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~~September 30, 2021

☐	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 class	Trading 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 ☐

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~~September 30, 2021, there were ~~59,584.483~~57,799.609 Units of General and Limited Partnership Interest issued and outstanding.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS
~~JUNE~~SEPTEMBER 30, 2021 (Unaudited)

Total Asset Backed Securities (cost $7,990,569)

Total Asset Backed Securities (cost $6,571,025)

Total Bank Deposits (cost $2,444,977)

Total Bank Deposits (cost $2,444,936)

Total United States (cost $36,706,844)

Total Commercial Paper (cost $37,481,537)

Total United States (cost $33,482,005)

Total Commercial Paper (cost $37,760,690)

See Accompanying Notes to Financial Statements.

Table of Contents

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
~~JUNE~~SEPTEMBER 30, 2021 (Unaudited)

FIXED INCOME SECURITIES

Maturity	Maturity		Fair		% of Net			Maturity		Fair		% of Net
Face Value	Face Value	Description	Value ($)		Asset Value			Face Value	Description	Value ($)		Asset Value
									Corporate Bonds
									Australia
		Corporate Bonds							Financials (cost $1,910,000)	$	1,919,775		1.42	%
		Australia							Canada
		Financials (cost $1,910,000)	$	1,920,729		1.35	%		Financials		4,657,901		3.44	%
		Canada							Energy		705,705		0.52	%
		Financials		3,418,333		2.40	%		Total Canada (cost $5,348,835)		5,363,606		3.96	%
		Energy		240,591		0.17	%		Germany
		Total Canada (cost $3,650,279)		3,658,924		2.57	%		Consumer Discretionary (cost $1,550,000)		1,553,954		1.15	%
		Germany							Japan
		Consumer Discretionary (cost $2,144,897)		2,153,530		1.51	%		Financials (cost $1,185,475)		1,185,999		0.88	%
		Japan							Switzerland
		Financials (cost $1,193,313)		1,193,765		0.84	%		Financials (cost $2,019,720)		2,029,201		1.50	%
		Switzerland							United Kingdom
		Financials (cost $2,019,647)		2,031,908		1.43	%		Health care (cost $660,296)		660,199		0.49	%
		United States							United States
		Communications		777,247		0.55	%		Communications		230,000		0.17	%
		Consumer Discretionary		2,313,896		1.62	%		Consumer Discretionary		2,923,158		2.16	%
		Consumer Staples		2,277,246		1.60	%		Consumer Staples		2,270,437		1.68	%
		Energy		2,517,855		1.77	%		Energy		2,509,463		1.85	%
		Financials		6,421,220		4.50	%		Financials		5,617,673		4.15	%
		Health care		1,178,102		0.83	%		Health care		1,545,910		1.14	%
		Industrials		2,673,437		1.88	%		Industrials		2,641,122		1.95	%
		Technology		945,456		0.66	%		Technology		1,826,338		1.35	%
		Real estate		796,240		0.56	%		Real estate		796,281		0.59	%
		Utilities		1,313,685		0.92	%		Utilities		1,553,989		1.15	%
		Total United States (cost $21,154,191)		21,214,384		14.89	%		Total United States (cost $21,868,020)		21,914,371		16.19	%
		Total Corporate Bonds (cost $32,072,327)		32,173,240		22.59	%		Total Corporate Bonds (cost $34,542,346)		34,627,105		25.59	%


		Government and Agency Obligations							Government and Agency Obligations
		United States							United States
		U.S. Treasury Bills							U.S. Treasury Bills
$	2,135,000	U.S. Treasury Bills Due 07/15/2021⁽¹⁾		2,134,964		1.50	%	2,135,000	U.S. Treasury Bills Due 10/14/2021⁽¹⁾		2,134,983		1.58	%
$	5,300,000	U.S. Treasury Bills Due 08/12/2021 ⁽¹⁾		5,299,676		3.72	%	5,300,000	U.S. Treasury Bills Due 11/12/2021 ⁽¹⁾		5,299,709		3.92	%
$	10,000,000	U.S. Treasury Bills Due 09/16/2021⁽¹⁾		9,999,090		7.01	%	10,000,000	U.S. Treasury Bills Due 12/19/2021⁽¹⁾		9,999,520		7.39	%
		Total Government and Agency Obligations (cost $17,434,819)		17,433,730		12.23	%		Total Government and Agency Obligations (cost $17,433,987)		17,434,212		12.89	%
		Total Fixed Income Securities (cost $96,283,797) ⁽²⁾	$	96,370,457		67.61	%		Total Fixed Income Securities (cost $99,893,416) ⁽²⁾	$	99,970,922		73.86	%

(1)	Pledged as collateral for the trading of ~~future~~futures positions.

(2)	Included in fixed income securities are U.S. Treasury Bills with a fair value of ~~$17,433,730~~$17,434,212 deposited with the futures brokers.

See Accompanying Notes to Financial Statements.

Table of Contents

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
~~JUNE~~SEPTEMBER 30, 2021 (Unaudited)

SHORT TERM INVESTMENTS

	Fair		% of Net			Fair		% of Net
Description	Value ($)		Asset Value			Value ($)		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	%
Money Market Funds (cost $1,479)						$	1,479		0
Total Short Term Investments (cost $1,479)						$	1,479		0

LONG FUTURES CONTRACTS

	Fair			% of Net			Fair			% of Net
Description	Value ($)			Asset Value			Value ($)			Asset Value
Agriculture	$	260,279			0.17	%	$	128,581			0.09	%
Energy		692,518			0.49	%		420,102			0.31	%
Metals		(1,532,294	)		(1.07	)%		(3,203,759	)		(2.37	)%
Stock indices		290,012			0.20	%		(1,370,373)			(1.01	)%
Short-term interest rates		(606,279	)		(0.43	)%		(540,844	)		(0.40	)%
Long-term interest rates		146,780			0.10	%		(2,752,409)			(2.03	)%
Net unrealized gain (loss) on long futures contracts		(748,984	)		(0.54	)%		(7,318,702	)		(5.41	)%

SHORT FUTURES CONTRACTS

	Fair			% of Net			Fair			% of Net
Description	Value ($)			Asset Value			Value ($)			Asset Value
Agriculture		(30,114	)		(0.02	)%		(88,519	)		(0.07	)%
Energy		17,728			0.01	%		(54,890)			(0.04	)%
Metals		1,424,795			1.00	%		2,799,905			2.07	%
Stock indices		173,877			0.12	%		(26,772)			(0.02	)%
Short-term interest rates	��	216,709			0.15	%		146,982			0.11	%
Long-term interest rates		(645,796	)		(0.45	)%		2,832,885			2.09	%
Net unrealized gain (loss) on short futures contracts		1,157,199			0.81	%		5,609,591			4.14	%
Net unrealized gain (loss) on open futures contracts	$	408,215			0.27	%	$	(1,709,111)			(1.27	)%

FORWARD CURRENCY CONTRACTS

	Fair			% of Net			Fair			% of Net
Description	Value ($)			Asset Value			Value ($)			Asset Value
Various long forward currency contracts	$	(16,753,564	)		(11.75	)%	$	(17,057,985	)		(12.60	)%
Various short forward currency contracts		15,326,659			10.75	%		19,017,376			14.05	%
Net unrealized gain (loss) on open forward currency contracts	$	(1,426,905	)		(1.00	)%	$	1,959,391			1.45	%

CREDIT DEFAULT INDEX SWAPS

	Fair		% of Net			Fair		% of Net
Description	Value ($)		Asset Value			Value ($)		Asset Value
Centrally cleared credit default index swaps - Sell protection (net cost $1,474,832) ⁽³⁾	$	1,790,748		1.26	%
Centrally cleared credit default index swaps - Sell protection (net cost $1,586,691) ⁽³⁾						$	1,508,627		1.11	%

INTEREST RATE SWAPS

	Fair		% of Net			Fair		% of Net
Description	Value ($)		Asset Value			Value ($)		Asset Value
Centrally cleared interest rate swaps - Receive fixed (net cost $603,242) ⁽⁴⁾	$	509,118		0.36	%
Centrally cleared interest rate swaps - Receive fixed (net cost $409,083) ⁽⁴⁾						$	877,624		0.65	%

(3)	Includes ~~$1,773,275~~$1,550,974 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~~$795,598 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.

