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 September 30, 2022March 31, 2023
or

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

Commission File number: 000-22260

CAMPBELL STRATEGIC ALLOCATION FUND L.P.LP

(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 September 30, 2022,March 31, 2023, there were 51,337.59448,509.633 Units of General and Limited Partnership Interest issued and outstanding.

TABLE OF CONTENTS

 Page
PART I — FINANCIAL INFORMATION 
    
 Item 1.Financial Statements. 
    
  
Condensed Schedules of Investments as of September 30, 2022March 31, 2023 and December 31, 20212022 (Unaudited)
1-6
    
  
Statements of Financial Condition as of September 30, 2022March 31, 2023 and December 31, 20212022 (Unaudited)
7
    
  
Statements of Operations for the Three Months Ended March 31, 2023 and Nine Months Ended September 30, 2022 and 2021 (Unaudited)
8
    
  
Statements of Cash Flows for the NineThree Months Ended September 30, 2022March 31, 2023 and 20212022 (Unaudited)
9
    
  
Statements of Changes in Partners'Partners’ Capital (Net Asset Value) for the NineThree Months Ended September 30, 2022March 31, 2023 and 20212022 (Unaudited)
10
    
  
Financial Highlights for the Three Months Ended March 31, 2023 and Nine Months Ended September 30, 2022 and 2021 (Unaudited)
11
    
  
Notes to Financial Statements (Unaudited)
12-2612-25
    
 Item 2.
Management'sManagement’s Discussion and Analysis of Financial Condition and Results of Operations.
27-3526-30
    
 Item 3.
Quantitative and Qualitative Disclosure About Market Risk.
36-4031-35
    
 Item 4.
Controls and Procedures.
40
35
    
PART II — OTHER INFORMATION
 
    
 Item 1.
Legal Proceedings.
4136
    
 Item 1A.
Risk Factors.
4136
    
 Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds.
4136
    
 Item 3.
Defaults Upon Senior Securities.
4136
    
 Item 4.
Mine Safety Disclosures.
4136
    
 Item 5.
Other Information.
4136
    
 Item 6.
Exhibits.
42-4337-38
    
SIGNATURES
44
39

Table of Contents

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2022MARCH 31, 2023 (Unaudited)

FIXED INCOME SECURITIES

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


 Asset Backed Securities      
   United States      
   Auto Loans $10,000,073   5.62%
   Equipment Loans  1,126,175   0.63%
   
Total Asset Backed Securities (cost $11,226,986)
  11,126,248   6.25%
            
   Bank Deposits        
   United States        
   
Financials (cost $2,217,923)
  2,208,721   1.24%
            
   Commercial Paper        
   France        
   
Financials (cost $2,143,404)
  2,142,099   1.20%
   United Kingdom        
   
Financials (cost $839,701)
  839,498   0.47%
   United States        
   Communications  3,028,184   1.70%
   Consumer Discretionary  9,483,873   5.33%
   Consumer Staples  2,080,988   1.17%
   Energy  369,893   0.21%
   Financials  21,392,326   12.01%
   Industrials  4,014,689   2.26%
   Real estate  6,946,315   3.90%
   Technology  4,783,256   2.69%
   Utilities  10,033,819   5.64%
   
Total United States (cost $62,151,839)
  62,133,343   34.91%
   
Total Commercial Paper (cost $65,134,944)
  65,114,940   36.58%
Maturity   Fair  % of Net 
Face Value Description Value ($)  Asset Value 


 Asset Backed Securities    
 
   United States
      
   Auto Loans 
$
7,424,674
   
4.47
%
   Equipment Loans
  
1,522,410
   
0.92
%
   
Total Asset Backed Securities (cost $9,005,529)
  
8,947,084
   
5.39
%












   Bank Deposits
        
   United States
        
   
Financials (cost $2,426,736)
  
2,420,398
   
1.46
%
   
Total Bank Deposits (cost $2,426,736)
  
2,420,398
   
1.46
%
   
 
        
   Commercial Paper
        
   Canada
        
   
Financials (cost $979,869)
  
979,603
   
0.59
%
   United States
        
   Consumer Discretionary  
6,879,058
   
4.14
%
   Financials
  
17,327,579
   
10.43
%
   Real estate
  
2,528,460
   
1.52
%
   Technology
  
3,417,578
   
2.06
%
   Utilities
  
17,622,654
   
10.61
%
   
Total United States (cost $47,783,689)
  
47,775,329
   
28.76
%
   
Total Commercial Paper (cost $48,763,557)
 
$
48,754,932
   
29.35
%

See Accompanying Notes to Financial Statements.

1
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2022MARCH 31, 2023 (Unaudited)

FIXED INCOME SECURITIES

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


 Corporate Bonds      
   Australia      
   Financials (cost $1,909,997) 
$
1,909,084
   
1.07
%
   Canada        
   Financials  
6,347,665
   
3.57
%
   Energy  
780,625
   
0.44
%
   
Total Canada (cost $7,242,661)
  
7,128,290
   
4.01
%
   Germany        
   Consumer Discretionary  
504,584
   
0.28
%
   Industrials  
772,970
   
0.43
%
   
Total Germany (cost $1,280,227)
  
1,277,554
   
0.71
%
   Spain        
   Financials (cost $999,999)  
974,360
   
0.55
%
   Switzerland        
   Financials (cost $1,624,931)  
1,593,932
   
0.90
%
   United Kingdom        
   Financials (cost $838,975)  
815,058
   
0.46
%
   United States        
   Consumer Discretionary  
2,892,461
   
1.63
%
   Consumer Staples  
502,782
   
0.28
%
   Energy  
2,679,485
   
1.51
%
   Financials  
7,910,114
   
4.44
%
   Health care  
2,643,620
   
1.49
%
   Industrials  
3,175,675
   
1.78
%
   Technology  
1,602,986
   
0.90
%
   Materials  
1,162,688
   
0.65
%
   Real estate  
900,740
   
0.51
%
   Utilities  
2,994,185
   
1.68
%
   
Total United States (cost $26,874,054)
  
26,464,736
   
14.87
%
   
Total Corporate Bonds (cost $40,770,844)
  
40,163,014
   
22.57
%












   Government and Agency Obligations        
   United States        
   U.S. Treasury Bills        
$2,135,000 
U.S. Treasury Bills Due 10/13/2022 (1)
  2,133,480   1.20%
$6,300,000 
U.S. Treasury Bills Due 11/10/2022 (1)
  6,281,950   3.53%
$8,400,000 
U.S. Treasury Bills Due 12/15/2022 (1)
  8,352,322   4.69%
   
Total Government and Agency Obligations (cost $16,761,027)
  16,767,752   9.42%
   
Total Fixed Income Securities (2) (cost $136,111,724)
  135,380,675   76.06%
Maturity   Fair  % of Net 
Face Value Description Value ($)  Asset Value 


 Corporate Bonds
      
   Australia      
   
Financials (cost $444,802)
 
$
448,138
   
0.27
%
   Canada
        
   
Financials
  
4,988,121
   
3.00
%
   
Energy
  
1,243,384
   
0.75
%
   
Total Canada (cost $6,297,685)
  
