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


FORM 10-Q


☑
Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the quarterly period ended June 30, 20202021
or


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


Commission File number: 000-22260


CAMPBELL STRATEGIC ALLOCATION FUND, L.P.


(Exact name of Registrant as specified in charter)


Delaware
 52-1823554
  (State or other jurisdiction of incorporation or organization)   (IRS Employer Identification Number)


 2850 Quarry Lake Drive
 
 Baltimore, Maryland 21209 
  (Address of principal executive offices, including zip code) 

  (410) 413-2600 
  (Registrant’s telephone number, including area code) 

Securities registered pursuant to Section 12(b) of the Act:


Title of each classTrading Symbol(s)Name of each exchange on which registered
Not applicable.Not applicable.
Not applicable.


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


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


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


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

Emerging growth company ☐

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


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


The Registrant has no voting stock. As of June 30, 2020,2021, there were 70,875.53959,584.483 Units of General and Limited Partnership Interest issued and outstanding.


TABLE OF CONTENTS


 Page
PART I — FINANCIAL INFORMATION 
    
 Item 1.Financial Statements. 
    
  
Condensed Schedules of Investments as of June 30, 20202021 and December 31, 20192020 (Unaudited)
1-41-6
    
  
Statements of Financial Condition as of June 30, 20202021 and December 31, 20192020 (Unaudited)
57
    
  
Statements of Operations for the Three Months and Six Months Ended June 30, 20202021 and 20192020 (Unaudited)
68
    
  
Statements of Cash Flows for the Six Months Ended June 30, 20202021 and 20192020 (Unaudited)
79
    
  
Statements of Changes in Partners’ Capital (Net Asset Value) for the Three Months and Six Months Ended June 30, 20202021 and 20192020 (Unaudited)
810
    
  
Financial Highlights for the Three Months and Six Months Ended June 30, 20202021 and 20192020 (Unaudited)
911
    
  
Notes to Financial Statements (Unaudited)
10-2212-26
    
 Item 2.
Management’s Discussion and Analysis of Financial Condition and Results of Operations.
23-2927-34
    
 Item 3.
Quantitative and Qualitative Disclosure About Market Risk.
30-3434-39
    
 Item 4.
Controls and Procedures.
3439
    
PARTII — OTHER INFORMATION
 
    
 Item 1.
Legal Proceedings.
35
40
    
 Item 1A.
Risk Factors.
3540
    
 Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds.
3540
    
 Item 3.
Defaults Upon Senior Securities.
3540
    
 Item 4.
Mine Safety Disclosures.
3540
    
 Item 5.
Other Information.
3540
    
 Item 6.
Exhibits.
36-3741-42
    
SIGNATURES
3843



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS

JUNE 30, 20202021 (Unaudited)

Maturity   Fair  % of Net 
Face Value Description Value ($)  Asset Value 


 Asset Backed Securities      
   United States      
   Auto Loans 
$
5,522,348
   
3.87
%
   Credit Cards  
542,317
   
0.38
%
   Equipment Loans  
494,660
   
0.35
%
   
Total Asset Backed Securities (cost $6,571,025)
  
6,559,325
   
4.60
%
            
   Bank Deposits        
   Australia        
   Financials (cost $799,936)  
800,065
   
0.56
%
   Singapore        
   Financials (cost $775,000)  
775,056
   
0.54
%
   United States        
   Financials (cost $870,000)  
869,479
   
0.61
%
   
Total Bank Deposits (cost $2,444,936)
  
2,444,600
   
1.71
%
            
   Commercial Paper        
   France        
   Financials (cost $774,290)  
774,482
   
0.54
%
   United Kingdom        
   Financials (cost $3,504,395)  
3,504,492
   
2.46
%
   United States        
   Communications  
499,722
   
0.35
%
   Consumer Discretionary  
7,667,908
   
5.38
%
   Consumer Staples  
1,749,463
   
1.23
%
   Financials  
6,325,165
   
4.44
%
   Industrials  
639,962
   
0.45
%
   Real estate  
5,234,646
   
3.67
%
   Utilities  
11,363,722
   
7.97
%
   
Total United States (cost $33,482,005)
  
33,480,588
   
23.49
%
   
Total Commercial Paper (cost $37,760,690)
 
$
37,759,562
  
$
26.48
%

FIXED INCOME SECURITIES

Maturity
Face Value
 Description 
Fair
Value ($)
  
% of Net
Asset Value
 

  Asset Backed Securities      
   United States      
   Auto Loans $8,867,570   5.84%
   Credit Cards  553,899   0.36%
   Equipment Loans  462,993   0.31%
   Utility Rate Reduction Bonds  11,678   0.01%
   
Total Asset Backed Securities (cost $9,800,811)
  9,896,140   6.52%
            
   Bank Deposits        
   United States        
   Financials  1,343,499   0.88%
   
Total Bank Deposits (cost $1,340,338)
  1,343,499   0.88%
            
   Commercial Paper        
   Australia        
   Financials (cost $248,869)  249,815   0.16%
   Netherlands        
   Energy (cost $679,199)  679,827   0.45%
   Spain        
   Financials (cost $1,998,635)  1,999,420   1.32%
   Switzerland        
   Financials (cost $2,847,742)  2,857,785   1.88%
   United Kingdom        
   Financials (cost $2,093,142)  2,094,755   1.38%
   United States        
   Communications  3,552,315   2.34%
   Consumer Staples  2,679,359   1.76%
   Energy  5,159,004   3.40%
   Financials  11,516,172   7.58%
   Industrials  1,499,894   0.99%
   Materials  1,436,567   0.94%
   Utilities  14,289,100   9.41%
   
Total United States (cost $40,095,801)
  40,132,411   26.42%
   
Total Commercial Paper (cost $47,963,388)
  48,014,013   31.61%
            
   Corporate Bonds        
   Australia        
   Financials (cost $1,910,000)  1,909,693   1.26%
   Canada        
   Financials (cost $3,752,085)  3,753,657   2.47%
   Germany        
   Consumer Discretionary (cost $2,144,490)  2,139,103   1.41%
   Switzerland        
   Financials (cost $1,304,666)  1,319,811   0.87%
   United Kingdom        
   Financials (cost $2,982,940)  3,008,536   1.98%
   United States        
   Communications  544,310   0.36%
   Consumer Discretionary  6,865,741   4.52%
   Consumer Staples  2,552,552   1.68%
   Energy  11,161,727   7.35%
   Financials  1,477,699   0.97%
   Industrials  3,286,788   2.16%
   Materials  480,450   0.32%
   Technology  3,056,663   2.01%
   Utilities  793,777   0.52%
   
Total United States (cost $30,058,757)
  30,219,707   19.89%
   
Total Corporate Bonds (cost $42,152,938)
 $42,350,507   27.88%

See Accompanying Notes to Financial Statements.



1
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

JUNE 30, 20202021 (Unaudited)


FIXED INCOME SECURITIES

Maturity
Face Value
 Description 
Fair
Value ($)
 
% of Net
Asset Value
 
MaturityMaturity  Fair  % of Net 
Face ValueFace Value Description Value ($)  Asset Value 


 Corporate Bonds      
  Australia      
  
Financials (cost $1,910,000)
 
$
1,920,729
   
1.35
%
  Canada        
  Financials  
3,418,333
   
2.40
%
  Energy  
240,591
   
0.17
%
  
Total Canada (cost $3,650,279)
  
3,658,924
   
2.57
%
  Germany        
  
Consumer Discretionary (cost $2,144,897)
  
2,153,530
   
1.51
%
  Japan        
  
Financials (cost $1,193,313)
  
1,193,765
   
0.84
%
  Switzerland        
  
Financials (cost $2,019,647)
  
2,031,908
   
1.43
%
  United States        
  Communications  
777,247
   
0.55
%
  Consumer Discretionary  
2,313,896
   
1.62
%
  Consumer Staples  
2,277,246
   
1.60
%
  Energy  
2,517,855
   
1.77
%
  Financials  
6,421,220
   
4.50
%
  Health care  
1,178,102
   
0.83
%
  Industrials  
2,673,437
   
1.88
%
  Technology  
945,456
   
0.66
%
  Real estate  
796,240
   
0.56
%
  Utilities  
1,313,685
   
0.92
%
  
Total United States (cost $21,154,191)
  
21,214,384
   
14.89
%
  
Total Corporate Bonds (cost $32,072,327)
  
32,173,240
   
22.59
%
           
           
 Government and Agency Obligations       Government and Agency Obligations        
 United States       United States        
 U.S. Treasury Bills       U.S. Treasury Bills        
$135,000 U.S. Treasury Bills * Due 07/16/2020 $134,993   0.09%2,135,000 
U.S. Treasury Bills Due 07/15/2021 (1)
  
2,134,964
   
1.50
%
$7,675,000 U.S. Treasury Bills * Due 08/13/2020  7,673,764   5.05%5,300,000 
U.S. Treasury Bills Due 08/12/2021 (1)
  
5,299,676
   
3.72
%
$8,835,000 U.S. Treasury Bills * Due 09/10/2020  8,832,650   5.82%10,000,000 
U.S. Treasury Bills Due 09/16/2021 (1)
  
9,999,090
   
7.01
%
  
Total Government and Agency Obligations (cost $16,640,971)
  16,641,407   10.96%  
Total Government and Agency Obligations (cost $17,434,819)
  
17,433,730
   
12.23
%
  
Total Fixed Income Securities ** (cost $117,898,446)
 $118,245,566   77.85%  
Total Fixed Income Securities (cost $96,283,797) (2)
 
$
96,370,457
   
67.61
%

SHORT TERM INVESTMENTS

  
Fair
Value ($)
  
% of Net
Asset Value
 
Money Market Funds      
United States      
Money Market Funds (cost $920,312) $920,312   0.61%
Total Short Term Investments (cost $920,312)
 $920,312   0.61%

LONG FUTURES CONTRACTS

Description
 
Fair
Value ($)
  
% of Net
Asset Value
 
Agriculture $(31,010)  (0.02)%
Metals  3,537,653   2.33%
Stock indices  79,745   0.05%
Short-term interest rates  222,915   0.15%
Long-term interest rates  1,481,584   0.97%
Net unrealized gain (loss) on long futures contracts  5,290,887   3.48%

SHORT FUTURES CONTRACTS

Description
 
Fair
Value ($)
  
% of Net
Asset Value
 
Agriculture  (431,515)  (0.28)%
Energy  504,878   0.33%
Metals  (4,475,404)  (2.95)%
Stock indices  (14,989)  (0.01)%
Short-term interest rates  (80,004)  (0.05)%
Long-term interest rates  (18,573)  (0.01)%
Net unrealized gain (loss) on short futures contracts  (4,515,607)  (2.97)%
Net unrealized gain (loss) on open futures contracts $775,280   0.51%

FORWARD CURRENCY CONTRACTS

Description

Fair
Value ($)
 
% of Net
Asset Value
 
Various long forward currency contracts $(4,285,765)
  (2.82)%
Various short forward currency contracts  2,388,941
  1.57%
Net unrealized gain (loss) on open forward currency contracts $(1,896,824)  (1.25)%


*(1)Pledged as collateral for the trading of futuresfuture positions.
**(2)Included in fixed income securities are U.S. Treasury Bills with a fair value of $16,641,407$17,433,730 deposited with the futures broker.brokers.

See Accompanying Notes to Financial Statements.

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

FIXED INCOME SECURITIES
Maturity
Face Value
 Description 
Fair
Value ($)
  
% of Net
Asset Value
 

  Asset Backed Securities      
   United States      
   Auto Loans $8,083,815   4.93%
   Credit Cards  1,495,173   0.91%
   Equipment Loans  563,774   0.35%
   Utility Rate Reduction Bond  366,602   0.22%
   
Total Asset Backed Securities (cost $10,469,597)
  10,509,364   6.41%
            
   Bank Deposits        
   Singapore        
   Financials  1,145,043   0.70%
   
Total Bank Deposits (cost $1,145,035)
  1,145,043   0.70%
            
   Commercial Paper        
   Australia        
   Financials (cost $1,392,419)  1,392,117   0.85%
   Canada        
   Financials (cost $599,779)  599,772   0.37%
   Spain        
   Financials (cost $806,584)  806,563   0.49%
   Sweden        
   Financials (cost $1,679,537)  1,679,728   1.02%
   Switzerland        
   Financials (cost $2,223,438)  2,223,543   1.36%
   United States        
   Communications  1,547,565   0.94%
   Consumer Discretionary  9,757,433   5.95%
   Consumer Staples  1,099,493   0.67%
   Financials  16,563,388   10.11%
   Industrials  1,098,672   0.67%
   Utilities  16,262,810   9.93%
   
Total United States (cost $46,329,947)
  46,329,361   28.27%
   
Total Commercial Paper (cost $53,031,704)
  53,031,084   32.36%
            
   Corporate Bonds        
   Australia        
   Financials (cost $364,988)  366,759   0.23%
   Canada        
   Financials  2,864,957   1.75%
   Industrials  915,229   0.56%
   
Total Canada (cost $3,774,685)
  3,780,186   2.31%
   Germany        
   Consumer Discretionary (cost $2,893,453)  2,904,359   1.77%
   Japan        
   Financials (cost $980,000)  980,181   0.60%
   United Kingdom        
   Energy  250,061   0.15%
   Financials  1,886,738   1.15%
   
Total United Kingdom (cost $2,129,873)
  2,136,799   1.30%
   United States        
   Communications  1,434,626   0.87%
   Consumer Discretionary  7,073,288   4.32%
   Consumer Staples  2,124,263   1.30%
   Energy  3,177,393   1.94%
   Financials  12,781,953   7.80%
   Industrials  2,931,869   1.79%
   Materials  481,657   0.29%
   Technology  2,568,233   1.57%
   Utilities  1,327,017   0.81%
   
Total United States (cost $33,819,239)
  33,900,299   20.69%
   
Total Corporate Bonds (cost $43,962,238)
  44,068,583   26.90%


See Accompanying Notes to Financial Statements.


3
2
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
JUNE 30, 2021 (Unaudited)

SHORT TERM INVESTMENTS
  Fair  % of Net 
Description Value ($)  Asset Value 
Money Market Funds      
United States      
Money Market Funds (cost $3,088,504)
 
$
3,088,504
   
2.17
%
Total Short Term Investments (cost $3,088,504)
 
$
3,088,504
   
2.17
%

LONG FUTURES CONTRACTS

  Fair  % of Net 
Description Value ($)  Asset Value 
Agriculture 
$
260,279
   
0.17
%
Energy  
692,518
   
0.49
%
Metals  
(1,532,294
)
  
(1.07
)%
Stock indices  
290,012
   
0.20
%
Short-term interest rates  
(606,279
)
  
(0.43
)%
Long-term interest rates  
146,780
   
0.10
%
Net unrealized gain (loss) on long futures contracts  
(748,984
)
  
(0.54
)%

SHORT FUTURES CONTRACTS

  Fair  % of Net 
Description Value ($)  Asset Value 
Agriculture  
(30,114
)
  
(0.02
)%
Energy  
17,728
   
0.01
%
Metals  
1,424,795
   
1.00
%
Stock indices  
173,877
   
0.12
%
Short-term interest rates ��
216,709
   
0.15
%
Long-term interest rates  
(645,796
)
  
(0.45
)%
Net unrealized gain (loss) on short futures contracts  
1,157,199
   
0.81
%
Net unrealized gain (loss) on open futures contracts 
$
408,215
   
0.27
%

FORWARD CURRENCY CONTRACTS

  Fair
  % of Net
 
Description Value ($)  Asset Value 
Various long forward currency contracts 
$
(16,753,564
)
  
(11.75
)%
Various short forward currency contracts  
15,326,659
   
10.75
%
Net unrealized gain (loss) on open forward currency contracts 
$
(1,426,905
)
  
(1.00
)%

CREDIT DEFAULT INDEX SWAPS

  Fair  % of Net 
Description Value ($)  Asset Value 
Centrally cleared credit default index swaps - Sell protection (net cost $1,474,832) (3)
 
$
1,790,748
   
1.26
%

INTEREST RATE SWAPS

  Fair  % of Net 
Description Value ($)  Asset Value 
Centrally cleared interest rate swaps - Receive fixed (net cost $603,242) (4)
 
$
509,118
   
0.36
%

(3)Includes $1,773,275 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps broker in the statement of financial condition.
(4)Includes $432,583 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps broker in the statement of financial condition.