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.

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
		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
		United States
		U.S. Treasury Bills
$	2,135,000	U.S. Treasury Bills Due 01/14/2021 ⁽¹⁾		2,134,972		1.58	%
$	7,675,000	U.S. Treasury Bills Due 02/11/2021 ⁽¹⁾		7,674,517		5.68	%
$	12,085,000	U.S. Treasury Bills Due 03/11/2021 ⁽¹⁾		12,083,332		8.94	%
		Total Government and Agency Obligations (cost $21,892,544)		21,892,821		16.20	%
		Total Fixed Income Securities (cost $93,441,318) ⁽²⁾	$	93,639,346		69.29	%

(1)	Pledged as collateral for the trading of future positions.

(2)	Included in fixed income securities are U.S. Treasury Bills with a fair value of $21,892,821 deposited with the futures brokers.

See Accompanying Notes to Financial Statements.

Table of Contents

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.

Table of Contents

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF FINANCIAL CONDITION

~~JUNE~~SEPTEMBER 30, 2021 AND DECEMBER 31, 2020 (Unaudited)

	June 30, 2021		December 31, 2020		September 30, 2021			December 31, 2020
ASSETS
Equity in futures brokers trading accounts
Cash	$	14,664,319	$	7,921,729	$	7,063,077		$	7,921,729
Restricted cash		2,253,752		0		5,588,790			0
Fixed income securities (cost $17,434,819 and $21,892,544, respectively)		17,433,730		21,892,821
Fixed income securities (cost $17,433,987 and $21,892,544, respectively)						17,434,211			21,892,821
Net unrealized gain (loss) on open futures contracts		408,215		4,761,054		(1,709,111	)		4,761,054
Total equity in futures brokers trading accounts		34,760,016		34,575,604		28,376,967			34,575,604

Cash and cash equivalents		570,528		530,925		448,017			530,925
Cash at interbank market maker		3,301,939		6,016,235		3,263,298			6,016,235
Restricted cash at interbank market makers		20,122,283		9,501,426		16,209,816			9,501,426
Short term investments (cost $3,088,504 and $8,053,123, respectively)		3,088,504		8,053,123
Short term investments (cost $1,479 and $8,053,123, respectively)						1,479			8,053,123
Cash at swaps broker		3,187,753		3,252,089		3,863,474			3,252,089
Restricted cash at swaps broker		1,793,189		4,035,982		1,663,091			4,035,982
Fixed income securities (cost $78,848,978 and $71,548,774, respectively)		78,936,727		71,746,525
Fixed income securities (cost $82,459,429 and $71,548,774, respectively)						82,536,711			71,746,525
Credit default index swaps		17,473		3,920		0			3,920
Interest rate swaps		76,535		0		82,026			0
Due from swaps broker		25,929		22,431		27,379			22,431
Net unrealized gain on open forward currency contracts		0		1,125,411		1,959,391			1,125,411
Interest receivable		102,768		109,689		111,574			109,689
Total assets	$	145,983,644	$	138,973,360	$	138,543,223		$	138,973,360

LIABILITIES
Accounts payable	$	100,706	$	143,714	$	103,654		$	143,714
Brokerage fee payable		842,142		808,965		804,097			808,965
Net unrealized loss on open forward currency contracts		1,426,905		0
Payable for securities purchased						465,081			0
Interest rate swaps		0		72,230		0			72,230
Credit default index swaps						42,347			0
Accrued commissions and other trading fees on open contracts		39,208		32,264		40,451			32,264
Offering costs payable		49,709		45,477		46,609			45,477
Redemptions payable		965,302		2,725,737		1,708,207			2,725,737
Total liabilities		3,423,972		3,828,387		3,210,446			3,828,387
PARTNERS’ CAPITAL (Net Asset Value)
General Partner - 0.000 and 0.000 redeemable units outstanding at June 30, 2021 and December 31, 2020		0		0
Limited Partners - 59,584.483 and 63,149.651 redeemable units outstanding at June 30, 2021 and December 31, 2020		142,559,672		135,144,973
General Partner - 0.000 and 0.000 redeemable units outstanding at September 30, 2021 and December 31, 2020						0			0
Limited Partners - 57,799.609 and 63,149.651 redeemable units outstanding at September 30, 2021 and December 31, 2020						135,332,777			135,144,973
Total partners’ capital (Net Asset Value)		142,559,672		135,144,973		135,332,777			135,144,973
Total liabilities and partners’ capital (Net Asset Value)	$	145,983,644	$	138,973,360	$	138,543,223		$	138,973,360

See Accompanying Notes to Financial Statements.

Table of Contents

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF OPERATIONS
FOR THE THREE MONTHS AND ~~SIX~~NINE MONTHS ENDED ~~JUNE~~SEPTEMBER 30, 2021 AND 2020 (Unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,						Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020			2021			2020			2021			2020
TRADING GAINS (LOSSES)
Futures trading gains (losses)
Realized	$	11,949,966		$	492		$	20,889,416		$	(8,731,667	)	$	2,163,490		$	(7,166,326)		$	23,052,906		$	(15,897,993	)
Change in unrealized		(641,912	)		(2,060,886	)		(4,352,839	)		4,944,133			(2,117,326	)		1,486,490			(6,470,165	)		6,430,623
Brokerage commissions		(288,003	)		(233,874	)		(568,269	)		(539,980	)		(287,104	)		(315,278	)		(855,373	)		(855,258	)
Net gain (loss) from futures trading		11,020,051			(2,294,268	)		15,968,308			(4,327,514	)		(240,940)			(5,995,114	)		15,727,368			(10,322,628	)

Forward currency trading gains (losses)
Realized		6,694,081			3,984,032			9,572,951			6,707,819			(3,908,213)			(3,501,984)			5,664,738			3,205,835
Change in unrealized		(6,986,943	)		(10,902,056	)		(2,552,316	)		(474,466	)		3,386,296			1,191,188			833,980			716,722
Brokerage commissions		(43,354	)		(22,309	)		(71,696	)		(48,150	)		(52,899	)		(33,974	)		(124,595	)		(82,124	)
Net gain (loss) from forward currency trading		(336,216	)		(6,940,333	)		6,948,939			6,185,203			(574,816	)		(2,344,770	)		6,374,123			3,840,433

Swap trading gains (losses)
Realized		29,899			0			(1,745,470	)		0			345,151			266,524			(1,400,319	)		266,524
Change in unrealized		169,571			0			(508,198	)		0			168,685			90,330			(339,513	)		90,330
Net gain (loss) from swap trading		199,470			0			(2,253,668	)		0			513,836			356,854			(1,739,832	)		356,854
Total net trading gain (loss)		10,883,305			(9,234,601	)		20,663,579			1,857,689			(301,920)			(7,983,030	)		20,361,659			(6,125,341)

NET INVESTMENT INCOME (LOSS)
Investment income
Interest income		102,856			466,758			230,821			1,221,139			90,257			234,886			321,078			1,456,025
Realized gain (loss) on fixed income securities		(13,034	)		8,735			(16,788	)		19,726			(25,243	)		20,887			(42,031	)		40,613
Change in unrealized gain (loss) on fixed income securities		(32,450	)		1,194,182			(111,368	)		197,698			(9,154	)		(49,274)			(120,522	)		148,424
Total investment income		57,372			1,669,675			102,665			1,438,563			55,860			206,499			158,525			1,645,062

