIDER WHETHER YOUR FINANCIAL CONDITION PERMITS YOU TO PARTICIPATE IN A POOLED INVESTMENT VEHICLE. IN SO DOING, YOU SHOULD BE AWARE THAT THIS POOL ENTERS INTO TRANSACTIONS THAT ARE NOT TRADED ON AN EXCHANGE, AND THE FUNDS THE POOL INVESTS IN THOSE TRANSACTIONS MAY NOT RECEIVE THE SAME PROTECTIONS AS FUNDS USED TO MARGIN OR GUARANTEE EXCHANGE-TRADED FUTURES AND OPTIONS CONTRACTS. IF THE COUNTERPARTY BECOMES INSOLVENT AND THE POOL HAS A CLAIM FOR AMOUNTS DEPOSITED OR PROFITS EARNED ON TRANSACTIONS WITH THE COUNTERPARTY, THE POOL’S CLAIM MAY NOT RECEIVE A PRIORITY. WITHOUT A PRIORITY, THE POOL IS A GENERAL CREDITOR AND ITS CLAIM WILL BE PAID, ALONG WITH THE CLAIMS OF OTHER GENERAL CREDITORS, FROM ANY MONIES STILL AVAILABLE AFTER PRIORITY CLAIMS ARE PAID. EVEN POOL FUNDS THAT THE COUNTERPARTY KEEPS SEPARATE FROM ITS OWN OPERATING FUNDS MAY NOT BE SAFE FROM THE CLAIMS OF OTHER GENERAL AND PRIORITY CREDITORS.

 

FOREX TRADING CAN QUICKLY LEAD TO LARGE LOSSES AS WELL AS GAINS. SUCH TRADING LOSSES CAN SHARPLY REDUCE THE NET ASSET VALUE OF THE POOL AND CONSEQUENTLY THE VALUE OF YOUR INTEREST IN THE POOL. IN ADDITION, RESTRICTIONS ON REDEMPTIONS MAY AFFECT YOUR ABILITY TO WITHDRAW YOUR PARTICIPATION IN THE POOL.

 

INVESTMENTS IN THE POOL MAY BE SUBJECT TO SUBSTANTIAL CHARGES FOR MANAGEMENT, ADVISORY, AND BROKERAGE FEES, AND THE POOL MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID DEPLETING OR EXHAUSTING ITS ASSETS. THIS DISCLOSURE DOCUMENT CONTAINS A COMPLETE DESCRIPTION OF EACH EXPENSE (SEE PAGE 50) AND A STATEMENT OF THE PERCENTAGE RETURN NECESSARY TO BREAK EVEN, THAT IS, TO RECOVER THE AMOUNT OF YOUR INITIAL INVESTMENT (SEE PAGE 4).

 

THIS BRIEF STATEMENT CANNOT DISCLOSE ALL THE RISKS AND OTHER FACTORS NECESSARY TO EVALUATE YOUR PARTICIPATION IN THIS POOL. THEREFORE, BEFORE

YOU DECIDE TO PARTICIPATE YOU SHOULD CAREFULLY REVIEW THIS DISCLOSURE DOCUMENT, INCLUDING A DESCRIPTION OF THE PRINCIPAL RISK FACTORS OF THIS INVESTMENT (SEE PAGE 14).

 

NATIONAL FUTURES ASSOCIATION HAS NEITHER PASSED UPON THE MERITS OF PARTICIPATING IN THIS POOL NOR THE ADEQUACY OR ACCURACY OF THIS DISCLOSURE DOCUMENT.

 

YOU SHOULD ALSO BE AWARE THAT THIS COMMODITY POOL MAY TRADE FOREIGN FUTURES OR OPTIONS CONTRACTS. TRANSACTIONS ON MARKETS LOCATED OUTSIDE THE UNITED STATES, INCLUDING MARKETS FORMALLY LINKED TO A UNITED STATES MARKET, MAY BE SUBJECT TO REGULATIONS WHICH OFFER DIFFERENT OR DIMINISHED PROTECTION TO THE POOL AND ITS PARTICIPANTS. FURTHER, UNITED STATES REGULATORY AUTHORITIES MAY BE UNABLE TO COMPEL THE ENFORCEMENT OF THE RULES OF REGULATORY AUTHORITIES OR MARKETS IN NON-UNITED STATES JURISDICTIONS WHERE TRANSACTIONS FOR THE POOL MAY BE EFFECTED.

 

A NUMBER OF JURISDICTIONS IN WHICH THE UNITS ARE OFFERED IMPOSE ON THEIR RESIDENTS HIGHER MINIMUM SUITABILITY REQUIREMENTS, WHICH ARE DESCRIBED IN EXHIBIT D TO THIS PROSPECTUS. PLEASE SEE PAGE D-2 OF EXHIBIT D FOR A DETAILED DESCRIPTION OF THE MINIMUM SUITABILITY REQUIREMENTS IN THE STATE IN WHICH YOU RESIDE. YOU WILL BE REQUIRED TO REPRESENT THAT YOU MEET THE REQUIREMENTS SET FORTH IN YOUR STATE OF RESIDENCE BEFORE YOUR SUBSCRIPTION TO PURCHASE UNITS WILL BE ACCEPTED. THESE SUITABILITY REQUIREMENTS ARE, IN EACH CASE, REGULATORY MINIMUMS ONLY, AND JUST BECAUSE YOU MEET SUCH REQUIREMENTS DOES NOT MEAN THAT AN INVESTMENT IN THE UNITS IS SUITABLE FOR YOU. IN NO EVENT MAY YOU INVEST MORE THAN 10% OF YOUR NET WORTH, EXCLUSIVE OF HOME, FURNISHINGS, AND AUTOMOBILES, IN EACH FUND.

 

CAMPBELL & COMPANY, INC.
General Partner of both Funds
2850 Quarry Lake Drive
Baltimore, Maryland 21209
(410) 413-2600

REGULATORY NOTICES

 

NO DEALER, SALESMAN, OR ANY OTHER PERSON HAS BEEN AUTHORIZED TO GIVE ANY INFORMATION OR TO MAKE ANY REPRESENTATION NOT CONTAINED IN THIS PROSPECTUS. AND, IF GIVEN OR MADE, SUCH OTHER INFORMATION OR REPRESENTATION MUST NOT BE RELIED UPON AS HAVING BEEN AUTHORIZED BY THE FUNDS, THE GENERAL PARTNER, OR ANY OTHER PERSON.

 

THIS PROSPECTUS DOES NOT CONSTITUTE AND OFFER TO SELL OR A SOLICITATION ON AN OFFER TO BUY THE SECURITIES OFFERED HEREBY TO ANY PERSON OR BY ANYONE IN ANY JURISDICTION IN WHICH SUCH OFFER OR SOLICITATION MAY NOT BE LAWFULLY MADE.

 

THE BOOKS AND RECORDS OF THE FUNDS WILL BE MAINTAINED AT THEIR PRINCIPAL OFFICE, 2850 QUARRY LAKE DRIVE, BALTIMORE, MARYLAND 21209. LIMITED PARTNERS WILL HAVE THE RIGHT, DURING NORMAL BUSINESS HOURS, TO HAVE ACCESS TO AND COPY (UPON PAYMENT OF REASONABLE REPRODUCTION COSTS) SUCH BOOKS AND RECORDS IN PERSON OR BY THEIR AUTHORIZED ATTORNEY OR AGENT. EACH MONTH, THE GENERAL PARTNER WILL DISTRIBUTE REPORTS TO ALL LIMITED PARTNERS SETTING FORTH SUCH INFORMATION AS THE COMMODITY FUTURES TRADING COMMISSION (THE “CFTC”) AND THE NATIONAL FUTURES ASSOCIATION (THE “NFA”) MAY REQUIRE BE GIVEN TO THE PARTICIPANTS IN COMMODITY POOLS WITH RESPECT TO THE FUNDS AND ANY SUCH OTHER INFORMATION AS THE GENERAL PARTNER MAY DEEM APPROPRIATE. THERE WILL SIMILARLY BE DISTRIBUTED TO LIMITED PARTNERS, NOT MORE THAN 90 DAYS AFTER THE CLOSE OF EACH OF THE FUNDS’ FISCAL YEARS, CERTIFIED AUDIT FINANCIAL STATEMENTS AND (IN NO EVENT LATER THAN MARCH 15 OF THE IMMEDIATELY FOLLOWING YEAR) THE TAX INFORMATION RELATING TO THE SHARES OF THE FUND NECESSARY FOR THE PREPARATION OF LIMITED PARTNERS’ ANNUAL FEDERAL INCOME TAX RETURNS.

 

THE DIVISION OF INVESTMENT MANAGEMENT OF THE SECURITIES AND EXCHANGE COMMISSION REQUIRES THAT THE FOLLOWING STATEMENT BE PROMINENTLY SET FORTH HEREIN: “THE CAMPBELL STRATEGIC ALLOCATION FUND, L.P. AND THE CAMPBELL GLOBAL TREND FUND, L.P. ARE NOT MUTUAL FUNDS OR ANY OTHER TYPE OF INVESTMENT COMPANY WITHIN THE MEANING OF THE INVESTMENT COMPANY ACT OF 1940, AS AMENDED, AND ARE NOT SUBJECT TO REGULATION THEREUNDER.”

 

PENNSYLVANIA INVESTORS: Because the minimum closing amount is less than $40,000,000, you are cautioned to carefully evaluate Global Trend Fund’s ability to fully accomplish its stated objectives and to inquire as to the current dollar volume of subscriptions for Units in Global Trend Fund.

 

 

 

 

This prospectus does not include all of the information or exhibits in the Funds’ registration statement. You can read and copy the entire registration statement at the public reference facilities maintained by the Securities and Exchange Commission in Washington, D.C.

 

Each Fund files monthly, quarterly and annual reports with the SEC. You can read and copy these reports at the SEC public reference facilities in Washington, D.C. Please call the SEC at 1-800-SEC-0330 for further information.

 

The Funds’ filings are posted at the SEC website at http://www.sec.gov.

 

 

 

 

PART ONE — DISCLOSURE DOCUMENT

 

TABLE OF CONTENTS

 

 

 

This summary, which highlights information contained elsewhere in this prospectus, is intended for quick reference only. The remainder of this prospectus contains more detailed information; you should read the entire prospectus, including all exhibits to the prospectus, before deciding to invest in any Units. This prospectus is dated March 1, 2010.

 

The offering consists of two Funds, the Campbell Strategic Allocation Fund, L.P., (the “Strategic Allocation Fund”) and the Campbell Global Trend Fund, L.P. (the “Global Trend Fund” and together with the Strategic Allocation Fund, the “Funds”). Both Funds trade speculatively in the U.S. and international futures, forward and option markets. Campbell & Company, Inc. (“Campbell & Company” or “general partner” or “trading advisor”), the Funds’ general partner and trading advisor, allocates assets across a broad spectrum of markets. Each Fund offers units of limited partnership interest (the “Units”) pursuant to this disclosure document. Unless provided otherwise, all references in this disclosure document to the term Units refer to the Units of both the Strategic Allocation Fund and the Global Trend Fund. The offered Units have different fee arrangements and trading portfolios, and may have different restrictions on redemptions.

 

The Campbell Strategic Allocation Fund L.P., (the “Strategic Allocation Fund”), was formed as a Delaware limited partnership on May 11, 1993. The Strategic Allocation Fund issues units of limited partnership interest, which represent units of fractional undivided limited partnership interest in the Strategic Allocation Fund. The Strategic Allocation Fund will continue in existence until December 31, 2023 (unless terminated earlier in certain circumstances). The principal offices of the Strategic Allocation Fund are located at c/o Campbell & Company, Inc., 2850 Quarry Lake Drive, Baltimore, Maryland 21209, and its telephone number is (410) 413-2600. The books and records of the Strategic Allocation Fund are maintained at the offices of Campbell & Company, Inc., its general partner and trading advisor (“Campbell & Company” or “general partner” or “trading advisor”). The Strategic Allocation Fund consists of one class of limited partnership Units, which is being offered only to existing investors in the Strategic Allocation Fund during the continuing offering at the net asset value per Unit as of each month-end closing date on which additions are accepted. The Strategic Allocation Fund trades pursuant to the Campbell Financial, Metal & Energy Large (“FME Large”) Portfolio. The FME Large Portfolio seeks exposure to financial markets, such as interest rates, foreign exchange and stock indices, as well as metals, energy products, soft commodities and other commodities. As with all Campbell Portfolios, the FME Large Portfolio seeks exposure to these markets by following signals generated by a series of systematic computer models. The FME Large Portfolio employs a broad spectrum of models including traditional and factor-based trend following models, as well as a number of macroeconomic-based models.

 

The Campbell Global Trend Fund L.P., (the “Global Trend Fund” and together with the Strategic Allocation Fund, the “Funds”), was formed as a Delaware series limited partnership on December 1, 2009. The Global Trend Fund issues units of limited partnership interest, which represent units of fractional undivided limited partnership interest in the Global Trend Fund. The Global Trend Fund will continue in existence unless terminated in certain circumstances. The principal offices of the Global Trend Fund are located at c/o Campbell & Company, Inc., 2850 Quarry Lake Drive, Baltimore, Maryland 21209, and its telephone number is (410) 413-2600. The books and records of the Global Trend Fund are maintained at the offices of Campbell & Company, its general partner, promoter and trading advisor. As the promoter, the general partner is not receiving anything of value, directly or indirectly, outside of the fee for acting as general partner and trading advisor to the Fund.

 

The Global Trend Fund currently consists of two series (“Series”) — the Global Trend Series (USD) and the Global Trend Series (GLD). The general partner has formed the Global Trend Fund as a series limited partnership pursuant to and in accordance with the provisions of the Delaware Revised Uniform Limited Partnership Act (6 Del. C. § 17-101 et seq., as amended from time to time, the “Act”). The Act provides for the limitation of liability of each Series to the debts, liabilities, obligations and expenses of such Series and not those of any other Series or the Global Trend Fund in general. The Global Trend Series (USD) seeks to provide investors with a U.S. Dollar-denominated exposure to the Campbell Trend Following Portfolio. The Global Trend Series (USD) will trade pursuant to the Campbell Trend Following Portfolio. The Trend

Following Portfolio includes both traditional trend following and factor based trend following models. The Campbell Trend Following Portfolio employs the same traditional and factor-based trend following models that the FME Large Portfolio employs, but does not employ the macroeconomic-based models employed by FME Large.

 

The Global Trend Series (GLD) seeks to provide investors with a gold-denominated exposure to the Campbell Trend Following Portfolio. The gold-denominated exposure is achieved by first converting the investors’ U.S. Dollar investment to an exposure to gold by purchasing long positions in gold futures with a value approximately equal to the net asset value of that Series (the “Gold Portfolio”). The Global Trend Series (GLD) then seeks appreciation through a 100% overlay of the Campbell Trend Following Portfolio. The trading advisor will adjust the Global Trend Series (GLD)’s respective allocations to the Gold and Trend Following Portfolios at the beginning of each month to reflect additions to and redemptions of Series capital, as well as to reflect profits and losses from the Series’ long gold futures and its futures and currencies trading activities and interest income as of the end of the preceding month so as to maintain a gold futures position with a value approximately equal to the Series’ net asset value at the beginning of each month.

 

The Global Trend Series (USD) consists of five classes of limited partnership Units: Class A (USD) Units, Class B (USD) Units, Class C (USD) Units, Class D (USD) Units and Class E (USD) Units. Only Class A (USD) Units, Class B (USD) Units, Class C (USD) Units and Class D (USD) Units are being offered hereby and each of them is being offered to new investors in the Global Trend Fund. Class E (USD) Units are not being offered by this disclosure document but will be issued in exchange for Class A (USD) Units, Class B (USD) Units, Class C (USD) Units and Class D (USD) Units in certain circumstances which are described in this disclosure document. The Global Trend Series (GLD) consists of three classes of limited partnership Units: Class A (GLD) Units, Class B (GLD) Units and Class C (GLD) Units. Only Class A (GLD) Units and Class B (GLD) Units are being offered hereby and each of them is being offered to new investors in the Global Trend Fund. Class C (GLD) Units are not being offered by this disclosure document but will be issued in exchange for Class A (GLD) Units and Class B (GLD) Units in certain circumstances which are described in this disclosure document. The selling agents will offer the Global Trend Fund Units at a price of $1,000 per unit of Units of each Class during the initial offering period. This price has been arbitrarily determined inasmuch as the Units have no inherent value other than their subscription price until trading begins. Units sold during the continuing offering period will be sold at a price equal to the net asset value per unit of Units of each Class at the close of business on each closing date.