See Accompanying Notes to Financial Statements.

3
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2020 (Unaudited)

FIXED INCOME SECURITIES

Maturity
Face Value
 Description 
Fair
Value ($)
  
% of Net
Asset Value
 


 Asset Backed Securities      
   United States      
   Auto Loans 
$
5,362,418
   
3.97
%
   Credit Cards  
548,406
   
0.41
%
   Equipment Loans  
610,982
   
0.45
%
   Total Asset Backed Securities (cost $6,496,521)  
6,521,806
   
4.83
%
            
   Bank Deposits        
   United States        
   Financials  
874,999
   
0.65
%
   Total Bank Deposits (cost $875,109)  
874,999
   
0.65
%
            
   Commercial Paper        
   Switzerland        
   Financials (cost $1,063,200)  
1,064,733
   
0.79
%
   United Kingdom        
   Financials (cost $729,469)  
729,374
   
0.55
%
   United States        
   Consumer Discretionary  
2,394,214
   
1.78
%
   Consumer Staples  
1,464,908
   
1.08
%
   Energy  
1,364,790
   
1.01
%
   Financials  
8,276,221
   
6.12
%
   Industrials  
2,434,867
   
1.80
%
   Utilities  
9,903,470
   
7.33
%
   Total United States (cost $25,835,969)  
25,838,470
   
19.12
%
   Total Commercial Paper (cost $27,628,638) 
$
27,632,577
   
20.45
%

See Accompanying Notes to Financial Statements.

4
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 20192020 (Unaudited)


FIXED INCOME SECURITIES


Maturity
Face Value
Maturity
Face Value
 Description 
Fair
Value ($)
 
% of Net
Asset Value
 
Maturity
Face Value
 Description 
Fair
Value ($)
  
% of Net
Asset Value
 


 Corporate Bonds      
  Australia      
  
Financials (cost $1,910,000)
 
$
1,918,395
   
1.42
%
  Canada        
  
Financials (cost $3,752,648)
  
3,759,657
   
2.78
%
  Germany        
  
Consumer Discretionary (cost $2,144,696)
  
2,158,878
   
1.60
%
  Switzerland        
  
Financials (cost $1,304,759)
  
1,322,027
   
0.98
%
  United Kingdom        
  
Financials (cost $1,880,000)
  
1,883,519
   
1.38
%
  United States        
  Communications  
545,680
   
0.40
%
  Consumer Discretionary  
6,017,125
   
4.46
%
  Consumer Staples  
909,534
   
0.67
%
  Energy  
2,551,362
   
1.89
%
  Financials  
10,134,257
   
7.50
%
  Industrials  
2,475,189
   
1.83
%
  Technology  
3,041,520
   
2.25
%
  
Total United States (cost $25,556,403)
  
25,674,667
   
19.00
%
  
Total Corporate Bonds (cost $36,548,506)
  
36,717,143
   
27.16
%
           
 Government and Agency Obligations       Government and Agency Obligations        
 United States       United States        
 U.S. Treasury Bills       U.S. Treasury Bills        
$6,875,000 U.S. Treasury Bills * Due 01/02/2020  6,875,000   4.20%2,135,000 
U.S. Treasury Bills Due 01/14/2021 (1)
  
2,134,972
   
1.58
%
$1,850,000 U.S. Treasury Bills * Due 01/16/2020  1,848,998   1.13%7,675,000 
U.S. Treasury Bills Due 02/11/2021 (1)
  
7,674,517
   
5.68
%
$17,805,000 U.S. Treasury Bills * Due 02/13/2020  17,774,205   10.85%12,085,000 
U.S. Treasury Bills Due 03/11/2021 (1)
  
12,083,332
   
8.94
%
$12,250,000 U.S. Treasury Bills * Due 03/12/2020  12,214,330   7.45%
  
Total Government And Agency Obligations (cost $38,708,611)
  38,712,533   23.63%  
Total Government and Agency Obligations (cost $21,892,544)
  
21,892,821
   
16.20
%
  
Total Fixed Income Securities ** (cost $147,317,185)
 $147,466,607   90.00%  
Total Fixed Income Securities (cost $93,441,318) (2)
 $93,639,346   69.29%

SHORT TERM INVESTMENTS

Description
 
Fair
Value ($)
  
% of Net
Asset Value
 
Money Market Funds      
United States      
Money Market Funds (cost $3,076) $3,076   0.00%
Total Short Term Investments (cost $3,076)
 $3,076   0.00%

LONG FUTURES CONTRACTS

Description
 
Fair
Value ($)
  
% of Net
Asset Value
 
Agriculture $61,364   0.04%
Energy  529,188   0.32%
Metals  1,141,530   0.70%
Stock indices  128,401   0.08%
Short-term interest rates  (409,618)  (0.25)%
Long-term interest rates  (2,644,733)  (1.62)%
Net unrealized gain (loss) on long futures contracts  (1,193,868)  (0.73)%

SHORT FUTURES CONTRACTS

Description
 
Fair
Value ($)
  
% of Net
Asset Value
 
Agriculture  (1,529,207)  (0.93)%
Energy  311,400   0.19%
Metals  (2,366,834)  (1.44)%
Stock indices  42,062   0.03%
Short-term interest rates  (207)  0.00%
Long-term interest rates  567,801   0.35%
Net unrealized gain (loss) on short futures contracts  (2,974,985)  (1.80)%
Net unrealized gain (loss) on open futures contracts $(4,168,853)  (2.53)%

FORWARD CURRENCY CONTRACTS

Description

 
Fair
Value ($)
 
% of Net
Asset Value
 
Various long forward currency contracts $11,794,066   7.20%
Various short forward currency contracts  (13,216,424)  (8.07)%
Net unrealized gain (loss) on open forward currency contracts $(1,422,358)  (0.87)%

*(1)Pledged as collateral for the trading of futures and forwardfuture positions.
**(2)Included in fixed income securities are U.S. Treasury Bills with a fair value of $28,785,653$21,892,821 deposited with the futures brokers and $9,926,880 deposited with the interbank market makers.brokers.

See Accompanying Notes to Financial Statements.


4
5
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2020 (Unaudited)

SHORT TERM INVESTMENTS

 Description 
Fair
Value ($)
  
% of Net
Asset Value
 
Money Market Funds      
United States      
Money Market Funds (cost $8,053,123)
 
$
8,053,123
   
5.96
%
Total Short Term Investments (cost $8,053,123)
 
$
8,053,123
   
5.96
%

LONG FUTURES CONTRACTS

Description 
Fair
Value ($)
  
% of Net
Asset Value
 
Agriculture 
$
1,420,040
   
1.05
%
Energy  
233,562
   
0.17
%
Metals  
2,030,713
   
1.50
%
Stock indices  
946,270
   
0.70
%
Short-term interest rates  
163,439
   
0.12
%
Long-term interest rates  
971,543
   
0.72
%
Net unrealized gain (loss) on long futures contracts  
5,765,567
   
4.26
%

SHORT FUTURES CONTRACTS

Description 
Fair
Value ($)
  
% of Net
Asset Value
 
Agriculture  
(132,206
)
  
(0.10
)%
Energy  
53,644
   
0.04
%
Metals  
(860,760
)
  
(0.64
)%
Stock indices  
9,072
   
0.01
%
Short-term interest rates  
33,161
   
0.02
%
Long-term interest rates  
(107,424
)
  
(0.08
)%
Net unrealized gain (loss) on short futures contracts  
(1,004,513
)
  
(0.75
)%
Net unrealized gain (loss) on open futures contracts 
$
4,761,054
   
3.51
%

FORWARD CURRENCY CONTRACTS

Description 
Fair
Value ($)
  
% of Net
Asset Value
 
Various long forward currency contracts 
$
4,948,421
   
3.66
%
Various short forward currency contracts  
(3,823,010
)
  
(2.83
)%
Net unrealized gain (loss) on open forward currency contracts 
$
1,125,411
   
0.83
%

CREDIT DEFAULT INDEX SWAPS

Description 
Fair
Value ($)
  
% of Net
Asset Value
 
Centrally cleared credit default index swaps - Sell protection (net cost $817,091) (3)
 
$
1,265,353
   
0.94
%

INTEREST RATE SWAPS

Description 
Fair
Value ($)
  
% of Net
Asset Value
 
Centrally cleared interest rate swaps - Receive fixed (net cost $111,176) (4)
 
$
392,904
   
0.29
%
(3)Includes $1,261,433 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps broker in the statement of financial condition.
(4)Includes $465,134 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps broker in the statement of financial condition.

See Accompanying Notes to Financial Statements.

6
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
JUNE 30, 20202021 AND DECEMBER 31, 20192020 (Unaudited)

 June 30, 2020 December 31, 2019  June 30, 2021  December 31, 2020 
ASSETS            
Equity in futures brokers trading accounts            
Cash $10,839,362  $8,760,955  
$
14,664,319
  
$
7,921,729
 
Restricted cash 6,287,866  2,311,537   2,253,752    
0
 
Fixed income securities (cost $16,640,971 and $28,782,516, respectively) 16,641,407  28,785,653 
Fixed income securities (cost $17,434,819 and $21,892,544, respectively)
  
17,433,730
   
21,892,821
 
Net unrealized gain (loss) on open futures contracts  775,280   (4,168,853)  
408,215
   
4,761,054
 
Total equity in futures brokers trading accounts 34,543,915  35,689,292   
34,760,016
   
34,575,604
 
              
Cash and cash equivalents 2,643,239  5,834,745   
570,528
   
530,925
 
Cash at interbank market maker  
3,301,939
   
6,016,235
 
Restricted cash at interbank market makers 16,364,375  7,963,188   
20,122,283
   
9,501,426
 
Short term investments (cost $920,312 and $3,076, respectively) 920,312  3,076 
Fixed income securities (cost $101,257,475 and $118,534,669, respectively) 101,604,159  118,680,954 
Short term investments (cost $3,088,504 and $8,053,123, respectively)
  
3,088,504
   
8,053,123
 
Cash at swaps broker  
3,187,753
   
3,252,089
 
Restricted cash at swaps broker  
1,793,189
   
4,035,982
 
Fixed income securities (cost $78,848,978 and $71,548,774, respectively)
  
78,936,727
   
71,746,525
 
Credit default index swaps  
17,473
   
3,920
 
Interest rate swaps  
76,535
   
0
 
Due from swaps broker  
25,929
   
22,431
 
Net unrealized gain on open forward currency contracts  
0
   
1,125,411
 
Interest receivable  221,635   284,924   
102,768
   
109,689
 
Total assets $156,297,635  $168,456,179  $145,983,644  $138,973,360 
              
LIABILITIES              
Accounts payable $164,646  $245,160  
$
100,706
  
$
143,714
 
Brokerage fee payable 899,176  972,132   
842,142
   
808,965
 
Net unrealized loss on forward currency contracts 1,896,824  1,422,358 
Net unrealized loss on open forward currency contracts
  1,426,905   0
 
Interest rate swaps  
0
   
72,230
 
Accrued commissions and other trading fees on open contracts 36,319  67,189   
39,208
   
32,264
 
Offering costs payable 55,427  70,313   
49,709
   
45,477
 
Redemptions payable  1,349,428   1,825,504   
965,302
   
2,725,737
 
Total liabilities  4,401,820   4,602,656   
3,423,972
   
3,828,387
 
PARTNERS’ CAPITAL (Net Asset Value)              
General Partner - 0.000 and 0.000 redeemable units outstanding at June 30, 2020 and December 31, 2019 0  0 
Limited Partners - 70,875.539 and 74,725.829 redeemable units outstanding at June 30, 2020 and December 31, 2019
  151,895,815   163,853,523 
General Partner - 0.000 and 0.000 redeemable units outstanding at June 30, 2021 and December 31, 2020
  
0
   
0
 
Limited Partners - 59,584.483 and 63,149.651 redeemable units outstanding at June 30, 2021 and December 31, 2020
  
142,559,672
   
135,144,973
 
Total partners’ capital (Net Asset Value)  151,895,815   163,853,523   
142,559,672
   
135,144,973
 
Total liabilities and partners’ capital (Net Asset Value) $156,297,635  $168,456,179  
$
145,983,644
  
$
138,973,360
 

See Accompanying Notes to Financial Statements.


5
7
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS AND SIX MONTHS ENDED JUNE 30, 20202021 AND 20192020 (Unaudited)


 Three Months Ended June 30,  Six Months Ended June 30, 

 2020  2019  2020  2019 
TRADING GAINS (LOSSES)            
Futures trading gains (losses)            
Realized $492  $15,259,049  $(8,731,667) $21,497,650 
Change in unrealized  (2,060,886)  (1,944,483)  4,944,133   2,336,231 
Brokerage commissions  (233,874)  (279,866)  (539,980)  (559,449)
Net gain (loss) from futures trading  (2,294,268)  13,034,700   (4,327,514)  23,274,432 
                 
Forward currency trading gains (losses)                
Realized  3,984,032   (1,952,204)  6,707,819   2,467,191 
Change in unrealized  (10,902,056)  202,595   (474,466)  (6,164,390)
Brokerage commissions  (22,309)  (39,923)  (48,150)  (77,190)
Net gain (loss) from forward currency trading  (6,940,333)  (1,789,532)  6,185,203   (3,774,389)
Total net trading gain (loss)  (9,234,601)  11,245,168   1,857,689   19,500,043 
                 
NET INVESTMENT INCOME (LOSS)                
Investment income                
Interest income  466,758   1,162,722   1,221,139   2,308,595 
Realized gain (loss) on fixed income securities  8,735   1,894   19,726   2,144 
Change in unrealized gain (loss) on fixed income securities  1,194,182   112,839   197,698   369,969 
Total investment income  1,669,675   1,277,455   1,438,563   2,680,708 
                 
Expenses                
Brokerage fee  2,810,739   3,241,218   5,826,964   6,484,513 
Operating expenses  165,917   177,564   332,011   381,407 
Total expenses  2,976,656   3,418,782   6,158,975   6,865,920 
Net investment income (loss)  (1,306,981)  (2,141,327)  (4,720,412)  (4,185,212)
NET INCOME (LOSS) $(10,541,582) $9,103,841  $(2,862,723) $15,314,831 
                 
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT
                
(based on weighted average number of units outstanding during the period) $(146.16) $110.05  $(39.17) $180.03 
                 
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT
 $(148.93) $108.20  $(49.60) $178.88 
                 
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
  72,124.503   82,721.729   73,080.768   85,067.178 
  Three Months Ended June 30,  Six Months Ended June 30, 

 2021  2020  2021  2020 
TRADING GAINS (LOSSES)            
Futures trading gains (losses)            
Realized 
$
11,949,966
  
$
492
  
$
20,889,416
  
$
(8,731,667
)
Change in unrealized  
(641,912
)
  
(2,060,886
)
  
(4,352,839
)
  
4,944,133
 
Brokerage commissions  
(288,003
)
  
(233,874
)
  
(568,269
)
  
(539,980
)
Net gain (loss) from futures trading  
11,020,051
   
(2,294,268
)
  
15,968,308
   
(4,327,514
)
                 
Forward currency trading gains (losses)                
Realized  
6,694,081
   
3,984,032
   
9,572,951
   
6,707,819
 
Change in unrealized  
(6,986,943
)
  
(10,902,056
)
  
(2,552,316
)
  
(474,466
)
Brokerage commissions  
(43,354
)
  
(22,309
)
  
(71,696
)
  
(48,150
)
Net gain (loss) from forward currency trading  
(336,216
)
  
(6,940,333
)
  
6,948,939
   
6,185,203
 
                 
Swap trading gains (losses)                
Realized  
29,899
   
0
   
(1,745,470
)
  
0
 
Change in unrealized  
169,571
   
0
   
(508,198
)
  
0
 
Net gain (loss) from swap trading  
199,470
   
0
   
(2,253,668
)
  
0
 
Total net trading gain (loss)  
10,883,305
   
(9,234,601
)
  
20,663,579
   
1,857,689
 
                 
NET INVESTMENT INCOME (LOSS)                
Investment income                
Interest income  
102,856
   
466,758
   
230,821
   
1,221,139
 
Realized gain (loss) on fixed income securities  
(13,034
)
  
8,735
   
(16,788
)
  
19,726
 
Change in unrealized gain (loss) on fixed income securities  
(32,450
)
  
1,194,182
   
(111,368
)
  
197,698
 
Total investment income  
57,372
   
1,669,675
   
102,665
   
1,438,563
 
                 
Expenses                
Brokerage fee  
2,527,891
   
2,810,739
   
4,879,296
   
5,826,964
 
Operating expenses  
128,970
   
165,917
   
256,582
   
332,011
 
Total expenses  
2,656,861
   
2,976,656
   
5,135,878
   
6,158,975
 
Net investment income (loss)  
(2,599,489
)
  
(1,306,981
)
  
(5,033,213
)
  
(4,720,412
)
NET INCOME (LOSS) 
$
8,283,816
  
$
(10,541,582
)
 
$
15,630,366
  
$
(2,862,723
)
                 
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT                
(based on weighted average number of units outstanding during the period) 
$
137.19
  
$
(146.16
)
 
$
254.86
  
$
(39.17
)
                 
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT
 
$
134.09
  $(148.93) 
$
252.49
  
$
(49.60
)
                 
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
  
60,381.403
   
72,124.503
   
61,329.242
   
73,080.768
 


See Accompanying Notes to Financial Statements.