Expenses
Brokerage fee		2,527,891			2,810,739			4,879,296			5,826,964			2,458,876			2,517,276			7,338,172			8,344,240
Operating expenses		128,970			165,917			256,582			332,011			144,367			167,555			400,949			499,566
Total expenses		2,656,861			2,976,656			5,135,878			6,158,975			2,603,243			2,684,831			7,739,121			8,843,806
Net investment income (loss)		(2,599,489	)		(1,306,981	)		(5,033,213	)		(4,720,412	)		(2,547,383	)		(2,478,332	)		(7,580,596	)		(7,198,744	)
NET INCOME (LOSS)	$	8,283,816		$	(10,541,582	)	$	15,630,366		$	(2,862,723	)	$	(2,849,303)		$	(10,461,362	)	$	12,781,063		$	(13,324,085	)

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	)	$	(48.30)		$	(149.55	)	$	211.08		$	(184.96	)

INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT	$	134.09		$	(148.93	)	$	252.49		$	(49.60	)	$	(51.15)		$	(151.64	)	$	201.34		$	(201.24	)

WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD		60,381.403			72,124.503			61,329.242			73,080.768			58,991.393			69,953.500			60,549.959			72,038.345

See Accompanying Notes to Financial Statements.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF CASH FLOWS

FOR THE ~~THREE~~NINE MONTHS ENDED ~~JUNE~~September 30, 2021 AND 2020 (Unaudited)

	Three Months Ended June 30,						Nine Months Ended September 30,
	2021			2020			2021			2020
Cash flows from (for) operating activities
Net income (loss)	$	15,630,366		$	(2,862,723	)	$	12,781,063		$	(13,324,085	)
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
Net change in unrealized on futures, forwards, swaps and investments		7,524,721			(4,667,365	)		6,096,220			(7,386,099	)
(Increase) decrease in interest receivable		6,921			63,289			(1,885	)		143,246
(Increase) decrease in due from swaps broker		(3,498	)		0			(4,948	)		(17,877	)
Increase (decrease) in payable for securities purchased								465,081			0
Increase (decrease) in accounts payable and accrued expenses		(2,887	)		(184,340	)		(36,741	)		(288,363	)
Net purchases from swap contracts		(670,517	)		0
Net purchases from swap broker								(447,502	)		(773,083	)
Purchases of investments		(706,654,831	)		(691,182,950	)		(1,039,132,017	)		(977,668,498	)
Sales/maturities of investments		708,776,972			719,684,453			1,040,731,563			1,025,198,662
Net cash from (for) operating activities		24,607,247			20,850,364			20,450,834			25,883,903

Cash flows from (for) financing activities
Redemption of units		(9,668,602	)		(9,199,571	)		(13,156,179	)		(14,690,939	)
Offering costs paid		(303,268	)		(386,376	)		(453,478	)		(550,351	)
Net cash from (for) financing activities		(9,971,870	)		(9,585,947	)		(13,609,657	)		(15,241,290	)

Net increase (decrease) in cash, cash equivalents and restricted cash		14,635,377			11,264,417			6,841,177			10,642,613

Cash, cash equivalents and restricted cash at beginning of period		31,258,386			24,870,425			31,258,386			24,870,425

Cash, cash equivalents and restricted cash at end of period	$	45,893,763		$	36,134,842		$	38,099,563		$	35,513,038

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, 2021		December 31,2020		September 30, 2021		December 31,2020
Cash, cash equivalents and restricted cash at end of period consists of:
Equity in futures brokers trading accounts:
Cash	$	14,664,319	$	7,921,729	$	7,063,077	$	7,921,729
Restricted cash		2,253,752		0		5,588,790		0
Cash and cash equivalents		570,528		530,925		448,017		530,925
Cash at interbank market maker		3,301,939		6,016,235		3,263,298		6,016,235
Restricted cash at interbank market makers		20,122,283		9,501,426		16,209,816		9,501,426
Cash at swaps broker		3,187,753		3,252,089		3,863,474		3,252,089
Restricted cash at swaps broker		1,793,189		4,035,982		1,663,091		4,035,982
Total cash, cash equivalents and restricted cash at end of period	$	45,893,763	$	31,258,386	$	38,099,563	$	31,258,386

See Accompanying Notes to Financial Statements.

Table of Contents

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL (NET ASSETS VALUE)
FOR THE THREE MONTHS AND ~~SIX~~NINE MONTHS ENDED ~~JUNE~~SEPTEMBER 30, 2021 AND 2020 (Unaudited)

	Partners’ Capital																Partners’ Capital
	General Partner				Limited Partners						Total						General Partner				Limited Partners						Total
	Units		Amount		Units			Amount			Units			Amount			Units		Amount		Units			Amount			Units			Amount
Six Months Ended June 30, 2021
Nine Months Ended September 30, 2021

Balances at December 31, 2020		0.000	$	0		63,149.651		$	135,144,973			63,149.651		$	135,144,973			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					0					7,346,550						7,346,550
Redemptions		0.000		0		(2,389.505	)		(5,110,068	)		(2,389.505	)		(5,110,068	)		0.000		0		(2,389.505	)		(5,110,068	)		(2,389.505	)		(5,110,068	)
Offering costs				0					(156,766	)					(156,766	)				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			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					0					8,283,816						8,283,816
Redemptions		0.000		0		(1,175.663	)		(2,798,099	)		(1,175.663	)		(2,798,099	)		0.000		0		(1,175.663	)		(2,798,099	)		(1,175.663	)		(2,798,099	)
Offering costs				0					(150,734	)					(150,734	)				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			0.000	$	0		59,584.483		$	142,559,672			59,584.483		$	142,559,672

Six Months Ended June 30, 2020
Net income (loss) for the three months ended September 30, 2021																				0					(2,849,303	)					(2,849,303	)
Redemptions																		0.000		0		(1,784.874	)		(4,230,482	)		(1,784.874	)		(4,230,482	)
Offering costs																				0					(147,110	)					(147,110	)
Balances at September 30, 2021																		0.000	$	0		57,799.609		$	135,332,777			57,799.609		$	135,332,777

Balances at December 31, 2020		0.000	$	0		74,725.829		$	163,853,523			74,725.829		$	163,853,523
Nine Months Ended September 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					0					7,678,859					$	7,678,859
Redemptions		0.000		0		(2,063.891	)		(4,780,012	)		(2,063.891	)		(4,780,012	)		0.000		0		(2,063.891	)		(4,780,012	)		(2,063.891	)		(4,780,012	)
Offering costs				0					(206,947	)					(206,947	)				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			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	)				0					(10,541,582	)					(10,541,582	)
Redemptions		0.000		0		(1,786.399	)		(3,943,483	)		(1,786.399	)		(3,943,484	)		0.000		0		(1,786.399	)		(3,943,483	)		(1,786.399	)		(3,943,483	)
Offering costs				0					(164,543	)					(164,542	)				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			0.000	$	0		70,875.539		$	151,895,815			70,875.539		$	151,895,815

Net income (loss) for the three months ended September 30, 2020																				0					(10,461,362)						(10,461,362)
Redemptions																		0.000		0		(3,510.316	)		(7,117,602	)		(3,510.316	)		(7,117,602	)
Offering costs																				0					(159,624	)					(159,624	)
Balances at September 30, 2020																		0.000	$	0		67,365.223		$	134,157,227			67,365.223		$	134,157,227

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
September 30, 2021												September 30, 2021	June 30, 2021		March 31, 2021		December 31, 2020
$	2,392.56	$	2,258.47	$	2,140.07	$	2,143.13	$	2,292.06	$	2,192.73	2,341.41	$	2,392.56	$	2,258.47	$	2,140.07

September 30, 2020				June 30, 2020				March 31, 2020				December 31, 2019
$	1,991.49			$	2,143.13			$	2,292.06			$	2,192.73

See Accompanying Notes to Financial Statements.