6,231,505
   
3.75
%
   Germany
        
   Consumer Discretionary
  
501,878
   
0.30
%
   Industrials
  
772,008
   
0.46
%
   
Total Germany (cost $1,280,181)
  
1,273,886
   
0.76
%
   Japan
        
   
Financials (cost $440,000)
  
433,393
   
0.26
%
   Switzerland
        
   
Financials (cost $1,624,984)
  
1,575,597
   
0.95
%
   Spain
        
   Financials (cost $999,998)
  
978,022
   
0.59
%
   United Kingdom
        
   Financials (cost $839,214)
  
821,688
   
0.49
%
   United States
        
   Communications
  
88,956
   
0.05
%
   Consumer Discretionary
  
3,769,605
   
2.27
%
   Energy
  
2,163,581
   
1.30
%
   Financials  
8,246,614
   
4.96
%
   Health care
  
1,370,876
   
0.83
%
   Industrials  
3,368,091
   
2.03
%
   Information technology
  
263,429
   
0.16
%
   Technology
  
916,644
   
0.55
%
   Materials
  
2,007,453
   
1.21
%
   Real estate  
900,894
   
0.54
%
   Utilities  
2,403,240
   
1.45
%
   
Total United States (cost $25,713,886)
  
25,499,383
   
15.35
%
   
Total Corporate Bonds (cost $37,640,750)
  
37,261,612
   
22.42
%
            
   Government and Agency Obligations        
   United States        
   
U.S. Treasury Bills
        
$3,935,000 
U.S. Treasury Bills Due 04/13/2023 (1)
  
3,930,093
   
2.37
%
$6,300,000 
U.S. Treasury Bills Due 05/04/2023 (1)
  
6,274,939
   
3.78
%
$8,400,000 
U.S. Treasury Bills Due 06/20/2023 (1)
  
8,315,664
   
5.00
%
   Total Government and Agency Obligations (cost $18,511,870)
  
18,520,696
   
11.15
%
   Total Fixed Income Securities (2) (cost $116,348,442) 
$
115,904,722
   
69.77
%

(1)Pledged as collateral for the trading of futures positions.
(2)Included in fixed income securities are U.S. Treasury Bills with a fair value of $16,767,752$18,520,696 deposited with the futures brokers.

See Accompanying Notes to Financial Statements.

2
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2022MARCH 31, 2023 (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 $33,609)
 $33,609   0.02%
Total Short Term Investments (cost $33,609)
 $33,609   0.02%
Money Market Funds (cost $2,002,880)
 
$
2,002,880
   
1.21
%
Total Short Term Investments (cost $2,002,880)
 
$
2,002,880
   
1.21
%

LONG FUTURES CONTRACTS

 Fair  % of Net  Fair  % of Net 
Description Value ($)  Asset Value  Value ($)  Asset Value 
Agriculture $(1,247,518)  (0.70)% 
$
1,496,985
   
0.90
%
Energy  (84,861)  (0.05)%  
292,867
   
0.18
%
Metals  (3,560,969)  (2.00)%  
1,152,247
   
0.69
%
Stock indices  (84,944)  (0.05)%  
1,999,489
   
1.20
%
Short-term interest rates  26,477   0.01%  
29,672
   
0.02
%
Long-term interest rates  (163,115)  (0.09)%  
175,406
   
0.11
%
Net unrealized gain (loss) on long futures contracts  (5,114,930)  (2.88)%  
5,146,666
   
3.10
%

SHORT FUTURES CONTRACTS

 Fair  % of Net  Fair  % of Net 
Description Value ($)  Asset Value  Value ($)  Asset Value 
Agriculture  (565,237)  (0.32)%  
(968,895
)
  
(0.58
)%
Energy  259,570   0.15%  
193,550
   
0.12
%
Metals  3,561,126   2.00%  
(15,877
)
  
(0.01
)%
Stock indices  1,921,937   1.08%  
(719,096
)
  
(0.43
)%
Short-term interest rates  1,429,127   0.80%  
224,933
   
0.14
%
Long-term interest rates  577,752   0.32%  
(166,156
)
  
(0.10
)%
Net unrealized gain (loss) on short futures contracts  7,184,275   4.03%  
(1,451,541
)
  
(0.86
)%
Net unrealized gain (loss) on open futures contracts $2,069,345   1.15% 
$
3,695,125
   
2.24
%

FORWARD CURRENCY CONTRACTS

 Fair
  % of Net
  Fair  % of Net 
Description Value ($)  Asset Value  Value ($)  Asset Value 
Various long forward currency contracts $(15,704,695)  (8.82)% 
$
11,899,561
   
7.16
%
Various short forward currency contracts  22,023,342   12.37%  
(11,446,419
)
  
(6.89
)%
Net unrealized gain (loss) on open forward currency contracts $6,318,647   3.55% 
$
453,142
   
0.27
%

CREDIT DEFAULT INDEX SWAPS

 Fair  % of Net  Fair  % of Net 
Description Value ($)  Asset Value  Value ($)  Asset Value 
Centrally cleared credit default index swaps - Buy protection (net cost $44,199) (3)
 $(58,518)  (0.03)%
Centrally cleared credit default index swaps - Buy protection (net proceeds $1,035,080) (3)
 
$
(501,544
)
  
(0.30
)%

INTEREST RATE SWAPS

 Fair  % of Net  Fair  % of Net 
Description Value ($)  Asset Value  Value ($)  Asset Value 
Centrally cleared interest rate swaps - Pay fixed (net proceeds $468,616) (4)
 $(36,376)  (0.02)%
Centrally cleared interest rate swaps - Pay fixed (net proceeds $567,868) (4)
 
$
(1,127,618
)
  
(0.68
)%

(3)Includes $60,630$629,553 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 $38,360$936,930 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps broker in the statement of financial condition.

See Accompanying Notes to Financial Statements.

3
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2021 (Unaudited)2022

FIXED INCOME SECURITIES

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


 Asset Backed Securities      
   United States      
   Auto Loans $6,309,574   4.83%
   Equipment Loans  700,893   0.54%
   
Total Asset Backed Securities (cost $7,025,355)
  7,010,467   5.37%
            
   Bank Deposits        
   United States        
   Financials (cost $870,000)  869,530   0.67%
   
Total Bank Deposits (cost $870,000)
  869,530   0.67%
            
   Commercial Paper        
   United States        
   Communications  584,926   0.45%
   Consumer Discretionary  2,619,659   2.00%
   Financials  7,620,623   5.83%
   Industrials  4,894,819   3.74%
   Materials  2,894,711   2.21%
   Real estate  5,311,670   4.06%
   Technology  964,975   0.73%
   Utilities  10,368,925   7.93%
   
Total United States (cost $35,265,102)
  35,260,308   26.95%
   
Total Commercial Paper (cost $35,265,102)
 $35,260,308   26.95%
Maturity   Fair  % of Net 
Face Value Description Value ($)  Asset Value 

  Asset Backed Securities 

  

 
   United States        
   Auto Loans 
$
8,896,385
   
5.42
%
   Equipment Loans  
1,014,667
   
0.62
%
   
Total Asset Backed Securities (cost $10,001,258)
  