 

Campbell & Company, the general partner of both Funds is a Maryland Corporation organized in April 1978 as a successor to a partnership originally organized in January 1974. Campbell & Company uses its technical trading and risk control methods to seek substantial medium- and long-term capital appreciation while, at the same time, seeking to manage risk and volatility. Campbell & Company provides advisory services to numerous other funds and individually managed accounts similar to the services Campbell & Company provides to the Funds. Campbell & Company has been using its technical approach since 1972 — one of the longest performance records of any currently active futures fund manager — and has developed and refined its approach over the past 38 years. See “Past Performance of the Campbell Strategic Allocation Fund, L.P.” for the performance data required to be disclosed for the most recent five calendar years and year-to-date. The Campbell Global Trend Fund, L.P. has not commenced trading and does not have any performance history.

 

Futures are standardized contracts traded on commodity exchanges that call for the future delivery of commodities at a specified time and place. While futures contracts are traded on a wide variety of commodities, both Funds will concentrate their futures trading in financial instruments such as interest rates, foreign exchange and stock index contracts, metal (including gold) and energy contracts, soft commodities and other commodities. The U.S. futures markets are regulated under the Commodity Exchange Act, which is administered by the CFTC. The Funds will trade futures positions on margin, meaning that the Funds will utilize leverage in their trading.

 

Currencies and other commodities may be purchased or sold by the Funds for future delivery or cash settlement through banks or dealers pursuant to forward or option contracts. Unlike futures

contracts, forward and option contracts are not standardized and these markets are largely unregulated.

 

The following summary provides a review in outline form of important aspects of an investment in the Funds.

 

How to Subscribe for Units

 

 

 

 

 

 

Initial Offering Period

 

The selling agents will offer the Global Trend Fund Units at a price of $1,000 per unit of Units of each Class during the initial offering period, and thereafter, at a price equal to the net asset value per unit of Units of each Class at the close of business on each closing date. Units of each Class will initially be offered for a period ending ninety days from the date hereof, unless such date is extended by Campbell & Company for up to an additional ninety days. The subscription minimum for each Series of the Global Trend Fund as of the end of the initial offering period is $15,000,000. However, if after the expiration of the initial offering period, the subscription minimum is not reached, Campbell & Company may purchase Units with an aggregate initial Unit value in an amount equal to the difference between the actual total dollar amount of Units subscribed for during the initial offering period and $15,000,000. This initial offering period may be shorter if the subscription minimum is reached before the end of the initial offering period. If subscriptions for at least $15,000,000 for either Series have not been received and accepted by the end of the initial offering period, all subscriptions will be promptly returned to subscribers of that Series, with interest. After the end of the initial offering period, each of the Classes will be offered continuously.

 

Escrow of Funds During the Initial Offering Period

 

Subscription funds for the Global Trend Fund received during the initial offering period will be deposited in escrow accounts at PNC Financial Services Group, Inc., the escrow agent, and held there until the funds are released for trading purposes or returned to the payors of such funds in case of rejection. The escrowed subscription funds will earn interest, which will either be paid to subscribers in the form of additional Units or will be returned in cash to those whose applications are rejected. In case of rejection, no fees or other amounts will be deducted from the subscription, which will be returned to the subscriber as promptly as practicable (but in no event more than five business days) after such rejection.

 

What is the Minimum Investment Amount

 

The minimum initial investment for the Global Trend Fund’s Class A (USD) Units, Class B (USD) Units, Class C (USD) Units and Class D (USD) Units is $1,000 for eligible employee benefit plans

and individual retirement accounts and $5,000 from all other investors. The minimum initial investment for the Global Trend Fund’s Class A (GLD) Units and Class B (GLD) Units is $50,000. The Strategic Allocation Fund is not currently available for initial investments. Limited partners of the Strategic Allocation Fund and Global Trend Fund Class A (USD) Units, Class B (USD) Units, Class C (USD) Units and Class D (USD) Units may increase their investment with a minimum additional investment of $1,000. Limited partners of the Global Trend Fund Class A (GLD) Units and Class B (GLD) Units may increase their investment with a minimum additional investment of $10,000.

 

Strategic Allocation Fund

 

In order for an investor to “break-even” on his investment in the first year of trading, assuming an additional investment of $1,000, the Strategic Allocation Fund must earn $73.80, or 7.38%, provided that no redemption charge is applicable.

 

Redemption fees apply through the first twelve month-ends following purchase as follows: 4% of net asset value per Unit redeemed through the third month-end, 3% of net asset value per Unit redeemed through the sixth month-end, 2% of net asset value per Unit redeemed through the ninth month-end, and 1% of net asset value per Unit redeemed through the twelfth month-end. The month-end as of which the Unit is purchased is counted as the first month-end. After the twelfth month-end following purchase of a Unit, no redemption fees apply. Because the purchase date counts as the first month-end in determining whether a redemption fee applies, no redemption fee would be due in respect of a Unit redeemed on the first anniversary of the purchase. Accordingly, redemption fees are not included in the “break-even” estimate set forth below.

 

 

Global Trend Fund

 

In order for an investor to break-even on his/her investment in the first twelve months of trading, assuming an initial investment of $5,000, (a) Class A (USD) Units and Class A (GLD) Units must earn $316.50 or 6.33%; (b) Class B (USD) Units must earn $304.00 or 6.08%; (c) Class C (USD) and Class B (GLD) Units must earn $216.50 or 4.33%; (d) Class D (USD) Units must earn $204.00 or 4.08%; and (e) Class E (USD) and Class C (GLD) Units must earn $179.00 or 3.58% of the assumed initial investment, provided that no redemption charge is applicable.

 

Redemption fees apply to the Class A (USD) Units, Class B (USD) Units and Class A (GLD) Units through the first twelve month-ends following purchase as follows: 1.833% of net asset value per redeemed Unit through the second month-end, 1.666% of net asset value per redeemed Unit through the third month-end, 1.500% of net asset value per redeemed Unit through the fourth month-end, 1.333% of net asset value per redeemed Unit through the fifth month-end, 1.167% of net asset value per redeemed Unit through the sixth month-end, 1.000% of net asset value per redeemed Unit through the seventh month-end, 0.833% of net asset value per redeemed Unit through the eighth month-end, 0.667% of net asset value per redeemed Unit through the ninth month-end, 0.500% of net asset value per redeemed Unit through the tenth month-end, 0.333% of net asset value per redeemed Unit through the eleventh month-end, 0.167% of net asset value per redeemed Unit through the twelfth month-end. The month-end as of which the Unit is purchased is counted as the first month-end. After the twelfth month-end following purchase of a Class A (USD) Unit, Class B (USD) Unit or Class A (GLD) Unit, no redemption fees apply. Because the purchase date counts as the first month-end in determining whether a redemption fee applies, no redemption fee would be due in respect of a Class A (USD) Unit, Class B (USD) Unit or Class A (GLD) Unit redeemed on the first anniversary of the purchase. Accordingly, redemption fees are not included in the “break-even” estimate set forth below.

 

The estimate does not account for the bid-ask spreads in connection with the Global Trend Fund’s forward and option contract trading. No performance fee is included in the calculation of the “break-even”

level since all operating expenses of the Global Trend Fund must be offset before a performance fee is accrued.

 

 

 

 

 

 

Is the Campbell Strategic Allocation Fund or the Campbell Global Trend Fund a Suitable Investment for You?

 

An investment in either Fund is speculative and involves a high degree of risk. Neither Fund is a complete investment program. Campbell & Company offers both of the Funds as diversification opportunities for an investor’s entire investment portfolio, and therefore an investment in either or both Funds should only be a limited portion of the investor’s portfolio. You must, at a minimum, have:

 

 

 

A number of jurisdictions in which the Units are offered impose higher minimum suitability standards on prospective investors. These suitability standards are, regulatory minimums only, and merely because you meet these standards does not mean that an investment in the Units is suitable for you. You may not invest more than 10% of your net worth, exclusive of home, furnishings and automobiles, in each Fund.

 

 

 

 

 

 

 

 

 

The Funds seek to:

 

 

 

 

 

 

 

 

There is no guarantee that the Funds will achieve these objectives.

 

Campbell & Company, the general partner and trading advisor for the Funds, administers the Funds and directs their trading. Campbell & Company has over 38 years of experience trading in the futures and forward markets. As of September 30, 2009, Campbell & Company and its affiliates were managing approximately $3.9 billion, including approximately $3.1 billion in its Financial, Metal & Energy Large Portfolio, approximately $19.9 million in its Trend Following Portfolio, and approximately $1.1 million in its Gold Portfolio. Campbell & Company has sole authority and responsibility for directing investment and reinvestment of the Funds’ assets.

 

Campbell & Company uses a systematic trading approach combined with quantitative portfolio management analysis and seeks to identify and profit from price movements in the futures, forward and option markets. Multiple trading models are utilized across most markets traded. Each model analyzes market movements and internal market and price configurations in order to generate signals to be executed through a variety of execution platforms.

 

The Strategic Allocation Fund trades pursuant to the Campbell Financial, Metal & Energy Large (“FME Large”) Portfolio. The FME Large Portfolio seeks exposure to financial markets, such as interest rates, foreign exchange and stock indices, as well as metals, energy products, soft commodities and other commodities. As with all Campbell Portfolios, the FME Large Portfolio seeks exposure to these

markets by following signals generated by a series of systematic computer models. The FME Large Portfolio employs a broad spectrum of models including traditional and factor-based trend following models, as well as a number of macroeconomic-based models.

 

The Global Trend Fund currently consists of two series (“Series’’) — the Global Trend Series (USD) and the Global Trend Series (GLD). The Global Trend Series (USD) seeks to provide investors with a U.S. Dollar-denominated exposure to the Campbell Trend Following Portfolio. The Global Trend Series (USD) will trade pursuant to the Campbell Trend Following Portfolio. The Campbell Trend Following Portfolio seeks exposure to financial markets, such as interest rates, foreign exchange and stock indices, as well as metals, energy products, soft commodities and other commodities. The Campbell Trend Following Portfolio employs the same traditional and factor-based trend following models that the FME Large Portfolio employs, but does not employ the macroeconomic-based models employed by FME Large.

 

The Global Trend Series (GLD) seeks to provide investors with a gold-denominated exposure to the Campbell Trend Following Portfolio. The gold-denominated exposure is achieved by first converting the investors’ U.S. Dollar investment to an exposure to gold by purchasing long positions in gold futures with a value approximately equal to the net asset value of that Series (the “Gold Portfolio”). The Global Trend Series (GLD) then seeks appreciation through a 100% overlay of the Campbell Trend Following Portfolio. The trading advisor will adjust the Global Trend Series (GLD)’s respective allocations to the Gold and Trend Following Portfolios at the beginning of each month to reflect additions to and redemptions of Series capital, as well as to reflect profits and losses from the Series’ long gold futures and its futures and currencies trading activities and interest income as of the end of the preceding month so as to maintain a gold futures position with a value approximately equal to the Series’ net asset value at the beginning of each month.

 

The Funds’ charges are substantial and must be offset by trading gains and interest income in order to avoid depletion of the Funds’ assets.

 

Campbell & Company

 

 

 

 

 

The Futures Brokers and Over-the-Counter Counterparties

 

 

 

The Selling Agents

 

 

 

 

Once total underwriting compensation, including, but not limited to, the fees mentioned in the preceding paragraphs, paid on any Class A (USD) Unit, Class B (USD) Unit, Class C (USD) Unit, Class D (USD) Unit, Class A (GLD) Unit or Class B (GLD) Unit reaches 10% of the gross offering proceeds, (1) the Class A (USD) Unit, Class B (USD) Unit, Class C (USD) Unit or Class D (USD) Unit will automatically be re-designated as Class E (USD) Units, which are identical to Class A (USD) Units, Class B (USD) Units, Class C (USD) Units and Class D (USD) Units except that Class E (USD) Units do not pay any offering expenses, selling agent fee, broker-dealer custodial fee payable to the selling agents and, if applicable, redemption fees, and (2) the Class A (GLD) Unit or Class B (GLD) Unit will automatically be re-designated as Class C (GLD) Units, which are identical to Class A (GLD) Units and Class B (GLD) Units, except that Class C (GLD) Units do not pay any offering expenses, selling agent fee, broker-dealer custodial fee payable to the selling agents and, if applicable, redemption fees.

 

Dealers and Others

 

 

 

The Funds are intended to be medium- to long-term, i.e., 3- to 5-year, investments. Units are transferable, but no secondary market exists for Units and none is expected to develop. Monthly redemptions are permitted from both Funds upon ten (10) business days’ advance written notice to Campbell & Company. The general partner of the Global Trend Fund has reserved the right to permit redemptions and accept subscriptions on a more frequent basis than monthly. The general partner in its sole and absolute discretion may change the foregoing notice requirement by written notice to you.

 

The redemption fees described above apply through the first twelve month-ends following purchase of Strategic Allocation Fund Units and Global Trend Fund Class A (USD) Units, Class B (USD) Units and Class A (GLD) Units. After the twelfth month-end following purchase of a Unit, no redemption fees apply for either Fund. Campbell & Company reserves the right to make distributions of profits at any time in either Fund in its sole discretion.

 

In the opinion of Sidley Austin LLP, counsel to Campbell & Company, each Fund is classified as a partnership and will not be considered a publicly traded partnership taxable as a corporation for federal income tax purposes based on the type of income it is expected to earn. As such, whether or not either Fund has distributed any cash to the limited partners, each limited partner must report his allocable share of items of income, gain, loss and deduction of either Fund and is individually liable for income tax on such share. The Funds invest in futures and other commodity contracts, gain or loss on which will, depending on the contracts traded, constitute a mixture of:

 

 

Trading losses of the Funds, which will generally constitute capital losses, may only be available to offset a limited amount of interest income or other ordinary income allocated to the limited partners. Although the Funds treat the brokerage fees and performance fees paid to Campbell & Company as ordinary and necessary business expenses, all or a portion of such expenses may be subject to restrictions on deductibility for federal income tax purposes or be treated as non-deductible syndication costs by the Internal Revenue Service, or IRS.

 

The organizational chart below illustrates the relationships among the various service providers of this offering. Campbell & Company is both the general partner and trading advisor for the Fund. The selling agents (other than Campbell Financial Services, Inc.), futures brokers, over-the-counter counterparties, cash managers and the custodian of excess collateral, are not affiliated with Campbell & Company or the Strategic Allocation Fund.

 

 

 

The organizational chart below illustrates the relationships among the various service providers of this offering. Campbell & Company is both the general partner and trading advisor for the Fund. The selling agents (other than Campbell Financial Services, Inc.), futures broker, over-the-counter counterparty, cash manager and custodian of excess collateral are not affiliated with Campbell & Company or the Global Trend Fund.

 

 

 

 

Futures, forward and option contracts have a high degree of price variability and are subject to occasional rapid and substantial changes. Consequently, you could lose all or a substantial amount of your investment in the Funds.

 

Because the amount of margin funds necessary to be deposited in order to enter into a futures, forward or option contract position is typically about 2% to 10% of the total value of the contract, Campbell & Company is able to hold positions in each Fund’s account with face values equal to several times each Fund’s net asset value. The ratio of margin to equity is typically 10% to 30%. As a result of this leveraging, even a small movement in the price of a contract can cause major losses.