6
8
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
FOR THE SIXTHREE MONTHS ENDED JUNE 30, 20202021 AND 20192020 (Unaudited)
 
 Six Months Ended June 30,  Three Months Ended June 30, 
 2020 2019  2021
  2020
 
Cash flows from (for) operating activities           
Net income (loss) $(2,862,723) $15,314,831  
$
15,630,366
  
$
(2,862,723
)
Adjustments to reconcile net income (loss) to net cash from (for) operating activities              
Net change in unrealized on futures, forwards and investments (4,667,365) 3,458,190 
Net change in unrealized on futures, forwards, swaps and investments  
7,524,721
   
(4,667,365
)
(Increase) decrease in interest receivable 63,289  32,134   
6,921
   
63,289
 
(Increase) decrease in due from swaps broker  
(3,498
)
  
0
 
Increase (decrease) in accounts payable and accrued expenses (184,340) (47,957)  
(2,887
)
  
(184,340
)
Net purchases from swap contracts  
(670,517
)
  
0
 
Purchases of investments (691,182,950) (987,762,547)  
(706,654,831
)
  
(691,182,950
)
Sales/maturities of investments  719,684,453   993,911,342   
708,776,972
   
719,684,453
 
Net cash from (for) operating activities  20,850,364   24,905,993   
24,607,247
   
20,850,364
 
              
Cash flows from (for) financing activities              
Redemption of units (9,199,571) (20,401,728)  
(9,668,602
)
  
(9,199,571
)
Offering costs paid  (386,376)  (424,477)  
(303,268
)
  
(386,376
)
Net cash from (for) financing activities  (9,585,947)  (20,826,205)  
(9,971,870
)
  
(9,585,947
)
              
Net increase (decrease) in cash, cash equivalents and restricted cash 11,264,417  4,079,788   
14,635,377
   
11,264,417
 
              
Cash, cash equivalents and restricted cash at beginning of period  24,870,425   28,167,754   
31,258,386
   
24,870,425
 

        
Cash, cash equivalents and restricted cash at end of period $36,134,842  $32,247,542  
$
45,893,763
  
$
36,134,842
 


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


 June 30, 2020 December 31, 2019  June 30, 2021  December 31,2020 
Cash, cash equivalents and restricted cash at end of period consists of:            
Equity in futures brokers trading accounts:            
Cash
 $10,839,362  $8,760,955  
$
14,664,319
  
$
7,921,729
 
Restricted cash
 6,287,866  2,311,537   2,253,752
   0 
Cash and cash equivalents 2,643,239  5,834,745   
570,528
   
530,925
 
Cash at interbank market maker  
3,301,939
   
6,016,235
 
Restricted cash at interbank market makers  16,364,375   7,963,188   
20,122,283
   
9,501,426
 
Cash at swaps broker  
3,187,753
   
3,252,089
 
Restricted cash at swaps broker  
1,793,189
   
4,035,982
 
Total cash, cash equivalents and restricted cash at end of period $36,134,842  $24,870,425  
$
45,893,763
  
$
31,258,386
 


See Accompanying Notes to Financial Statements.


7
9
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL (NET ASSETASSETS VALUE)
FOR THE SIX MONTHS ENDED JUNE 30, 2020 AND 2019 (Unaudited)

  Partners’ Capital 
  General Partner  Limited Partners  Total 
  Units  Amount  Units  Amount  Units  Amount 
Six Months Ended June 30, 2020                  
                   
Balances at December 31, 2019  0.000  $0   74,725.829  $163,853,523   74,725.829  $163,853,523 
Net income (loss) for the three months ended March 31, 2020      0       7,678,859       7,678,859 
Redemptions  0.000   0   (2,063.891)  (4,780,012)  (2,063.891)  (4,780,012)
Offering costs      0       (206,947)      (206,947)
Balances at March 31, 2020  0.000  $0   72,661.938  $166,545,423   72,661.938  $166,545,423 
                         
Net income (loss) for the three months ended June 30, 2020
      0       (10,541,582)      (10,541,582)
Redemptions  0.000   0   (1,786.399)  (3,943,483)  (1,786.399)  (3,943,483)
Offering costs      0       (164,543)      (164,543)
Balances at June 30, 2020  0.000  $0   70,875.539  $151,895,815   70,875.539  $151,895,815 
                         
Six Months Ended June 30, 2019                        
                         
Balances at December 31, 2018  0.000  $0   89,103.635  $187,246,042   89,103.635  $187,246,042 
Net income (loss) for the three months ended March 31, 2019
      0       6,210,990       6,210,990 
Redemptions  0.000   0   (5,132.100)  (10,837,698)  (5,132.100)  (10,837,698)
Offering costs      0       (222,791)      (222,791)
Balances at March 31, 2019  0.000  $0   83,971.535  $182,396,543   83,971.535  $182,396,543 
                         
Net income (loss) for the three months ended June 30, 2019
      0       9,103,841       9,103,841 
Redemptions  0.000   0   (3,239.772)  (7,190,366)  (3,239.772)  (7,190,366)
Offering costs      0       (215,876)      (215,876)
Balances at June 30, 2019  0.000  $0   80,731.763  $184,094,142   80,731.763  $184,094,142 

Net Asset Value per General and Limited Partner Unit

June 30, 2020  March 31, 2020  December 31, 2019  June 30, 2019  March 31, 2019  December 31, 2018 
$2,143.13  $2,292.06  $2,192.73  $2,280.32  $2,172.12  $2,101.44 

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
FINANCIAL HIGHLIGHTS

FOR THE THREE MONTHS AND SIX MONTHS ENDED JUNE 30, 20202021 AND 20192020 (Unaudited)

  Partners’ Capital 
  General Partner  Limited Partners  Total 
  Units  Amount  Units  Amount  Units  Amount 
Six Months Ended June 30, 2021                  
                   
Balances at December 31, 2020  0.000  
$
0
   63,149.651  
$
135,144,973
   63,149.651  
$
135,144,973
 
Net income (loss) for the three months ended March 31, 2021      
0
       
7,346,550
       
7,346,550
 
Redemptions  0.000   
0
   (2,389.505)  
(5,110,068
)
  (2,389.505)  
(5,110,068
)
Offering costs      
0
       
(156,766
)
      
(156,766
)
Balances at March 31, 2021  0.000  
$
0
   60,760.146  
$
137,224,689
   60,760.146  
$
137,224,689
 
                         
Net income (loss) for the three months ended June 30, 2021      
0
       
8,283,816
       
8,283,816
 
Redemptions  0.000   
0
   (1,175.663)  
(2,798,099
)
  (1,175.663)  
(2,798,099
)
Offering costs      
0
       
(150,734
)
      
(150,734
)
Balances at June 30, 2021  0.000  
$
0
   59,584.483  
$
142,559,672
   59,584.483  
$
142,559,672
 
                         
Six Months Ended June 30, 2020                        
                         
Balances at December 31, 2020  0.000  
$
0
   74,725.829  
$
163,853,523
   74,725.829  
$
163,853,523
 
Net income (loss) for the three months ended March 31, 2020      
0
       
7,678,859
      
$
7,678,859
 
Redemptions  0.000   
0
   (2,063.891)  
(4,780,012
)
  (2,063.891)  
(4,780,012
)
Offering costs      
0
       
(206,947
)
      
(206,947
)
Balances at March 31, 2020  0.000  
$
0
   72,661.938  
$
166,545,423
   72,661.938  
$
166,545,423
 
                         
Net income (loss) for the three months ended June 30, 2020      
0
       
(10,541,582
)
      
(10,541,582
)
Redemptions  0.000   
0
   (1,786.399)  
(3,943,483
)
  (1,786.399)  
(3,943,484
)
Offering costs      
0
       
(164,543
)
      
(164,542
)
Balances at June 30, 2020  0.000  
$
0
   70,875.539  
$
151,895,815
   70,875.539  
$
151,895,815
 

Net Asset Value per General and Limited Partner Unit

June 30, 2021  March 31, 2021  December 31, 2020  June 30, 2020  March 31, 2020  December 31, 2019 
$
2,392.56
  
$
2,258.47
  
$
2,140.07
  
$
2,143.13
  
$
2,292.06
  
$
2,192.73
 

See Accompanying Notes to Financial Statements.

10
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS AND SIX MONTHS ENDED JUNE 30, 2021 AND 2020 (Unaudited)
The following information presents per unit operating performance data and other supplemental financial data for the three months and six months ended June 30, 20202021 and 2019.2020. This information has been derived from information presented in the financial statements.statements

 Three Months Ended June 30, Six Months Ended June 30,  Three Months Ended June 30,  Six Months Ended June 30, 
 2020  2019  2020  2019  2021  2020  2021  2020 
Per Unit Performance                        
(for a unit outstanding throughout the entire period)                     
Net asset value per unit at beginning of period $2,292.06 $2,172.12 $2,192.73 $2,101.44  
$
2,258.47
  
$
2,292.06
  
$
2,140.07
  
$
2,192.73
 
                         
Income (loss) from operations:                         
Total net trading gains (losses) (1)
 (128.53) 136.70 20.07 233.24   179.64   (128.53)  339.57   20.07 
Net investment income (loss) (1)
  (18.12)  (25.89)  (64.59)  (49.20)  
(43.05
)
  
(18.12
)
  
(82.07
)
  
(64.59
)
Total net income (loss) from operations  (146.65)  110.81  (44.52)  184.04   
136.59
   
(146.65
)
  
257.50
   
(44.52
)
Offering costs (1)
  (2.28)  (2.61)  (5.08)  (5.16)  
(2.50
)
  
(2.28
)
  
(5.01
)
  
(5.08
)
Net asset value per unit at end of period $2,143.13 $2,280.32 $2,143.13 $2,280.32  
$
2,392.56
  
$
2,143.13
  
$
2,392.56
  
$
2,143.13
 
Total Return (4)
  (6.50)%  4.98%  (2.26)%  8.51%  
5.94
%
  
(6.50
)%
  
11.80
%
  
(2.26
)%
                         
Supplemental Data                         
Ratios to average net asset value:                         
Expenses prior to performance fee (3)
 7.41% 7.50% 7.50% 7.53%  
7.51
%
  
7.41
%
  
7.49
%
  
7.50
%
Performance fee (4)
  0.00%  0.00%  0.00%  0.00%  
0
   
0
   
0
   
0
 
Total expenses  7.41%  7.50%  7.50%  7.53%  
7.51
%
  
7.41
%
  
7.49
%
  
7.50
%
Net investment income (loss) (2),(3)
  (3.25)%  (4.70)%  (5.75)%  (4.59)%
Net investment income (loss) (2) (3)
  
(7.35
)%
  
(3.25
)%
  
(7.34
)%
  
(5.75
)%


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

(1)Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2)
Excludes performance fee.
(3)Annualized.Annualized
(4)Not Annualized.Annualized


See Accompanying Notes to Financial Statements.


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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
STATEMENTS
JUNE 30, 20202021 (Unaudited)


Note 1.  ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES


A.  General Description of the Fund


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


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


B.  Regulation


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


C.  Method of Reporting


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

These financial statements should be read in conjunction with the financial statements and notes thereto included in the Fund’s Annual Report on Form 10-K filed with the SEC for the year ended December 31, 2019. All adjustments of a normal recurring nature considered necessary for a fair presentation have been included herein.


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


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


The daily exchange of variation margin associated with a Central Counterparty Clearing House derivative instrument is legally characterized as the daily settlement of the derivative instrument itself. Accordingly, the Fund accounts for the daily receipt or payment of variation margin associated with its centrally cleared swaps and futures as a direct reduction to the carrying value of the centrally cleared swaps and futures derivative asset or liability, respectively. The carrying amount of centrally cleared swaps and futures reflected in the Fund’s Statements of Financial Condition is equal to the unsettled fair value of such instruments, which generally represents the change in fair value that occurred on the last day of the reporting period.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)

Centrally cleared credit default index swaps and interest rate swap transactions are recorded on the trade date. Realized gains or losses are determined using the identified cost method. The fair value of centrally cleared swap contracts is determined by using current market quotations provided by an independent external pricing source. Valuation using an external pricing source involves the use of observable inputs in accordance with the fair value hierarchy. Any change in net unrealized gain or loss from the prior period is reported in Swap trading gains (losses) - Change in unrealized in the Statements of Operations. Period payments received or paid on swap contracts, commissions and fees associated with trading the swap contracts and cash payments received or made due to the underlying obligation in the event of a credit event are recorded as part of “Swap trading gains (losses) – Realized” in the Statements of Operations.

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


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


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

10
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
JUNE 30, 2020 (Unaudited)

D. Fair Value


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


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


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


Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes forward currency contracts that the Fund values using models or other valuation methodologies derived from observable market data. For centrally cleared swap contracts, the Fund uses current market quotations provided by an independent external pricing source to determine fair value. This category also includes fixed income investments.


Level 3 inputs are unobservable inputs for an asset or liability (including the Fund’s own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of June 30, 20202021 and December 31, 2019,2020, and for the periods ended June 30, 20202021 and 2019,2020, the Fund did not have any Level 3 assets or liabilities.


13
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)

The following tables set forth by level within the fair value hierarchy the Fund’s investments accounted for at fair value on a recurring basis as of June 30, 20202021 and December 31, 2019.2020.