9,911,052
   
6.04
%
            
   Bank Deposits        
   United States        
   Financials (cost $2,542,582)  
2,531,201
   
1.54
%
   Total Bank Deposits (cost $2,542,582)  2,531,201   1.54%
            
   Commercial Paper        
   Ireland        
   
Financials (cost $1,004,402)
  
1,004,149
   
0.61
%
   United States        
   Communications  
3,720,079
   
2.27
%
   Consumer Discretionary  
2,850,275
   
1.74
%
   Consumer Staples  
1,203,496
   
0.73
%
   Financials  
14,670,169
   
8.93
%
   Industrials  
5,309,319
   
3.23
%
   Materials  
1,179,213
   
0.72
%
   Real estate  
2,402,248
   
1.46
%
   Technology  
6,148,913
   
3.75
%
   Utilities  
7,217,566
   
4.40
%
   
Total United States (cost $44,714,882)
  
44,701,278
   
27.23
%
   
Total Commercial Paper (cost $45,719,284)
 
$
45,705,427
   
27.84
%

See Accompanying Notes to Financial Statements.

4
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2021 (Unaudited)2022

FIXED INCOME SECURITIES

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


 Corporate Bonds
    
 


 Corporate Bonds        Australia
      
  Australia        
Financials (cost $1,514,771)
 
$
1,519,292
   
0.93
%
  
Financials (cost $1,910,000)
 $1,916,961   1.47%  Canada
        
  Canada          Energy  
6,363,970
   
3.88
%
  Energy  701,726   0.54%  Financials  
787,932
   
0.48
%
  Financials  5,127,444   3.92%  
Total Canada (cost $7,241,749)
  
7,151,902
   
4.36
%
  Total Canada (cost $5,836,218)  5,829,170   4.46%  Germany        
  Germany          Consumer Discretionary  
501,966
   
0.31
%
  
Consumer Discretionary (cost $1,550,000)
  1,552,240   1.19%  Industrials
  
772,352
   
0.47
%
  Japan          
Total Germany (cost $1,280,204)
  
1,274,318
   
0.78
%
  Financials (cost $1,177,638)  1,177,652   0.90%  Spain
        
  Switzerland          Financials (cost $999,999)
  
979,847
   
0.60
%
  
Financials (cost $2,019,793)
  2,021,376   1.55%  Switzerland
        
  United Kingdom          
Financials (cost $1,624,958)
  
1,553,116
   
0.95
%
  Financials (cost $300,000)  299,958   0.23%  United Kingdom
        
  Health care (cost $656,356)  655,377   0.50%  
Financials (cost $839,094)
  
820,564
   
0.50
%
  Total United Kingdom (cost $956,356)  955,335   0.73%  United States        
  United States          Communications  
88,707
   
0.05
%
  Consumer Discretionary  2,389,928   1.83%  Consumer Discretionary  
3,030,661
   
1.85
%
  Consumer Staples  1,367,745   1.05%  Consumer Staples  
507,408
   
0.31
%
  Energy  2,649,366   2.02%  Energy
  
2,683,592
   
1.63
%
  Financials  4,870,526   3.72%  Financials  
9,039,581
   
5.51
%
  Health care  1,987,364   1.52%  Health care
  
2,825,284
   
1.72
%
  Industrials  2,360,179   1.81%  Industrials
  
3,558,616
   
2.17
%
  Technology  1,815,102   1.39%  Technology  
1,616,391
   
0.98
%
  Materials  496,422   0.38%  Materials  
2,001,082
   
1.22
%
  Real estate  794,270   0.61%  Real estate  
898,776
   
0.55
%
  Utilities  1,276,319   0.98%  Utilities  
1,996,982
   
1.22
%
  
Total United States (cost $20,022,816)
  20,007,221   15.31%  
Total United States (cost $28,568,112)
  
28,247,080
   
17.21
%
  
Total Corporate Bonds (cost $33,472,821)
  33,459,955   25.61%  
Total Corporate Bonds (cost $42,068,887)
  
41,546,119
   
25.33
%
                      
  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 01/20/2022 (1)
  2,134,987   1.63%3,935,000 
U.S. Treasury Bills Due 01/19/2023 (1)
  
3,928,669
   
2.39
%
$5,000,000 
U.S. Treasury Bills Due 03/17/2022 (1)
  4,999,440   3.82%6,300,000 
U.S. Treasury Bills Due 02/09/2023 (1)
  
6,274,869
   
3.82
%
$6,300,000 
U.S. Treasury Bills Due 05/12/2022 (1)
  6,297,965   4.82%8,400,000 
U.S. Treasury Bills Due 03/09/2023 (1)
  
8,335,648
   
5.08
%
  
Total Government and Agency Obligations (cost $13,433,291)
  13,432,392   10.27%  Total Government and Agency Obligations (cost $18,535,963)  
18,539,186
   
11.29
%
  
Total Fixed Income Securities (cost $90,066,569) (2)
 $90,032,652   68.87%  Total Fixed Income Securities (2) (cost $118,867,974) 
$
118,232,985
   
72.04
%

(1)Pledged as collateral for the trading of futures positions.
(2)Included in fixed income securities are U.S. Treasury Bills with a fair value of $13,432,392$18,539,186 deposited with the futures brokers.

See Accompanying Notes to Financial Statements.

5
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2021 (Unaudited)2022

SHORT TERM INVESTMENTS

  Fair  % of Net 
Description Value ($)  Asset Value 
Money Market Funds      
United States      
Money Market Funds (cost $3,863,320)
 
$
3,863,320
   
2.35
%
Total Short Term Investments (cost $3,863,320)
 
$
3,863,320
   
2.35
%

 Description 
Fair
Value ($)
  
% of Net
Asset Value
 
Money Market Funds 
  
 
United States      
Money Market Funds (cost $5,214,406)
 $5,214,406   3.99%
Total Short Term Investments (cost $5,214,406)
 $5,214,406   3.99%

LONG FUTURES CONTRACTS

  Fair  % of Net 
Description Value ($)  Asset Value 
Agriculture 
$
(75,916
)
  
(0.05
)%
Energy  
956,963
   
0.58
%
Metals  
1,097,625
   
0.67
%
Stock indices  
(1,130,118
)
  
(0.69
)%
Long-term interest rates  
(1,920,597
)
  
(1.17
)%
Net unrealized gain (loss) on long futures contracts  
(1,072,043
)
  
(0.66
)%

Description 
Fair
Value ($)
  
% of Net
Asset Value
 
Agriculture $(50,364)  (0.04)%
Energy  251,020   0.19%
Metals  2,598,920   2.00%
Stock indices  732,644   0.56%
Short-term interest rates  (176,978)  (0.14)%
Long-term interest rates  (1,033,100)  (0.79)%
Net unrealized gain (loss) on long futures contracts  2,322,142   1.78%

SHORT FUTURES CONTRACTS

 Fair  % of Net 
Description 
Fair
Value ($)
  
% of Net
Asset Value
  Value ($)  Asset Value 
Agriculture 
382,119   0.29%  
(674,635
)
  
(0.41
)%
Energy  (228,728)  (0.17)%  
(74,520
)
  