 

The Funds may utilize and may depend on the availability of credit in order to trade their portfolios. There can be no assurance that the Funds will be able to maintain adequate financing arrangements under all market circumstances. As a general matter, the dealers that provide financing to the Funds can apply essentially discretionary margin, haircut, financing security and collateral valuation policies. Changes by dealers in such financing policies, or the imposition of other credit limitations or restrictions, whether due to market circumstances or governmental, regulatory or judicial action, may result in large margin calls, loss of financing, forced liquidation of positions at disadvantageous prices, termination of swap and repurchase agreements and cross-defaults to agreements with other dealers. Any such adverse effects may be exacerbated in the event that such limitations or restrictions are imposed suddenly and/or by multiple market participants at or about the same time. The imposition of such limitations or restrictions could compel the Funds to liquidate all or part of their portfolios at disadvantageous prices. In recent months, banks and dealers have substantially curtailed financing activities and increased collateral requirements, forcing many hedge funds to liquidate.

 

Futures, forward and option positions cannot always be liquidated at the desired price; this can occur when the market is thinly traded (i.e., a relatively small volume of buy and sell orders) or in the event of disrupted markets and other extraordinary events in which historical pricing relationships become materially distorted. The financing available to the Funds from banks, dealers and other counterparties is likely to be restricted in disrupted markets. The Funds may incur material losses and the risk of loss from pricing distortions is compounded by the fact that in disrupted markets many positions become illiquid making it difficult or impossible to close out positions against which the markets are moving. For example, in 1994, 1998 and again from 2007 — 2009 (it appears at this time that the 2007-2009 liquidity crisis has eased, however the potential of future liquidity issues continues to be a concern) there was a sudden restriction of credit by the dealer community that resulted in forced liquidations and major losses for a number of private investment funds. Campbell & Company was not forced to liquidate positions during the 1994, 1998 or 2007 — 2009 liquidity crises. However, it is possible that in the future, in such situations, Campbell & Company may be unable for some time to liquidate certain unprofitable positions thereby increasing the loss to the Funds from the trade. Additionally, foreign governments may take or be subject to political actions which disrupt the markets in their currency or major exports, such as energy products or metals. Market disruptions caused by unexpected political, military and terrorist events may from time to time cause dramatic losses for the Funds, and such events can result in otherwise historically low-risk strategies performing with unprecedented volatility and risk. Any of these actions could also result in losses to the Funds. A subscription for Units should be considered only by persons financially able to maintain their investment and who can afford the loss of all or substantially all of such investment.

 

Also, there is no secondary market for the Units and none is expected to develop. While the Units have redemption rights, there are restrictions, and possible fees assessed. For example, redemptions from each Fund can occur only at the end of a month. If a large number of redemption requests

were to be received at one time for either Fund, the Funds might have to liquidate positions to satisfy the requests. Such a forced liquidation could adversely affect the Funds and consequently your investment.

 

Transfers of interest in the Units are subject to limitations, such as 30 days’ advance notice of any intent to transfer. Also, Campbell & Company may deny a request to transfer if it determines that the transfer may result in adverse legal or tax consequences for the Funds. See each Fund’s “Agreement of Limited Partnership — Dispositions.”

 

The Funds trade forward and option contracts in foreign currencies. Such contracts are typically traded over-the-counter through a dealer market, which is dominated by major money center and investment banks, and is not regulated by the Commodity Futures Trading Commission. Thus, you do not receive the protection of CFTC regulation or the statutory scheme of the Commodity Exchange Act in connection with this trading activity by the Funds. The market for forward and option contracts relies upon the integrity of market participants in lieu of the additional regulation imposed by the CFTC on participants in the futures markets. This regulation includes, for example, trading practices and other customer protection requirements, and minimum financial and trade reporting requirements. The absence of regulation could expose the Funds to significant losses in the event of trading abuses or financial failure by participants in the forward and option markets which it might otherwise have avoided. Also, the Funds face the risk of non-performance by its counterparties to forward and option contracts and such non-performance may cause some or all of its gains to remain unrealized.

 

The Funds have a substantial portion of their assets on deposit with financial institutions. In the event of a financial institution’s insolvency, recovery of each Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits, if any. Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the Funds’ assets at financial institutions and brokers that Campbell & Company believes to be creditworthy.

 

Options on futures and over-the-counter contracts may be used by the Funds to generate premium income or capital gains. The buyer of an option risks losing the entire purchase price (the premium as well as any commissions and fees) of the option. The writer (seller) of an option risks losing the difference between the premium received for the option and the price of the commodity, futures or forward contract underlying the option which the writer must purchase or deliver upon exercise of the option (which losses can be unlimited). Specific market movements of the commodity, futures or forward contracts underlying an option cannot accurately be predicted. Successful options trading requires an accurate assessment of near-term volatility in the underlying instruments, as that volatility is immediately reflected in the price of the option. Correct assessment of market volatility can therefore be of much greater significance in trading options than it is in trading futures and forwards, where volatility may not have as great an effect on price.

 

Historically, alternative investments such as managed futures funds have been generally non-correlated to the performance of other asset classes such as stocks and bonds. Non-correlation means that there is no statistically valid relationship between the past performance of futures, forward and option contracts on the one hand and stocks or bonds on the other hand. Non-correlation should not be confused with negative correlation, where the performance of two asset classes would be exactly opposite. Because of this non-correlation, the Funds cannot be expected to be automatically profitable during unfavorable periods for the stock market or vice versa. The futures, forward and option markets are fundamentally different from the securities markets in that for every gain made in a futures, forward or option transaction, the opposing side of that transaction will have an equal and off-setting loss. If the Funds do not perform in a manner non-correlated with the general financial markets or does not perform successfully, you will obtain no diversification benefits by investing in the Units and the Funds may have no gains to offset your losses from other investments.

 

The global financial markets are currently undergoing pervasive and fundamental disruptions which have led to extensive and unprecedented governmental intervention. Such intervention has, in certain cases, been implemented on an “emergency” basis, suddenly and substantially eliminating market participants’ ability to continue to implement certain strategies or manage the risk of their outstanding positions. In addition, as one would expect given the complexities of the financial markets and the limited time frame within which governments have felt compelled to take action, these interventions have typically been unclear in scope and application, resulting in confusion and uncertainty which in itself has been materially detrimental to the efficient functioning of the markets as well as to previously successful investment strategies. Confusion and uncertainty have also resulted from the apparent inconsistency which has characterized recent governmental actions. For example, while the Federal Reserve assisted or otherwise intervened with respect to certain distressed financial institutions, it refused to do so for others. Such inconsistency has caused both severe losses for a number of market participants, who assumed either no intervention or intervention consistent with past precedent, and contributed to the general uncertainty and resulting illiquidity of the markets.

 

The U.S. “bailout” of financial institutions is the largest governmental intervention in the history of the U.S. financial markets. Moreover, the form of the “bailout” continues to shift as the impact of the current financial crisis is further analyzed. For example, the Troubled Asset Relief Program was initially designed to purchase illiquid mortgage-backed securities. Funds were then used to inject capital directly into certain consumer-oriented financial companies. In further response to this crisis, the U.S. government enacted the Emergency Economic Stabilization Act (the “EESA”), the largest governmental intervention in the history of the U.S. financial markets. In connection with the EESA, it seems highly likely that the U.S. Congress will require that new market restrictions be applied to the U.S. financial markets, restrictions which may have a material adverse impact on both the future competitiveness of these markets as well as the profit potential of the Funds. Regulations in other jurisdictions also appear likely to take similar action.

 

The CFTC has recently proposed the imposition of position limits on energy futures contracts such as crude oil, heating oil, natural gas, gasoline and other energy products. We do not anticipate these limits, if accepted, will affect the Funds’ ability to trade, but it is possible that they may in the future if either or both Funds’ assets increase dramatically.

 

It is impossible to predict what additional interim or permanent governmental restrictions may be imposed on the markets and/or effect of such restrictions on the trading manager’s strategies. However, the trading advisor believes that there is a high likelihood of significantly increased regulation of the financial markets, and that such increased regulation could be materially detrimental to the Funds.

 

An investment in the Global Trend Series (GLD) Units is not equivalent to an investment in gold. Rather, it is an investment in a product that combines a gold investment with a trend following futures portfolio, which is comprised of trend following trading models applied to a diverse portfolio of global futures and currencies. The gold investment is intended to de-link the net asset value, which is denominated in U.S. dollars, from the value of the U.S. dollar relative to gold, essentially denominating the net asset value in terms of gold. Consequently, if the U.S. dollar value of gold declines, gains, if any, from the Trend Following Portfolio may not be sufficient for the Global Trend Series (GLD) of the Global Trend Fund to avoid a decline in the net asset value of its Class A (GLD) Units, Class B (GLD) Units and Class C (GLD) Units expressed in U.S. dollars, the currency in which Units are redeemed. Likewise, losses from the Trend Following Portfolio may be greater than any increase in the U.S. dollar value of gold resulting in a decline in the net asset value of the Class A (GLD) Units, the Class B (GLD) Units and the Class C (GLD) Units. Additionally, there can be no assurance that, if the value of gold declines relative to the U.S. dollar, there will be any corresponding increase in the value or purchasing power of the U.S. dollar for goods (other than gold) or services priced in U.S. dollars.

 

While generally advancing, the price of gold has fluctuated widely over the past several years. Several factors may affect the price of gold, including: (a) changes in supply and demand, which is influenced by such factors as forward selling by producers, purchases made by producers to unwind hedge positions, central bank purchases and sales, and production and cost levels in major gold producing countries; (b) market uncertainty and investors’ expectations with respect to the rate of inflation; (c) currency exchange rates; (d) interest rates; (e) investment and trading activities of investment funds; and (f) political, economic or financial conditions and/or instability globally or in major producing regions. The trading advisor has no control over the price volatility, and cannot prevent or mitigate it, because the investment strategy does not permit hedging of gold positions. On the contrary, it requires the trading advisor to maintain a fully invested position in gold at all times. As a result, unless offset by trading profits from trend following and interest income, a decline in the price of gold will result in a decline in the net asset value of the Global Trend Series (GLD) Units and an overall loss on the investments of Class A (GLD), Class B (GLD) and Class C (GLD) limited partners. Because of the extreme volatility of gold prices, the trading advisor believes that any investment in the Global Trend Fund, but particularly an investment in the Class A (GLD) Units, Class B (GLD) Units and Class C (GLD) Units should be a long-term investment of at least three to five years, and that investors should consider this when determining whether to make such an investment part of their overall portfolio.

 

The possibility of large-scale distress sales of gold in times of crisis may have a short-term negative impact on the price of gold and adversely affect the value of the Class A (GLD) Units, Class B (GLD) Units and Class C (GLD) Units. For example, the 1997 Asian financial crisis resulted in significant sales of gold by individuals which depressed the price of gold. Crises in the future may impair gold’s price performance which would, in turn, adversely affect an investment in the Class A (GLD) Units, Class B (GLD) Units and Class C (GLD) Units. Moreover, substantial sales of gold by the official sector could adversely affect an investment in the Class A (GLD) Units, Class B (GLD) Units and Class C (GLD) Units. The official sector consists of central banks, other governmental agencies and multilateral institutions that buy, sell and hold gold as part of their reserve assets. Since 1999, most gold sales by the official sector have been made in a coordinated manner under the terms of the Central Bank Gold Agreement. In the event that future economic, political or social conditions or pressures result in members of the official sector liquidating their gold assets all at once or in an uncoordinated manner, the demand for gold might not be sufficient to accommodate the sudden increase in supply. Consequently, the price of gold could decline significantly, which would adversely affect the value of the Class A (GLD) Units, Class B (GLD) Units and Class C (GLD) Units expressed in U.S. dollars, the currency in which the Units are redeemed, possibly resulting in an overall loss on your investment.

 

A combination of rising interest rates and a continuation of the current low cost of borrowing gold (the gold lease rate) could improve the economics of selling gold forward. This could result in increased hedging by gold mining companies and short selling by speculators, which could adversely affect the price of gold and thus the value of the Class A (GLD) Units, Class B (GLD) Units and Class C (GLD) Units expressed in U.S. dollars, the currency in which Class A (GLD) Units, Class B (GLD) Units and Class C (GLD) Units are redeemed, possibly resulting in an overall loss on an investment in Class A (GLD) Units, Class B (GLD) Units or Class C (GLD) Units.

 

The Trend Following Portfolio may contain gold positions that could counter the passive long gold strategy of the Global Trend Series (GLD) if the trading models used indicate trends in the price of gold declining.

 

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Funds trade in futures, forward and options contracts and are therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Funds, market risk, that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Funds at the same time, and if the Funds’ trading advisor was unable to offset futures interests positions of the Funds, the Funds could lose all of their assets and the limited partners would realize a 100% loss. Campbell & Company, Inc., the general partner (who also acts as trading advisor), minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%; however, these precautions may not be effective in limiting the risk of loss.

 

The trading systems used by Campbell & Company for the Funds are primarily technical. The profitability of trading under these systems depends on, among other things, the occurrence of significant price movements, up or down, in futures, forward or option prices. Such price movements may not develop; there have been periods in the past without such price movements.

 

The likelihood of the Units being profitable could be materially diminished during periods when events external to the markets themselves have an important impact on prices. During such periods, Campbell & Company’s historic price analysis could establish positions on the wrong side of the price movements caused by such events.

 

There has been a dramatic increase in the volume of assets managed by trend-following trading systems like some of the Campbell & Company programs. For example, in 1980, the assets in the managed futures industry were estimated at approximately $300 million; by the third quarter of 2009, this estimate had risen to approximately $212.6 billion. Increased trading competition from other trend-following traders could operate to the detriment of the Funds. It may become more difficult for the Funds to implement their trading strategies if other trading advisors using technical systems are, at the same time, also attempting to initiate or liquidate futures, forward or option positions, or otherwise alter trading patterns.

 

The CFTC and U.S. futures exchanges have established limits, known as speculative position limits, on the maximum net long or net short positions that any person may hold or control in certain futures and option on futures contracts. Most U.S. futures exchanges also have established “daily price fluctuation limits” which preclude the execution of trades at prices outside of the limit. Contract prices have occasionally moved the daily limit for several consecutive days with little or no trading. All accounts controlled by Campbell & Company are combined for speculative position limit purposes. If positions in those accounts were to approach the level of the particular speculative position limit, or if prices were to approach the level of the daily limit, these limits could cause a modification of Campbell & Company’s trading decisions for the Funds or force the liquidation of certain futures or options on futures positions. Either of these actions may not be in the best interest of the investors. From time to time, the CFTC or the exchanges may suspend trading in market disruption circumstances. In these cases, it is possible that

Campbell & Company, as trading advisor, could be required to maintain a losing position that it otherwise would exit and incur significant losses or be unable to establish a position and miss a profit opportunity.

 

Campbell & Company has not agreed to limit the amount of additional equity which it may manage, and is actively engaged in raising assets for existing and new accounts including the Funds. The more equity Campbell & Company manages, the more difficult it may be for Campbell & Company to trade profitably because of the difficulty of trading larger positions without adversely affecting prices and performance. Accordingly, such increases in equity under management may require Campbell & Company to modify its trading decisions for the Funds which could have a detrimental effect on your investment. Such considerations may also cause Campbell & Company to eliminate smaller markets from consideration for inclusion in either or both of its Financial, Metal & Energy Large Portfolio or its Trend Following Portfolio, reducing the range of markets in which trading opportunities may be pursued. Campbell & Company reserves the right to make distributions of profits to limited partners in an effort to control asset growth. In addition, Campbell & Company may have an incentive to favor other accounts because the compensation received from some other accounts may exceed the compensation it receives from managing each of the Fund’s account. Because records with respect to other accounts are not accessible to limited partners in the Funds, the limited partners will not be able to determine if Campbell & Company is favoring other accounts. See “Campbell & Company, Inc. — Trading Capacity.”

 

Campbell & Company makes the Funds’ trading decisions.  While Campbell & Company receives daily trade confirmations from the futures brokers and over-the-counter counterparties, the Funds’ trading results are reported to limited partners monthly. Accordingly, an investment in the Funds does not offer limited partners the same transparency, i.e., an ability to review all investment positions daily, that a personal trading account offers. As a result, you may suffer unanticipated losses due to the Funds’ holdings.

 

Investors are taxed each year on their share of the Funds’ profits, if any, irrespective of whether they redeem any Units or receive any cash distributions from the Funds. Campbell & Company has the authority to make such distributions at any time in its sole discretion.

 

All performance information included in this prospectus is presented on a pre-tax basis; the investors who experienced such performance had to pay the related taxes from other sources.