Table of Contents

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS AND ~~SIX~~NINE MONTHS ENDED ~~JUNE~~SEPTEMBER 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~~nine months ended ~~June~~September 30, 2021 and 2020. This information has been derived from information presented in the financial statements

	Three Months Ended June 30,						Six Months Ended June 30,						Three Months Ended September 30,						Nine Months Ended September 30,
	2021			2020			2021			2020			2021			2020			2021			2020
Per Unit Performance
(for a unit outstanding throughout the entire period)
Net asset value per unit at beginning of period	$	2,258.47		$	2,292.06		$	2,140.07		$	2,192.73		$	2,392.56		$	2,143.13		$	2,140.07		$	2,192.73

Income (loss) from operations:
Total net trading gains (losses)⁽¹⁾		179.64			(128.53	)		339.57			20.07			(5.48)			(113.93	)		334.05			(93.94)
Net investment income (loss) ⁽¹⁾		(43.05	)		(18.12	)		(82.07	)		(64.59	)		(43.18	)		(35.43	)		(125.20	)		(99.93	)
Total net income (loss) from operations		136.59			(146.65	)		257.50			(44.52	)		(48.66)			(149.36	)		208.85			(193.87	)
Offering costs ⁽¹⁾		(2.50	)		(2.28	)		(5.01	)		(5.08	)		(2.49	)		(2.28	)		(7.51	)		(7.37	)
Net asset value per unit at end of period	$	2,392.56		$	2,143.13		$	2,392.56		$	2,143.13		$	2,341.41		$	1,991.49		$	2,341.41		$	1,991.49
Total Return ⁽⁴⁾		5.94	%		(6.50	)%		11.80	%		(2.26	)%		(2.14	)%		(7.08	)%		9.41	%		(9.18	)%

Supplemental Data
Ratios to average net asset value:
Expenses prior to performance fee ⁽³⁾		7.51	%		7.41	%		7.49	%		7.50	%		7.44	%		7.45	%		7.51	%		7.50	%
Performance fee ⁽⁴⁾		0			0			0			0			0			0			0			0
Total expenses		7.51	%		7.41	%		7.49	%		7.50	%		7.44	%		7.45	%		7.51	%		7.50	%
Net investment income (loss) ^{(2) (3)}		(7.35	)%		(3.25	)%		(7.34	)%		(5.75	)%		(7.28	)%		(6.88	)%		(7.35	)%		(6.10	)%

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

(1)

Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

(2)	Excludes performance fee.

(3)	Annualized

(4)	Not Annualized

See Accompanying Notes to Financial Statements.

Table of Contents

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

~~JUNE~~
SEPTEMBER 30, 2021 (Unaudited)

Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

A. General Description of the Fund

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

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

B. Regulation

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

C. Method of Reporting

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

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

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

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

Table of Contents

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

~~JUNE~~
SEPTEMBER 30, 2021 (Unaudited)

NOTES TO FINANCIAL STATEMENTS

~~JUNE~~
SEPTEMBER 30, 2021 (Unaudited)

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

~~JUNE~~
SEPTEMBER 30, 2021 (Unaudited)

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

~~JUNE~~
SEPTEMBER 30, 2021 (Unaudited)

Note 2. GENERAL PARTNER AND COMMODITY TRADING ADVISOR

The general partner of the Fund is Campbell & Company, which conducts and manages the business of the Fund. Campbell & Company is also the commodity trading advisor of the Fund. The general partner does not currently have ~~currently~~ an investment in the Fund.

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

The Fund pays a monthly brokerage fee equal to 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, 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. ADMINISTRATOR AND TRANSFER AGENT

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

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

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.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

~~JUNE~~
SEPTEMBER 30, 2021 (Unaudited)

Note 5. DEPOSITS WITH FUTURES BROKERS

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

Note 6. DEPOSITS WITH INTERBANK MARKET MAKERS

The Fund’s counterparties with regard to its forward currency transactions are NatWest Markets Plc (“NatWest”) and UBS AG (“UBS”). The Fund has entered into an International Swap and Derivatives Association, Inc. agreement (“ISDA Agreement”) with NatWest and UBS which governs these transactions. The credit ratings reported by the 3 major rating agencies for NatWest and UBS were considered investment grade as of ~~June~~September 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 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 ~~six~~nine months ended ~~June~~September 30, 2021 and 2020.

Note 9. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

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

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

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

~~JUNE~~
SEPTEMBER 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~~September 30, 2021 and December 31, 2020. Notional amounts are disclosed as they represent the maximum potential payout. At ~~June~~September 30, 2021 and December 31, 2020, the carrying value of such credit derivative contracts sold was ~~$1,790,748~~$1,508,627 and $1,265,353, respectively.

	June 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Credit Default Index Swaps	Maturity Date: June 2026		Maturity Date: December 2025		Maturity Date: December 2026		Maturity Date: December 2025
Investment grade	$	21,223,471	$	19,273,236	$	20,143,114	$	19,273,236
Non-investment grade		20,399,992		16,235,572		19,547,909		16,235,572
Total	$	41,623,463	$	35,508,808	$	39,691,023	$	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 11. TRADING ACTIVITIES AND RELATED RISKS

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

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

Market Risk

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

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

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

~~JUNE~~
SEPTEMBER 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~~September 30, 2021 and December 31, 2020 is as follows:

Type of Instrument *	Statements of Financial Condition Location	Asset Derivatives at June 30, 2021 Fair Value		Liability Derivatives at June 30, 2021 Fair Value			Net			Statements of Financial Condition Location	Asset Derivatives at September 30, 2021 Fair Value		Liability Derivatives at September 30, 2021 Fair Value			Net
Agriculture Contracts	Net unrealized gain (loss) on open futures contracts	$	675,516	$	(445,351	)	$	230,165		Net unrealized gain (loss) on open futures contracts	$	1,181,593	$	(1,141,531	)	$	40,062
Energy Contracts	Net unrealized gain (loss) on open futures contracts		761,441		(51,195	)		710,246		Net unrealized gain (loss) on open futures contracts		437,725		(72,513	)		365,212
Metal Contracts	Net unrealized gain (loss) on open futures contracts		3,282,890		(3,390,389	)		(107,499	)	Net unrealized gain (loss) on open futures contracts		4,100,102		(4,503,956	)		(403,854	)
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts		1,016,473		(552,584	)		463,889		Net unrealized gain (loss) on open futures contracts		72,923		(1,470,068	)		(1,397,145)
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		329,050		(718,620	)		(389,570	)	Net unrealized gain (loss) on open futures contracts		181,950		(575,812	)		(393,862	)
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		197,506		(696,522	)		(499,016	)	Net unrealized gain (loss) on open futures contracts		2,839,583		(2,759,107	)		80,476
Forward Currency Contracts	Net unrealized gain (loss) on open forward currency contracts		16,830,387		(18,257,292	)		(1,426,905	)	Net unrealized gain (loss) on open forward currency contracts		19,734,915		(17,775,524	)		1,959,391
Credit Default Index Swap Contracts**	Credit default index swaps		1,985,948		(195,200	)		1,790,748		Credit default index swaps		1,791,629		(283,002	)		1,508,627
Interest Rate Swap Contracts**	Interest rate swaps		597,845		(88,727	)		509,118		Interest rate swaps		1,017,069		(139,445	)		877,624
Total		$	25,677,056	$	(24,395,880	)	$	1,281,176			$	31,357,489	$	(28,720,958	)	$	2,636,531

*	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, 2020 Fair Value		Liability Derivatives at December 31, 2020 Fair Value			Net
Agriculture Contracts	Net unrealized gain (loss) on open futures contracts	$	1,448,359	$	(160,525	)	$	1,287,834
Energy Contracts	Net unrealized gain (loss) on open futures contracts		476,936		(189,730	)		287,206
Metal Contracts	Net unrealized gain (loss) on open futures contracts		2,607,512		(1,437,559	)		1,169,953
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts		1,286,506		(331,164	)		955,342
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		196,631		(31	)		196,600
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		1,048,732		(184,613	)		864,119
Forward Currency Contracts	Net unrealized gain (loss) on open forward currency contracts		5,879,307		(4,753,896	)		1,125,411
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.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