(0.05
)%
Metals  (2,987,719)  (2.29)%  
(396,908
)
  
(0.24
)%
Stock indices  (25,447)  (0.02)%  
375,315
   
0.23
%
Short-term interest rates  162,008   0.12%  
644,312
   
0.39
%
Long-term interest rates  569,626   0.44%  
2,157,133
   
1.31
%
Net unrealized gain (loss) on short futures contracts  (2,128,141)  (1.63)%  
2,030,697
   
1.23
%
Net unrealized gain (loss) on open futures contracts $194,001   0.15% 
$
958,654
   
0.57
%

FORWARD CURRENCY CONTRACTS

 Fair  % of Net 
Description 
Fair
Value ($)
  
% of Net
Asset Value
  Value ($)  Asset Value 
Various long forward currency contracts $3,836,008   2.93% 
$
5,242,293
   
3.19
%
Various short forward currency contracts  (4,630,557)  (3.54)%  
(4,550,859
)
  
(2.77
)%
Net unrealized gain (loss) on open forward currency contracts $(794,549)  (0.61)% 
$
691,434
   
0.42
%

CREDIT DEFAULT INDEX SWAPS

  Fair  % of Net 
Description Value ($)  Asset Value 
Centrally cleared credit default index swaps - Sell protection (net cost $96,224) (3)
 
$
133,926
   
0.08
%

INTEREST RATE SWAPS

 Fair  % of Net 
Description 
Fair
Value ($)
  
% of Net
Asset Value
  Value ($)  Asset Value 
Centrally cleared credit default index swaps - Sell protection (net cost $1,419,925) (3)
 $1,432,745   1.10%
Centrally cleared interest rate swaps - Receive fixed (net cost $183,962) (4)
 
$
1,151,025
   
0.70
%

(3)Includes $1,423,996$121,248 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 $147,398 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.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
SEPTEMBER 30, 2022MARCH 31, 2023 AND DECEMBER 31, 20212022 (Unaudited)
 
 September 30, 2022  December 31, 2021  March 31, 2023  December 31, 2022 
ASSETS            
Equity in futures brokers trading accounts            
Cash 
$
17,866,685
  
$
14,702,234
  
$
15,319,485
  
$
9,866,931
 
Restricted cash
  0   
542,373
   1,751,715   
3,893,726
 
Fixed income securities (cost $16,761,026 and $13,433,291, respectively)
  
16,767,752
   
13,432,392
 
Fixed income securities (cost $18,511,870 and $18,535,963, respectively)
  
18,520,696
   
18,539,186
 
Net unrealized gain (loss) on open futures contracts  
2,069,345
  
194,001
   
3,695,125
  
958,654
 
Total equity in futures brokers trading accounts  
36,703,782
   
28,871,000
   
39,287,021
   
33,258,497
 
                
Cash and cash equivalents  
603,411
   
477,204
   
466,804
   
661,440
 
Cash at interbank market maker  
7,862,770
   
5,720,106
   
3,337,204
   
2,982,070
 
Restricted cash at interbank market makers  
2,953,843
   
11,728,326
   
18,696,392
   
17,758,973
 
Short term investments (cost $33,609 and $5,214,406, respectively)
  
33,609
   
5,214,406
 
Short term investments (cost $2,002,880 and $3,863,320, respectively)
  
2,002,880
   
3,863,320
 
Cash at swaps broker  
4,966,224
   
4,268,767
   
0
   
3,755,252
 
Restricted cash at swaps broker  
2,071,641
   
440,326
   
7,713,046
   
2,601,614
 
Fixed income securities (cost $119,350,698 and $76,633,278, respectively)
  
118,612,923
   
76,600,260
 
Fixed income securities (cost $97,836,572 and $100,332,011, respectively)
  
97,384,026
   
99,693,799
 
Credit default index swaps  
2,112
   
8,749
   
128,009
   
12,678
 
Interest rate swaps  0   1,003,627 
Due from swaps broker  
11,774
   
28,825
   
64,297
   
39,053
 
Net unrealized gain on open forward currency contracts  
6,318,647
   
0
   
453,142
   
691,434
 
Interest receivable  
283,608
   
79,494
   
507,270
   
378,790
 
Total assets $180,424,344  $133,437,463  $170,040,091  $166,700,547 
                
LIABILITIES                
Cash deficit at swaps broker $
205,297  $0 
Accounts payable 
$
106,278
  
$
117,350
  

195,158
  

157,426
 
Brokerage fee payable  
1,051,169
   
772,725
   
988,040
   
971,207
 
Net unrealized loss on open forward currency contracts  0   794,549 
Interest rate swaps  74,736   0   190,688   0 
Accrued commissions and other trading fees on open contracts  
14,063
   
16,851
   
40,622
   
23,572
 
Offering costs payable  
28,746
   
41,532
   
29,994
   
26,937
 
Redemptions payable  
1,162,991
   
975,086
   
2,224,184
   
1,373,833
 
Total liabilities  
2,437,983
   
2,718,093
   
3,873,983
   
2,552,975
 
PARTNERS’ CAPITAL (Net Asset Value)                
General Partner - 0.000 and 0.000 redeemable units outstanding at September 30, 2022 and December 31, 2021
  
0
   
0
 
Limited Partners - 51,337.594 and 55,906.286 redeemable units outstanding at September 30, 2022 and December 31, 2021
  
177,986,361
   
130,719,370
 
General Partner - 0.000 and 0.000 redeemable units outstanding at March 31, 2023 and December 31, 2022
  
0
   
0
 
Limited Partners - 48,509.633 and 49,498.151 redeemable units outstanding at March 31, 2023 and December 31, 2022
  
166,166,108
   
164,147,572
 
Total partners’ capital (Net Asset Value)  
177,986,361
   
130,719,370
   
166,166,108
   
164,147,572
 
Total liabilities and partners’ capital (Net Asset Value) 
$
180,424,344
  
$
133,437,463
  
$
170,040,091
  
$
166,700,547
 
 
See Accompanying Notes to Financial Statements.

7
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
FOR THE THREE MONTHS ENDED MARCH 31, 2023 AND NINE MONTHS ENDED SEPTEMBER 30, 2022 AND 2021 (Unaudited)
 
 Three Months Ended September 30,  Nine Months Ended September 30,  Three Months Ended March 31, 

 2022  2021  2022  2021  2023
  2022
 
TRADING GAINS (LOSSES)             
  
 
Futures trading gains (losses)                  
Realized 
$
4,779,742
  
$
2,163,490
  
$
36,584,227
  
$
23,052,906
  
$
(160,765)
  
$
18,034,874
 
Change in unrealized  
1,914,037
  
(2,117,326
)
  
1,875,344
  
(6,470,165
)
  
2,736,471
   
2,645,634
Brokerage commissions  
(142,358
)
  
(287,104
)
  
(425,570
)
  
(855,373
)
  
(207,259
)
  
(144,955
)
Net gain (loss) from futures trading  
6,551,421
   
(240,940)
   
38,034,001
   
15,727,368
   
2,368,447
   
20,535,553
 
                        
Forward currency trading gains (losses)                        
Realized  
7,975,523
   