 

Investors may be required to pay tax on their allocable share of either Fund’s ordinary income, which in the case of the Funds is the Funds’ interest income, gain on some foreign futures contracts, and certain other investment assets, even though the Funds incur overall losses. Capital losses of individual taxpayers can be used only to offset capital gains and $3,000 of ordinary income each year. Consequently, if an individual investor were allocated $5,000 of ordinary income and $10,000 of capital losses, the investor would owe tax on $2,000 of ordinary income even though the investor would have a $5,000 loss for the year. The remaining $7,000 capital loss could be used in subsequent years to offset capital gain and ordinary income, but subject to the same annual limitation on its deductibility against ordinary income.

 

Although the Funds treat the brokerage fees and performance fees paid to Campbell & Company and other expenses of the Funds as ordinary and necessary business expenses, upon an IRS audit either Fund may be required to treat such fees as “investment advisory fees” if the Funds’ trading activities did not constitute a trade or business for tax purposes. If the limited partner’s share of expenses were deemed to be investment advisory fees, a limited partner’s tax liability would likely

increase because of statutory limitations applicable to miscellaneous itemized deductions, including investment advisory fees, of individual taxpayers. In addition, upon audit, a portion of the brokerage fees might be treated as a non-deductible syndication cost or might be treated as a reduction in the Funds’ capital gain or as an increase in the Funds’ capital loss. If the brokerage fees were so treated, a limited partner’s tax liability would likely increase.

 

The Funds are subject to substantial charges payable irrespective of profitability, in addition to performance fees which are payable based on the Fund’s profitability. Included in these charges are brokerage fees and operating expenses. On the Funds’ forward and option trading, “bid-ask” spreads and prime brokerage fees are incorporated into the pricing of the Funds’ forward and option contracts by the counterparties in addition to the brokerage fees paid by the Funds. It is not possible to quantify the “bid-ask” spreads paid by the Funds because the Funds cannot determine the profit its counterparty is making on the forward and option transactions. Such spreads can at times be significant. In addition, while currently not contemplated, each Limited Partnership Agreement allows for changes to be made to the brokerage fee and performance fee upon sixty days’ notice to the limited partners.

 

The institutions, including but not limited to, the futures brokers, over-the-counter counterparties, the cash managers and the custodian, with which the Funds trade or invest may encounter financial difficulties that impair the operational capabilities or the capital position of the Funds. The futures brokers are generally required by U.S. law to segregate all funds received from such brokers’ customers from such brokers’ proprietary assets. If the futures brokers do not do so to the full extent required by law, the assets of the Funds might not be fully protected in the event of the bankruptcy of the futures brokers. Furthermore, in the event of the futures brokers’ bankruptcy, the Funds could lose the entire amount, or be limited to recovering only a pro rata share of all available funds segregated on behalf of the futures brokers’ combined customer accounts, even though certain property specifically traceable to the Funds (for example, Treasury bills deposited by the Funds with the futures brokers as margin) was held by the futures brokers. Furthermore, dealers in forward and option contracts are not regulated by the Commodity Exchange Act and are not obligated to segregate customer assets. The futures brokers have been the subject of regulatory and private causes of action, as described under “The Futures Brokers.”

 

The recent events surrounding the bankruptcies or similar proceedings with respect to various parties have demonstrated the risk that assets that traders such as the Funds believed were custodial under statutory and regulatory protections could be subject to various risks, and apparently significant losses incurred by many hedge funds in relation to the bankruptcy and/or administration of Lehman Brothers Holdings and its affiliates illustrate the risks incurred in other derivatives trading and brokerage arrangements. Although Campbell & Company had no assets held at Lehman Brothers or its affiliates at the time of its bankruptcy, and accounts held by Campbell & Company suffered no losses as a result of the Lehman Brothers bankruptcy, there is no guarantee that Campbell & Company traded assets would be immune from such losses if a similar scenario were to occur in the future.

 

The future performance of the Funds is not predictable, and no assurance can be given that the Funds will perform successfully in the future in as much as past performance is not necessarily indicative of future results. Additionally, the markets in which the Funds operate have been severely disrupted over the past year or more, so results observed in earlier periods may have little relevance to the results observable in the current environment.

 

The Global Trend Fund is a recently-formed entity with no operating history, as of the date set forth on the cover page of this prospectus, upon which prospective investors can evaluate its potential performance. The personnel of the trading advisor responsible for managing the Global Trend Fund’s investment portfolio have substantial experience in managing investments and private and public investment funds and have provided and

continue to provide advisory and management services to clients and private and public investment funds that have similar investment programs to that of the Global Trend Fund. However, the past performance of the trading advisor may not be construed as an indication of the future results of an investment in either Fund.

 

Campbell & Company has not established any formal procedures to resolve the following conflicts of interest. Consequently, there is no independent control over how Campbell & Company resolves these conflicts which can be relied upon by investors as ensuring that the Funds are treated equitably with other Campbell & Company clients.

 

Campbell & Company has a conflict of interest because it acts as the general partner and sole trading advisor for the Funds.

 

Since Campbell & Company acts as both trading advisor and general partner for the Funds, it is very unlikely that its advisory contract will be terminated by the Funds. The fees payable to Campbell & Company were established by it and were not the subject of arm’s-length negotiation. These fees on the Strategic Allocation Fund consist of a (i) brokerage fee of up to 8% of the Strategic Allocation Fund’s month-end net asset value per annum (prior to accruals for such brokerage fee or performance fees) (of which 3% is retained by Campbell & Company) and (ii) quarterly performance fee equal to 20% of aggregate cumulative appreciation in the Strategic Allocation Fund’s net asset value per Unit, if any, excluding interest income and redemptions and as adjusted for subscriptions and redemptions. These fees on the Global Trend Fund consist of a monthly (i) advisory fee at the annual rate of 2% and (ii) general partner fee at the annual rate of 1%, of the net asset value of each Class of Units, prior to any accrual for or payment of any advisory fee, general partner fee, performance fee, redemption or subscription during said month and (iii) a quarterly performance fee equal to 20% aggregate cumulative appreciation in the respective Class of Units’ net asset value per Unit, if any, excluding interest income and as adjusted for subscriptions and redemptions. Campbell & Company, as general partner, determines whether or not distributions are made and it receives increased fees to the extent distributions are not made.

 

Subject to the limit on selling agent compensation discussed in “Plan of Distribution — Items of Compensation Pursuant to FINRA Rule 2310”, selling agents will be entitled to ongoing compensation as a result of their clients remaining in the Funds, so a conflict exists between the selling agent’s interest in maximizing compensation and in advising its clients to make investment decisions in the client’s best interests.

 

Other conflicts are also present in the operation of the Funds. See “Conflicts of Interest.”

 

Campbell & Company has consulted with counsel, accountants and other experts regarding the formation and operation of the Funds. No counsel has been appointed to represent the limited partners in connection with the offering of the Units. Accordingly, each prospective investor should consult his own legal, tax and financial advisers regarding the desirability of an investment in the Funds.

 

The incapacity of Campbell & Company’s principals could have a material and adverse effect on Campbell & Company’s ability to discharge its obligations under the advisory agreement. However, there are no individual principals at Campbell & Company whose absence would result in a material and adverse effect on Campbell & Company’s ability to adequately carry out its advisory responsibilities.

 

As general partner of both Funds, Campbell & Company may withdraw from either or both of the Funds upon 120 days’ notice, which would cause that Fund to terminate unless a substitute general partner were obtained. Other events, such as a long-term substantial loss suffered by either Fund, could also cause that Fund to terminate before the expiration of its stated term. This could cause you to

liquidate your investments and upset the overall maturity and timing of your investment portfolio. If the registrations with the CFTC or memberships in the National Futures Association of Campbell & Company or the futures brokers were revoked or suspended, such entity would no longer be able to provide services to the Funds.

 

Although the Funds and Campbell & Company are subject to regulation by the CFTC, neither of the Funds is an investment company subject to the Investment Company Act of 1940 and Campbell & Company is not registered as an investment adviser under the Investment Advisers Act of 1940. Accordingly, you do not have the protections afforded by those statutes which, for example, requires investment companies to have a majority of disinterested directors and regulates the relationship between the adviser and the investment company.

 

The Funds trade foreign exchange contracts and options in the interbank market. In the future, the Funds may also trade swaps, hybrid instruments and other off-exchange contracts. Swap agreements involve trading income streams such as fixed rate for floating rate interest. Hybrids are instruments which combine features of a security with those of a futures contract. The dealer market for off-exchange instruments is becoming more liquid. There is no exchange or clearinghouse for these contracts and they are not regulated by the CFTC. The Funds will not receive the protections which are provided by the CFTC’s regulatory scheme for these transactions.

 

A substantial portion of Campbell & Company’s trades takes place on markets or exchanges outside the United States. From time to time, over 50% of each Fund’s overall market exposure could involve positions taken on foreign markets. The risk of loss in trading foreign futures contracts and foreign options can be substantial. Participation in foreign futures contracts and foreign options transactions involves the execution and clearing of trades on, or subject to the rules of, a foreign board of trade. Non-U.S. markets may not be subject to the same degree of regulation as their U.S. counterparts. None of the CFTC, NFA or any domestic exchange regulates activities of any foreign boards of trade, including the execution, delivery and clearing of transactions, nor do they have the power to compel enforcement of the rules of a foreign board of trade or any applicable foreign laws. Trading on foreign exchanges also presents the risks of exchange controls, expropriation, taxation and government disruptions.

 

The price of any foreign futures or foreign options contract and, therefore, the potential profit and loss thereon, may be affected by any variance in the foreign exchange rate between the time a position is established and the time it is liquidated, offset or exercised. Certain foreign exchanges may also be in a more or less developmental stage so that prior price histories may not be indicative of current price dynamics. In addition, the Funds may not have the same access to certain positions on foreign exchanges as do local traders, and the historical market data on which Campbell & Company bases its strategies may not be as reliable or accessible as it is in the United States. The rights of clients (such as the Funds) in the event of the insolvency or bankruptcy of a non-U.S. market or broker are also likely to be more limited than in the case of U.S. markets or brokers.

 

You may transfer or assign your Units only upon 30 days’ prior written notice to Campbell & Company and only if Campbell & Company is satisfied that the transfer complies with applicable laws and would not result in adverse legal or tax consequences for the Funds.

 

Both Funds are single-advisor managed futures funds. You should understand that many managed futures funds are structured as multi-advisor funds in order to attempt to control risk and reduce volatility through combining advisors whose historical performance records have exhibited a significant

degree of non-correlation with each other. As single-advisor managed futures funds, the Funds may have increased performance volatility and a higher risk of loss than investment vehicles employing multiple advisors.

 

Campbell & Company employs speculative strategies for the Funds, and receives performance fees based on the trading profits earned by it for the Funds. Campbell & Company would not agree to manage the Funds’ accounts in the absence of such a performance fee arrangement. Accordingly, Campbell & Company may make investments that are riskier than might be made if the Funds’ assets were managed by a trading advisor that did not require performance-based compensation.

 

Campbell & Company reserves the right to make distributions of profits of the Funds to the limited partners at any time in its sole discretion in order to control the growth of the assets under Campbell & Company’s management. Limited partners will have no choice in receiving these distributions as income, and may receive little notice that these distributions are being made. Distributions may be made at an inopportune time for the limited partners.

 

Campbell & Company’s strategies are dependent to a significant degree on the proper functioning of its internal computer systems. Accordingly, systems failures, whether due to third party failures upon which such systems are dependent or the failure of Campbell & Company’s hardware or software, could disrupt trading or make trading impossible until such failure is remedied. Any such failure, and consequential inability to trade (even for a short time), could, in certain market conditions, cause the Funds to experience significant trading losses or to miss opportunities for profitable trading. Additionally, any such failures could cause a temporary delay in reports to investors.

 

Campbell & Company’s strategies are dependent to a significant degree on the receipt of timely and accurate market data from third party vendors. Accordingly, the failure to receive such data in a timely manner or the receipt of inaccurate data, whether due to the acts or omissions of such third party vendors or otherwise, could disrupt trading to the detriment of the Funds or make trading impossible until such failure or inaccuracy is remedied. Any such failure or inaccuracy could, in certain market conditions, cause the Funds to experience significant trading losses, effect trades in a manner which it otherwise would not have done, or miss opportunities for profitable trading. For example, the receipt of inaccurate market data may cause the Funds to establish (or exit) a position which it otherwise would not have established (or exited), or fail to establish (or exit) a position which it otherwise would have established (or exited), and any subsequent correction of such inaccurate data may cause the Funds to reverse such action or inaction, all of which may ultimately be to the detriment of the Funds.

 

[REMAINDER OF THIS PAGE LEFT BLANK INTENTIONALLY.]

 

 

Dollars in thousands, except per unit amounts

 

 

 

 

Dollars in thousands, except per unit amounts

 

The following summarized quarterly financial information presents the results of operations for the three month periods ended March 31, June 30, and September 30, 2009 and March 31, June 30, September 30, and December 31, 2008 and 2007.

 

 

 

 

 

 

 

 

 

 

 

Campbell & Company is the general partner and trading advisor of the Funds. It is a Maryland corporation organized in April 1978 as a successor to a partnership originally organized in January 1974. Its offices are located at 2850 Quarry Lake Drive, Baltimore, Maryland 21209, and its telephone number is (410) 413-2600. Its primary business is the trading and management of discretionary futures and forward accounts, including commodity pools. As of September 30, 2009, Campbell & Company and its affiliates had approximately $3.9 billion under management (including approximately $3.1 billion traded pursuant to the same Financial, Metal & Energy Large Portfolio as traded by the Strategic Allocation Fund and approximately $19.9 million and $1.1 million traded pursuant to the same Trend Following Portfolio and Gold Portfolio, respectively, as traded by the Global Trend Fund). Please refer to “Campbell & Company, Inc. — Trading Systems” for a discussion of all of the portfolios offered by Campbell & Company, which includes the Financial, Metal & Energy Large Portfolio, the Trend Following Portfolio and the Gold Portfolio. Please refer to “Past Performance of the Campbell Strategic Allocation Fund, L.P.” on page 47 for the performance data required to be disclosed for the most recent five calendar years and year-to-date. The Global Trend Fund has not commenced trading and does not have any performance history.

 

Campbell & Company has been a member of the NFA since July 1, 1982, and has been registered as a commodity pool operator since September 10, 1982 and as a commodity trading advisor since May 6, 1978. Pools currently operated by Campbell & Company, in addition to the two pools discussed herein, include: Campbell Financial Futures Fund Limited Partnership, which trades pursuant to the FME Large Portfolio; Campbell Fund Trust, which trades pursuant to the Global Diversified Large Portfolio (this portfolio that trades a fully diversified portfolio including energy products, soft and other commodities, precious and base metals, stock market indices, interest rates and foreign currencies); Campbell Global Assets Fund Limited SAC (Classes A and D), which trade pursuant to the FME Large Portfolio; The Campbell Gold Plus Fund, L.P., which trades pursuant to the Trend Following Portfolio and the Gold Portfolio, and Campbell Alternative Asset Trust, which trades pursuant to the FME Large Portfolio. None of these Funds are in direct competition with the Strategic Allocation Fund or the Global Trend Fund. Campbell & Company’s compensation is discussed in “Charges to the Funds”.

 

The principals of Campbell & Company have not purchased, and do not intend to purchase, Units. Although Campbell & Company has an employee trading policy, it has no policy, written or otherwise, in place that limits the amount of Units that a principal may purchase in either Fund.

 

Campbell & Company has agreed that its capital account as general partner at all times will equal to the greater of either (i) 1% of the net aggregate capital contributions of all partners or (ii) $25,000.

 

There has never been any material administrative, civil or criminal proceedings brought against Campbell & Company or its principals, whether pending, on appeal or concluded.

 

Campbell & Company’s principals are G. William Andrews, Theresa D. Becks, D. Keith Campbell, Bruce L. Cleland, Gregory T. Donovan, Michael S. Harris, Michael J. Hebrank, Kevin M. Heerdt, Thomas P. Lloyd and Tracy Wills-Zapata. The majority voting stockholder of Campbell & Company is D. Keith Campbell.