~~JUNE~~
SEPTEMBER 30, 2021 (Unaudited)

The trading gains and losses of the Fund’s derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the three months and ~~six~~nine months ended ~~June~~September 30, 2021 and 2020 is as follows:

Type of Instrument	Trading Gains/(Losses) for the Three Months Ended June 30, 2021			Trading Gains/(Losses) for the Three Months Ended June 30, 2020			Trading Gains/(Losses) for the Three Months Ended September 30, 2021			Trading Gains/(Losses) for the Three Months Ended September 30, 2020
Agriculture Contracts	$	4,311,266		$	(1,747,859	)	$	(1,014,661	)	$	(3,073,722	)
Energy Contracts		4,376,545			(783,897	)		1,433,207			(1,513,552	)
Metal Contracts		1,407,195			(700,063	)		178,310			3,955,446
Stock Indices Contracts		3,907,952			390,867			362,692			(3,577,912	)
Short-Term Interest Rate Contracts		(398,843	)		439,171			3,917			(25,885	)
Long-Term Interest Rate Contracts		(2,296,061	)		341,387			(917,301	)		(1,444,211	)
Forward Currency Contracts		(292,862	)		(6,918,024	)		(521,917	)		(2,310,796	)
Credit Default Index Swap Contracts		471,639			0			849			80,147
Interest Rate Swap Contracts		(272,169	)		0			512,987			276,707
Total	$	11,214,662		$	(8,978,418	)	$	38,083		$	(7,633,778	)

Type of Instrument	Trading Gains/(Losses) for the Six Months Ended June 30, 2021			Trading Gains/(Losses) for the Six Months Ended June 30, 2020			Trading Gains/(Losses) for the Nine Months Ended September 30, 2021			Trading Gains/(Losses) for the Nine Months Ended September 30, 2020
Agriculture Contracts	$	6,880,173		$	175,246		$	5,865,512		$	(2,898,476	)
Energy Contracts		6,830,221			4,442,386			8,263,428			2,928,834
Metal Contracts		1,093,785			3,786,710			1,272,095			7,742,156
Stock Indices Contracts		9,220,087			(23,176,345	)		9,582,779			(26,754,257	)
Short-Term Interest Rate Contracts		(1,735,000	)		8,448,354			(1,731,083	)		8,422,469
Long-Term Interest Rate Contracts		(5,752,689	)		2,536,115			(6,669,990	)		1,091,904
Forward Currency Contracts		7,020,635			6,233,353			6,498,718			3,922,557
Credit Default Index Swap Contracts		475,604			0			476,453			80,147
Interest Rate Swap Contracts		(2,729,272	)		0			(2,216,285	)		276,707
Total	$	21,303,544		$	2,445,819		$	21,341,627		$	(5,187,959	)

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

~~JUNE~~
SEPTEMBER 30, 2021 (Unaudited)

Line Item in the Statements of Operations	Trading Gains/(Losses) for the Three Months Ended September 30, 2021			Trading Gains/(Losses) for the Three Months Ended September 30, 2020
Futures trading gains (losses):
Realized**	$	2,163,490		$	(7,166,326	)
Change in unrealized		(2,117,326	)		1,486,490
Forward currency trading gains (losses):
Realized**		(3,908,213	)		(3,501,984	)
Change in unrealized		3,386,296			1,191,188
Swap trading gains (losses):
Realized		345,151			266,524
Change in unrealized		168,685			90,330
Total	$	38,083		$	(7,633,778	)

Line Item in the Statements of Operations
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**
$
11,949,966

$
492

Change in unrealized
(641,912
)

(2,060,886
)
Forward currency trading gains (losses):
Realized**
6,694,081

3,984,032

Change in unrealized
(6,986,943
)

(10,902,056
)
Swap trading gains (losses):
Realized
29,899

0

Change in unrealized
169,571

0

Total
$
11,214,662

$
(8,978,418
)

Trading Gains/(Losses) for

the Six Months Ended

June 30, 2021

Trading Gains/(Losses) for

the Six Months Ended

June 30, 2020

Trading Gains/(Losses) for

the Nine Months Ended

September 30, 2021

Trading Gains/(Losses) for

the Nine Months Ended

September 30, 2020

***

For the ~~six~~nine months ended ~~June~~September 30, 2021 and 2020, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of ~~$8,504~~$65,469 and ~~$121,004,~~$126,152, respectively, and gains/(losses) on spot trades in connection with forward currency trading at the interbank market makers of ~~$(136,125)~~$(178,677) and ~~$(797,746)~~$(204,238), respectively.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

~~JUNE~~
SEPTEMBER 30, 2021 (Unaudited)

For the ~~six~~nine months ended ~~June~~September 30, 2021 and 2020, the monthly average of futures contracts bought and sold was approximately ~~27,300~~27,500 and ~~25,300,~~26,800, respectively, the monthly average of notional value of centrally cleared swap contracts was approximately ~~$2,540,400,000~~$2,936,200,000 and ~~$0,~~$269,300,000, respectively, and the monthly average of notional value of forward currency contracts was ~~$1,418,500,000~~$1,571,900,000 and ~~$1,056,500,000,~~$1,120,000,000, respectively.

NOTES TO FINANCIAL STATEMENTS

~~JUNE~~
SEPTEMBER 30, 2021 (Unaudited)

Gross

Amounts

Offset in the

Statements of

Net Amounts of

Unrealized Gain
Presented in the

Statements of

Financial Condition

Gross

Amounts

Offset in the

Statements of

Net Amounts of

Unrealized Gain
Presented in the

Statements of

Financial Condition

Goldman, Sachs & Co.

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.

Net Amounts of

Unrealized Gain

Presented in the

Gross Amounts Not Offset in the

Statements of Financial Condition

Net Amounts of

Unrealized Gain

Presented in the

Gross Amounts Not Offset in the

Statements of Financial Condition

Statements of

Financial Condition

Cash Collateral

Received

Statements of

Financial Condition

Cash Collateral

Received

Gross

Amounts of

Recognized

Gross

Amounts

Offset in the

Statements of

Net Amounts of

Unrealized Loss

Presented in the

Statements of

Financial Condition

Gross

Amounts of

Recognized

Gross

Amounts

Offset in the

Statements of

Net Amounts of

Unrealized Loss

Presented in the

Statements of

Financial Condition

Goldman, Sachs & Co.

NOTES TO FINANCIAL STATEMENTS

~~JUNE~~
SEPTEMBER 30, 2021 (Unaudited)

Net Amounts of
Unrealized Loss

Gross Amounts Not Offset in the

Statements of Financial Condition

Net Amounts of
Unrealized Loss

Gross Amounts Not Offset in the

Statements of Financial Condition

Statements of

Financial Condition

Cash Collateral

Pledged

Statements of

Financial Condition

Cash Collateral

Pledged

Gross

Amounts of

Recognized

Gross

Amounts

Offset in the

Statements of

Net Amounts of

Unrealized Gain

Presented in the

Statements of

Financial Condition

Goldman, Sachs & Co.

Gross Amounts Not Offset in the

Statements of Financial Condition

Statements of

Financial Condition

Cash Collateral

Received

NOTES TO FINANCIAL STATEMENTS

~~JUNE~~
SEPTEMBER 30, 2021 (Unaudited)

Gross

Amounts

Offset in the
Statements of

Net Amounts of

Unrealized Loss

Presented in the

Statements of

Goldman, Sachs & Co.