 Fair Value at June 30, 2020  Fair Value at June 30, 2021 
Description Level 1  Level 2  Level 3  Total  Level 1  Level 2  Level 3  Total 
Investments
                        
Short term investments $920,312  $0  $0  $920,312  $3,088,504  $0  $0  $3,088,504 
Fixed income securities 0  118,245,566  0  118,245,566   0   96,370,457   0   96,370,457 
                            
Other Financial Instruments
                            
Exchange-traded futures contracts 775,280  0  0  775,280   408,215   0   0   408,215 
Forward currency contracts  0   (1,896,824)  0   (1,896,824)  0   (1,426,905)   0   (1,426,905) 
Credit default index swap contracts  0   1,790,748   0   1,790,748 
Interest rate swap contracts  0   509,118   0   509,118 
Total $1,695,592  $116,348,742  $0  $118,044,334  $3,496,719  $97,243,418  $0  $100,740,137 

 Fair Value at December 31, 2019  Fair Value at December 31, 2020 
Description Level 1  Level 2  Level 3  Total  Level 1  Level 2  Level 3  Total 
Investments
                        
Short term investments $3,076  $0  $0  $3,076  
$
8,053,123
  
$
0
  
$
0
  
$
8,053,123
 
Fixed income securities 0  147,466,607  0  147,466,607   
0
   
93,639,346
   
0
   
93,639,346
 
                            
Other Financial Instruments
                            
Exchange-traded futures contracts (4,168,853) 0  0  (4,168,853)  
4,761,054
   
0
   
0
   
4,761,054
 
Forward currency contracts  0   (1,422,358)  0   (1,422,358)  
0
   
1,125,411
   
0
   
1,125,411
 
Credit default index swap contracts  
0
   
1,265,353
   
0
   
1,265,353
 
Interest rate swap contracts  
0
   
392,904
   
0
   
392,904
 
Total $(4,165,777) $146,044,249  $0  $141,878,472  
$
12,814,177
  
$
96,423,014
  
$
0
  
$
109,237,191
 

 
The gross presentation of the fair value of the Fund’s derivatives by instrument type is shown in Note 9.11. See Condensed Schedules of Investments for additional detail categorization.

11
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
JUNE 30, 2020 (Unaudited)

E.  Cash and Cash Equivalents


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


F.  Income Taxes


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


Management has continued to evaluate the application of ASC 740, Income Taxes, to the Fund, and has determined that no0 reserves for uncertain tax positions were required. There are no0 tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly increase or decrease within twelve months. The Fund files federal and state tax returns. The 20162017 through 20192020 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

14
Table of Contents

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)

G.  Offering Costs


Campbell & Company, LP (“Campbell & Company”) has incurred all costs in connection with the initial and continuous offering of units of the Fund (“offering costs”). In addition, Campbell & Company continues to compensate wholesalers for services rendered to Limited Partners. The Fund’s liability for offering costs is limited to the maximum of total offering costs incurred by Campbell & Company, not to exceed 2.5% of the aggregate subscriptions accepted during the initial and continuous offerings. As of June 30, 20202021 and December 31, 2019,2020, the Fund has the potential remaining reimbursement amount of approximately $34.4$34.1 million and $34.7$34.2 million, respectively. If the Fund terminates prior to completion of payment of the calculated amounts to Campbell & Company, Campbell & Company will not be entitled to any additional payments, and the Fund will have no further obligation to Campbell & Company.


The Fund is only liable for payment of offering costs on a monthly basis as calculated based on the limitations stated above. At June 30, 20202021 and December 31, 2019,2020, the amount of unreimbursed offering costs incurred by Campbell & Company and reflected as a liability in the Statements of Financial Condition for offering costs payable to Campbell & Company is $55,427$49,709 and $70,313,$45,477, respectively. The amount of monthly reimbursement due to Campbell & Company is charged directly to partners'partners’ capital.


H.  Foreign Currency Transactions


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


I.  Recently Issued Accounting Pronouncements


In August 2018,April 2020, the FASB issued ASU-2020-04, the FASB issued ASU 2018-13, Fair Value Measurement2020-04, Reference Rate Reform (Topic 820)848): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement. The primary focus of ASU 2018-13 is to improve the effectivenessFacilitation of the disclosure requirementsEffects of Reference Rate Reform on Financial Reporting to provide optional guidance for fair value measurements. The changes affect all companies that are requireda limited period of time to include fair value measurement disclosures.ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. In general,July 2017, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoptionhead of the additional disclosures, which are required for public companies only, until their effective date. Campbell & Company has adoptedUnited Kingdom Financial Conduct Authority announced the new guidance,desire to phase out the use of the London Interbank Offered Rate (“LIBOR”) and management has determined its adoption hasother Interbank offered rates (IBORs). In November 2020, United States and United Kingdom regulators made announcements planning to cease publication of overnight, one-month, three-month, six-month and one-year LIBOR and IBOR tenors after June 2023. If LIBOR and IBORs prematurely cease to exist, the Fund may need to renegotiate outstanding swaps to replace affected rates with the identified replacement rates. There is currently no material impactdefinitive information regarding the future discontinuance of LIBORs or IBORs prior to 2023. As such, the potential effect of any such event on the Fund’s financial statement disclosures.our cost of capital and net investment income cannot yet be determined.


1215
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
STATEMENTS
JUNE 30, 20202021 (Unaudited)
J.  Reclassification

Certain 2019 amounts in the Notes to the Financial Statements were reclassified to conform with the 2020 presentation. Specifically, trading gains and losses in Note 9 were reclassified to include and disclose the amounts of gains and losses on foreign currency cash balances at the futures brokers.

Note 2.  GENERAL PARTNER AND COMMODITY TRADING ADVISOR


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


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


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


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


Note 3.  ADMINISTRATORADMINISTRATOR AND TRANSFER AGENT

Effective January 1, 2020, NAV Consulting, Inc. became the Administrator of the Fund. The Administrator receives fees at rates agreed upon between the Fund and the Administrator and is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties. The Administrator’s primary responsibilities are portfolio accounting and fund accounting services. Prior to January 1, 2020, Northern Trust Hedge Fund Services LLC served as the Administrator of the Fund.


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


Note 4.  CASH MANAGER AND CUSTODIAN


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


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


1316
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
STATEMENTS
JUNE 30, 20202021 (Unaudited)

Note 5.  DEPOSITS WITH FUTURES BROKERS


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


Note 6.  DEPOSITS WITH INTERBANK MARKET MAKERS


The Fund’s counterparties with regard to its forward currency transactions are NatWest Markets PLCPlc (“NatWest”), formerly The Royal Bank of Scotland, and UBS AG (“UBS”). The Fund has entered into an International Swap and Derivatives Association, Inc. agreement (“ISDA Agreement”) with NatWest and UBS which governs these transactions. The credit ratings reported by the three3 major rating agencies for NatWest and UBS were considered investment grade as of June 30, 2021 and December 31, 2020. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with NatWest and UBS. The Fund typically earns interest income on its assets deposited with NatWest and UBS.


Note 7.  DEPOSITS WITH SWAPS BROKER

The Fund deposits cash with Goldman, Sachs & Co. to act as swaps broker for its centrally cleared swap contracts, subject to Commodity Futures Trading Commission regulations and central counterparty and broker requirements. Margin requirements are satisfied by the deposit of cash with such swaps broker. Accordingly, assets used to meet margin and other broker or regulatory requirements are partially restricted. The Fund typically earns interest on its credit balances and pays interest on debit balances with the swaps broker.

The Fund pays commissions to the swaps broker on a transaction basis at rates agreed upon between the Fund and the swaps broker.

Note 7.8.  OPERATING EXPENSES


Operating expenses of the Fund are limited by the Amended Agreement of Limited Partnership to 0.5% per year of the average month-end Net Asset Value of the Fund. Actual operating expenses were less than 0.5% (annualized) of average month-end Net Asset Value for the threesix months ended June 30, 20202021 and 2019.2020.


Note 8.9.  SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS


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


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


17
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)

Note 10.  CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES

Credit derivatives generally require the seller to make a payment to the buyer in the event the underlying referenced security or index to the contract defaults or another triggering event, as defined in the applicable derivative contract, occurs. The Fund sells credit derivative contracts for speculative investment purposes. The following table summarizes the notional amounts of credit derivative contracts sold by the Fund by their maturity for contracts which are outstanding at June 30, 2021 and December 31, 2020. Notional amounts are disclosed as they represent the maximum potential payout. At June 30, 2021 and December 31, 2020, the carrying value of such credit derivative contracts sold was $1,790,748 and $1,265,353, respectively.

  June 30, 2021  December 31, 2020 
Credit Default Index Swaps 
Maturity Date:
June 2026
  
Maturity Date:
December 2025
 
Investment grade 
$
21,223,471
  
$
19,273,236
 
Non-investment grade  
20,399,992
   
16,235,572
 
Total 
$
41,623,463
  
$
35,508,808
 
 
The Fund does not monitor its exposure to credit derivatives based on the notional amounts because that measure does not take into consideration the probability of a credit default event, the legal right to offset assets and liabilities by a counterparty, or collateral posted. However, the notional value of these credit derivative contracts has been included to provide information about the magnitude of involvement with these types of contracts.

Note 9.11.  TRADING ACTIVITIES AND RELATED RISKS


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


In February 2020, the Fund transferred all futures contracts held with UBS Securities LLC to Goldman, Sachs & Co., and all forward currency contracts held with UBS to NatWest. Goldman, Sachs & CoCo. and NatWest serve as the sole futures broker and interbank market maker, respectively, for the Fund’s ongoing trading. In July 2020, the Fund began trading centrally cleared swap contracts.


Market Risk


For derivatives, risks arise from changes in the fair value of the contracts. Market movements result in frequent changes in the fair value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the fair value of financial instruments and contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades. Theoretically, the Fund is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. The value of an interest rate swap will change as market interest rates rise and fall in conjunction with whether the contract is to receive or pay a fixed interest rate. As a purchaser of credit default index swaps, the Fund’s risk of loss is limited to any cash payments required under the swap contracts. Written credit default contracts (i.e., sell protection) expose the Fund to a market risk equal to the notional value of such swap contracts and any cash payments required under the swap contracts. See Note 1.C. for an explanation of how the Fund determines its valuation for derivatives as well as the netting of derivatives.

14
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
JUNE 30, 2020 (Unaudited)

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


18
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)

The following tables summarize quantitative information required by ASC 815.  The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statements of Financial Condition, as of June 30, 20202021 and December 31, 20192020 is as follows:


Type of Instrument *Statements of Financial Condition Location 
Asset
Derivatives at
June 30, 2020
Fair Value
  
Liability
Derivatives at
June 30, 2020
Fair Value
  Net 
Statements of Financial Condition Location
 
Asset
Derivatives at
June 30, 2021
Fair Value
  
Liability
Derivatives at
June 30, 2021
Fair Value
  Net 
Agriculture ContractsNet unrealized gain (loss) on open futures contracts $300,966  $(763,491) $(462,525)
Net unrealized gain (loss) on open futures contracts
 
$
675,516
  
$
(445,351
)
 
$
230,165
 
Energy ContractsNet unrealized gain (loss) on open futures contracts 747,948  (243,070) 504,878 
Net unrealized gain (loss) on open futures contracts
  
761,441
   
(51,195
)
  
710,246
 
Metal ContractsNet unrealized gain (loss) on open futures contracts 3,712,809  (4,650,560) (937,751)
Net unrealized gain (loss) on open futures contracts
  
3,282,890
   
(3,390,389
)
  
(107,499
)
Stock Indices ContractsNet unrealized gain (loss) on open futures contracts 560,375  (495,619) 64,756 
Net unrealized gain (loss) on open futures contracts
  
1,016,473
   
(552,584
)
  
463,889
 
Short-Term Interest Rate ContractsNet unrealized gain (loss) on open futures contracts 224,624  (81,713) 142,911 
Net unrealized gain (loss) on open futures contracts
  
329,050
   
(718,620
)
  
(389,570
)
Long-Term Interest Rate ContractsNet unrealized gain (loss) on open futures contracts 1,618,519  (155,508) 1,463,011 
Net unrealized gain (loss) on open futures contracts
  
197,506
   
(696,522
)
  
(499,016
)
Forward Currency ContractsNet unrealized gain (loss) on open forward currency contracts  5,835,934   (7,732,758)  (1,896,824)
Net unrealized gain (loss) on open forward currency contracts
  
16,830,387
   
(18,257,292
)
  
(1,426,905
)
Totals  $13,001,175  $(14,122,719) $(1,121,544)
Credit Default Index Swap Contracts**
Credit default index swaps
  
1,985,948
   
(195,200
)
  
1,790,748
 
Interest Rate Swap Contracts**
Interest rate swaps
  
597,845
   
(88,727
)
  
509,118
 
Total
  
$
25,677,056
  
$
(24,395,880
)
 
$
1,281,176
 

*Derivatives not designated as hedging instruments under ASC 815

**Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.
Type of Instrument *Statements of Financial Condition Location 
Asset
Derivatives at
December 31, 2019
Fair Value
  
Liability
Derivatives at
December 31, 2019
Fair Value
  Net 
Statements of Financial Condition Location
 
Asset
Derivatives at
December 31, 2020
Fair Value
  
Liability
Derivatives at
December 31, 2020
Fair Value
  Net 
Agriculture ContractsNet unrealized gain (loss) on open futures contracts $100,996  $(1,568,839) $(1,467,843)
Net unrealized gain (loss) on open futures contracts
 
$
1,448,359
  
$
(160,525
)
 
$
1,287,834
 
Energy ContractsNet unrealized gain (loss) on open futures contracts 976,245  (135,657) 840,588 
Net unrealized gain (loss) on open futures contracts
  
476,936
   
(189,730
)
  
287,206
 
Metal ContractsNet unrealized gain (loss) on open futures contracts 2,891,613  (4,116,917) (1,225,304)
Net unrealized gain (loss) on open futures contracts
  
2,607,512
   
(1,437,559
)
  
1,169,953
 
Stock Indices ContractsNet unrealized gain (loss) on open futures contracts 780,153  (609,690) 170,463 
Net unrealized gain (loss) on open futures contracts
  
1,286,506
   
(331,164
)
  
955,342
 
Short-Term Interest Rate ContractsNet unrealized gain (loss) on open futures contracts 168,765  (578,590) (409,825)
Net unrealized gain (loss) on open futures contracts
  
196,631
   
(31
)
  
196,600
 
Long-Term Interest Rate ContractsNet unrealized gain (loss) on open futures contracts 768,719  (2,845,651) (2,076,932)
Net unrealized gain (loss) on open futures contracts
  
1,048,732
   
(184,613
)
  
864,119
 
Forward Currency ContractsNet unrealized gain (loss) on open forward currency contracts  12,443,080   (13,865,438)  (1,422,358)
Net unrealized gain (loss) on open forward currency contracts
  
5,879,307
   
(4,753,896
)
  
1,125,411
 
Totals  $18,129,571  $(23,720,782) $(5,591,211)
Credit Default Index Swap Contracts**
Credit default index swaps
  
1,427,593
   
(162,240
)
  
1,265,353
 
Interest Rate Swap Contracts**
Interest rate swaps
  
552,793
   
(159,889
)
  
392,904
 
Total  
$
14,924,369
  
$
(7,379,647
)
 
$
7,544,722
 
*Derivatives not designated as hedging instruments under ASC 815

**Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.

1519
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
STATEMENTS
JUNE 30, 20202021 (Unaudited)

The trading gains and losses of the Fund’s derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the three months and six months ended June 30, 20202021 and 20192020 is as follows:


Type of Instrument 
Trading Gains/(Losses) for
the Three Months Ended
June 30, 2020
  
Trading Gains/(Losses) for
the Three Months Ended
June 30, 2019
  
Trading Gains/(Losses) for
the Three Months Ended
June 30, 2021
  
Trading Gains/(Losses) for
the Three Months Ended
June 30, 2020
 
Agriculture Contracts $(1,747,859) $(2,852,774) 
$
4,311,266
  
$
(1,747,859
)
Energy Contracts (783,897) 208,408   
4,376,545
   
(783,897
)
Metal Contracts (700,063) (1,722,381)  
1,407,195
   
(700,063
)
Stock Indices Contracts 390,867  5,688,760   
3,907,952
   
390,867
 
Short-Term Interest Rate Contracts 439,171  6,398,164   
(398,843
)
  