 

The trading advisor makes the Funds’ trading decisions using proprietary trading models which analyze both technical and fundamental market indicators. Following are the members of the Risk Committee, which is responsible for overseeing the proprietary trading models utilized on behalf of the Funds: G. William Andrews, Theresa D. Becks, Bruce L. Cleland, Gregory T. Donovan, Michael S. Harris and Kevin M. Heerdt.

 

The Funds utilize a systematic, model driven trading approach. The trading advisor manages the Funds’ assets based on signals derived from trading models, thereby minimizing the “human” element in the day-to-day individual investment decision making process. The Risk Committee meets daily to review the trading signals received by the models for that day and the Risk Committee has the authority to override a specific trading signal indicated by the trading models. More specifically, risk management sits at the model level, portfolio level, and in the Risk Committee of the firm. Portfolio-wide position limits, portfolio volatility, and model diversification are also monitored. The Risk Committee

monitors portfolio risks that may not be quantified by the models (i.e., extreme market shocks, liquidity crises, etc.), and has reduced risk at times of market shocks, such as the market contagion that occurred in July and August of 2007. In such situations, the Risk Committee will gradually return the portfolio to the model-determined risk levels upon a return to more normal market conditions.

 

G. William Andrews, born in 1972, has been employed by Campbell & Company since April 1997 and was appointed Chief Operating Officer in January 2010, was Vice President: Director of Operations from April 2007 to January 2010, and was Vice President: Director of Research Operations from March 2006 to April 2007. As Chief Operating Officer, he is involved in all operational aspects of the firm. Mr. Andrews holds an M.B.A. in Finance from Loyola College in Maryland and a Bachelor of Social Science from Waikato University, New Zealand. Mr. Andrews became listed as a Principal of Campbell & Company effective June 21, 2006.

 

Theresa D. Becks, born in 1963, joined Campbell & Company in June 1991 and has served as President and Chief Executive Officer since April 2007, Secretary since May 1992, a Director since January 1994, and was Chief Financial Officer and Treasurer until July 2008. Ms. Becks is also the President and Chief Executive Officer of Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company and an SEC registered investment adviser, and Trustee, President, and Chief Executive Officer of The Campbell Multi-Strategy Trust, a registered investment company. Ms. Becks served as a member of the Board of Directors of the Managed Funds Association from November 2002 to November 2006. Ms. Becks is a C.P.A. and has a B.S. in Accounting from the University of Delaware. Ms. Becks became registered as an Associated Person and listed as a Principal and NFA Associate Member of Campbell & Company effective May 7, 1999, March 10, 1993 and April 21, 1999, respectively. Ms. Becks became registered as an Associated Person and listed as a Principal and NFA Associate Member of Campbell & Company Investment Adviser LLC effective December 14, 2005, December 12, 2005 and December 14, 2005, respectively.

 

D. Keith Campbell, born in 1942, has served as the Chairman of the Board of Directors of Campbell & Company since it began operations in 1972, was President until January 1994, and was Chief Executive Officer until January 1998. Mr. Campbell is the majority voting stockholder of Campbell & Company. Mr. Campbell has acted as a commodity trading advisor since 1972 when, as general partner of the Campbell Fund, a limited partnership engaged in commodity futures trading, he assumed sole responsibility for trading decisions made on its behalf. Since then, he has applied various technical trading models to numerous discretionary futures trading accounts. Mr. Campbell is registered with the CFTC and NFA as a commodity pool operator. Mr. Campbell became registered as an Associated Person and listed as a Principal and NFA Associate Member of Campbell & Company effective October 29, 1997, September 29, 1978 and September 29, 1997, respectively. Mr. Campbell became listed as a Principal of Campbell & Company Investment Adviser LLC effective July 9, 2008. Mr. Campbell became listed as a Principal of his Commodity Pool Operator effective March 10, 1975.

 

Bruce L. Cleland, born in 1947, joined Campbell & Company in January 1993 and has served as Vice Chairman of the Board of Directors of Campbell & Company since April 2007, was President from January 1994 to April 2007, and Chief Executive Officer from January 1998 to April 2007. Until April 2007, Mr. Cleland was also the President and Chief Executive Officer of Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company and an SEC registered investment adviser, and Trustee, Chief Executive Officer and President of The Campbell Multi-Strategy Trust, a registered investment company. Mr. Cleland is currently a member of the Board of Directors of the National Futures Association, and previously served as a member of the Board of Directors of the Managed Funds Association and as a member of the Board of Governors of the COMEX, in New York. Mr. Cleland is a graduate of Victoria University in Wellington, New Zealand where he earned a Bachelor of Commerce and Administration degree. Mr. Cleland became registered as an Associated Person and listed as a Principal and NFA Associate Member of Campbell & Company effective December 15, 1993, September 15, 1993 and December 15, 1993, respectively. Mr. Cleland was an Associated Person, Principal and NFA Associate Member of Campbell & Company Investment Adviser LLC from December 2005 to April 2007. Effective July 9,

2008, Mr. Cleland again became listed as a Principal of Campbell & Company Investment Adviser LLC. Mr. Cleland was a registered Associated Person and NFA Associate Member of Campbell & Company Investment Adviser LLC from December 2005 to April 2007.

 

Gregory T. Donovan, born in 1972, has been employed by Campbell & Company since October 2006 as Chief Financial Officer and Treasurer since July 2008, and was Senior Vice President of Accounting and Finance from October 2006 to July 2008. His duties include oversight of accounting and finance functions and review of accounting policies and procedures. Mr. Donovan is also the Chief Financial Officer, Treasurer and Assistant Secretary of both Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company and an SEC registered investment adviser, and The Campbell Multi-Strategy Trust, a registered investment company. From November 2003 to October 2006, Mr. Donovan was employed by Huron Consulting Services, a managing consulting firm, serving as Director in the Financial and Economic Consulting Practice. Mr. Donovan is a C.P.A. and has a B.S. in Business Administration with concentrations in Accounting and Management from Castleton State College and holds a M.S. in Finance from the University of Baltimore. Mr. Donovan became registered as an Associated Person and listed as a Principal and NFA Associate Member of Campbell & Company effective July 5, 2007, May 9, 2007 and July 2, 2007, respectively. Mr. Donovan became listed as a Principal of Campbell & Company Investment Adviser LLC effective May 16, 2007.

 

Michael S. Harris, born in 1975, has been employed by Campbell & Company since July 2000, was appointed Deputy Manager of Trading in September 2004 and has served as Vice President and Director of Trading since June 2006. His duties include managing daily trade execution for the assets under Campbell & Company’s management. Mr. Harris holds a B.A. in Economics and Japanese Studies from Gettysburg College. He also spent time studying abroad at Kansai Gaidai University in Osaka, Japan. Mr. Harris became registered as an Associated Person and listed as a Principal and NFA Associate Member of Campbell & Company effective September 21, 2000, June 15, 2006 and August 19, 2000, respectively.

 

Michael J. Hebrank, born in 1955, joined Campbell & Company in April 2004 and has served as Chief Technology Officer since then. From February 1999 to April 2004, Mr. Hebrank was the Chief Information Officer at Greater Baltimore Medical Center, the fourth largest healthcare system in Maryland. Mr. Hebrank holds a B.S. in Applied Statistics from the University of Baltimore and an M.S. in Computer Engineering from Loyola College of Maryland. Mr. Hebrank became listed as a Principal of Campbell & Company effective June 21, 2006.

 

Kevin M. Heerdt, born in 1958, joined Campbell & Company in March 2003 and has served as Chief Investment Officer and Director of Research since July 2007, was Executive Vice President-Research from March 2003 to June 2007 and Chief Operating Officer from June 2005 to June 2007. His duties include risk management, research, and the development of quantitatively based hedge fund and options strategies. Mr. Heerdt is also the Vice President and Chief Investment Officer of both Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company and an SEC registered investment adviser, and The Campbell Multi-Strategy Trust, a registered investment company. Mr. Heerdt holds a B.A. in Economics and in International Relations from the University of Southern California. Mr. Heerdt became registered as an Associated Person and listed as a Principal and NFA Associate Member of Campbell & Company effective April 15, 2003, April 15, 2003 and April 1, 2003, respectively. Mr. Heerdt became registered as an Associated Person and listed as a Principal and NFA Associate Member of Campbell & Company Investment Adviser LLC effective December 14, 2005, December 12, 2005 and December 14, 2005, respectively.

 

Thomas P. Lloyd, born in 1959, joined Campbell & Company in September 2005 as General Counsel and Executive Vice President-Legal and Compliance. In this capacity, he is involved in all aspects of legal affairs, compliance and regulatory oversight. Since April 2007, Mr. Lloyd has also overseen Campbell & Company’s fund administration function. Mr. Lloyd is also the Secretary, Chief Compliance Officer and Assistant Treasurer of both Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company and an SEC registered investment adviser, and The Campbell Multi-

Strategy Trust, a registered investment company. From July 1999 to September 2005, Mr. Lloyd was employed by Deutsche Bank Securities Inc. (“DBSI”) in several positions, including Managing Director and head of the legal group for Deutsche Bank Alex. Brown, the Private Client Division of DBSI. Mr. Lloyd holds a B.A. in Economics from the University of Maryland, and a J.D. from the University of Baltimore School of Law. Mr. Lloyd is a member of the Bars of the State of Maryland and the United States Supreme Court. Mr. Lloyd became listed as a Principal of Campbell & Company and Campbell & Company Investment Adviser LLC effective October 20, 2005 and December 12, 2005, respectively.

 

Tracy Wills-Zapata, born in 1971, joined Campbell & Company in February 2006 and has served as Managing Director — Business Development since January 2007 and was Managing Director of Institutional Business Development from February 2006 to January 2007. Ms. Wills-Zapata is also the Vice President of both Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company and an SEC registered investment adviser, and The Campbell Multi-Strategy Trust, a registered investment company. Prior to joining Campbell, Ms. Wills-Zapata was a Managing Director of DB Advisors LLC, and affiliates, from September 2002 to December 2005, where she was responsible for distribution of Deutsche Bank’s single manager hedge fund platform. Ms. Wills-Zapata was registered as an Associated Person from January 2005 to December 2005 with DB Capital Advisers Inc., from February 2003 to January 2005 with DB Advisors LLC, and from November 2002 to February 2003 with Deutsche Bank Securities Inc. Ms. Wills-Zapata was listed as a Principal with DB Advisors LLC from February 2003 to February 2004. Ms. Wills-Zapata was an NFA Associate Member from December 2004 to December 2005 with DB Capital Advisers Inc., from January 2003 to January 2005 with DB Advisors LLC, and from November 2002 to February 2003 with Deutsche Bank Securities, Inc. Wills-Zapata is currently a member of the Board of Directors and a Member of the Executive Committee for the Managed Funds Association. Ms. Wills-Zapata became registered as an Associated Person and listed as a Principal and NFA Associate Member of Campbell & Company effective March 27, 2006, July 21, 2008 and March 27, 2006, respectively. Ms. Wills-Zapata became registered as an Associated Person and listed as a Principal and NFA Associate Member of Campbell & Company Investment Adviser LLC effective February 18, 2009.

 

Pursuant to the Advisory Agreement for each Fund, Campbell & Company has the sole authority and responsibility for directing the investment and reinvestment of the Funds’ assets. The Funds’ advisory agreement with Campbell & Company is valid for successive periods of one year, subject to each party’s right to terminate on 60 days’ prior written notice. It is unlikely that either advisory agreement would be terminated other than as a direct result of the dissolution of either or both Funds.

 

The advisory agreements do not alter any fiduciary duties that may otherwise be imposed by state law on Campbell & Company.

 

Campbell & Company makes the Funds’ trading decisions using proprietary computerized trading models which analyze market statistics. There can be no assurance that the trading models will produce results similar to those produced in the past. In addition, limited partners will not have any vote or consent with respect to the trading approaches utilized by Campbell & Company. Existing limited partners will be notified in advance via their monthly statements with regard to any changes deemed to be a material change from the trading approach as currently described.

 

Campbell & Company currently offers the following portfolios:

 

 

2) The Trend Following Portfolio,

 

3) The Global Diversified Portfolio, and

 

4) The Gold Portfolio.

 

Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, Inc., currently offers the Multi-Strategy Portfolio, a commodities and securities portfolio with different investment objectives and terms.

 

The Strategic Allocation Fund trades pursuant to the Campbell FME Large Portfolio. The FME Large Portfolio seeks exposure to financial markets, such as interest rates, foreign exchange and stock

indices, as well as metals, energy products, soft commodities and other commodities. As with all Campbell Portfolios, the FME Large Portfolio seeks exposure to these markets by following signals generated by a series of systematic computer models. The FME Large Portfolio employs a broad spectrum of models including traditional and factor-based trend following models, as well as a number of macroeconomic-based models.

 

The Global Trend Fund currently consists of two series (“Series”) — the Global Trend Series (USD) and the Global Trend Series (GLD). The Global Trend Series (USD) seeks to provide investors with a U.S. Dollar-denominated exposure to the Campbell Trend Following Portfolio. The Global Trend Series (USD) will trade pursuant to the Campbell Trend Following Portfolio. The Campbell Trend Following Portfolio seeks exposure to financial markets, such as interest rates, foreign exchange and stock indices, as well as metals, energy products, soft commodities and other commodities. The Campbell Trend Following Portfolio employs the same traditional and factor-based trend following models that the FME Large Portfolio employs, but does not employ the macroeconomic-based models employed by FME Large.

 

The Global Trend Series (GLD) seeks to provide investors with a gold-denominated exposure to the Campbell Trend Following Portfolio. The gold-denominated exposure is achieved by first converting the investors’ U.S. Dollar investment to an exposure to gold by purchasing long positions in gold futures with a value approximately equal to the net asset value of that Series (the “Gold Portfolio”). The Global Trend Series (GLD) then seeks appreciation through a 100% overlay of the Campbell Trend Following Portfolio. The trading advisor will adjust the Global Trend Series (GLD)’s respective allocations to the Gold and Trend Following Portfolios at the beginning of each month to reflect additions to and redemptions of Series capital, as well as to reflect profits and losses from the Series’ long gold futures and its futures and currencies trading activities and interest income as of the end of the preceding month so as to maintain a gold futures position with a value approximately equal to the Series’ net asset value at the beginning of each month.

 

See the following pie chart for a listing of contracts, by sector, for both the FME Large Portfolio and the Trend Following Portfolio. Sector allocation and the specific markets traded, may frequently fluctuate in response to changes in market volatility. The pie chart is not weighted to trading percentages.

 

 

Contracts by Sector for Both Funds

 

Campbell & Company’s trading models are designed to detect and exploit medium- to long-term price changes, while also applying proven risk management and portfolio management principles. Portfolio composition, including contracts traded and percentage allocations to each sector, may change at any time if Campbell & Company determines such change to be in the best interests of the Fund. Each sector traded by the Funds appears as a caption in the preceding pie charts. As an example, natural gas is a market that is traded within the commodities sector.

 

Campbell & Company believes that utilizing multiple trading models for the same client account provides an important level of diversification, and is most beneficial when multiple contracts in each market are traded. Every trading model may not trade every market. It is possible that one trading model may signal a long position while another trading model signals a short position in the same market. It is Campbell & Company’s intention to offset those signals to reduce unnecessary trading, but if the signals are not simultaneous, both trades will be taken and, since it is unlikely that both positions would prove profitable, in retrospect one or both trades will appear to have been unnecessary. It is Campbell & Company’s policy to follow trades signaled by each trading model independently of the other models.

 

Over the course of a medium- to long-term price change, there are times when the risk of the market does not appear to be justified by the potential reward. In such circumstances some of Campbell & Company’s trading models may exit a winning position prior to the end of a price move. While there is some risk to this method (for example, being out of the market during a significant portion of a price move), Campbell & Company’s research indicates that this is well compensated for by the decreased volatility of performance that may result.

 

Campbell & Company’s trading models may include trend-following trading models, counter-trend trading models, and trading models that do not seek to identify or follow price trends at all. Campbell & Company expects to develop additional trading models and to modify models currently in use

and may or may not employ all such models for all clients’ accounts. The trading models currently used by Campbell & Company may be eliminated from use if Campbell & Company ever believes such action is warranted.