Gross Amounts Not Offset in the

Statements of Financial Condition

Cash Collateral

Pledged

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

~~JUNE~~
SEPTEMBER 30, 2021 (Unaudited)

Note 12. INDEMNIFICATIONS

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

Note 13. INTERIM FINANCIAL STATEMENTS

The Statements of Financial Condition, including the Condensed Schedules of Investments, as of ~~June~~September 30, 2021 and December 31, 2020, the Statements of Operations and Financial Highlights for the three months and ~~six~~nine months ended ~~June~~September 30, 2021 and 2020, and the Statements of Cash Flows and Changes in Partners’ Capital (Net Asset Value) for the ~~six~~nine months ended ~~June~~September 30, 2021 and 2020 are unaudited. In the opinion of management, such financial statements reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of financial position as of ~~June~~September 30, 2021 and December 31, 2020, the results of operations and financial highlights for the three months and ~~six~~nine months ended ~~June~~September 30, 2021 and 2020, and cash flows and changes in partners’ capital (Net Asset Value) for the ~~six~~nine months ended ~~June~~September 30, 2021 and 2020.

Note 14. SUBSEQUENT EVENTS

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

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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 interbank 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 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 swap 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.

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 swap 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 interest 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 swap 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.

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

The Fund invests in futures, 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.

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Results of Operations

The returns for the ~~six~~nine months ended ~~June~~September 30, 2021 and 2020 were ~~11.80%~~9.41% and ~~(2.26)~~(9.18)%, respectively. During the ~~six~~nine months ended ~~June~~September 30, 2021 and 2020, the Fund accrued brokerage fees in the amount of ~~$4,879,296~~$7,338,172 and ~~$5,826,964,~~$ 8,344,240, respectively, and paid brokerage fees in the amount of ~~$4,846,119~~$7,343,040 and ~~$5,899,920,~~$ 8,511,736, respectively. No performance fees were accrued or paid during these periods.

2021 (For the ~~Six~~Nine Months Ended ~~June~~September 30)

Of the ~~11.80%~~9.41% year to date return, approximately ~~15.72%~~15.30% was due to trading gains (before commissions) and approximately ~~0.07%~~0.12% due to investment income, offset by approximately ~~(3.99)~~(6.01)% due to brokerage fees, operating expenses and offering costs borne by the Fund. An analysis of the ~~15.72%~~15.30% trading gains by sector is as follows:

Sector	% Gain (Loss)
Credit		~~(2.03)~~(1.84	)%
Commodities		~~5.36%~~11.27	%
Foreign Exchange		~~10.85%~~4.99	%
Interest Rates		~~(5.32)~~(6.09	)%
Equity Indices		~~6.86%~~6.97	%
		~~15.72%~~15.30	%

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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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.

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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.

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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.

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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.

The Fund, which consists of momentum, macro, and short-term strategies, produced a gain during July. Profits came from interest rate and commodity holdings, while foreign exchange (FX), stock index, and credit positions produced some partially offsetting losses. Interest rate positions contributed the best Fund profits during the month with gains most notable in long-dated instruments. The growing risks to economic growth due to rising Delta variant infections, inflation, and supply-side disruptions prompted buying of safe-haven assets. Long positioning on German notes were profitable after the ECB raised its inflation goal and made a dovish shift on forward guidance. Commodity holdings produced additional gains for the Fund in July. Long energy positions generated profits for the Fund as the energy complex advanced amid increasing demand and rising inflation concerns. Long nickel positioning outperformed as the base metal rallied to multi-year highs on booming demand for the metal used in stainless steel and electric-vehicle batteries. Foreign exchange trading, primarily in the developed market currencies, produced offsetting losses for the Fund. The Federal Reserve said the US job market still had “some ground to cover” which contributed to losses in short US dollar holdings (against long foreign currencies). Short positioning on the Japanese yen, our biggest loser on the month, strengthened on the Fed commentary as well as the bid for safe-haven assets given the concerns about the Delta variant. Global stock indexes generated additional offsetting losses for the Fund. Long positioning on Asian stock index holdings were a drag for the Fund as concerns that the spread of the Delta variant could dampen recovery momentum and additional Chinese tech regulation weighed on prices. However, long positioning in the United States provided some counteracting gains as ongoing policy accommodation and strong Q2 earnings results provided a tailwind for US equities. Credit positions had little impact on performance as spreads remained range-bound amid a lack of meaningful directional drivers.

The Fund, which consists of momentum, macro, and short-term strategies, produced a loss during August. Losses came from commodity, interest rate, and foreign exchange holdings, while stock index and credit positions produced some partially offsetting gains during the month. Commodity holdings produced the largest losses for the Fund in August. Long positioning on the petroleum and industrial metal complexes suffered as the surging Delta variant of the COVID-19 virus called into question the outlook for global economic growth which helped to send the prices of those commodities lower. In the grain subsector, long holdings on the soy complex created losses amid prospects for higher production from Brazil and beneficial rain in the US Farm Belt. Interest rate positions contributed additional losses for the Fund with declines most notable in long-dated instruments. Long positioning on US and German notes produced losses as the US Federal Reserve and European Central Bank began to prepare markets for a possible scaling back of quantitative easing measures amid elevated inflation readings. Foreign exchange trading across both emerging market (EM) and developed market (DM) currencies produced additional losses for the Fund during the month. After the US dollar’s slightly weaker July, the greenback had mixed returns over the month. Risk markets generally fared well in August despite the spread of the Delta variant and many EM currencies outperformed (versus the USD) as a result, hurting Fund short positions in those markets. Global stock indexes generated the best partially offsetting gains. Long positioning on a variety of global equity indexes drove sector profits as most major global stock indexes finished August with gains. The ongoing fiscal and monetary support globally continued to provide a tailwind behind equities even as the Delta variant surged. An increase in vaccination rates also helped drive risk-on buying. Credit trading was also profitable as short protection positions generated gains as US and European credit spreads narrowed amid the risk-on environment.

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The Fund, which consists of momentum, macro, and short-term strategies, produced a loss during September. Losses came from interest rate and stock index positions, while commodity and foreign exchange (FX) holdings produced some partially offsetting gains during the month. Interest rate positions contributed the largest partially offsetting losses for the Fund with declines most notable in long-dated instruments. Long positioning on German and Australian notes produced losses as major central banks began to prepare markets for a scaling back of quantitative easing measures amid elevated inflation readings which sent yields higher as bond prices fell. Global stock indexes also generated losses in September. Long positioning on a variety of global equity indexes drove sector declines as most major global stock indexes finished the month with losses. The general risk-off sentiment that intensified during the month put an end to the relentless equity rally seen for most of 2021. Commodity holdings produced the largest gains for the Fund. Long positioning on the petroleum complex created some of the best profits. Brent and WTI crude both showed strong monthly gains as a significant percentage of US Gulf Coast output remained offline following Hurricane Ida, while at the same time, the UK grappled with a fuel shortage crisis. A long position on cotton was also profitable. Cotton advanced sharply during the month as adverse US weather and strong demand from China, Turkey, and Pakistan threatened to further tighten global supplies. Foreign exchange trading produced additional gains. Long US dollar exposure proved profitable as the greenback saw a sharp rally over the month, trading stronger against most developed and emerging market currencies. The dollar benefitted from flight-to-safety buying as some major central banks turned more hawkish, supply chain bottlenecks kept inflation concerns elevated, contagion fears surrounding Chinese company Evergrande were heightened, and as dysfunction among US lawmakers threatened to derail fiscal stimulus. Credit trading was relatively flat as short protection positions generated losses as US and European credit spreads widened amid the risk-off environment.