439,171
 
Long-Term Interest Rate Contracts 341,387  5,594,389   
(2,296,061
)
  
341,387
 
Forward Currency Contracts  (6,918,024)  (1,749,609)  
(292,862
)
  
(6,918,024
)
Credit Default Index Swap Contracts  
471,639
   
0
 
Interest Rate Swap Contracts  
(272,169
)
  
0
 
Total $(8,978,418) $11,564,957  
$
11,214,662
  
$
(8,978,418
)

Type of Instrument 
Trading Gains/(Losses) for
the Six Months Ended
June 30, 2020
  
Trading Gains/(Losses) for
the Six Months Ended
June 30, 2019
  
Trading Gains/(Losses) for
the Six Months Ended
June 30, 2021
  
Trading Gains/(Losses) for
the Six Months Ended
June 30, 2020
 
Agriculture Contracts $175,246  $(2,393,509) 
$
6,880,173
  
$
175,246
 
Energy Contracts 4,442,386  (2,101,416)  
6,830,221
   
4,442,386
 
Metal Contracts 3,786,710  (2,721,409)  
1,093,785
   
3,786,710
 
Stock Indices Contracts (23,176,345) 10,040,717   
9,220,087
   
(23,176,345
)
Short-Term Interest Rate Contracts 8,448,354  8,825,694   
(1,735,000
)
  
8,448,354
 
Long-Term Interest Rate Contracts 2,536,115  12,183,804   
(5,752,689
)
  
2,536,115
 
Forward Currency Contracts  6,233,353   (3,697,199)  
7,020,635
   
6,233,353
 
Credit Default Index Swap Contracts  
475,604
   
0
 
Interest Rate Swap Contracts  
(2,729,272
)
  
0
 
Total $2,445,819  $20,136,682  
$
21,303,544
  
$
2,445,819
 

1620
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
STATEMENTS
JUNE 30, 20202021 (Unaudited)

Line Item in the Statements of Operations 
Trading Gains/(Losses) for
the Three Months Ended
June 30, 2020
  
Trading Gains/(Losses) for
the Three Months Ended
June 30, 2019
  
Trading Gains/(Losses) for
the Three Months Ended
June 30, 2021
  
Trading Gains/(Losses) for
the Three Months Ended
June 30, 2020
 
Futures trading gains (losses):            
Realized** $492  $15,259,049  
$
11,949,966
  
$
492
 
Change in unrealized (2,060,886) (1,944,483)  
(641,912
)
  
(2,060,886
)
Forward currency trading gains (losses):              
Realized** 3,984,032  (1,952,204)  
6,694,081
   
3,984,032
 
Change in unrealized  (10,902,056)  202,595   
(6,986,943
)
  
(10,902,056
)
Swap trading gains (losses):        
Realized  
29,899
  
0
 
Change in unrealized  
169,571
  
0
 
Total $(8,978,418) $11,564,957  
$
11,214,662
  
$
(8,978,418
)


Line Item in the Statements of Operations 
Trading Gains/(Losses) for
the Six Months Ended
June 30, 2020
  
Trading Gains/(Losses) for
the Six Months Ended
June 30, 2019
  
Trading Gains/(Losses) for
the Six Months Ended
June 30, 2021
  
Trading Gains/(Losses) for
the Six Months Ended
June 30, 2020
 
Futures trading gains (losses):            
Realized*** $(8,731,667) $21,497,650  
$
20,889,416
  
$
(8,731,667
)
Change in unrealized 4,944,133  2,336,231   
(4,352,839
)
  
4,944,133
 
Forward currency trading gains (losses):              
Realized*** 6,707,819  2,467,191   
9,572,951
   
6,707,819
 
Change in unrealized  (474,466)  (6,164,390)  
(2,552,316
)
  
(474,466
)
Swap trading gains (losses):        
Realized  
(1,745,470
)
  
0
 
Change in unrealized  
(508,198
)
  
0
 
Total $2,445,819  $20,136,682  
$
21,303,544
  
$
2,445,819
 


**For the three months ended June 30, 20202021 and 2019,2020, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $74,950$(23,285) and $97,946,$74,950, respectively, and gains/(losses) on spot trades in connection with forward currency trading at the interbank market makers of $86,553$200,081 and $41,392,$86,553, respectively.

***For the six months ended June 30, 20202021 and 2019,2020, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $121,004$8,504 and $149,313,$121,004, respectively, and gains/(losses) on spot trades in connection with forward currency trading at the interbank market makers of $(797,746)$(136,125) and $41,392,$(797,746), respectively.


21
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2021 (Unaudited)

For the three months ended June 30, 20202021 and 2019,2020, the monthly average of futures contracts bought and sold was approximately 26,800 and 19,400, respectively, the monthly average of notional value of centrally cleared swap contracts was approximately $3,435,500,000 and 25,300,$0, respectively, and the monthly average of notional value of forward currency contracts was $1,623,700,000 and $986,400,000, and $2,029,600,000, respectively.


For the six months ended June 30, 20202021 and 2019,2020, the monthly average of futures contracts bought and sold was approximately 27,300 and 25,300, respectively, the monthly average of notional value of centrally cleared swap contracts was approximately $2,540,400,000 and 26,200,$0, respectively, and the monthly average of notional value of forward currency contracts was $1,418,500,000 and $1,056,500,000, and $1,995,300,000, respectively.


Open contracts generally mature within three months; as of June 30, 2020,2021, the latest maturity date for open futures contracts is September 20212022 and the latest maturity date for open forward currency contracts is September 2020.2021. However, the Fund intends to close all futures and offset all forward currency contracts prior to maturity. The latest termination date for centrally cleared swap contracts is June 2026.

17
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
JUNE 30, 2020 (Unaudited)

Credit Risk


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


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


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


The Fund has entered into ISDA Agreements with UBS AG and NatWest. Under the terms of each ISDA Agreement, upon the designation of an Event of Default, as defined in each ISDA Agreement, the non-defaulting party may set-off any sum or obligation owed by the defaulting party to the non-defaulting party against any sum or obligation owed by the non-defaulting party to the defaulting party. If any sum or obligation is unascertained, the non-defaulting party may in good faith estimate that sum or obligation and set-off in respect to that estimate, accounting to the other party when such sum or obligation is ascertained.


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


The amount of required margin and good faith deposits with the futures brokers and interbank market makers usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at June 30, 20202021 and December 31, 20192020 was $16,641,407$17,433,730 and $38,712,533, respectively, which equals approximately 11% and 24% of Net Asset Value, respectively. The cash deposited with the interbank market makers at June 30, 2020 and December 31, 2019 was $18,407,598 and $13,104,927,$21,892,821, respectively, which equals approximately 12% and 8%16% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents, and restricted cash at interbank market makers. Included in cash deposits with the futures brokers, swaps broker and interbank market makers at June 30, 20202021 and December 31, 20192020 was restricted cash for margin requirements of $22,652,241$21,915,472 and $10,274,725,$13,537,408, respectively, which equals approximately 15%16% and 6%10% of Net Asset Value, respectively. There were 0 cash deposits held at UBS Securities LLC or UBS AG, a futures broker and interbank market maker, respectively, at June 30, 2021 and December 31, 2020.


1822
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
STATEMENTS
JUNE 30, 20202021 (Unaudited)

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


Offsetting of Derivative Assets by Counterparty 
As of June 30, 2020          
Type of InstrumentCounterparty 
Gross
Amounts of
Recognized
Assets
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
 
Futures contractsGoldman Sachs $7,165,241  $(6,389,961) $775,280 
Forward currency contractsNatWest Markets PLC  5,835,934   (5,835,934)  0 
Total derivatives  $13,001,175  $(12,225,895) $775,280 
Offsetting of Derivative Assets by Counterparty
As of June 30, 2021
Type of Instrument
Counterparty
 
Gross
Amounts of
Recognized
Assets
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
 
Futures contracts
Goldman, Sachs & Co.
 
$
6,262,876
  
$
(5,854,661
)
 
$
408,215
 
Forward currency contracts
NatWest Markets Plc
  
16,830,387
   
(16,830,387
)
  
0
 
Centrally cleared swap contracts*
Centrally Cleared
  
2,583,793
   
(283,927
)
  
2,299,866
 
Total derivatives
 
$
25,677,056
  
$
(22,968,975
)
 
$
2,708,081
 


Derivative Assets and Collateral Received by Counterparty 
As of June 30, 2020         
  
Net Amounts of
Unrealized Gain
in the Statements of
Financial Condition
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty 
Financial
Instruments
  
Cash Collateral
Received
  Net Amount 
Goldman Sachs $775,280  $0  $0  $775,280 
NatWest Markets PLC  0   0   0   0 
Total $775,280  $0  $0  $775,280 
*
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.


Offsetting of Derivative Liabilities by Counterparty 
As of June 30, 2020          
Type of InstrumentCounterparty 
Gross
Amounts
of Recognized
Liabilities
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
 
Futures contractsGoldman Sachs $6,389,961  $(6,389,961) $0 
Forward currency contractsNatWest Markets PLC  7,732,758   (5,835,934)  1,896,824 
Total derivatives  $14,122,719  $(12,225,895) $1,896,824 
Derivative Assets and Collateral Received by Counterparty
As of June 30, 2021
  
Net Amounts of
Unrealized Gain
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty 
Statements of
Financial Condition
  
Financial
Instruments
  
Cash Collateral
Received
  Net Amount 
Goldman, Sachs & Co. 
$
408,215
  
$
0
  
$
0
  
$
408,215
 
NatWest Markets Plc  
0
   
0
   
0
   
0
 
Centrally Cleared  
2,299,866
   
0
   
0
   
2,299,866
 
Total 
$
2,708,081
  
$
0
  
$
0
  
$
2,708,081
 

 
Offsetting of Derivative Liabilities by Counterparty
As of June 30, 2021
Type of Instrument
Counterparty
 
Gross
Amounts of
Recognized
Liabilities
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
 
Futures contracts
Goldman, Sachs & Co.
 
$
5,854,661
  
$
(5,854,661
)
 
$
0
 
Forward currency contracts
NatWest Markets Plc
  
18,257,292
   
(16,830,387
)
  
1,426,905
 
Centrally cleared swap contracts
Centrally Cleared
  
283,927
   
(283,927
)
  
0
 
Total derivatives  
$
24,395,880
  
$
(22,968,975
)
 
$
1,426,905
 

1923
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
STATEMENTS
JUNE 30, 20202021 (Unaudited)

Derivative Liabilities and Collateral Pledged by Counterparty 
As of June 30, 2020         
   
Net Amounts of
Unrealized Loss
in the Statements
of Financial Condition
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty   
Financial
Instruments
  
Cash Collateral
Pledged
  Net Amount 
Goldman Sachs $0  $0  $0  $0 
NatWest Markets PLC  1,896,824   0   (1,896,824)  0 
    Total $1,896,824  $0  $(1,896,824) $0 
Derivative Liabilities and Collateral Pledged by Counterparty
As of June 30, 2021
  
Net Amounts of
Unrealized Loss
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty 
Statements of
Financial Condition
  
Financial
Instruments
  
Cash Collateral
Pledged
  Net Amount 
Goldman, Sachs & Co. 
$
0
  
$
0
  
$
0
  
$
0
 
NatWest Markets Plc  
1,426,905
   
0
   
(1,426,905)
   
0
 
Centrally Cleared  
0
   
0
   
0
   
0
 
Total 
$
1,426,905
  
$
0
  
$
(1,426,905)
  
$
0
 

 
Offsetting of Derivative Assets by Counterparty 
As of December 31, 2019          
Type of InstrumentCounterparty 
Gross
Amounts of
Recognized
Assets
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
 
Futures contractsUBS Securities LLC $2,834,912  $(2,834,912) $0 
Futures contractsGoldman Sachs  2,851,579   (2,851,579)  0 
Total futures contracts   5,686,491   (5,686,491)  0 
Forward currency contractsUBS AG  6,221,540   (6,221,540)  0 
Forward currency contractsNatWest Markets PLC  6,221,540   (6,221,540)  0 
Total forward currency contracts  12,443,080   (12,443,080)  0 
Total derivatives  $18,129,571  $(18,129,571) $0 
Offsetting of Derivative Assets by Counterparty
As of December 31, 2020
Type of Instrument
Counterparty
 
Gross
Amounts of
Recognized
Assets
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
 
Futures contracts
Goldman, Sachs & Co.
 
$
7,064,676
  $(2,303,622) $4,761,054 
Forward currency contracts
NatWest Markets Plc
  
5,879,307
   
(4,753,896
)
  
1,125,411
 
Centrally cleared swap contracts*
Centrally Cleared
  
1,980,386
   
(322,129
)
  
1,658,257
 
Total derivatives
 
 
$
14,924,369
  
$
(7,379,647
)
 
$
7,544,722
 


Derivative Assets and Collateral Received by Counterparty 
As of December 31, 2019         
  
Net Amounts of
Unrealized Gain
in the Statements
of Financial Condition
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty 
Financial
Instruments
  
Cash Collateral
Received
  Net Amount 
UBS Securities LLC $0  $0  $0  $0 
Goldman Sachs  0   0   0   0 
UBS AG  0   0   0   0 
NatWest Markets PLC  0   0   0   0 
Total $0  $0  $0  $0 
*
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.


Derivative Assets and Collateral Received by Counterparty
As of December 31, 2020
  
Net Amounts of
Unrealized Gain
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty 
 
Statements of
Financial Condition
  
Financial
Instruments
  
Cash Collateral
Received
  Net Amount 
Goldman, Sachs & Co. 
$
4,761,054
  
$
0
  
$
0
  
$
4,761,054
 
NatWest Markets Plc  
1,125,411
   
0
   
0
   
1,125,411
 
Centrally Cleared  
1,658,257
   
0
   
0
   
1,658,257
 
Total 
$
7,544,722
  
$
0
  
$
0
  
$
7,544,722
 
 
2024
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
STATEMENTS
JUNE 30, 20202021 (Unaudited)
Offsetting of Derivative Liabilities by Counterparty 
As of December 31, 2019          
Type of InstrumentCounterparty 
Gross
Amounts
of Recognized
Liabilities
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
 
Futures contractsUBS Securities LLC $4,929,967  $(2,834,912) $2,095,055 
Futures contractsGoldman Sachs  4,925,377   (2,851,579)  2,073,798 
Total futures contracts   9,855,344   (5,686,491)  4,168,853 
Forward currency contractsUBS AG  6,932,719   (6,221,540)  711,179 
Forward currency contractsNatWest Markets PLC  6,932,719   (6,221,540)  711,179 
Total forward currency contracts   13,865,438   (12,443,080)  1,422,358 
Total derivatives  $23,720,782  $(18,129,571) $5,591,211 

Derivative Liabilities and Collateral Pledged by Counterparty 
As of December 31, 2019         
  
Net Amounts of
Unrealized Loss
in the Statements
of Financial Condition
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty 
Financial
Instruments
  
Cash Collateral
Pledged
  Net Amount 
UBS Securities LLC $2,095,055  $0  $(2,095,055) $0 
Goldman Sachs  2,073,798   0   (2,073,798)  0 
UBS AG  711,179   (711,179)*  0   0 
NatWest Markets PLC  711,179   0   (711,179)  0 
Total $5,591,211  $(711,179) $(4,880,032) $0 


*Represents a portionOffsetting of the $9,926,880 fair value in U.S. Treasury Bills held at the interbank market makers.Derivative Liabilities by Counterparty
As of December 31, 2020
Type of Instrument
Counterparty
 
Gross Amounts
of Recognized
Liabilities
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
 
Futures contracts
Goldman, Sachs & Co.
 