 

While Campbell & Company normally follows a disciplined, systematic approach to trading, on occasion it may override the signals generated by the trading models, such as when market conditions dictate otherwise. While such action may be taken for any reason at any time at Campbell & Company’s discretion, it will normally only be taken to reduce risk in the portfolio, and may or may not enhance the results that would otherwise be achieved.

 

Campbell & Company applies risk management and portfolio management strategies to measure and manage overall portfolio risk. These strategies include portfolio structure, risk balance, capital allocation, and risk limitation. One objective of risk and portfolio management is to determine periods of relatively high and low portfolio risk, and when such points are reached, Campbell & Company may reduce or increase position size accordingly. It is possible, however, that this reduction or increase in position size may not enhance the results achieved over time.

 

From time to time Campbell & Company may increase or decrease the total number of contracts held based on increases or decreases in the Funds’ assets, changes in market conditions, perceived changes in portfolio-wide risk factors, or other factors which may be deemed relevant.

 

Campbell & Company estimates that, based on the margin required to maintain positions in the markets currently traded, the ratio of margin to equity is typically 10% to 30% of each Fund’s net asset value. From time to time, margin commitments may be above or below this range.

 

The number of contracts that Campbell & Company believes can be bought or sold in a particular market without unduly influencing price adversely may at times be limited. In such cases, a client’s portfolio would be influenced by liquidity factors because the positions taken in such markets might be substantially smaller than the positions that would otherwise be taken.

 

Campbell & Company believes that it is not possible to define or quantify capacity with any degree of certainty. Campbell & Company has continued to introduce new strategies designed to deliver returns which have low correlation to returns from existing strategies. In addition, Campbell & Company has continued to develop new ways to manage assets, such as the application of dynamic portfolio and capital management tools and innovative execution methods. In the past, a significant increase in assets has led to portfolio compromises, as increasingly large positions can only be established and maintained in those markets that have sufficient depth and liquidity.

 

Notwithstanding Campbell & Company’s research, risk and portfolio management efforts, there may come a time when the combination of available markets and new strategies may not be sufficient for Campbell & Company to add new assets without detriment to diversification. If this were to occur, Campbell & Company would expect risk-adjusted returns to begin to degrade — a more concentrated portfolio may result in lower risk-adjusted returns and may have a detrimental affect on your investment. See “The Risks You Face — Trading Risks — Increase in Assets Under Management May Make Profitable Trading More Difficult.”

 

The offering of Campbell Strategic Allocation Fund L.P.’s (the “Strategic Allocation Fund”) Units of Limited Partnership Interest commenced on January 12, 1994, and the initial offering terminated on April 15, 1994 with proceeds of $9,692,439. The continuing offering period commenced immediately after the termination of the initial offering period; additional subscriptions totaling $6,068,918,915 have been accepted during the continuing offering period ended June 13, 2008.

 

Redemptions through September 30, 2009 total $4,648,851,510. The Strategic Allocation Fund commenced operations on April 18, 1994.

 

The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates utilized in preparing the financial statements are reasonable and prudent; however, actual results could differ from those estimates. The Strategic Allocation Fund’s significant accounting policies are described in detail in Note 1 of its Financial Statements.

 

The Strategic Allocation Fund records all investments at fair value in its financial statements, with changes in fair value reported as a component of change in unrealized trading gain (loss) in the Statements of Operations. Generally, fair values are based on market prices; however, in certain circumstances, estimates are involved in determining fair value in the absence of an active market closing price (e.g. forward contracts and options on forward contracts which are traded in the inter-bank market). For forward contracts and options of forward contracts, fair values calculated by the Strategic Allocation Fund are compared to the interbank market maker values for reasonableness.

 

Effective June 14, 2008 through the date of this disclosure document, Units in the Strategic Allocation Fund were not offered for sale. For existing investors in the Strategic Allocation Fund, business has been and will be conducted as usual. There will be no change in trading, operations or monthly statements, etc. and redemptions will continue to be offered on a monthly basis.

 

The Strategic Allocation Fund does not intend to raise any capital through borrowing. Due to the nature of the Strategic Allocation Fund’s business, it will make no capital expenditures and will have no capital assets, which are not operating capital or assets.

 

The Strategic Allocation Fund maintains 40-80% of its net asset value in cash, cash equivalents or other liquid positions in its cash management program over and above that needed to post as collateral for trading. These funds are available to meet redemptions each month. After redemptions are taken into account each month, the trade level of the Strategic Allocation Fund is adjusted and positions in the instruments the Strategic Allocation Fund trades are liquidated, if necessary, on a pro-rata basis to meet those increases or decreases in trade levels.

 

Most United States commodity exchanges limit fluctuations in futures contracts prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits”. During a single trading day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has reached the daily limit for that day, positions in that contract can neither be taken nor liquidated. Futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Strategic Allocation Fund from promptly liquidating unfavorable positions and subject the Strategic Allocation Fund to substantial losses which could exceed the margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Strategic Allocation Fund may not be able to execute futures trades at favorable prices, if little trading in such contracts is taking place. Other than these limitations on liquidity, which are inherent in the Strategic Allocation Fund’s futures trading operations, the Strategic Allocation Fund’s assets are expected to be highly liquid.

 

The entire offering proceeds, without deductions, were credited to the Strategic Allocation Fund’s bank, brokerage and/or cash management accounts. The Strategic Allocation Fund meets margin requirements for its trading activities by depositing cash or U.S. government securities with the futures brokers and the over-the-counter counterparties. This does not reduce the risk of loss from trading futures, forward and option contracts. The Strategic Allocation Fund receives all interest earned on its assets. No other person shall receive any interest or other economic benefits from the deposit of Strategic Allocation Fund assets.

 

Approximately 10% to 30% of the Strategic Allocation Fund’s assets normally are committed as required margin for futures contracts and held by the futures brokers, although the amount committed may vary significantly. Such assets are maintained

in the form of cash or U.S. Treasury bills in segregated accounts with the futures brokers pursuant to the Commodity Exchange Act and regulations thereunder. Approximately 10% to 30% of the Strategic Allocation Fund’s assets are deposited with over-the-counter counterparties in order to initiate and maintain forward and options on forward contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparties.

 

The trading advisor deposits the majority of those assets of the Strategic Allocation Fund that are not required to be deposited as margin with the futures broker and over-the-counter counterparty in custodial accounts with Northern Trust Company. The assets deposited in the custodial accounts with Northern Trust Company are segregated. Such custodial accounts constitute approximately 40% to 80% of the Strategic Allocation Fund’s assets and is invested, directly by Wilmington Trust Investment Management LLC (“Wilmington”) and Horizon Cash Management LLC (“Horizon”). Wilmington and Horizon are registered with the Securities and Exchange Commission as investment advisers under the Investment Advisers Act of 1940. Wilmington and Horizon do not guarantee any interest or profits will accrue on the Strategic Allocation Fund’s assets in the custodial account. Wilmington and Horizon will invest according to agreed upon investment guidelines that are modeled after those investments allowed by the futures broker as defined under The Commodity Exchange Act, Title 17, Part 1, § 1.25 Investment of customer funds. Investments can include, but are not limited to, (i) U.S. Government Securities, Government Agency Securities, Municipal Securities, banker acceptances and certificates of deposits; (ii) commercial paper; and (iii) corporate debt.

 

The Strategic Allocation Fund occasionally receives margin calls (requests to post more collateral) from its futures brokers or over-the-counter counterparties, which are met by moving the required portion of the assets held in the custody accounts at Northern Trust to the margin accounts. In the past 3 years, the Strategic Allocation Fund has not needed to liquidate any position as a result of a margin call.

 

The Strategic Allocation Fund’s assets are not and will not be, directly or indirectly, commingled with the property of any other person in violation of law or invested with or loaned to Campbell & Company or any affiliated entities.

 

The returns for the nine months ended September 30, 2009 and for the years ended December 31, 2008, 2007 and 2006 were (6.96)%, (1.53)%, (14.65)% and 4.04%, respectively.

 

2009 (9 months ended September 30)

 

Of the 2009 year-to-date decrease of 6.96%, approximately 1.48% was due to trading losses (before commissions) and approximately 5.56% due to brokerage fees, operating expenses and offering costs borne by the Fund offset by approximately 0.08% due to interest income. During the nine months ended September 30, 2009, the Fund accrued brokerage fees in the amount of $112,819,855 and paid brokerage fees in the amount of $116,382,724. No performance fees were accrued or paid during this period. An analysis of the 1.48% trading losses by sector is as follows:

 

 

President Obama’s stimulus plan took center stage in January; however, weak economic data continued to negatively impact global stock markets into the start of the New Year. An early month rally fizzled quickly, causing notable declines in major global indices. The Strategic Allocation Fund gained in equity indices trading on net short positions across each region. Gains were recorded in fixed income trading as the world’s central banks continued to lower interest rates. Mounting fiscal deficits and huge issuance needs begin to weigh heavy on the long-end; however, credit markets generally improved in January with yield spreads continuing to contract. Foreign exchange trading finished slightly negative on the month. Risk aversion and capital preservation benefited the Strategic Allocation Fund’s net long U.S. Dollar position; however, the U.K. government’s unprecedented move to give the Bank of England power to increase their stake

in Royal Bank of Scotland to 70% helped fuel a late month rally in the British Pound, eliminating gains from a previous decline. Commodity trading was generally flat on volatility across precious and base metals and a slowing of the negative energy trend.

 

In February, the U.S. government’s ability to address the economic crisis was met with skepticism by Wall Street. Economic data remained persistently weak, especially on the employment and housing fronts. The U.S. was not alone in reporting negative news, as European and Asian economies also continued with the release of dismal economic data such as declining exports and falling dividends. The majority of February gains in the Strategic Allocation Fund resulted from equity indices trading, particularly from short positions in the U.S. and Asia. Additional gains were recorded in foreign exchange trading as investors continued to feed U.S. Dollar strength, particularly relative to the Japanese Yen. The U.S. Dollar continues to be the safe haven pick as the risk aversion theme continued, as evidenced by the U.S. treasury yields recording all-time lows.

 

Stock markets rallied in March as the 2008 fourth quarter earnings announcements subsided and large U.S. banks announced they would be profitable for the first two months of 2009. The majority of the Strategic Allocation Fund’s losses in March resulted from equity indices trading, as the equity rally adversely impacted net short positions globally. Commodities recorded losses as energy price swings have become correlated with equities and metals surged on news of China’s economic stimulus plan. Gains from fixed income markets were recorded from the Strategic Allocation Fund’s long global bond positions as prices moved significantly higher on announcements from the Swiss, British and American Central Banks on their intentions of adding liquidity by purchasing medium to long-term bonds in the market. Foreign exchange trading resulted in gains as investors sought currencies whose home central banks were not keen on engaging in quantitative easing.

 

While equity index trading produced the most profitable sector results for the Strategic Allocation Fund for 2008, the Strategic Allocation Fund’s net exposure on the short side of global stock indices through April 2009 has hurt performance as markets continued to stage rallies that began in mid-March. U.S. economic indicators, including housing and manufacturing, showed signs of improvement and stabilization rather than further deterioration. In addition, the G-20 agreed to fund more than $1 trillion in emergency aid to help cushion the economic fallout of the current international financial crisis. While the general tone of the economic outlook was more upbeat, officials have still been cautious in their assessment. April saw a continuation of the March risk-seeking rally leading to several growth currencies registering solid gains against the dollar. Losses were realized in the foreign exchange sector due to the Strategic Allocation Fund’s general bias to be long the dollar against most major currencies. In fixed income, the equity market rally helped general investor sentiment, driving bond prices lower across the board which produced losses for the Strategic Allocation Fund in this sector. Commodity trading finished relatively flat with gains from the energy sector offsetting small losses in base and precious metals.

 

In May, conflicting signals on global recovery weighed on the direction of the markets as increased risk appetite and signs of stabilization in the global economy emerged. Equity markets continued their rally, particularly in Asia, generating small gains in the stock index sector. Fixed income trading generated a marginal positive return as short-term rates in Europe climbed higher following the European Central Bank rate cut of 25 basis points. The gains in the stock index and fixed income sectors were offset by losses in the foreign exchange sector. The U.S. Dollar suffered a broad based decline in May on a combination of stronger risk appetite and growing fears over structural deficiencies in the U.S. Investors moved dormant dollar denominated assets overseas to capture growth and risk in commodity block currencies. Smaller losses were also recorded in the commodities sector as natural gas finished a volatile month higher.

 

During June, a surprise payroll number to the upside for May prompted an aggressive sell-off in short-term U.S. rates and raised market expectations of a rate hike in 2009. The price reaction was swift and caused particular difficulty for systematic trading. Losses for the Strategic Allocation Fund in the fixed income sector were offset by marginal gains in the foreign exchange sector. The Strategic Allocation Fund’s currency positions were generally mixed, thus hedging some U.S. Dollar risk, as investors crowded the Dollar as a safe-haven trade, pushing it higher on the month. Marginal gains were also recorded in the commodities sector, primarily from long positions in the energy complex. As geo-political headlines were plentiful, energies traded in

a highly correlated fashion to global equity markets. The stock index sector finished basically flat for the month as global equity markets reflected mixed results congruent with both positive and negative economic data relating to global recovery.

 

Contrary to investor fears, global stock market returns in 2009 have fueled improved risk appetite as economic data and corporate earnings support the rally for yet another month in July. The Strategic Allocation Fund’s trading performance was relatively flat, with positive results from long stock and short U.S. Dollar positions being offset by losses incurred from short interest rate positions. For the first half of 2009, many “trend-following” strategies struggled to curb losses and eked out small gains in a market environment that is in a classic “consolidation” (trendless and choppy) period.

 

While risk appetite was generally strong in August, investors’ risk behavior was a bit random as fixed income initially sold off on better than expected payrolls data, but spent the rest of the month rallying. Bernanke’s nomination for a second term and continued “lower rates for longer” comments from Fed officials helped support treasury prices against the Strategic Allocation Fund’s general positioning across the curve. Smaller losses were recorded in currency trading as investors appeared unwilling to chase growth currencies higher, at the expense of the dollar, from already stretched levels. Gains were recorded in commodity markets as the Strategic Allocation Fund increased its exposure to this sector with the launch of more agile models providing more efficient holding period diversification. Trading in base and precious metals was a primary driver as the “risk on” trade prevailed on improving economic data. Equity indices trading yielded a marginal gain as positioning geographically and across model groups remains mixed.

 

During the month of September, the Strategic Allocation Fund’s technical and fundamental strategies both recorded healthy gains in the foreign exchange sector from short positions in the U.S. Dollar vs. most major currencies. Commodity-linked currencies were particularly profitable for the Strategic Allocation Fund, as both the Australian and New Zealand Dollars rose in value close to 5%. Technical and fundamental signals were also effective in the equity index sector, where the Strategic Allocation Fund benefited from primarily long positions across global stock indices. With the exception of Japan, global equities moved higher by 2 — 3% during the month on healthy M&A activity, as well as favorable signs of a manufacturing rebound and consumer spending renewal. Results were mixed in fixed income trading as gains earned from short-term rates were largely offset by losses on the long end of the curve. Commodities trading resulted in marginal losses overall, primarily due to short positions in natural gas. The price of natural gas rallied over 20% during the month as a result of significant short covering in the market despite record storage levels.

 

2008 (9 months ended September 30)

 

Of the 2008 year-to-date increase of 0.72%, approximately 4.71% was due to trading gains (before commissions) and approximately 1.64% was due to interest income, offset by approximately 5.63% due to brokerage fees, operating expenses and offering costs borne by the Strategic Allocation Fund. During the nine months ended September 30, 2008, the Strategic Allocation Fund accrued brokerage fees in the amount of $170,103,319 and paid brokerage fees in the amount of $177,109,782. No performance fees were accrued or paid during this period. An analysis of the 4.71% trading gains by sector is as follows:

 

 

The disclosure describing the events that occurred between January 2008 and September 2008 is provided in the next section.