(3,908,213)
   
22,570,322
   
5,664,738
   
4,834,358
   
3,212,003
 
Change in unrealized  
1,723,045
   
3,386,296
  
7,113,196
   
833,980
  
(238,292)
   
4,297,613
 
Brokerage commissions  
(29,028
)
  
(52,899
)
  
(77,349
)
  
(124,595
)
  
(51,928
)
  
(27,390
)
Net gain (loss) from forward currency trading  
9,669,540
   
(574,816
)
  
29,606,169
   
6,374,123
   
4,544,138
   
7,482,226
 
                        
Swap trading gains (losses)                        
Realized  
706,189
   
345,151
   
1,392,044
   
(1,400,319
)
  
1,050,410
  
(279,046
)
Change in unrealized  
201,723
  
168,685
   
405,101
   
(339,513
)
  
(1,223,427)
   
471,849
Net gain (loss) from swap trading  
907,912
   
513,836
   
1,797,145
   
(1,739,832
)
  
(173,017)
   
192,803
Total net trading gain (loss)  
17,128,873
   
(301,920)
   
69,437,315
   
20,361,659
   
6,739,568
   
28,210,582
 
                        
NET INVESTMENT INCOME (LOSS)                        
Investment income                        
Interest income  
903,538
   
90,257
   
1,372,298
   
321,078
   
2,310,307
   
100,758
 
Realized gain (loss) on fixed income securities  
(5,911
)
  
(25,243
)
  
(19,371
)
  
(42,031
)
  
(594,284
)
  
(7,992
)
Change in unrealized gain (loss) on fixed income securities  
(135,047
)
  
(9,154
)
  
(697,132
)
  
(120,522
)
  
191,269
  
(252,575
)
Total investment income (loss)
  
762,580
   
55,860
   
655,795
  
158,525
   
1,907,292
  
(159,809)
 
                        
Expenses                        
Brokerage fee  
3,018,666
   
2,458,876
   
8,460,642
   
7,338,172
   
2,989,015
   
2,527,021
 
Operating expenses  
153,189
   
144,367
   
418,860
   
400,949
   
150,417
   
121,469
 
Total expenses  
3,171,855
   
2,603,243
   
8,879,502
   
7,739,121
   
3,139,432
   
2,648,490
 
Net investment income (loss)  
(2,409,275
)
  
(2,547,383
)
  
(8,223,707
)
  
(7,580,596
)
  
(1,232,140
)
  
(2,808,299
)
NET INCOME (LOSS) 
$
14,719,598
  
$
(2,849,303)
  
$
61,213,608
  
$
12,781,063
  
$
5,507,428
  
$
25,402,283
 
                        
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT                        
(based on weighted average number of units outstanding during the period) 
$
281.87
  
$
(48.30)
  
$
1,136.64
  
$
211.08
 
$
111.64
  
$
457.54
 
                        
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT
 
$
283.52
  $(51.15)  
$
1,128.79
  
$
201.34
 
$
109.19
  
$
456.51
 
                        
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
  
52,220.480
   
58,991.393
   
53,855.007
   
60,549.959
   
49,332.122
   
55,519.516
 

See Accompanying Notes to Financial Statements.

8
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
FOR THE NINETHREE MONTHS ENDED SEPTEMBER 30,MARCH 31, 2023 AND 2022 AND 2021 (Unaudited)
 
 
Nine Months Ended
September 30,
  
Three Months Ended
March 31,
 
 2022
  2021
  2023
  2022
 
Cash flows from (for) operating activities            
Net income (loss)
 
$
61,213,608
  
$
12,781,063
  
$
5,507,428
  
$
25,402,283
 
Adjustments to reconcile net income (loss) to net cash from (for) operating activities                
Net change in unrealized on futures, forwards, swaps and investments  
(8,696,509
)
  
6,096,220
   
(1,466,021
)
  
(7,162,521
)
(Increase) decrease in interest receivable  
(204,114
)
  
(1,885)
   
(128,480
)
  
(8,102
)
(Increase) decrease in due from swaps broker  
17,051
   
(4,948
)
  
(25,244
)
  
10,324
 
Increase (decrease) in payable for securities purchased  0   465,081   0   1,610,060 
Increase (decrease) in accounts payable and accrued expenses  
264,584
   
(36,741
)
  
71,615
   
171,252
 
Net purchases from swap broker
  
486,484
   
(447,502
)
Increase in cash deficit from swaps broker
  205,297   0 
Net purchases from swaps broker
  
(144,442
)
  
590,046
 
Purchases of investments  
(1,212,246,328
)
  
(1,039,132,017
)
  
(309,158,356
)
  
(325,253,862
)
Sales/maturities of investments  
1,171,381,960
   
1,040,731,563
   
313,538,327
   
304,615,385
 
Net cash from (for) operating activities  
12,216,736
   
20,450,834
   
8,400,124
   
(25,135
)
                
Cash flows from (for) financing activities                
Redemption of units  
(13,371,637
)
  
(13,156,179
)
  
(2,546,570
)
  
(3,243,038
)
Offering costs paid  
(399,861
)
  
(453,478
)
  
(88,914
)
  
(165,593
)
Net cash from (for) financing activities  
(13,771,498
)
  
(13,609,657
)
  
(2,635,484
)
  
(3,408,631
)
                
Net increase (decrease) in cash, cash equivalents and restricted cash
  
(1,554,762
)
  
6,841,177
   
5,764,640
   
(3,433,766
)
                
Cash, cash equivalents and restricted cash at beginning of period
  
37,879,336
   
31,258,386
   
41,520,006
   
37,879,336
 

        
Cash, cash equivalents and restricted cash at end of period
 
$
36,324,574
  
$
38,099,563
  
$
47,284,646
  
$
34,445,570
 

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.

 September 30, 2022  December 31, 2021  March 31, 2023  December 31, 2022 
Cash, cash equivalents and restricted cash at end of period consists of:            
Equity in futures brokers trading accounts:            
Cash 
$
17,866,685
  
$
14,702,234
  
$
15,319,485
  
$
9,866,931
 
Restricted cash
  0
   542,373   1,751,715
   3,893,726 
Cash and cash equivalents  
603,411
   
477,204
   
466,804
   
661,440
 
Cash at interbank market maker  
7,862,770
   
5,720,106
   
3,337,204
   
2,982,070
 
Restricted cash at interbank market makers  
2,953,843
   
11,728,326
   
18,696,392
   
17,758,973
 
Cash at swaps broker  
4,966,224
   
4,268,767
   
0
   
3,755,252
 
Restricted cash at swaps broker  
2,071,641
   
440,326
   
7,713,046
   
2,601,614
 
Total cash, cash equivalents and restricted cash at end of period 
$
36,324,574
  
$
37,879,336
  
$
47,284,646
  
$
41,520,006
 

See Accompanying Notes to Financial Statements.