2020 (For the ~~Six~~Nine Months Ended ~~June~~September 30)

Of the ~~(2.26)~~(9.18)% year to date return, approximately ~~1.19%~~(3.67)% was due to trading ~~gains~~losses (before commissions) and approximately ~~0.88% due to investment income, offset by approximately (4.33)~~(6.56)% was due to brokerage fees, operating expenses and offering costs borne by the ~~Fund.~~Fund, offset by approximately 1.05% due to investment income. An analysis of the ~~1.19%~~(3.67)% trading ~~gains~~losses by sector is as follows:

Sector	% Gain (Loss)
Credit		0.12	%
Commodities		~~4.65%~~4.56	%
Foreign Exchange		~~3.81%~~2.01	%
Interest Rates		~~6.39%~~5.10	%
Equity Indices		~~(13.66)~~(15.46	)%
		~~1.19%~~(3.67	)%

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.

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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.

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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.

July saw losses for the Fund, driven primarily from stock index holdings and foreign exchange trading in the emerging and developed markets. The United States’ inability to get the COVID-19 virus under control in the face of other nations of the world seemingly better able to handle the crisis generated concern that US economic growth would lag other countries, leading the FOMC to keep highly accommodative monetary easing in place longer. This dichotomy weakened the US dollar to two-year lows hurting the Fund’s long US dollar positioning against many other currencies. Stock index trading also generated losses for the Fund during July. Long positioning, primarily in Asia-Pacific and Europe, produced the bulk of the sector’s decline. Late in the month both the Asia-Pacific and European regions began to see an uptick in COVID-19 virus cases. Regional governments were quick to discuss the possibility of once again needing to shutdown economies to halt the spread which led to rapid risk-off sentiment in equity markets leading to lower prices. Commodity trading generated the best partially offsetting profits for the Fund. Long positioning on silver and gold proved profitable as both metals showed strong monthly gains. The aforementioned drivers of US dollar weakness were the primary cause of precious metal subsector gains. Some partially offsetting losses came from the grain and energy subsectors. Short grain holdings generated losses as the grain complex rallied during the month on poor crop conditions in the US Plains. Short positioning on natural gas suffered as high summer electric demand in the US sparked high price volatility that the systematic models failed to trade profitably. Interest rate positions from both short-dated and long-dated instruments also contributed gains during July. Long positioning on fixed income instruments profited as prices rose (yields fell) amid US/Chinese geopolitical tensions and as high uncertainty over the course of the COVID-19 crisis led to demand for safe haven assets.

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Interest rate positions from both short-dated and long-dated instruments contributed some of the largest losses for the Fund during August. Long positioning on a variety of global fixed income instruments suffered as prices fell (yields rose). The COVID-19 crisis and related emergency fiscal spending has created the need for many governments around the world to finance this spending with new and, in some cases, record levels of debt issuance. That issuance put downward pressure on most global sovereign bond instruments which created losses for the Fund. Commodity trading also experienced sizeable losses for the Fund. A short position on natural gas generated large losses as that commodity rose over 30% during the month. Hot temperatures across the United States drove demand for natural gas for electricity generation to power air conditioning while inventory data showed storage at lower than expected levels. Some partially offsetting gains were experienced in long industrial metals positioning. Longs on copper and nickel profited as prices rose amid signs of a global supply shortage in the face of rising demand from countries such as China. Stock index trading generated partially offsetting gains for the Fund during August. Long positioning, especially in the United States, Canada, Japan, and Germany, produced profits as indexes in those countries experienced strong gains. A lessening of COVID-19 infections, signs that some governments were less willing to renew economic shutdowns to manage the virus crisis, and ongoing monetary and fiscal stimulus actions were all supportive of global stocks during the month. Lastly, foreign exchange trading contributed small additional gains during the month. Losses in emerging FX markets were more than offset by gains in developed FX positions, leading to a net profit within the asset class.

The Fund showed a small loss in September, with interest rate positions from long-dated securities once again contributing some of the largest Fund profits during September. Long positioning on a variety of global fixed income instruments gained as prices rose (yields fell). September had a pronounced risk-off tone that benefitted fixed income holdings due to their attractive safe haven qualities. Overbought conditions in US tech stocks, a lack of progress on another US fiscal stimulus package, some signs that the global economic recovery was stalling, US Presidential election uncertainty, and signs that a new wave of COVID-19 cases was emerging in a variety of regions around the globe all led to the general risk-off malaise. Commodity trading also added gains for the Fund. A short position on natural gas generated profits as that market fell over 10% during the month. Swelling inventories linked with cooler temperatures in much of the United States were the catalyst to lower natural gas prices. A short position on gasoil also proved profitable amid anemic demand as the COVID-19 pandemic crimped diesel fuel purchases. Some partially offsetting losses were experienced in long industrial metal and long grain holdings. Prices in these two subsectors were depressed during the month by a strengthening US dollar on flight to safety buying. Foreign exchange trading contributed small losses during the month. Gains in emerging FX markets were more than offset by losses in developed FX positions, leading to a small net loss within the asset class. Stock index trading generated the largest losses for the Fund during September. Long positioning, especially in Europe, Australia, the UK, and Canada, produced losses as indexes in those countries declined amid the risk-off environment that dominated the month. Fresh virus outbreaks in the UK and Europe linked with concerns that the UK and the European Union were headed for a “no deal” Brexit weighed on equities in those countries. Falling commodity markets due to US dollar strength and concern over global growth prospects depressed equities in Australia and Canada.

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 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~~September 30, 2021 and December 31, 2020 and the trading gains/losses by market category for the ~~six~~Nine months ended ~~June~~September 30, 2020 and the year ended December 31, 2020.

	June 30, 2021						September 30, 2021
Market Sector	Value at Risk*			Trading Gain/(Loss)**			Value at Risk*			Trading Gain/(Loss)**
Credit		0.05	%		(2.03	)%		0.06	%		(1.84	)%
Commodities		0.81	%		5.36	%		0.75	%		11.27	%
Foreign Exchange		0.52	%		10.85	%		0.92	%		4.99	%
Interest Rates		0.28	%		(5.32	)%		0.64	%		(6.09	)%
Equity Indices		0.82	%		6.86	%		0.93	%		6.97	%
Aggregate/Total		1.69	%		15.72	%		1.20	%		15.30	%

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.

	December 31, 2020
Market Sector	Value at Risk*			Trading Gain/(Loss)**
Credit		0.11	%		0.08	%
Commodities		0.71	%		10.47	%
Foreign Exchange		0.51	%		4.34	%
Interest Rates		0.87	%		2.73	%
Equity Indices		0.63	%		(12.41	)%
Aggregate/Total		1.43	%		5.21	%

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

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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 broker and over-the-counter 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 ~~December 31, 2020,~~September 30, 2021, by market sector.

Foreign 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.

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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. Campbell & Company does not anticipate that the risk profile of the Fund’s interest rate sector will change significantly in the future.

Equity 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.

Credit

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~~September 30, 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.

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 six 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.

The Fund has continued to operate as normal during the 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 COVID-19 on the financial performance of the Fund’s investments will depend on future developments, including the effectiveness of vaccines and the public’s willingness to get vaccinated as new strains of the virus emerge, 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 annual 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.

3940

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PART II-OTHER INFORMATION

Item 1. Legal Proceedings.

None

Item 1A. Risk Factors.

There 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

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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		Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of ~~June~~September 30, 2021 and December 31, 2020, (ii) Statements of Financial Condition as of ~~June~~September 30, 2020 and December 31, 2020, (iii) Statements of Operations For the Three Months and ~~Six~~Nine Months Ended ~~June~~September 30, 2021 and 2020, (iv) Statements of Cash Flows For the ~~Six~~Nine Months Ended ~~June~~September 30, 2021 and 2020, (v) Statements of Changes in Partners’ Capital (Net Asset Value) For the ~~Six~~Nine Months Ended ~~June~~September 30, 2021 and 2020, (vi) Financial Highlights For the Three Months and ~~Six~~Nine Months Ended ~~June~~September 30, 2021 and 2020, (vii) Notes to Financial Statements.

104		Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).

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

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

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

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

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EXHIBIT INDEX

31.01		Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.

31.02		Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.

32.01		Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.

32.02		Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.