 

For the Year Ended December 31, 2008

 

Of the (1.53)% return for the year ended December 31, 2008, approximately 4.19% was due to trading gains (before commissions) and approximately 1.76% due to interest income offset by approximately 7.48% due to brokerage fees, operating costs and offering costs borne by the Strategic

Allocation Fund. An analysis of the 4.19% trading gain by sector is as follows:

 

 

The first quarter of 2008 began where 2007 left off, with the credit crisis causing more write-downs, more credit downgrades, and a growing realization that sub-prime issues would have broader and longer-lasting impacts than initially suspected. In January, weak economic data caused the Federal Open Market Committee to cut short-term rates by a total of 1.25%, which included an unprecedented 0.75% emergency cut. The S&P 500 recorded one of its worst monthly performances in the history of the index. The Strategic Allocation Fund’s performance in January was a 0.46% loss, with gains in equity indices trading more than offset by losses in currencies and flat performance in fixed income and commodities.

 

February saw the U.S. dollar weaken against most major currencies, as U.S. economic data disappointed, stagflation concerns grew and U.S. interest rate expectations declined dramatically. The Strategic Allocation Fund’s currency trading profited from these moves, generating a positive return for the month. The Strategic Allocation Fund also recorded gains in equity indices trading, as the S&P 500, Dow, and NASDAQ continued to slide. Overall, the Strategic Allocation Fund had a positive month, posting a 1.44% gain.

 

March brought more Federal Reserve intervention, which resulted in a slight recovery by U.S. stocks from mid-month slides to finish flat for the month, but still significantly negative for the year. The US dollar continued to weaken. The Strategic Allocation Fund’s performance was close to flat for the month at (0.23)%, with gains in equity indices and currencies offset by losses in commodities and fixed income. The Strategic Allocation Fund closed the first quarter of 2008 with a year-to-date gain of 0.73%.

 

In April, the U.S. Dollar rallied against key funding currencies, despite a generally weak global economy. The Strategic Allocation Fund realized gains in foreign exchange and commodities. However, those gains were overshadowed by losses in the fixed income and equity indices sectors, as prior trends in both sectors reversed course. For the month of April, the Strategic Allocation Fund suffered a loss of 2.69%.

 

May was a strong month for the Strategic Allocation Fund. Positive commodity trading led the charge as crude oil breached new technical levels, touching $135 mid-month. Foreign exchange models also posted gains, as high-yielding currencies performed well. These gains, together with modest gains in the fixed income more than offset a loss in equity indices. The Strategic Allocation Fund achieved a positive return on the month of 1.95%.

 

In June the Strategic Allocation Fund realized its best month of the year, posting a return of 5.26%. Equity indices trading produced strong gains as short positions benefitted from the negative news that roiled the markets around the globe. Signs of commodity-based inflation were constantly in the headlines. Consumer confidence fell to a 16-year low, as U.S., European, and Asian equities markets fell in tandem. Fixed income trading produced additional gains for the Strategic Allocation Fund, in response to fears of inflation and the ECB’s increasingly hawkish stance. Commodities also posted gains as crude oil hit new highs on the back of increased tensions in the Middle East and among OPEC members. In addition, the Strategic Allocation Fund had modest gains in foreign exchange sector. The Strategic Allocation Fund concluded the second quarter with a gain of 4.43% for the quarter, and a year-to-date gain of 5.19%.

 

The month of July was characterized by reversals in many asset classes. The Dow and S&P hit technical bear market territory early in the month, while Japanese equities saw their longest back-to-back losing streak in 54 years. Equity markets seemed to find a bottom mid-month after the U.S. announced the Government-Sponsored Enterprises bailout plan. Commodity prices also reversed, with crude oil declining almost 12% on fears that a weakened economy would reduce global demand. The Strategic Allocation Fund earned profits in equity indices trading. Those gains were offset by losses in fixed income and commodities. All-in, the Strategic Allocation Fund finished the month with a loss of 1.30%.

 

In August, sub-prime fallout continued to plague the global financial markets. The U.S. unemployment rate hit a four-year high. Commodity

prices continued to decline, with natural gas leading the way with a decline of 12.75% and gold falling to its lowest level in eight months. The Strategic Allocation Fund experienced losses in foreign exchange and commodities sectors as currencies linked to commodities fell in tandem with metal and energy markets, while the U.S. Dollar Index posted unusually strong gains. Those losses edged out gains in fixed income, resulting in a loss for the month of 1.64%.

 

September saw concern over the widening credit crises come to a boiling point. Equity markets in the U.S., Europe, and Asia declined sharply. Investors fled high-yielding currencies in response to the global decline in equity markets. The Strategic Allocation Fund posted a loss of 1.37%. Gains in equity indices were offset by losses in foreign exchange, fixed income, and commodities. Diversification of positions by sector and geography played an important role in dampening losses to the Strategic Allocation Fund, as did a decrease in risk levels across the portfolio. The Strategic Allocation Fund concluded the third quarter with a loss of 4.25% for the quarter, leaving the year-to-date gain at 0.72%.

 

At the time, the month of October seemed like a month to remember, as equity markets around the world plummeted, fueling further anxiety about the length and depth of a global recession and further exacerbating the liquidity, growth, and confidence crisis. With the benefit of hindsight, it was but the beginning of a quarter to remember. For the Strategic Allocation Fund, the month was about the benefits and disadvantages of diversification. Modest gains in equity indices trading were more than offset by losses in foreign exchange and fixed income, resulting in a loss for the month of 1.22%.

 

November brought further global economic panic, as governments around the world continued to announce plans to help bolster sagging economies. The U.S. reversed course on its bailout effort, from buying troubled assets to facilitating lending flow. Economic data reflected another sharp drop in manufacturing, rising unemployment, and the largest drop in retail sales since 1992, prompting wild swings in both equity and bond markets. The Strategic Allocation Fund maintained a relatively low risk profile during the month, which resulted in marginal losses and gains across the sectors. For the Strategic Allocation Fund, losses in fixed income offset marginal gains in other sectors, resulting in a loss for the month of 1.46%.

 

December saw more of the same on the global economic front. The Strategic Allocation Fund, however, took advantage of dramatic moves in the British Pound, particularly against the Euro, to achieve gains in foreign exchange. Likewise, fixed income trading was profitable as central banks across the globe continued to lower interest rates on persistent negative data. Overall, the Strategic Allocation Fund gained 0.44% for December.

 

The Strategic Allocation Fund completed the fourth quarter of 2008, one of the most volatile in market history, with a loss for the quarter of 2.23%, bringing the return for the year to (1.53)%.

 

For the Year Ended December 31, 2007

 

Of the (14.65)% return for the year ended December 31, 2007, approximately 11.89% was due to trading losses (before commissions) and approximately 7.46% due to brokerage fees, operating costs and offering costs borne by the Strategic Allocation Fund offset by approximately 4.70% due to interest income. An analysis of the 11.89% trading loss by sector is as follows:

 

 

The first quarter demonstrated how market perceptions on the global macroeconomic environment can drastically change during a quarter. Fixed income was initially a driver in performance as a result of the acceleration of global economic momentum, but ultimately resulted in overall losses for the quarter. The global growth environment turned into a flight to quality from risky assets, sponsored by former Federal Reserve Chairman Alan Greenspan’s comments about a recession by year end and the whipsaw activity experience in fixed income. Currency trading followed a similar path of fixed income (initial gains and overall quarterly losses); initial gains from currency crosses were generated from unexpected rate hikes by the Bank of England in the beginning of the quarter but were wiped out by the liquidations of Yen-based carry trades in February, followed by whipsaw activity at the end of quarter. The Strategic Allocation

Fund’s equity indices initially bucked the trend of fixed income and currency with gains coming from our fundamental models and strong M&A activity, but ultimately succumbed to an overall quarterly loss. Energy losses were driven by price declines in January on inventory build-ups due to warmer than average temperatures, but finished the last two months of the quarter basically flat. Global economic worries that were sparked at the end of February continued through the early part of March. All major market sectors experienced increased volatility accompanied by sharply higher short-term correlation. Whipsaw activity in currencies, interest rates and equities indices led to negative performance in all of these sectors, acting as the primary drivers of March losses. Risk levels for the Strategic Allocation Fund were reduced early in March in response to market conditions, and were restored to normal levels as conditions warranted.

 

The second quarter charged forward with M&A activity supported by impressive earnings, unfettered access to liquidity and major U.S. indices reaching all time highs, to only end with inflation concerns and a flight to quality related to the sub-prime world. Currencies provided gains early and late in the quarter related to negative U.S. dollar sentiment, but experienced losses mid-quarter mainly in outright exposures. Fixed income gains early in the month of April were given back during the last days of the month, but global fixed income prices breaking out of their trading ranges in May allowed the Strategic Allocation Fund to gain on both the long and short end of the yield curve. Early in the quarter commodity trading was positive as copper prices rallied on China’s release of high import figures, then finished slightly negative mid-quarter with energy trading gains mitigating some losses in metals. Commodities ended the quarter with small losses related to being short crude as it rallied above $70 per barrel on geo-political risks and inventory changes keeping traders bullish.

 

The third quarter began with a sudden flight to quality, reversal of high yielding currencies, and a highly correlated, unusually large move against the Strategic Allocation Fund’s positions resulting in one of the Strategic Allocation Fund’s largest monthly declines in recent years. Losses were broadly based and evenly spread between the interest rate, foreign exchange and equity index sectors. In response to this “perfect storm,” the Strategic Allocation Fund’s leverage was temporarily cut by 50%. Continuing the unusual market conditions theme into the first half of August, the contagion effect throughout the financial system created a confidence and liquidity crisis that also negatively impacted the Strategic Allocation Fund’s performance. Major stock, bond and currency markets globally experienced double digit losses from mid-July to mid-August. The foreign exchange sector proved very difficult in August as the Strategic Allocation Fund’s technical and macro models were both exposed to high-yielding currencies that suffered market value declines of historical proportions in mid-August. The Strategic Allocation Fund’s leverage was cut again in mid-August. Trading in the equity indices sector was also difficult as volatility dominated global stock markets, with the S&P dropping over 8% from its intra-month high only to bounce off of its lows once the Strategic Allocation Fund’s exposure was reduced. The Strategic Allocation Fund earned the majority of its gains at the end of the quarter in the foreign exchange markets as higher-yielding currencies once again gained favor. Trading in the stock indices sector also posted positive results, as the markets breathed a collective sigh of relief that the Federal Reserve was seriously addressing the credit crisis and resulting economic impact. The Strategic Allocation Fund’s portfolio maintained a lower risk posture throughout the month of September with full re-engagement resuming in the early part of the fourth quarter.

 

The fourth quarter started with mixed messages as corporate earnings’ reports either beat estimates or severely disappointed, money centers and investment banks grappling with major credit related losses, housing data continuing to soften, and the Federal Open Market Committee complying with market expectations of a 25 basis point cut. High yielding currencies provided healthy gains early in the quarter battling back from August lows, however, during the remainder of the quarter the Strategic Allocation Fund incurred its largest sector losses in currencies enduring the yen reaching levels not seen since June of 2005. Trading in global indices proved a similar fate to the currency sector, initially beginning the quarter with gains followed up by two consecutive months of incurring losses related to U.S. recessionary fears spawning fears of a global slowdown in growth. Fixed income began the quarter flat as credit quality remained an underlying concern, then moving to positive returns mid-quarter thanks to Treasuries posting the best month in 12 years, to finishing negative at year-end related to extreme volatility. Energy and base metals began

the quarter with a minimal loss and flat performance, respectively, as the markets continued to wrestle with a tight supply/demand picture, deteriorating geo-political landscape, a weakening dollar and strong growth from India & China. This market landscape then switched to fears of slowing global growth and fundamental arguments for lower energy prices in which Campbell recorded losses in both sectors. The quarter ended with gains realized in base and precious metals as gold rallied 6% to all time highs amid strong buying in the face of a bounce in the U.S. dollar.

 

For the Year Ended December 31, 2006

 

Of the 4.04% return for the year ended December 31, 2006, approximately 6.93% was due to trading gains (before commissions) and approximately 4.72% was due to interest income, offset by approximately 7.61% due to brokerage fees, performance fees, and operating and offering costs borne by the Strategic Allocation Fund. An analysis of the 6.93% trading gain by sector is as follows:

 

 

The first quarter demonstrated how markets interplay and how a diversified set of strategies can take advantage of changes in geopolitical and macroeconomic events. Currencies were relatively quiet in the first two months of the year as the markets tried to ascertain central bank policy intentions for 2006, but managed to rally at quarter-end on expectations of further interest rate hikes. Energy volatility proved difficult for the Strategic Allocation Fund, as the markets continued to fluctuate between excess inventory levels, supply constraints, and the ebb and flow of geopolitical tensions. A sharp sell-off in energy prices in February and a rebound in prices in March left the Strategic Allocation Fund flat in energy trading on the quarter. The first quarter also saw the long end of the yield curve reverse sharply, the markets’ first peek at Ben Bernanke as Chairman of the Federal Reserve Bank, and the reintroduction of the 30-year bond, leaving fixed income trading flat on the quarter. Following all of this activity, the Strategic Allocation Fund recorded gains in equity indices (despite the choppy start for global equity markets) and currencies, and finished the first quarter up 4.49%.

 

The second quarter proved to be quite a bit more difficult for the Strategic Allocation Fund with a quarterly rate of return of (6.29)%. A major sell off of the U.S. dollar against all major currencies, coupled with other central banks contemplating rate hikes, resulted in negative performance, primarily from the Strategic Allocation Fund’s fundamental currency models. These losses proved difficult to overcome despite gains in other sectors. Mid-quarter, the Strategic Allocation Fund was faced with another trend reversal, this time in equities, resulting in additional losses to our global equity index trading. Energy trading was positive overall on the quarter as prices moved higher in response to continuing uncertainty in Iran and the approaching hurricane season. Toward the end of the quarter the markets were choppy as traders were attempting to interpret monetary policies from each of the world’s major central banks. Expectations of slowed economic growth due to central bank policies and the shifting sands of geopolitical events continued to pressure precious and base metals resulting in only slightly positive performance for that sector on the quarter.

 

As much as the second quarter was dominated by the sell off of the U.S. dollar, energy was largely responsible for the Strategic Allocation Fund posting a third quarter return of (3.61)%. Early in the quarter, economic activity suggested a slower pace and a cooling housing market leading to a reduced probability of another rate hike. The quarter began with a push in energy prices higher as a result of certain geopolitical events, followed by a sharp reversal in the energy complex on the perception of easing geopolitical intensions, a mild hurricane season and steadily rising inventories. Energy markets continued to sell off towards the end of the quarter causing losses for the Strategic Allocation Fund. Gains were recorded in the currency markets, where losses on the Strategic Allocation Fund’s cross rate exposures were more than offset by gains in outright positions, despite the historically low volatilities in many of these markets. The market continued to believe the U.S. Federal Reserve would not raise rates in the foreseeable future and consequently the Strategic Allocation Fund recorded small losses in the interest rate sector and small gains in equity index trading.

The fourth quarter of 2006 proved to be a very productive period for our strategies, and produced a quarterly return of 10.23% for the Strategic Allocation Fund. The currency sector carried the Strategic Allocation Fund throughout the quarter, recording gains related to the renewed popularity of the Yen “carry” trade, Euro related crosses and the continued weakening of the Swiss Franc. The same strategies that caused the Strategic Allocation Fund difficulty in April and May, benefited the Strategic Allocation Fund throughout the fourth quarter and finished positive on the year overall. Equity index trading was also strongly positive throughout the quarter on strong economic growth, restrained inflation, and continued red-hot M&A activity ultimately contributing to the Dow finishing the year near all-time highs. The energy complex continued its unpredictable pattern-hitting lows for the year-to-date at the beginning of the quarter, rallying on refinery problems in November, and then falling back on above average temperatures throughout the U.S. and Europe. The Strategic Allocation Fund posted overall losses in the energy sector for the quarter and the year. Fixed income trading was slightly negative on the quarter until December when the sector contributed significantly to gains for the Strategic Allocation Fund. Yields rose sharply across the curve on firm November payrolls, stronger mid-month retail sales and indications of a potential boom in housing market data.

 

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Strategic Allocation Fund trades in futures, forward and options contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Strategic Allocation Fund, market risk, that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Strategic Allocation Fund at the same time, and if the Strategic Allocation Fund’s trading advisor was unable to offset futures interests positions of the Strategic Allocation Fund, the Strategic Allocation Fund could lose all of its assets and the Limited Partners would realize a 100% loss. Campbell & Company, Inc., the General Partner (who also acts as trading advisor), minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%.