$
2,303,622
  
$
(2,303,622
)
 
$
0
 
Forward currency contracts
NatWest Markets Plc
  
4,753,896
   
(4,753,896
)
  
0
 
Centrally cleared swap contracts
Centrally Cleared
  
322,129
   
(322,129
)
  
0
 
Total derivatives  
$
7,379,647
  
$
(7,379,647
)
 
$
0
 


Derivative Liabilities and Collateral Pledged by Counterparty
As of December 31, 2020
  
Net Amounts of
Unrealized Loss
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty 
Statements of
Financial Condition
  Financial
Instruments		  
Cash Collateral
Pledged
  Net Amount 
Goldman, Sachs & Co. 
$
0
  
$
0
  
$
0
  
$
0
 
NatWest Markets Plc  
0
   
0
   
0
   
0
 
Centrally Cleared  
0
   
0
   
0
   
0
 
Total 
$
0
  
$
0
  
$
0
  
$
0
 
 
Campbell & Company has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. Campbell & Company’s basic market risk control procedures consist of continuously monitoring open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%. Campbell & Company’s attempt to manage the risk of the Fund’s open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses. Campbell & Company controls the risk of the Fund’s non-trading fixed income instruments by limiting the duration of such instruments and requiring a minimum credit quality of the issuers of those instruments.


Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the Fund’s assets at financial institutions and brokers which Campbell & Company believes to be credit worthy. The limited partners bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.


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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
STATEMENTS
JUNE 30, 20202021 (Unaudited)

Note 10.12. INDEMNIFICATIONS


In the normal course of business, the Fund enters into contracts and agreements that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. The Fund expects the risk of any future obligation under these indemnifications to be remote.


Note 11.13. INTERIM FINANCIAL STATEMENTS


The Statements of Financial Condition, including the Condensed Schedules of Investments, as of June 30, 20202021 and December 31, 2019,2020, the Statements of Operations and Financial Highlights for the three months and six months ended June 30, 20202021 and 2019,2020, and the Statements of Cash Flows and Changes in Partners’ Capital (Net Asset Value) for the six months ended June 30, 20202021 and 20192020 are unaudited. In the opinion of management, such financial statements reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of financial position as of June 30, 20202021 and December 31, 2019,2020, the results of operations and financial highlights for the three months and six months ended June 30, 20202021 and 2019,2020, and cash flows and changes in partners’ capital (Net Asset Value) for the six months ended June 30, 20202021 and 2019.2020.


Note 12.14. SUBSEQUENT EVENTS


Management of the Fund has evaluated subsequent events through the date the financial statements were filed. There are no subsequent events to disclose or record.


2226
Table of Contents
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.


Introduction


The offering of its Units of Limited Partnership Interest commenced on January 12, 1994. The initial offering terminated on April 15, 1994 and the Fund commenced operations on April 18, 1994. The continuing offering period commenced at the termination of the initial offering period and terminated on January 6, 2012.


Critical Accounting Policies


The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America 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 Fund’s significant accounting policies are described in detail in Note 1 of the Financial Statements.


The Fund records all investments at fair value in its financial statements, with changes in fair value reported as a component of realized and change in unrealized trading gains (losses) 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 (i.e., forward contracts which are traded in the inter-bankinterbank market).


Capital Resources


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


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


The Fund generally maintains 60%60 to 75% 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 Fund is adjusted and positions in the instruments the Fund trades are liquidated, if necessary, on a pro-rata basis to meet those increases or decreases in trade levels.


Liquidity


Most United States commodity exchanges limit fluctuations in the prices of futures contracts 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 Fund from promptly liquidating unfavorable positions and subject the 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 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 Fund’s futures trading operations, the Fund’s assets are expected to be highly liquid.


The entire offering proceeds, without deductions, were credited to the Fund’s bank, custodial and/or cash management accounts. The 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 forwardswap contracts. The Fund receives all interest earned on its assets. No other person shall receive any interest or other economic benefits from the deposit of Fund assets.


23
27
Table of Contents
Approximately 10% to 30% of the 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 5% to 15% of the Fund’s assets are deposited with over-the-counter counterparties or centrally cleared in order to initiate and maintain forward or 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 general partner deposits the majority of those assets of the Fund that are not required to be deposited as margin with the futures brokers and over-the-counter counterparties in a custodial account with Northern Trust Company. The assets deposited in the custodial account with Northern Trust Company are segregated. Such custodial account constitutes approximately 60% to 75% of the Fund’s assets and are invested directly by PNC Capital Advisors, LLC (“PNC”). PNC is registered with the SEC as an investment adviser under the Investment Advisers Act of 1940. PNC does not guarantee any interest or profits will accrue on the Fund’s assets in the custodial account. PNC invests the assets according to agreed upon investment guidelines that first preserve capital, second allow for sufficient liquidity, and third provide a yield beyond the risk-free rate. Investments can include, but are not limited to, (i) U.S. government, agency, or municipal securities; (ii) banker acceptances or certificates of deposits; (iii) commercial paper or money market securities; (iv) short-term, investment-grade corporate debt securities; or (v) investment-grade, asset backed securities.


The 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 Company to the margin accounts. In the past three years, the Fund has not needed to liquidate any position as a result of a margin call.


The 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 in or loaned to Campbell & Company or any affiliated entities.


Off-Balance Sheet Risk


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 Fund trades in futures, forward and forwardswap 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 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 Fund at the same time, and if the Fund’s trading advisor was unable to offset futures interestsinterest positions of the Fund, the Fund could lose all of its assets and the Limited Partners would realize a 100% loss. Campbell & Company, 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.


In addition to market risk, in entering into futures, forward and forwardswap contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts and centrally cleared swap 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 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 Fund only with those counterparties which it believes to be creditworthy. All positions of the Fund are valued each day at fair value. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund.

2428
Table of Contents
Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts Accounted for at Fair Value

The Fund invests in futures, and forward currency, and centrally cleared swap contracts. The fair 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 fair 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. The fair value of centrally cleared swap contracts is determined by using currency market quotations provided by an independent external pricing source.


Results of Operations


The returns for the six months ended June 30, 2021 and 2020 were 11.80% and 2019 were (2.26)% and 8.51%, respectively. During the six months ended June 30, 20202021 and 2019,2020, the Fund accrued brokerage fees in the amount of $5,826,964$4,879,296 and $6,484,513,$5,826,964, respectively, and paid brokerage fees in the amount of $5,899,920$4,846,119 and $6,516,935,$5,899,920, respectively. No performance fees were accrued or paid during these periods.


2020 2021 (For the Six Months Ended June 30)


Of the 11.80% year to date return, approximately 15.72% was due to trading gains (before commissions) and approximately 0.07% due to investment income, offset by approximately (3.99)% due to brokerage fees, operating expenses and offering costs borne by the Fund. An analysis of the 15.72% trading gains by sector is as follows:


Sector% Gain (Loss)
Credit(2.03)%
Commodities5.36%
Foreign Exchange   10.85%
Interest Rates(5.32)%
Equity Indices   6.86%
15.72%

The Fund showed a decline in January with losses coming from interest rate, foreign exchange (FX), stock index, and credit positions, while commodity holdings produced some partially offsetting gains. Interest rate positions produced the largest losses during the month with declines most pronounced in long-dated instruments.  Long positions on US rate markets suffered as the Democrats took control of the Senate which sent yields higher (prices lower) amid increased expectations for a large scale fiscal stimulus package being passed.  Long positioning on Australian and Canadian rates also generated losses when prices fell (yields rose).  Australian inflation was higher than expected and the Bank of Canada indicated the country would not need as much quantitative easing as initially expected. Foreign exchange trading contributed additional losses during January.  The largest FX losses came from long emerging market positions (against the USD), specifically in the Colombian peso and Brazilian real. The Latin American currencies were the top underperformers during the month, sinking on regional spreading of the COVID-19 virus and slow vaccine rollouts in the region. Global stock index trading also added losses to the Fund during the month.  Long positioning on many global stock indexes saw gains early in the month, however late month risk aversion erased those gains and ultimately generated losses.  Concerns about liquidity induced asset bubbles, retail driven stock volatility in companies with high levels of short interest, and limited vaccine availability and distribution hurdles all contributed to the risk-off sentiment late in the month. In credit trading, short protection positions generated losses as European and US credit spreads widened amid risk-off sentiment, especially within Europe. Commodities generated some partially offsetting gains for the Fund.  Long positions on the grain complex profited as strong Chinese demand linked with supply concerns pushed prices to multi-year highs during the month.  A long holding on gasoline also added to gains as prices rose driven by fiscal stimulus payments to consumers and hopes for economic reopening on the back of mass COVID-19 vaccinations.

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Table of Contents
In February, the Fund showed a gain with profits coming from commodity, stock index, foreign exchange, and credit positions, while interest rate holdings produced some partially offsetting losses. Commodities trading produced the largest Fund gains during February.  Long holdings on the petroleum complex, specifically on gasoline, Brent, and WTI, generated gains on declining COVID infection trends and a deep freeze in Texas that negatively impacted production.  Long positioning on the grains, softs, and industrial metals also proved profitable amid US dollar weakness and strong expected demand from healing world economies. Global stock indexes generated additional profits during the month.  Long positioning on many global stock indexes profited as most major equity indexes advanced during the month.  Declining COVID infection rates, improving COVID vaccine distribution trends, and expectations for the passage of President Biden’s large US fiscal stimulus package all served as major tailwinds for global stock markets. Foreign exchange trading in the developed markets produced gains for the Fund.  A long British pound holding (against short USD) was among the best performers as the GBP benefited from an efficient vaccine roll-out and optimism about the economic recovery in the United Kingdom.  Mixed positioning in the FX markets proved beneficial as a short holding on the Japanese yen (versus long the greenback) benefited from the strength in the US markets relative to those in Japan. Interest rate positions produced the largest offsetting losses during the month with declines most pronounced in long-dated instruments.  Long positioning on long-dated rate instruments in Australia and Canada led sector losses as note prices in those countries fell sharply (yields rose) during February.  Growing global concerns about mounting inflationary pressures sparked by pent-up demand from COVID lockdowns linked with massive monetary and fiscal stimulus sent most global yields sharply higher, depressing bond prices and generating losses for the Fund.

March saw all the Fund’s asset classes produce gains with profits coming from foreign exchange, stock index, commodity, interest rate, and credit positions. Foreign exchange trading in both the developed and emerging markets produced the largest Fund gains during March. A short Japanese yen holding (against long USD) was the best performing FX position as the JPY sank to its lowest level in a year. The move was primarily driven by the stronger greenback as the COVID-19 vaccine rollout and stimulus efforts in the US caused the dollar to strengthen. Short positioning on the Australian and New Zealand dollars (against long USD) was also profitable after the Reserve Bank of Australia (RBA) continued its bond purchase program and following the New Zealand government’s efforts to curb property speculation. Global stock indexes generated additional profits for the Fund. Long positioning on many global stock indexes profited as most major equity indexes advanced during the month. Positive progress with the COVID-19 vaccine rollout along with fiscal and monetary stimulus support continued to underpin the rally in most global equities. Commodity holdings also produced gains during March. The Fund’s nimble short-term suite of models profitably traded the intra-month volatility within the petroleum complex. A short natural gas position benefited from warmer domestic weather forecasts which led to additional energy sub-sector gains. Long grain positions also produced profits for the Fund as the grain complex advanced sharply into month-end after a USDA report showed planting estimates below market expectations. Interest rate positions contributed small additional profits during the month with gains most notable in long-dated instruments. Long positioning on Australian 3- and 10-year notes produced profits after the RBA doubled down on bond purchases and policymakers expressed concern over the speed of the nation’s economic recovery. Credit trading was also profitable during March as short protection positions generated gains as most US and European credit spreads narrowed amid the risk-on environment.

In April, the Fund showed a gain with profits coming from commodity, stock index, and credit holdings, while foreign exchange and fixed income positions created some partially offsetting losses. Commodity holdings produced the best Fund gains during April. Long grain holdings provided profits as the complex rallied sharply throughout the month amid crop concerns in key planting regions and strong demand from top importer China. Long positions on the petroleum and industrial metal complexes proved profitable as prices rose during April driven by rising demand expectations as global economies begin to emerge from the COVID-19 pandemic. Global stock indexes generated additional profits for the Fund. Long positioning on many global stock indexes profited as most major equity indexes advanced during the month. Ongoing fiscal and monetary stimulus, especially from the US, along with strong corporate earnings and improving COVID-19 vaccination rates created an ideal environment for equity appreciation. Credit trading was also profitable during April as short protection positions generated gains as most US and European credit spreads narrowed amid the risk-on environment. Foreign exchange trading in both the developed and emerging markets produced losses for the Fund. The US dollar experienced a wide-breadth selloff given the Fed’s dovish assurances and President Biden’s expansionary fiscal policy measures. While a long CAD position (versus short USD) further benefited from the Bank of Canada acting as the first G10 central bank to formally begin a monetary policy normalization process, it was more than offset by losses elsewhere in the FX portfolio. Interest rate positions contributed additional losses during the month. Long positioning on German 5- and 10-year notes suffered while short holdings on US Treasuries produced some partially offsetting gains as most global yields rose (prices fell) due to growing inflation concerns.
30
Table of Contents
The Fund produced a gain in May with profits coming from commodity, foreign exchange, stock index, and credit holdings, while fixed income positions created some partially offsetting losses. Commodity holdings produced the best Fund gains during May. In the precious metals sub-sector, a long position on gold proved profitable amid a drumbeat of dovish commentary from FOMC officials who insisted that any inflationary pressures will be transitory which helped weaken the US dollar and sent gold futures higher by over 7% during the month. Other commodity sub-sectors that contributed to monthly gains included grains, energies, softs, and industrial metals. Foreign exchange trading in both the emerging and developed market currencies was profitable for the Fund. A long South African rand holding (against short USD) was the best performer in the EM space as the ZAR rose to its highest level in almost two years, helped along by strong demand for energies and metals. Long positioning on the Canadian dollar (against short USD) was also profitable on back of the bid in commodities as well as the Bank of Canada’s pivot to a more hawkish stance. The overall weaker greenback benefited other short USD holdings, adding to sector gains. Global stock indexes generated additional profits for the Fund. Long positioning on many global stock indexes profited as most major equity indexes advanced during the month. Economic reopening progress from the pandemic linked with ongoing monetary and fiscal stimulus created a risk-on backdrop for stocks. Credit trading was also profitable during May as short protection positions produced gains as most US and European credit spreads narrowed amid the risk-on environment. Interest rate positions created some partially offsetting losses during the month. Short positioning on some European and US instruments suffered as prices rose (yields fell) as multiple ECB and Federal Reserve officials pushed back against market expectations that both central banks were close to considering reducing quantitative easing measures.

The Fund was down slightly in June with profits coming from commodity, stock index, and credit holdings, while interest rate and foreign exchange positions created some partially offsetting losses for the Fund. Commodity holdings produced the best Fund profits during June. The dominant gains were found in long positioning on the petroleum and natural gas markets. WTI and Brent crude oil rallied amid improving demand dynamics linked with tighter supplies. Natural gas rose sharply on the back of a US heat wave that saw increased gas demand for electric generation for air conditioning. Global stock indexes generated additional gains for the Fund. Long positioning in the United States and Canada generated the best sector profits. Ongoing monetary and fiscal stimulus, accompanied by improving COVID vaccination rates and expanding economic reopening, provided a tailwind for equities. The US NASDAQ and S&P 500 indexes, along with the Canadian S&P/TSX index, printed new all-time highs during the month benefitting our long positioning. Credit trading was also profitable during June as short protection positions generated gains as US and European credit spreads narrowed amid the risk-on environment. Interest rate positions generated the largest partially offsetting losses during the month. Short positioning on the US 10-year note, US 30-year bond, and UK Gilts led sector losses as reassuring commentary from the FOMC and the Bank of England on the transitory nature of higher inflation sent long-term yields lower (prices higher). A long position on the policy-sensitive US 2-year note suffered when the FOMC turned surprisingly hawkish mid-month sending short-term yields higher (prices lower). Foreign exchange trading in the emerging market (EM) currencies was a drag on the Fund as well. Long EM currency positions (versus short the US dollar) suffered after the mid-month FOMC meeting. Chairman Powell surprised markets with an unexpected hawkish shift which sent the greenback sharply higher, hurting our US dollar shorts.