9
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL (NET ASSETS VALUE)
FOR THE NINETHREE MONTHS ENDED SEPTEMBER 30,MARCH 31, 2023 AND 2022 AND 2021 (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 
Nine Months Ended September 30, 2022
                  
Three Months Ended March 31, 2023
                  
                  
Balances at December 31, 2022
  0.000  
$
0
   49,498.151  
$
164,147,572
   49,498.151  
$
164,147,572
 
Net income (loss) for the three months ended March 31, 2023
      
0
       
5,507,428
       
5,507,428
 
Redemptions  0.000   
0
   (988.518)  
(3,396,921
)
  (988.518)  
(3,396,921
)
Offering costs      
0
       
(91,971
)
      
(91,971
)
Balances at March 31, 2023
  0.000  
$
0
   48,509.633  
$
166,166,108
   48,509.633  
$
166,166,108
 
                        
Three Months Ended March 31, 2022
                        
                                          
Balances at December 31, 2021
  0.000  
$
0
   55,906.286  
$
130,719,370
   55,906.286  
$
130,719,370
   0.000  
$
0
   55,906.286  
$
130,719,370
   55,906.286  
$
130,719,370
 
Net income (loss) for the three months ended March 31, 2022
      
0
       
25,402,283
       
25,402,283
 
Net income (loss) for the three months ended March 31, 2022
      
0
       
25,402,283
      

25,402,283
 
Redemptions  0.000   
0
   (1,498.700)  
(3,898,869
)
  (1,498.700)  
(3,898,869
)
  0.000   
0
   (1,498.696)  
(3,898,869
)
  (1,498.696)  
(3,898,869
)
Offering costs      
0
       
(170,076
)
      
(170,076
)
      
0
       
(170,076
)
      
(170,076
)
Balances at March 31, 2022
  0.000  
$
0
   54,407.590  
$
152,052,708
   54,407.590  
$
152,052,708
 
                        
Net income (loss) for the three months ended June 30, 2022
      
0
       
21,091,727
       
21,091,727
 
Redemptions  0.000   
0
   (1,517.000)  
(4,643,358
)
  (1,517.000)  
(4,643,358
)
Offering costs      
0
       
(124,923
)
      
(124,923
)
Balances at June 30, 2022
  0.000  
$
0
   52,890.590  
$
168,376,154
   52,890.590  
$
168,376,154
 
                        
Net income (loss) for the three months ended September 30, 2022
      0
       14,719,598      14,719,598
Redemptions
  0.000
   0
   (1,553.000)  (5,017,315)  (1,553.000)  (5,017,315)
Offering costs
      0
       (92,076)      (92,076)
Balances at September 30, 2022  0.000
  $0   51,337.594
  $177,986,361   51,337.594
  $177,986,361 
                        
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
 
Net income (loss) for the three months ended March 31, 2021
      
0
       
7,346,550
      
$
7,346,550
 
Redemptions  0.000   
0
   (2,389.510)  
(5,110,068
)
  (2,389.510)  
(5,110,068
)
Offering costs      
0
       
(156,766
)
 ��    
(156,766
)
Balances at March 31, 2021
  0.000  
$
0
   60,760.146  
$
137,224,689
   60,760.146  
$
137,224,689
 
                        
Net income (loss) for the three months ended June 30, 2021
      
0
       
8,283,816
      
8,283,816
Redemptions  0.000   
0
   (1,175.660)  
(2,798,099
)
  (1,175.660)  
(2,798,099
)
Offering costs      
0
       
(150,734
)
      
(150,734
)
Balances at June 30, 2021
  0.000  
$
0
   59,584.483  
$
142,559,672
   59,584.483  
$
142,559,672
 
                        
Net income (loss) for the three months ended September 30, 2021
      0
       (2,849,303)
       (2,849,303)
 
Redemptions
  0.000
   0
   (1,784.870)  (4,230,482)  (1,784.870)  (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 March 31, 2022
  0.000  
$
0
   54,407.590  
$
152,052,708
   54,407.590  
$
152,052,708
 

Net Asset Value per General and Limited Partner Unit

  September 30, 2022  June 30, 2022  March 31, 2022  December 31, 2021 
$
3,466.98
  
$
3,183.46
  
$
2,794.70
  
$
2,338.19
 

September 30, 2021 June 30, 2021 March 31, 2021 December 31, 2020 
March 31, 2023March 31, 2023  December 31, 2022  March 31, 2022  December 31, 2021 
$
2,341.41
 
$
2,392.56
 
$
2,258.47
 
$
2,140.07
 
3,425.43
  
$
3,316.24
  
$
2,794.70
  
$
2,338.19
 

See Accompanying Notes to Financial Statements.

10
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS ENDED MARCH 31, 2023 AND NINE MONTHS ENDED SEPTEMBER 30, 2022 AND 2021 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for the three months ended March 31, 2023 and nine months ended September 30, 2022 and 2021.2022. This information has been derived from information presented in the financial statements
statements.

 Three Months Ended September 30,  Nine Months Ended September 30,
  Three Months Ended March 31, 
 2022  2021  2022  2021  2023
  2022
 
Per Unit Performance                  
(for a unit outstanding throughout the entire period)                  
Net asset value per unit at beginning of period 
$
3,183.46
  
$
2,392.56
  
$
2,338.19
  
$
2,140.07
  
$
3,316.24
  
$
2,338.19
 
                        
Income (loss) from operations:                        
Total net trading gains (losses) (1)
  331.42   (5.48)   1,288.68   334.05   136.03   510.15 
Net investment income (loss) (1)
  
(46.14
)
  
(43.18
)
  
(152.70
)
  
(125.20
)
  
(24.98
)
  
(50.58
)
Total net income (loss) from operations  
285.28
   
(48.66)
   
1,135.98
   
208.85
   
111.05
   
459.57
 
Offering costs (1)
  
(1.76
)
  
(2.49
)
  
(7.19
)
  
(7.51
)
  
(1.86
)
  
(3.06
)
Net asset value per unit at end of period 
$
3,466.98
  
$
2,341.41
  
$
3,466.98
  
$
2,341.41
  
$
3,425.43
  
$
2,794.70
 
Total Return (4)
  
8.91
%
  
(2.14
)%
  
48.28
%
  
9.41
%
  
3.29
%
  
19.52
%
                        
Supplemental Data                        
Ratios to average net asset value:                        
Expenses prior to performance fee (3)
  
7.48
%
  
7.44
%
  
7.59
%
  
7.51
%
  
7.48
%
  
7.56
%
Performance fee (4)
  
0.00
%
  
0.00
%
  
0.00
%
  
0.00
%
  
0.00
%
  
0.00
%
Total expenses  
7.48
%
  
7.44
%
  
7.59
%
  
7.51
%
  
7.48
%
  
7.56
%
Net investment income (loss) (2) (3)
  
(5.68
)%
  
(7.28
)%
  
(7.03
)%
  
(7.35
)%
  
(2.92
)%
  
(8.04
)%

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.

11
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2023 (Unaudited)
SEPTEMBER 30, 2022 (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.

The Fund will be terminated and dissolved promptly thereafter upon the happening of the earlier of: (a) the expiration of the Fund’s stated term of December 31, 2023; (b) an election to dissolve the Fund at any time by Limited Partners owning more than 50% of the Units then outstanding; (c) the withdrawal of Campbell & Company, unless one or more new general partners have been elected or appointed pursuant to the Agreement of Limited Partnership, as amended; (d) Campbell & Company determines that the purpose of the Fund cannot be fulfilled; or (e) any event which shall make unlawful the continuing existence of the Fund.