101		Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of ~~June~~September 30, 2021 and December 31, 2020, (ii) Statements of Financial Condition as of ~~June~~September 30, 2020 and December 31, 2020, (iii) Statements of Operations For the Three Months and ~~Six~~Nine Months Ended ~~June~~September 30, 2021 and 2020, (iv) Statements of Cash Flows For the ~~Six~~Nine Months Ended ~~June~~September 30, 2021 and 2020, (v) Statements of Changes in Partners’ Capital (Net Asset Value) For the ~~Six~~Nine Months Ended ~~June~~September 30, 2021 and 2020, (vi) Financial Highlights For the Three Months and ~~Six~~Nine Months Ended ~~June~~September 30, 2021 and 2020, (vii) Notes to Financial ~~Statements.~~Statements

104		Cover 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 13,~~November 12, 2021	By:	/s/ G. William Andrews
		G. William Andrews
		Chief Executive Officer

4344

Maturity	Maturity		Fair		% of Net			Maturity		Fair		% of Net
Face Value	Face Value	Description	Value ($)		Asset Value			Face Value	Description	Value ($)		Asset Value
		Asset Backed Securities							Asset Backed Securities
		United States							United States
		Auto Loans	$	5,522,348		3.87	%		Auto Loans	$	7,162,088		5.29	%
		Credit Cards		542,317		0.38	%		Equipment Loans		821,635		0.61	%
		Equipment Loans		494,660		0.35	%		Total Asset Backed Securities (cost $7,990,569)		7,983,723		5.90	%
		Total Asset Backed Securities (cost $6,571,025)		6,559,325		4.60	%
									Bank Deposits
		Bank Deposits							Australia
		Australia							Financials (cost $799,977)		800,073		0.59	%
		Financials (cost $799,936)		800,065		0.56	%		Singapore
		Singapore							Financials (cost $775,000)		775,051		0.57	%
		Financials (cost $775,000)		775,056		0.54	%		United States
		United States							Financials (cost $870,000)		869,856		0.64	%
		Financials (cost $870,000)		869,479		0.61	%		Total Bank Deposits (cost $2,444,977)		2,444,980		1.80	%
		Total Bank Deposits (cost $2,444,936)		2,444,600		1.71	%
									Commercial Paper
		Commercial Paper							France
		France							Financials (cost $774,693)		774,833		0.57	%
		Financials (cost $774,290)		774,482		0.54	%		United States
		United Kingdom							Consumer Discretionary		6,319,259		4.67	%
		Financials (cost $3,504,395)		3,504,492		2.46	%		Financials		16,083,598		11.88	%
		United States							Real estate		4,184,651		3.09	%
		Communications		499,722		0.35	%		Technology		3,039,325		2.25	%
		Consumer Discretionary		7,667,908		5.38	%		Utilities		7,079,236		5.23	%
		Consumer Staples		1,749,463		1.23	%		Total United States (cost $36,706,844)		36,706,069		27.12	%
		Financials		6,325,165		4.44	%		Total Commercial Paper (cost $37,481,537)	$	37,480,902	$	27.68	%
		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	%

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		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	Goldman, Sachs & Co.	$	8,813,876	$	(8,813,876	)	$	0
Forward currency contracts	NatWest Markets Plc		16,830,387		(16,830,387	)		0	NatWest Markets Plc		19,734,915		(17,775,524	)		1,959,391
Centrally cleared swap contracts*	Centrally Cleared		2,583,793		(283,927	)		2,299,866	Centrally Cleared		2,808,698		(422,447	)		2,386,251
Total derivatives		$	25,677,056	$	(22,968,975	)	$	2,708,081		$	31,357,489	$	(27,011,847	)	$	4,345,642

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		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	Goldman, Sachs & Co.	$	10,522,987	$	(8,813,876	)	$	1,709,111
Forward currency contracts	NatWest Markets Plc		18,257,292		(16,830,387	)		1,426,905	NatWest Markets Plc		17,775,524		(17,775,524	)		0
Centrally cleared swap contracts	Centrally Cleared		283,927		(283,927	)		0	Centrally Cleared		422,447		(422,447	)		0
Total derivatives		$	24,395,880	$	(22,968,975	)	$	1,426,905		$	28,720,958	$	(27,011,847	)	$	1,709,111

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

			Page
PART I — FINANCIAL INFORMATION

	Item 1.	Financial Statements.

		Condensed Schedules of Investments as of ~~June~~September 30, 2021 and December 31, 2020 (Unaudited)	1-6

		Statements of Financial Condition as of ~~June~~September 30, 2021 and December 31, 2020 (Unaudited)	7

		Statements of Operations for the Three Months and ~~Six~~Nine Months Ended ~~June~~September 30, 2021 and 2020 (Unaudited)	8

		Statements of Cash Flows for the ~~Six~~Nine Months Ended ~~June~~September 30, 2021 and 2020 (Unaudited)	9

		Statements of Changes in Partners’ Capital (Net Asset Value) for the Three Months and ~~Six~~Nine Months Ended ~~June 30,~~September, 2021 and 2020 (Unaudited)	10

		Financial Highlights for the Three Months and ~~Six~~Nine Months Ended ~~June~~September 30, 2021 and 2020 (Unaudited)	11

		Notes to Financial Statements (Unaudited)	12-26

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations.	~~27-34~~27-35

	Item 3.	Quantitative and Qualitative Disclosure About Market Risk.	~~34-39~~35-40

	Item 4.	Controls and Procedures.	3940

PART II — OTHER INFORMATION

	Item 1.	Legal Proceedings.	4041

	Item 1A.	Risk Factors.	4041

	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds.	4041

	Item 3.	Defaults Upon Senior Securities.	4041

	Item 4.	Mine Safety Disclosures.	4041

	Item 5.	Other Information.	4041

	Item 6.	Exhibits.	~~41-42~~42-43

SIGNATURES			4344

	Fair Value at June 30, 2021								Fair Value at September 30, 2021
Description	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Investments
Short term investments	$	3,088,504	$	0	$	0	$	3,088,504	$	1,479	$	0	$	0	$	1,479
Fixed income securities		0		96,370,457		0		96,370,457		0		99,970,922		0		99,970,922

Other Financial Instruments
Exchange-traded futures contracts		408,215		0		0		408,215		(1,709,111)		0		0		(1,709,111)
Forward currency contracts		0		(1,426,905)		0		(1,426,905)		0		1,959,391		0		1,959,391
Credit default index swap contracts		0		1,790,748		0		1,790,748		0		1,508,627		0		1,508,627
Interest rate swap contracts		0		509,118		0		509,118		0		877,624		0		877,624
Total	$	3,496,719	$	97,243,418	$	0	$	100,740,137	$	(1,707,632)	$	104,316,564	$	0	$	102,608,932

	Fair Value at December 31, 2020
Description	Level 1		Level 2		Level 3		Total
Investments
Short term investments	$	8,053,123	$	0	$	0	$	8,053,123
Fixed income securities		0		93,639,346		0		93,639,346

Other Financial Instruments
Exchange-traded futures contracts		4,761,054		0		0		4,761,054
Forward currency contracts		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	$	12,814,177	$	96,423,014	$	0	$	109,237,191

Derivative Assets and Collateral Received by Counterparty
As of ~~June~~September 30, 2021

	Net Amounts of Unrealized Gain Presented in the		Gross Amounts Not Offset in the Statements of Financial Condition						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		Statements of Financial Condition		Financial Instruments		Cash Collateral Received		Net Amount
Goldman, Sachs & Co.	$	408,215	$	0	$	0	$	408,215	$	0	$	0	$	0	$	0
NatWest Markets Plc		0		0		0		0		1,959,391		0		0		1,959,391
Centrally Cleared		2,299,866		0		0		2,299,866		2,386,251		0		0		2,386,251
Total	$	2,708,081	$	0	$	0	$	2,708,081	$	4,345,642	$	0	$	0	$	4,345,642