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Table of Contents
2020 (For the Six Months Ended June 30)

Of the (2.26)% year to date return, approximately 1.19% was due to trading gains (before commissions) and approximately 0.88% due to investment income, offset by approximately (4.33)% due to brokerage fees, operating expenses and offering costs borne by the Fund. An analysis of the 1.19% trading gains by sector is as follows:


Sector % Gain (Loss)
Commodities  4.65%4.65%
Currencies
Foreign Exchange
  3.81%3.81%
Interest Rates  6.39%   6.39%
Stock
Equity Indices
  (13.66)   (13.66)%
   1.19%1.19%


The Fund had a strong start to 2020 with gains coming from interest rate, commodity, and foreign exchange positions, while stock index holdings provided some partially offsetting losses. Long positioning in Australia, Europe, and the United States benefited as prices advanced on a flight to safety bid sparked by the worsening Wuhan coronavirus outbreak. A short position on the Canadian 10-year note created some partially offsetting losses, which were accelerated by downward pressure on yields prompted by a dovish shift by Bank of Canada policymakers. Commodity holdings produced additional profits for the Fund in January, with the energy sub-sector realizing the best results. Short positioning on natural gas proved profitable as milder weather across the US weighed on demand prospects. Additional gains were generated from short industrial metal holdings. The base metal complex traded weaker as the coronavirus epidemic raised investor concerns about its negative impact on the Chinese economy. Downward price pressure was further intensified by a strong dollar as well as technical selling. In the foreign exchange sector, positive returns were generated in the developed market currencies. Short positions on the Norwegian krone and Australian dollar (against long the US dollar) provided some of the best profits. The commodity-linked currencies came under pressure as commodity prices sold-off on concerns that the worsening coronavirus outbreak would pare Chinese demand for raw materials. A long Brazilian real holding produced some partially offsetting losses after risk fell out of favor and investors sold emerging market currencies. Global stock index trading produced losses for the Fund during January. Long positioning across most global stock indexes profited early in the month amid the ratification of the “phase one” US-China trade deal, renewed central bank balance sheet expansion, Brexit clarity, and some better than expected US earnings releases. However, profits were relinquished in the second-half of the month as stocks traded lower following risk-off trading as the coronavirus outbreak intensified.

Gains from interest rate, foreign exchange, and commodity positions led to a profitable February for the Fund, while stock index holdings produced some partially offsetting losses. Long positioning in Australia and the United States continued to benefit as prices advanced on flight to safety buying sparked by the worsening COVID-19 coronavirus epidemic. Investors aggressively sought the safety of fixed income instruments, sending global yields tumbling and expectations for further central bank stimulus soaring. In the foreign exchange sector, positive returns were generated in the developed and emerging market currencies. Short positions on the Australian dollar and Norwegian krone (against long the US dollar) provided some of the best profits for the sector. These commodity-linked currencies came under renewed selling pressure during February. The widening spread of COVID-19 to countries outside of China, such as Japan, South Korea, and Italy, sparked new concerns that global economic growth would slow materially, thus blunting the demand for raw materials. Short positioning on the industrial metal, energy, and meat complexes profited from a decline in prices. The expanding COVID-19 outbreak is widely expected to negatively impact demand for base metal, petroleum, and beef products. Downward price pressure was further intensified by a strong US dollar as well as technical selling. Global stock index trading produced losses for the Fund during February with the greatest declines seen in Australia, Japan, and the United States. Long positioning across most global stock indexes generally profited during the first two-thirds of the month. However, late in February global stock indexes experienced steep sell-offs sparked by the coronavirus’s quick spread to countries outside of China where it initially began. World economic growth fears and supply chain disruption concerns spread rapidly, sending most global stock indexes sharply lower.

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The Fund had an unprofitable March, with losses coming from stock index and interest rate holdings, while foreign exchange and commodity positions contributed some partially offsetting gains during the month. Global stock index trading produced the largest losses for the Fund, with the greatest declines seen in the United States, Australia, and Canada. Long positioning across most global stock indexes suffered severely as equity indexes experienced very sharp sell-offs during the month. The COVID-19 virus spread quickly throughout Europe and North America prompting containment measures in the form of “stay at home” directives, closures, and shutdowns that sharply curtailed economic activity. Global central banks and governments took unprecedented steps in an effort to soften the financial impact from the virus, but fear over the length and depth of the growth slowdown sent risky assets sharply lower. Interest rate positions from long-dated instruments contributed small additional losses during the month. Short positioning on US 10-year notes and US long bonds suffered amid the flight-to-safety scramble that ensued due to the severe economic upheaval wrought by the COVID-19 virus. Long positioning across global short-dated instruments helped to partially offset losses within the sector. Profits were dominated by short positions on the commodity currencies (versus long the USD), specifically in the Norwegian krone. The US dollar was sharply higher during the month amid the extreme flight-to-quality moves. Adding further downward pressure on oil-linked currencies, the petroleum markets sold off severely when tensions escalated between OPEC and Russia, and Saudi Arabia made the decision to ramp up production. Commodity holdings produced additional profits for the Fund during the month. Short positioning on the industrial metal, energy, and meat complexes profited from a decline in prices. The expanding COVID-19 pandemic is widely expected to negatively impact demand for base metal, petroleum, and beef products. Downward price pressure was further intensified by a strong US dollar as well as technical selling.


The Fund’s losses in April came from foreign exchange and interest rate holdings, while stock index and commodity positions contributed some partially offsetting gains during the month. Short positioning on several of the developed market currencies, namely the Australian dollar and New Zealand dollar, produced losses when those currencies rallied on a partial lifting of COVID-19 containment measures in those countries.  Interest rate positions from long-dated instruments contributed additional losses to the portfolio.  Long positions on Australian 10-year bonds suffered after the RBA tapered bond-buying operations and the country became one of the first to meaningfully ease lockdown restrictions.  Short German Bund positions added to losses as Germany’s debt rallied versus periphery European bonds with Germany weathering the effects of COVID-19 better than their Eurozone counterparts. Stock indexes rebounded considerably from the oversold conditions seen during March as the United States and other countries laid out plans to reopen their economies from the COVID-19 lockdown that has proven to be very damaging to local, regional, and global economic growth.  The Fund held a mixture of long and short positioning across global stock indexes during the month.  Ultimately the gains on long positions more than offset losses experienced on any short holdings, leading to positive net P&L within the sector.  Commodity holdings produced additional partially offsetting profits for the Fund during the month.  Short positioning on the petroleum complex produced a bulk of the sector’s profits.  Crude oil sold off sharply on the lethal combination of COVID-19 “stay at home” induced demand destruction linked with a shortage of available storage capacity.  The May WTI futures contract went below zero for the first time in history as long holders scrambled to sell before contract expiration in order to avoid taking physical delivery given the scarcity of demand and lack of available storage space.

Losses in May once again came from foreign exchange, as well as commodity and stock index holdings, while interest rate positions contributed some gains. May’s short positioning on several of the so-called commodity currencies, namely the Norwegian krone and Australian dollar, produced losses when those currencies rallied strongly.  Fueling the run-up was a sharp rebound in many beaten down commodity markets, specifically the energy complex, as optimism grew that the worst of the COVID-19 crisis was over.  A long position on the Canadian dollar (versus short the US dollar) contributed some partially offsetting gains for the sector on the same commodity currency drivers cited above. Commodity holdings produced additional losses for the Fund during the month.  Short positioning on the energy, grain, and industrial metal complexes showed losses as those markets rallied driven by the improving COVID-19 crisis.  A long holding on precious metals, specifically silver, produced some partially offsetting gains for the sector as expected industrial demand overwhelmed limited supplies of the metal. Short positioning on stock indexes in Europe and Japan suffered as most global stock indices continued to bounce higher from the March COVID-19 crisis lows.  Regional economic re-openings linked with no new major spikes in coronavirus cases fueled the equity optimism.  A long position on the Hong Kong Hang Seng index added to sector losses as that market was one of the few global indexes to sell-off during May.  China’s legislature approved a proposal to impose a highly contentious national security law in the semi-autonomous territory which sparked the regional equity sell-off. Interest rate positions from both long and short-dated instruments contributed partially offsetting gains to the Fund in May.  A short position on the German 10-year note was one of the most profitable markets in the sector.  The German Bund sold-off during the month (prices lower and yields higher) as signs of improvement in the coronavirus crisis caused traders to shun safe haven assets in favor of riskier ones.
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Foreign exchange trading in both the emerging and developed markets produced losses for the Fund during June.  The greatest declines were seen in the Norwegian krone, Australian dollar, and certain Latin American currencies.  These commodity-linked currencies strengthened to start the month, causing some strategies to cover their previously held long positions, only to reverse those moves later in June.  The investor exuberance over additional government stimulus and the economic re-openings quickly wore off on reports of increasing COVID-19 infection outbreaks. Short soft commodity and industrial metal holdings suffered as the dollar weakened early in the month and as optimism over a rapid recovery in economic growth bolstered prices.  Short grain positions produced losses on the last trading day of the month as the grain complex rallied sharply after the USDA reported acreage that trailed estimates.  Within the energy sub-sector, a short natural gas holding provided some offsetting gains amid plummeting US gas exports as well as shifting weather and market supply dynamics. Meanwhile, stock index trading generated some offsetting gains. The Fund held a mix of long and short positions across the traded universe of indexes and showed a gain in Asia and North America, but partially offsetting losses were realized in Europe.  Most global indexes experienced a choppy month amid mixed coronavirus news coupled with hopes for more stimulus from central banks. Interest rate positions from long-dated instruments also contributed small offsetting gains during the month.  The Bank of Japan signaled plans to buy more shorter-maturity bonds which caused the yield curve to steepen and benefited our short positioning on longer-dated Japanese government bonds.


2019 (For the Six Months Ended June 30)

Of the 8.51% year to date return, approximately 11.40% was due to trading gains (before commissions) and approximately 1.47% due to investment income, offset by approximately (4.36)% due to brokerage fees, operating expenses and offering costs borne by the Fund. An analysis of the 11.40% trading gains by sector is as follows:

Sector% Gain (Loss)
Commodities(3.81)%
Currencies(2.04)%
Interest Rates11.73%
Stock Indices5.52%
11.40%

The Fund, which consists of trend following, systematic macro, and short-term strategies, was lower in January. Losses came from commodity and foreign exchange positions, while fixed income and stock holdings produced partially offsetting gains for the Fund. Commodity trading generated losses for the Fund in January. Short energy positions suffered as the complex rebounded from multi-year lows on back of bullish fundamental developments and a general increase in risk sentiment. Short grain positioning also detracted as the sector traded higher amid adverse weather conditions in key growing regions, and some optimism surrounding the latest round of trade talks between the US and China. Foreign exchange positioning produced additional losses, with gains in long emerging market currencies (versus the USD) being overshadowed by losses in the developed markets, where we were net short against the greenback. The USD was broadly weaker on the month with the notable themes being the US government shutdown and a less hawkish FOMC. Short positioning on several of the commodity currencies produced the largest losses as those currencies rallied on back of the increase in prices across the petroleum complex during the month. Interest rate positions from long-dated instruments provided offsetting profits during the month. Long positioning on bonds issued by Australia, Canada, and France generated the largest gains. The shift in central bank rhetoric to a more dovish tone caused global fixed income markets to rise to start the year.  Stock index positions also produced some offsetting gains during the month. Despite a myriad of global headwinds, stock markets recovered from their December sell-off, encouraged by a resumption of trade talks, dovish Fed takeaways, and the start of US Q4 earnings that mostly met expectations. Shorter term strategies moved from short to long, flipping net Fund positioning in time to capitalize on rallying equity markets, especially in the Hang Seng index.
The Fund showed a profit in February with gains coming from commodity and stock index positions, while interest rate holdings produced some partially offsetting losses. Foreign Exchange (FX) had little P&L impact on the Fund during the month. Commodity trading generated profits for the Fund in February. Short positioning across the grain subsector produced some of the best sector gains. Wheat extended a sell-off to a ten-month low following a year-over-year improvement in winter crop conditions. A long position on palladium led gains in the precious metals subsector. Palladium rose to a record high amid tight supplies and steadily rising demand for the rare metal. Some partially offsetting losses came from the industrial metal subsector. Short positioning on copper and nickel suffered as prices rose, driven by signs of progress on US / Chinese trade talks and amid tight supplies. Stock index positions produced additional gains. Long positioning on European, US, and Asia-Pacific indices produced the best profits within the sector. European stock indices benefitted from signs of progress for a successful Brexit (the UK divorce from the European Union) with the Euro Stoxx 50 and the French CAC 40 producing some of the greatest sector returns. Asia-Pacific stocks rallied amid signs that a US / Chinese trade deal was also making positive progress. President Trump delayed a March 1st tariff increase on China as he cited “significant progress” on the trade talks. Some of the biggest gains within the region came from Australia and Hong Kong. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting losses during the month. Long positioning on the United Kingdom (UK) gilt (10-year note) contributed the largest losses to the sector. Signs of positive progress on Brexit and hawkish comments from the UK central bank head Mark Carney conspired to send gilt prices down sharply from near-term highs. In the foreign exchange sector, gains in developed market currencies were almost equally offset by losses in the emerging market currencies, leading to negligible P&L for currencies overall. Long US dollar positioning was profitable against developed market currencies but losses in the emerging markets, especially from the Brazilian real and the South African rand, mostly negated any FX sector gains.

The Fund showed a profit in March with gains coming from interest rate and stock index holdings. Foreign exchange positions produced some partially offsetting losses while commodities had little impact on the Fund. Interest rate positions in long- and short-dated instruments spearheaded Fund gains in March. More dovish than expected commentary from central bankers, growing global growth concerns, and persistently weak economic data ignited a sharp rally in bonds worldwide. Long positioning on the UK gilt provided the biggest gain as investors sought safe havens amidst Brexit gridlock. Net long positioning in US bonds generated additional gains after the FOMC scaled back projected interest-rate increases this year to zero and said they would end the drawdown of the central bank bond holdings in September. One of the most discussed bond headlines this month was the inversion of the US yield curve (3-month bills and 10-year note) for the first time since the global financial crisis. Long positioning on a variety of global stock indices also added to the positive monthly result. Stock index returns ebbed and flowed on the various themes of stalling global economy growth, dovish central bank rhetoric, US-China trade talks, and Brexit. Some of the best monthly stock index gains were found in Europe and the United States. Foreign exchange positioning on developed FX markets drove the sector’s losses during the month. The Fund started the month long the Canadian dollar (versus the USD) which ultimately weakened after a worse than expected Canadian GDP release. Small gains in the emerging market currencies helped offset some of the losses. Commodity holdings produced mixed results in March. Long energy positions detracted as upside momentum in the complex stalled alongside a pause in global risk sentiment. Precious metals also registered a negative contribution to the Fund, primarily from a long palladium position. After hitting new all-time highs, palladium prices plummeted in the waning days of the month as slowing global economic growth sparked demand worries. Short grains holdings provided offsetting gains as the complex sold-off into month-end following a bearish USDA grain report.