Investors who do not redeem prior to December 31, 2023 should expect to receive a distribution of the proportionate share of the Fund’s net asset value as promptly as reasonably practicable after December 31, 2023, but in no event later than January 31, 2024, with a true-up distribution, if any, to follow after completion of the Fund’s final audit.

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.

The Fund intends to dissolve in accordance with terms defined in the Amended Agreement of Limited Partnership on December 31, 2023, and has prepared its financial statements on a going concern basis.

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.

12
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2022MARCH 31, 2023 (Unaudited)

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

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

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

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

D. Fair Value

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

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

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

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

Level 3 inputs are unobservable inputs for an asset or liability (including the Fund’s own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of September 30, 2022March 31, 2023 and December 31, 2021,2022, and for the periods ended September 30,March 31, 2023 and 2022, and 2021, the Fund did not have any Level 3 assets or liabilities.

13
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2022MARCH 31, 2023 (Unaudited)

The following tables set forth by level within the fair value hierarchy the Fund’s investments accounted for at fair value on a recurring basis as of September 30, 2022March 31, 2023 and December 31, 2021.2022.
 
 Fair Value at September 30, 2022  Fair Value at March 31, 2023 
Description Level 1  Level 2  Level 3  Total  Level 1  Level 2  Level 3  Total 
Investments                        
Short term investments $33,609  $0  $0  $33,609  $2,002,880  $0  $0  $2,002,880 
Fixed income securities  0   135,380,675   0   135,380,675   0   115,904,722   0   115,904,722 
                                
Other Financial Instruments                                
Exchange-traded futures contracts  2,069,345   0   0   2,069,345   3,695,125   0   0   3,695,125 
Forward currency contracts  0   6,318,647   0   6,318,647   0   453,142   0   453,142 
Credit default index swap contracts  0   (58,518)   0   (58,518)   0   (501,544)   0   (501,544) 
Interest rate swap contracts  0   (36,376)  0   (36,376)  0   (1,127,618)  0   (1,127,618)
Total $2,102,954  $141,604,428  $0  $143,707,382  $5,698,005  $114,728,702  $0  $120,426,707 
 
 Fair Value at December 31, 2021  Fair Value at December 31, 2022 
Description Level 1  Level 2  Level 3  Total  Level 1  Level 2  Level 3  Total 
Investments                        
Short term investments 
$
5,214,406
  
$
0
  
$
0
  
$
5,214,406
  
$
3,863,320
  
$
0
  
$
0
  
$
3,863,320
 
Fixed income securities  
0
   
90,032,652
   
0
   
90,032,652
   
0
   
118,232,985
   
0
   
118,232,985
 
                                
Other Financial Instruments                                
Exchange-traded futures contracts  
194,001
   
0
   
0
   
194,001
   
958,654
   
0
   
0
   
958,654
 
Forward currency contracts  
0
   
(794,549
)
  
0
   
(794,549
)
  
0
   
691,434
  
0
   
691,434
Credit default index swap contracts  
0
   
1,432,745
   
0
   
1,432,745
   
0
   
133,926
   
0
   
133,926
 
Interest rate swap contracts  0   1,151,025   0   1,151,025 
Total 
$
5,408,407
  
$
90,670,848
  
$
0
  
$
96,079,255
  
$
4,821,974
  
$
120,209,370
  
$
0
  
$
125,031,344
 
 
The gross presentation of the fair value of the Fund’s derivatives by instrument type is shown in Note 11. See Condensed Schedules of Investments for additional detail categorization.

E.  Cash and Cash Equivalents

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

F.  Income Taxes

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

Management has continued to evaluate the application of ASC 740, Income Taxes, to the Fund, and has determined that no reserves for uncertain tax positions were required. There are no tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly increase or decrease within twelve months. The Fund files federal and state tax returns. The 20182019 through 20212022 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

14
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2022MARCH 31, 2023 (Unaudited)

G.  Offering Costs

Campbell & Company, LP (“Campbell & Company”) has incurred all costs in connection with the initial and continuous offering of units of the Fund (“offering costs”). In addition, Campbell & Company continues to compensate wholesalers for services rendered to Limited Partners. The Fund’s liability for offering costs is limited to the maximum of total offering costs incurred by Campbell & Company, not to exceed 2.5% of the aggregate subscriptions accepted during the initial and continuous offerings. As of September 30, 2022March 31, 2023 and December 31, 2021,2022, the Fund has the potential remaining reimbursement amount of approximately $33.1$32.9 million and $33.5$33.0 million, respectively. If the Fund terminates prior to completion of payment of the calculated amounts to Campbell & Company, Campbell & Company will not be entitled to any additional payments, and the Fund will have no further obligation to Campbell & Company.

The Fund is only liable for payment of offering costs on a monthly basis as calculated based on the limitations stated above. At September 30, 2022March 31, 2023 and December 31, 2021,2022, the amount of unreimbursed offering costs incurred by Campbell & Company and reflected as a liability in the Statements of Financial Condition for offering costs payable to Campbell & Company is $28,746$29,994 and $41,532,$26,937, respectively. The amount of monthly reimbursement due to Campbell & Company is charged directly to partners’ capital.

H.  Foreign Currency Transactions

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

I.  Recently Issued Accounting Pronouncements

In April 2020, the FASB issued ASU-2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting to provide optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. In July 2017, the head of the United Kingdom Financial Conduct Authority announced the desire to phase out the use of the London Interbank Offered Rate (“LIBOR”) and other Interbank offered rates (IBORs). In November 2020, United States and United Kingdom regulators made announcements planning to cease publication of overnight, one-month, three-month, nine-month and one-year LIBOR and IBOR tenors after June 2023. As such, management has completed the transition of the affected rates and evaluated any future impact to be immaterial to the Fund.

15
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2022MARCH 31, 2023 (Unaudited)

Note 2.  GENERAL PARTNER AND COMMODITY TRADING ADVISOR

The general partner of the Fund is Campbell & Company, LP, 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 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
  
NAV Consulting, Inc. serves as 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.

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.

16
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2022MARCH 31, 2023 (Unaudited)

Note 5.  DEPOSITS WITH FUTURES BROKERSBROKER

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.broker. The Fund typically earns interest income on its assets deposited with the futures brokers.broker.

Note 6.  DEPOSITS WITH INTERBANK MARKET MAKERSMAKER

The Fund’s counterpartiescounterparty with regard to its forward currency transactions areis NatWest Markets Plc (“NatWest”) and UBS AG (“UBS”). The Fund has entered into an International Swap and Derivatives Association, Inc. agreement (“ISDA Agreement”) with NatWest and UBS which governs these transactions. The credit ratings reported by the three major rating agencies for NatWest and UBS were considered investment grade as of September 30, 2022March 31, 2023 and December 31, 2021.2022. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with NatWest and UBS.NatWest. The Fund typically earns interest income on its assets deposited with NatWest and UBS.NatWest.