 

In addition to market risk, in entering into futures, forward and option contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Strategic Allocation Fund. The counterparty for futures contracts traded in the United States and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.

 

In the case of forward and option contracts, which are traded on the interbank market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a group of financial institutions; thus there may be a greater counterparty credit risk. Campbell & Company trades for the Strategic Allocation Fund only with those counterparties which it believes to be creditworthy. All positions of the Strategic Allocation Fund are valued each day on a mark-to-market basis. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Strategic Allocation Fund.

 

The Strategic Allocation Fund invests in futures, forward currency and options on forward currency contracts. The market value of futures (exchange-traded) contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of the last business day of the reporting period. The market value of forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) of the last business day of the reporting period or based on the market value of its exchange-traded equivalent. The

market value of option (non-exchange traded) contracts is calculated by applying an industry-standard adaptation of the Black-Scholes options valuation model to foreign currency options, using as input, the spot prices, interest rates and option implied volatilities quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period.

 

Introduction

 

Past Results Not Necessarily Indicative of Future Performance

 

The Strategic Allocation Fund is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or a substantial amount of the Strategic Allocation Fund’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Strategic Allocation Fund’s main line of business.

 

Market movements result in frequent changes in the fair market value of the Strategic Allocation Fund’s open positions and, consequently, in its earnings and cash flow. The Strategic Allocation 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 market value of financial instruments and contracts, the diversification effects among the Strategic Allocation Fund’s open positions and the liquidity of the markets in which it trades.

 

The Strategic Allocation Fund rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Strategic Allocation Fund’s past performance is not necessarily indicative of its future results.

 

Standard of Materiality

 

Materiality as used in this section, “Quantitative and Qualitative Disclosures About Market Risk,” is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage and multiplier features of the Strategic Allocation Fund’s market sensitive instruments.

 

Quantifying the Strategic Allocation Fund’s Trading Value at Risk

 

The following quantitative disclosures regarding the Strategic Allocation Fund’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact (such as the dollar amount of maintenance margin required for market risk sensitive instruments held at the end of the reporting period).

 

The Strategic Allocation Fund’s risk exposure in the various market sectors traded is estimated in terms of Value at Risk (VaR). The Strategic Allocation Fund estimates VaR using a model based upon historical simulation (with a confidence level of 97.5%) which involves constructing a distribution of hypothetical daily changes in the value of a trading portfolio. The VaR model takes into account linear exposures to risks, including equity and commodity prices, interest rates, foreign exchange rates, and correlation among these variables. The hypothetical changes in portfolio value are based on daily percentage changes observed in key market indices or other market factors to which the portfolio is sensitive. The Strategic Allocation Fund’s VaR at a one day 97.5% confidence level of the Strategic Allocation Fund’s VaR corresponds to the negative change in portfolio value that, based on observed market risk factors, would have been exceeded once in 40 trading days or one day in 40. VaR typically does not represent the worst case outcome.

 

The Strategic Allocation Fund uses approximately one quarter of daily market data and revalues its portfolio for each of the historical market moves that occurred over this time period. This generates a probability distribution of daily “simulated profit and loss” outcomes. The VaR is the 2.5 percentile of this distribution.

 

The VaR for a sector represents the one day downside risk for the aggregate exposures associated with this sector. The current methodology used to calculate the aggregate VaR represents the VaR of the Strategic Allocation 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.

 

The Strategic Allocation Fund’s VaR computations are based on the risk representation of the underlying benchmark for each instrument or contract and does not distinguish between exchange and non-exchange dealer-based instruments. It is also not based on exchange and/or dealer-based maintenance margin requirements.

 

VaR models, including the Strategic Allocation Fund’s, are continually evolving as trading portfolios become more diverse and modeling techniques and systems capabilities improve. Please note that the VaR model is used to numerically quantify market risk for historic reporting purposes only and is not utilized by the Strategic Allocation Fund in its daily risk management activities. Please further note that VaR as described above may not be comparable to similarly titled measures used by other entities.

 

Because the business of the Strategic Allocation Fund is the speculative trading of futures, forwards and options, the composition of the Strategic Allocation Fund’s trading portfolio can change significantly over any given time period, or even within a single trading day, which could positively or negatively materially impact market risk as measured by VaR.

 

The Strategic Allocation Fund’s Trading Value at Risk in Different Market Sectors

 

The following tables indicate the trading Value at Risk associated with the Strategic Allocation Fund’s open positions by market category as of September 30, 2009 and December 31, 2008 and the trading gains/losses by market category for the six months ended September 30, 2009 and the year ended December 31, 2008.

 

September 30, 2009

 

 

 

 

 

December 31, 2008

 

 

 

 

 

Material Limitations on Value at Risk as an Assessment of Market Risk

 

The following limitations of VaR as an assessment of market risk should be noted:

 

 

 

VaR is not necessarily representative of historic risk nor should it be used to predict the Strategic Allocation Fund’s future financial performance or its ability to manage and monitor risk. There can be no assurance that the Strategic Allocation Fund’s actual losses on a particular day will not exceed the VaR amounts indicated or that such losses will not occur more than once in 40 trading days.

 

Non-Trading Risk

 

The Strategic Allocation Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Strategic Allocation Fund also has non-trading market risk as a result of investing a substantial portion of its available assets in U.S. Treasury Bills held at the broker and over-the-counter counterparty. The market risk represented by these investments is minimal. Finally, the Strategic Allocation Fund has non-trading market risk on fixed income securities held as part of its cash management program. The cash managers will use their best endeavors in the management of the assets of the Strategic Allocation Fund but provide no guarantee that any profit or interest will accrue to the Fund as a result of such management.

 

Qualitative Disclosures Regarding Primary Trading Risk Exposures

 

The following qualitative disclosures regarding the Strategic Allocation Fund’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Strategic Allocation Fund manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Strategic Allocation Fund’s primary market risk exposures as well as the strategies used and to be used by Campbell & Company for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Strategic Allocation Fund’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Strategic Allocation Fund. There can be no assurance that the Strategic Allocation Fund’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Strategic Allocation Fund.

 

The following were the primary trading risk exposures of the Strategic Allocation Fund as of September 30, 2009, by market sector.

 

Currencies

 

Exchange rate risk can be a significant market exposure of the Strategic Allocation Fund. The Strategic Allocation Fund’s currency exposure is to foreign exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Strategic Allocation Fund trades in a large number of currencies, including cross-rates — i.e., positions between two currencies other than the U.S. Dollar. Campbell & Company does not anticipate that the risk profile of the Strategic Allocation Fund’s currency sector will change significantly in the future.

 

Interest Rates

 

Interest rate risk can be a significant market exposure of the Strategic Allocation Fund. Interest rate movements directly affect the price of the sovereign bond positions held by the Strategic Allocation Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Strategic Allocation Fund’s profitability. The Strategic Allocation Fund’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. Campbell & Company

anticipates that G-7 interest rates will remain the primary rate exposure of the Strategic Allocation Fund for the foreseeable future. The changes in interest rates that have the most effect on the Strategic Allocation Fund are changes in long-term, as oppose to short-term rates. Most of the speculative positions held by the Strategic Allocation Fund are in medium- to long-term instruments.

 

Stock Indices

 

The Strategic Allocation Fund’s primary equity exposure is to equity price risk in the G-7 countries and several other countries (Hong Kong, Spain, Netherlands and Taiwan). The stock index futures traded by the Strategic Allocation Fund are by law limited to futures on broadly based indices. The Strategic Allocation Fund is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices. (Static markets would not cause major market changes but would make it difficult for the Strategic Allocation Fund to avoid being “whipsawed” into numerous small losses.)

 

Energy

 

The Strategic Allocation Fund’s primary energy market exposure is to crude oil and derivative product price movements, often resulting from international political developments and ongoing conflicts in the Middle East and the perceived outcome. Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

 

Metals

 

The Strategic Allocation Fund’s metals market exposure is to fluctuations in the price of gold, silver, copper, nickel and zinc.

 

Agricultural

 

The Strategic Allocation Fund’s agricultural exposure is to the fluctuations of the price of wheat, corn, coffee and cotton.

 

Qualitative Disclosures Regarding Non-Trading Risk Exposure

 

The following were the primary non-trading risk exposures of the Strategic Allocation Fund as of September 30, 2009.

 

Foreign Currency Balances

 

The Strategic Allocation Fund’s primary foreign currency balances are in Australian Dollar, Japanese Yen, British Pounds and Euros. The Strategic Allocation Fund controls the non-trading risk of these balances by regularly converting these balances back into dollars (no less frequently than twice a month, and more frequently if a particular foreign currency balance becomes unusually large).

 

Fixed Income Securities

 

The Strategic Allocation Fund’s primary market exposure in instruments (other than treasury positions described in the subsequent section) held other than for trading is in its fixed income portfolio. The cash managers, Wilmington and Horizon, have authority to make certain investments on behalf of the Strategic Allocation Fund. All securities purchased by the cash managers on behalf of the Strategic Allocation Fund will be held in the Strategic Allocation Fund’s custody accounts at the custodian. The cash managers will use their best endeavors in the management of the assets of the Strategic Allocation Fund but provide no guarantee that any profit or interest will accrue to the Strategic Allocation Fund as a result of such management.

 

Treasury Bill Positions Held for Margin Purposes

 

The Strategic Allocation Fund also has market exposure in its Treasury Bill portfolio. The Strategic Allocation Fund holds Treasury Bills (interest bearing and credit risk-free) with maturities no longer than six months. Violent fluctuations in prevailing interest rates could cause minimal mark-to-market losses on the Strategic Allocation Fund’s Treasury Bills, although substantially all of these short-term investments are held to maturity.

 

Qualitative Disclosures Regarding Means of Managing Risk Exposure

 

The means by which the Strategic Allocation Fund and Campbell & Company, severally, attempt to manage the risk of the Strategic Allocation 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 precalculating “stop-loss” points at which systems will signal to close open positions.

 

Campbell & Company manages the risk of the Strategic Allocation Fund’s non-trading instruments of Treasury Bills held for margin purposes by limiting the duration of such instruments to no more than six months.

 

Campbell & Company manages the risk of the Strategic Allocation Fund’s fixed income securities held for cash management purposes by restricting the cash managers to investing in securities that are modeled after those investments allowed by the futures broker as defined under The Commodity Exchange Act, Title 17, Part 1, § 1.25 Investment of customer funds. Investments can include, but are not limited to, (i) U.S. Government Securities, Government Agency Securities, Municipal Securities, banker acceptances and certificates of deposits; (ii) commercial paper; and (iii) corporate debt.

 

The Strategic Allocation Fund is unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or uncertainties that will have a material effect on operations. From time to time, certain regulatory agencies have proposed increased margin requirements on futures contracts. Because the Strategic Allocation Fund generally will use a small percentage of assets as margin, the Strategic Allocation Fund does not believe that any increase in margin requirements, as proposed, will have a material effect on the Strategic Allocation Fund’s operations.

 

The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates utilized in preparing the financial statements are reasonable and prudent; however, actual results could differ from those estimates.

 

The Global Trend Fund will record all investments at fair value in its financial statements, with changes in fair value reported as a component of change in unrealized trading gain (loss) in the Statements of Operations. Generally, fair values are based on market prices; however, in certain circumstances, estimates are involved in determining fair value in the absence of an active market closing price (e.g. forward contracts and options on forward contracts which are traded in the inter-bank market).

 

The selling agents will offer the Global Trend Fund Units during the initial offering period, and thereafter through the sale of Units offered pursuant to the continuing offering. The Global Trend Fund does not intend to raise any capital through borrowing. Due to the nature of the Global Trend Fund’s business, it will make no capital expenditures and will have no capital assets, which are not operating capital or assets.

 

Most United States commodity exchanges limit fluctuations in futures contracts prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” During a single trading day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has reached the daily limit for that day, positions in that contract can neither be taken nor liquidated. Futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Global Trend Fund from promptly liquidating unfavorable positions and subject the Global Trend Fund to substantial losses which could exceed the margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Global Trend Fund may not be able to execute futures trades at favorable prices if little trading in such contracts is taking place. Other than these limitations on liquidity, which are inherent in the Global Trend Fund’s futures trading operations, the Global Trend Fund’s assets are expected to be highly liquid.

 

The entire offering proceeds, without deductions, will be credited to the Global Trend Fund’s

bank, brokerage and/or cash management accounts. The Global Trend Fund will meet margin requirements for its trading activities by depositing cash or U.S. government securities with the futures broker and the over-the-counter counterparty. This does not reduce the risk of loss from trading futures, forward and option contracts. The Global Trend Fund will receive all interest earned on its assets. No other person shall receive any interest or other economic benefits from the deposit of Global Trend Fund assets.

 

Approximately 10% to 30% of the Global Trend Fund’s assets will normally be committed as required margin for futures contracts and held by the futures broker, although the amount committed may vary significantly. Such assets will be maintained in the form of cash or U.S. Treasury bills in segregated accounts with the futures brokers pursuant to the Commodity Exchange Act and regulations thereunder. Approximately 10% to 30% of the Global Trend Fund’s assets will be deposited with over-the-counter counterparty in order to initiate and maintain forward and options on forward contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets will be held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparty.

 

The trading advisor will deposit the majority of those assets of the Global Trend Fund that are not required to be deposited as margin with the futures broker and over-the-counter counterparty in a custodial account for each Series with Northern Trust Company. The assets deposited in the custodial accounts with Northern Trust Company will be segregated. Such custodial accounts will constitute approximately 40% to 80% of the Global Trend Fund’s assets and will be invested, directly by Wilmington Trust Investment Management LLC (“Wilmington”). Wilmington is registered with the Securities and Exchange Commission as an investment adviser under the Investment Advisers Act of 1940. Wilmington does not guarantee any interest or profits will accrue on the Global Trend Fund’s assets in the custodial accounts. Wilmington will invest according to agreed upon investment guidelines that are modeled after those investments allowed by the futures broker as defined under The Commodity Exchange Act, Title 17, Part 1, § 1.25 Investment of customer funds. Investments can include, but are not limited to, (i) U.S. Government Securities, Government Agency Securities, Municipal Securities, banker acceptances and certificates of deposits; (ii) commercial paper; and (iii) corporate debt.

 

The Global Trend Fund will occasionally receive margin calls (requests to post more collateral) from its futures broker or over-the-counter counterparty, which are met by moving the required portion of the assets held in the custody accounts at Northern Trust to the margin accounts.

 

The Global Trend Fund’s assets will not be, directly or indirectly, commingled with the property of any other person in violation of law or invested with or loaned to Campbell & Company or any affiliated entities.

 

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Global Trend Fund will trade in futures, forward and options contracts and therefore will be a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Global Trend Fund, market risk, that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Global Trend Fund at the same time, and if the Global Trend Fund’s trading advisor was unable to offset futures interests positions of the Global Trend Fund, the Global Trend Fund could lose all of its assets and the Limited Partners would realize a 100% loss. Campbell & Company, as general partner of the Global Trend Fund (who also acts as trading advisor) minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%.

 

In addition to market risk, in entering into futures, forward and options contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Global Trend Fund. The counterparty for futures contracts traded in the United States and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate

members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.

 

In the case of forward and options contracts, which are traded on the interbank market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a group of financial institutions; thus there may be a greater counterparty credit risk. Campbell & Company will trade for the Global Trend Fund only with those counterparties which it believes to be creditworthy. All positions of the Global Trend Fund will be valued each day on a mark-to-market basis. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Global Trend Fund.

 

 

Name of Pool:  Campbell Strategic Allocation Fund, L.P.

Type of Pool:  Publicly offered

Inception of Trading:  April 18, 1994

Aggregate Gross Capital Subscriptions to the Fund:  $6,078,611,354

Current Net Asset Value of the Fund:  $1,872,271,808

Worst Monthly Percentage Draw-down⁽¹⁾: July 2007/10.92%

Worst Peak-to-Valley Draw-down⁽¹⁾: June 2007 — August 2009/28.12%

 

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.