The Fund showed a profit in April, with gains coming from stock index and commodity positions, while interest rate and foreign exchange holdings produced some partially offsetting losses during the month. Stock index positions produced the best Fund gains.  Long positioning on European and Asia-Pacific indexes generated the largest profits within the sector.  Global stock indexes generally produced strong gains during April.  Those gains were driven by dovish statements from several major central banks, signs of improving economic growth from China, some better-than-expected economic releases from the United States, and amid mostly robust Q1 corporate earnings reports. Commodity trading also generated profits for the Fund in April.  Short positioning across the grain subsector produced some of the best sector gains driven by a stronger US dollar and ample global supply expectations.  Soybeans traded to a 6-month low while wheat fell to a 6-week low during the month.  Long positioning on the energy subsector also added to gains.  The subsector benefited from a combination of broad demand for global risk assets and increasing concerns over an undersupplied market.  Some partially offsetting losses came from the industrial metals subsector.  Long positioning in zinc and copper led losses as the complex suffered its biggest monthly decline on a year-to-date basis.  Base metals faced headwinds from a stronger US dollar and climbing inventory stockpiles. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting losses during the month.  Long positioning on the United Kingdom gilt (10-year note) and short sterling (90-day bill) contributed the largest losses to the sector.  A 6-month Brexit extension sent UK fixed income prices lower as traders liquidated safe-haven positions as the threat of a “hard” UK separation from the European Union diminished. In the foreign exchange sector, losses were generated in the emerging market (EM) currencies.  The trading strategy failed to successfully navigate some choppy price action in the South African rand (against the US dollar) which contributed more than half of the monthly losses within the EM FX sector.

The Fund showed a loss in May, with losses coming from stock index and commodity positions, while interest rate and foreign exchange holdings produced some partially offsetting gains during the month. Stock index positions produced the largest Fund losses.  Global stock indexes generally saw steep sell-offs during the month and long positioning on global indexes generated losses within the sector, particularly across Europe and in the United States.  Those losses were driven by a sharp escalation of trade tension between the US and both China and Mexico, signs that global growth is decelerating, and as the inverted US Treasury yield curve signaled a higher-than-normal recession risk. Commodity trading also generated losses for the Fund in May.  Short positioning across the grain subsector produced the worst sector losses as heavy rains across the Midwest prevented a considerable amount of crop planting in the US.  Weekly USDA crop progress reports painted a bullish outlook for prices, especially for corn, which rose sharply to a near three-year high.  Long holdings on the energy subsector also added to losses.  The energy complex suffered amid weakening demand and as US inventory levels rose to a 22-month high. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting gains during the month.  Long positioning on 10-year notes from Australia and the United Kingdom were two of the best performing holdings.  Australia’s central bank indicated that interest rate cuts were likely in the coming months sending their notes sharply higher (interest rates fell).  In the UK, the Brexit impasse became more uncertain as Prime Minister May stepped down and the future leadership of Britain became less clear.  Flight to safety flows benefitted the UK gilt. In the foreign exchange sector, gains were generated in the developed market and emerging market currencies.  A short position on the Australian dollar drove gains in the developed FX subsector as that currency sold-off amid some weaker than expected economic data releases and dovish comments from the Governor of the Reserve Bank of Australia.  A short position on the Chilean peso proved profitable in the EM subsector as that currency weakened on trade angst and weaker copper prices.

The Fund showed a profit in June with gains coming from stock index and interest rate positions, while foreign exchange and commodity holdings produced some partially offsetting losses during the month. Stock index positions produced the largest Fund profits.  Global stock indices bounced back sharply from May’s steep sell-off.  Long positioning across most global indexes benefited from signs that major central banks stand ready to provide new stimulus to slowing global economies.  Fed Chairman Powell at the June FOMC meeting strongly hinted that rate cuts are coming and ECB President Draghi stated that “in the absence of improvement” in inflation data, “additional stimulus will be required.” Interest rate positions from both long-dated and short-dated instruments provided additional gains during the month.  Long positioning in Australia, the United States, Japan, and Europe all benefited from the possibility of renewed central bank easing.  Early in the month, the Reserve Bank of Australia became one of the first G10 central banks to actually cut interest rates amid sluggish economic growth and a decline in real estate prices in the country, and then strongly hinted that additional cuts might be warranted. In the foreign exchange sector, losses were generated in the developed market currencies.  A short position on the Norwegian krone (versus the US dollar) led sector losses.  The Norges Bank bucked the dovish central bank trend and actually hiked interest rates during the month.  The hike marked the third increase over the past nine months amid a surge in oil investments, low unemployment, and inflation running above the central bank’s target. Commodity trading provided some small losses for the Fund in June.  Industrial metals were the worst performing sub-sector.  A short holding on nickel suffered on the back of US dollar weakness and mounting optimism over a Trump-Xi trade meeting on the sidelines of the G-20 summit near month-end. Some partially offsetting gains were seen in long energy holdings.  A long position on gasoline profited after a massive fire shut-down one of the East Coast’s largest refineries, crimping supply and sending gas prices sharply higher.

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Introduction


Past Results Not Necessarily Indicative of Future Performance


The 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 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 Fund’s main line of business.


Market movements result in frequent changes in the fair value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades.


The 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 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 Fund’s market sensitive instruments.


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Quantifying the Fund’s Trading Value at Risk


Quantitative Forward-Looking Statements


The following quantitative disclosures regarding the 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 Fund’s risk exposure in the various market sectors traded is estimated in terms of Value at Risk (VaR). The 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, credit, 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 Fund’s VaR at a one day 97.5% confidence level 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 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 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The current methodology used to calculate the aggregate VaR represents the VaR of the Fund’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.

The 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 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 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 Fund is the speculative trading of futures, forwards, and forwards,swaps, the composition of the 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.


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


The following tables indicate the trading Value at Risk associated with the Fund’s open positions by market category as of June 30, 20202021 and December 31, 20192020 and the trading gains/losses by market category for the six months ended June 30, 2020 and the year ended December 31, 2019.2020.


 June 30, 2020  June 30, 2021 
Market Sector 
Value
at Risk*
  
Trading
Gain/(Loss)**
  
Value
at Risk*
  
Trading
Gain/(Loss)**
 
Credit  0.05%  (2.03)%
Commodities 0.70% 4.65%  0.81%  5.36%
Currencies 0.54% 3.81%
Foreign Exchange  0.52%  10.85%
Interest Rates 0.58% 6.39%  0.28%  (5.32)%
Stock Indices 0.28%  (13.66) %
Equity Indices  0.82%  6.86%
Aggregate/Total 1.35%  1.19%  1.69%  15.72%


*
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Fund’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.

**Of the (2.26)%11.80% year to date return, approximately 1.19%15.72% was due to trading gains (before commissions) and approximately 0.88%0.07% due to investment income, offset by approximately (4.33)(3.99)% due to brokerage fees, operating expenses and offering costs borne by the Fund.


 December 31, 2019  December 31, 2020 
Market Sector 
Value
at Risk*
  
Trading
Gain/(Loss)**
  
Value
at Risk*
  
Trading
Gain/(Loss)**
 
Credit  0.11%  0.08%
Commodities 0.51% (8.27) %  0.71%  10.47%
Currencies 0.60% (3.68) %
Foreign Exchange  0.51%  4.34%
Interest Rates 0.61% 12.74%  0.87%  2.73%
Stock Indices 0.71%  9.63%
Equity Indices  0.63%  (12.41)%
Aggregate/Total 1.19%  10.42%  1.43%  5.21%


*
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Fund’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.

**Of the 4.34%(2.40)% year to date return, for the year ended December 31, 2019, approximately 10.42%5.21% was due to trading gains (before commissions) and approximately 2.60%1.13% due to investment income, offset by approximately (8.68)(8.74)% due to brokerage fees, operating expenses and offering costs borne by the Fund.


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

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


1)
Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;


2)
Changes in portfolio value caused by market movements may differ from those of the VaR model;


3)
VaR results reflect past trading positions while future risk depends on future positions;


4)
VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and


5)
The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.


VaR is not necessarily representative of historic risk nor should it be used to predict the Fund’s future financial performance or its ability to manage and monitor risk. There can be no assurance that the 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 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 Fund also has non-trading market risk as a result of investing a portion of its available assets in U.S. Treasury Bills held at the brokersbroker and over-the-counter counterparties.counterparty. The market risk represented by these investments is minimal. Finally, the Fund has non-trading market risk on fixed income securities held as part of its cash management program. The cash manager will use its best endeavors in the management of the assets of the 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 Fund’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the 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 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 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 Fund. There can be no assurance that the 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 Fund.


The following were the primary trading risk exposures of the Fund as of June 30,December 31, 2020, by market sector.


CurrenciesForeign Exchange


The 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 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 Fund’s currency sector will change significantly in the future.

3237
Interest Rates

Interest rate movements directly affect the price of the sovereign bond positions and interest rate swap contracts held by the 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 Fund’s profitability. The Fund’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. Campbell & Company anticipatesdoes not anticipate that G-7 interest rates will remain the primary rate exposurerisk profile of the Fund for the foreseeable future. ChangesFund’s interest rate sector will change significantly in the interest rate environment will have the most impact on longer dated fixed income positions, at points of time throughout the year the majority of the speculative positions held by the Fund may be held in medium to long-term fixed income positions.future.


StockEquity Indices


The Fund’s primary equity exposure is to equity price risk in the G-7 countries as well as Australia, Hong Kong, Singapore, Spain, Taiwan, Netherlands, India, South Africa and Sweden. The stock index futures traded by the Fund are by law limited to futures on broadly based indices. The Fund is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices. Markets that trade in a narrow range could result in the Fund’s positions being “whipsawed” into numerous small losses.


EnergyCredit


The Fund’s primary credit exposure is through fluctuations in the credit worthiness of a particular reference entity, basket of reference entities, or an index.

Energy

The Fund’s primary energy market exposure is to natural gas, 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 Fund’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, palladium, platinum, silver and zinc.


Agricultural


The Fund’s agricultural exposure is to the fluctuations of the price of cattle, cocoa, coffee, corn, cotton, hogs, soy, sugar, and wheat.


Qualitative Disclosures Regarding Non-Trading Risk Exposure


The following were the non-trading risk exposures of the Fund as of June 30, 2020.2021.


Foreign Currency Balances


The Fund’s primary foreign currency balances are in Australian Dollar, British Pound, Canadian Dollar, Euros, Hong Kong Dollar, Japanese Yen, Singapore Dollar, South African Rand and Swedish Krona. The 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).


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Fixed Income Securities and Short Term Investments


The 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 manager, PNC, has authority to make certain investments on behalf of the Fund. All securities purchased by the cash manager on behalf of the Fund will be held in the Fund’s custody account at the custodian. The cash manager will use its best endeavors in the management of the assets of the Fund but provide no guarantee that any profit or interest will accrue to the Fund as a result of such management.


33
U.S. Treasury Bill Positions for Margin Purposes


The Fund also has market exposure in its U.S. Treasury Bill portfolio. The Fund holds U.S. Treasury Bills with maturities no longer than ninesix months. Violent fluctuations in prevailing interest rates could cause minimal mark-to-market losses on the Fund’s U.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 Fund and Campbell & Company, severally, attempt to manage the risk of the Fund’s open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses.


General


The 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 Fund generally will use a small percentage of assets as margin, the Fund does not believe that any increase in margin requirements, as proposed, will have a material effect on the Fund’s operations.


During the six months ended June 30, 2020, theThe Fund operatedhas continued to operate as normal during the coronavirus (“COVID-19”) outbreak.COVID-19 pandemic.  The Fund had access to and the ability to trade in approved markets.  There were no disruptions in the Fund’s accounting processes, transfer agent processes or cash processes, including the ability to pay redemptions and meet margin requirements.


The future impact of the COVID-19 outbreak on the financial performance of the Fund’s investments will depend on future developments, including the durationeffectiveness of vaccines and spreadthe public’s willingness to get vaccinated as new strains of the virus andemerge, along with any related advisories and restrictions. These developments and the lasting impact of COVID-19 on the financial markets and the overall economy are highly uncertain and cannot be predicted.  If the financial markets and/or the overall economy are impacted for an extended period, the Fund’s ability to trade and investment results may be materially affected.


Item 4.  Controls and Procedures.


Campbell & Company, the general partner of the Fund, with the participation of the general partner’s chief executive officer and chief operating officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in the Securities Exchange Act of 1934 Rules 13a-15(e) or 15d-15(e)) with respect to the Fund as of the end of the period covered by this quarterlyannual report. Based on their evaluation, the chief executive officer and chief operating officer have concluded that these disclosure controls and procedures are effective. There were no changes in the general partner’s internal control over financial reporting applicable to the Fund identified in connection with the evaluation required by paragraph (d) of Exchange Act Rules 13a-15 or 15d-15 that occurred during the last fiscal quarter that have materially affected, or is reasonably likely to materially affect, internal control over financial reporting applicable to the Fund.


34
39
PART II-OTHER INFORMATION


Item 1.  Legal Proceedings.


None


Item 1A.  Risk Factors.


NoneThere are no material changes from the risk factors as previously disclosed in Form 10-K, filed March 26, 2021.


Item 2.  Unregistered Sales of Equity Securities and Use of Proceeds.


None


Item 3.  Defaults Upon Senior Securities.


Not applicable.


Item 4.  Mine Safety Disclosures.


Not applicable.


Item 5.  Other Information.


None


35
40
Item 6.  Exhibits.

Exhibit Number Description of Document
   
3.01 
Amended Certificate of Limited Partnership (1)
   
3.02 
Second Amended and Restated Agreement of Limited Partnership (included to the Prospectus as Exhibit A) (2)
   
4.01 
Limited Partner Privacy Notice (as included in the Prospectus) (2)
   
10.01 
Advisory Agreement between Campbell Strategic Allocation Fund, L.P. and Campbell & Company, LP(3)
   
10.02 
Global Institutional Master Custody Agreement (1)
   
10.03 
Investment Management Agreement with PNC Capital Advisors LLC, as cash manager (4)
   
31.01
 Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
   
31.02
 Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
   
32.01
 Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
   
32.02
 Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
   
101.01101 Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of June 30, 20202021 and December 31, 2019,2020, (ii) Statements of Financial Condition as of June 30, 2020 and December 31, 2019,2020, (iii) Statements of Operations For the Three Months and Six Months Ended June 30, 20202021 and 2019,2020, (iv) Statements of Cash Flows For the Six Months Ended June 30, 20202021 and 2019,2020, (v) Statements of Changes in Partners’ Capital (Net Asset Value) For the Six Months Ended June 30, 20202021 and 2019,2020, (vi) Financial Highlights For the Three Months and Six Months Ended June 30, 20202021 and 2019,2020, (vii) Notes to Financial Statements.
104Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).


(1)
Incorporated by reference to the respective exhibit to the Registrant’s Registration Statement on Form S-1 on April 27, 2010.

(2)
Incorporated by reference to the respective exhibit to Post-Effective Amendment No. 2 to the Registration Statement on Form S-1 on April 7, 2011.

(3)
Incorporated by reference to the respective exhibit to the Quarterly Report on Form 10-Q on November 14, 2017.

(4)
Incorporated by reference to the respective exhibit to the Quarterly Report on Form 10-Q on May 15, 2014.

EXHIBIT INDEX


 Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
   
 Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
   
 Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
   
 Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
   
101.01101 Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of June 30, 20202021 and December 31, 2019,2020, (ii) Statements of Financial Condition as of June 30, 2020 and December 31, 2019,2020, (iii) Statements of Operations For the Three Months and Six Months Ended June 30, 20202021 and 2019,2020, (iv) Statements of Cash Flows For the Six Months Ended June 30, 20202021 and 2019,2020, (v) Statements of Changes in Partners’ Capital (Net Asset Value) For the Six Months Ended June 30, 20202021 and 2019,2020, (vi) Financial Highlights For the Three Months and Six Months Ended June 30, 20202021 and 2019,2020, (vii) Notes to Financial Statements.
104Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.


 
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Registrant)
    
 By:Campbell & Company, LP 
  General Partner 
   
Date: August 14, 202013, 2021By:
/s/ G. William Andrews
 
  G. William Andrews 
  Chief Executive Officer 



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