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 ninethree months ended September 30, 2022March 31, 2023 and 2021.2022.

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.

17
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2022MARCH 31, 2023 (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 buyspurchases credit derivative contracts for speculative investment purposes. The following table summarizes the notional amounts of credit derivative contracts purchasedsold by the Fund by their maturity for contracts which are outstanding at September 30, 2022March 31, 2023 and December 31, 2021.2022. Notional amounts are disclosed as they represent the maximum potential payout. At September 30, 2022,March 31, 2023, the carrying value of such credit derivative contracts purchased was $58,518.$(501,544). At December 31, 2021,2022, the carrying value of such credit derivative contracts sold was $1,432,745.$133,926.

 September 30, 2022 December 31, 2021  March 31, 2023 December 31, 2022 
Credit Default Index Swaps 
Maturity Date:
December 2027
 
Maturity Date:
December 2026
  
Maturity Date:
June 2028
 
Maturity Date:
December 2026
 
Investment grade 
$
1,645,250
 
$
19,078,137
  
$
19,456,761
 
$
25,780,818
 
Non-investment grade  
844,490
  
16,769,930
   
27,678,739
  
8,813,377
 
Total 
$
2,489,740
 
$
35,848,067
  
$
47,135,500
 
$
34,594,195
 
 
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.

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.

18
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2022 (Unaudited)

The Fund following tables summarize quantitative information required by ASC 815, Derivatives and Hedging, (“ASC 815”). ASC 815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entity’s financial position, financial performance and cash flows.

18
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2023 (Unaudited)
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 September 30, 2022March 31, 2023 and December 31, 20212022 is as follows:

Type of Instrument *
Statements of Financial Condition Location
 
Asset
Derivatives at
September 30, 2022
Fair Value
  
Liability
Derivatives at
September 30, 2022
Fair Value
  Net 
Statements of Financial Condition Location
 
Asset
Derivatives at
March 31, 2023
Fair Value
  
Liability
Derivatives at
March 31, 2023
Fair Value
  Net 
Agriculture Contracts
Net unrealized gain (loss) on open futures contracts
 
$
298,254
  
$
(2,111,009
)
 
$
(1,812,755)
 
Net unrealized gain (loss) on open futures contracts
 
$
2,445,624
  
$
(1,917,534
)
 
$
528,090
 
Energy Contracts
Net unrealized gain (loss) on open futures contracts
  
339,523
   
(164,814
)
  
174,709
Net unrealized gain (loss) on open futures contracts
  
769,953
   
(283,536
)
  
486,417
Metal Contracts
Net unrealized gain (loss) on open futures contracts
  
3,878,410
   
(3,878,253
)
  
157
 
Net unrealized gain (loss) on open futures contracts
  
2,697,924
   
(1,561,554
)
  
1,136,370
Stock Indices Contracts
Net unrealized gain (loss) on open futures contracts
  
1,950,933
   
(113,940
)
  
1,836,993
 
Net unrealized gain (loss) on open futures contracts
  
2,104,552
   
(824,159
)
  
1,280,393
 
Short-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
  
1,490,387
   
(34,783
)
  
1,455,604
Net unrealized gain (loss) on open futures contracts
  
318,823
   
(64,218
)
  
254,605
Long-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
  
657,440
   
(242,803
)
  
414,637
Net unrealized gain (loss) on open futures contracts
  
483,483
   
(474,233
)
  
9,250
Forward Currency Contracts
Net unrealized gain (loss) on open forward currency contracts
  
24,369,684
   
(18,051,037
)
  
6,318,647
 
Net unrealized gain (loss) on open forward currency contracts
  
14,172,952
   
(13,719,810
)
  
453,142
 
Credit Default Index Swap Contracts**
Credit default index swaps
  
0
   
(58,518
)
  
(58,518)
 
Credit default index swaps
  
502,035
   
(1,003,579
)
  
(501,544)
 
Interest Rate Swap Contracts**
Interest rate swaps
  
943,438
   
(979,814
)
  
(36,376
)
Interest rate swaps
  
862,387
   
(1,990,005
)
  
(1,127,618)
 
Total
  
$
33,928,069
  
$
(25,634,971
)
 
$
8,293,098
   
$
24,357,733
  
$
(21,838,628
)
 
$
2,519,105
 
 
*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, 2021
Fair Value
  
Liability
Derivatives at
December 31, 2021
Fair Value
  Net 
Statements of Financial Condition Location
 
Asset
Derivatives at
December 31, 2022
Fair Value
  
Liability
Derivatives at
December 31, 2022
Fair Value
  Net 
Agriculture Contracts
Net unrealized gain (loss) on open futures contracts
 
$
670,890
  
$
(339,135
)
 
$
331,755
 
Net unrealized gain (loss) on open futures contracts
 
$
834,397
  
$
(1,584,948
)
 
$
(750,551)
 
Energy Contracts
Net unrealized gain (loss) on open futures contracts
  
374,147
   
(351,855
)
  
22,292
 
Net unrealized gain (loss) on open futures contracts
  
979,387
   
(96,944
)
  
882,443
 
Metal Contracts
Net unrealized gain (loss) on open futures contracts
  
2,649,310
   
(3,038,109
)
  
(388,799
)
Net unrealized gain (loss) on open futures contracts
  
2,320,449
   
(1,619,732
)
  
700,717
 
Stock Indices Contracts
Net unrealized gain (loss) on open futures contracts
  
875,863
   
(168,666
)
  
707,197
 
Net unrealized gain (loss) on open futures contracts
  
648,552
   
(1,403,355
)
  
(754,803)
 
Short-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
  
175,142
   
(190,112
)
  
(14,970
)
Net unrealized gain (loss) on open futures contracts
  
777,755
   
(133,443
)
  
644,312
 
Long-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
  
887,576
   
(1,351,050
)
  
(463,474
)
Net unrealized gain (loss) on open futures contracts
  
2,190,165
   
(1,953,629
)
  
236,536
 
Forward Currency Contracts
Net unrealized gain (loss) on open forward currency contracts
  
6,779,979
   
(7,574,528
)
  
(794,549
)
Net unrealized gain (loss) on open forward currency contracts
  
8,245,050
   
(7,553,616
)
  
691,434
 
Credit Default Index Swap Contracts**
Credit default index swaps
  
1,649,303
   
(216,558
)
  
1,432,745
 
Credit default index swaps
  
178,418
   
(44,492
)
  
133,926
 
Interest Rate Swap Contracts**
Interest rate swaps
  1,745,960   (594,935)   1,151,025 
Total  
$
14,062,210
  
$
(13,230,013
)
 
$
832,197
   
$
17,920,133
  
$
(14,985,094
)
 
$
2,935,039
 
 
*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.

19
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2022MARCH 31, 2023 (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 ended March 31, 2023 and nine months ended September 30, 2022 and 2021 areis as follows:

Type of Instrument 
Trading Gains (Losses) for
the Three Months Ended
September 30, 2022
  
Trading Gains (Losses) for
the Three Months Ended
September 30, 2021
  
Trading Gains (Losses) for
the Three Months Ended
March 31, 2023
  
Trading Gains (Losses) for
the Three Months Ended
March 31, 2022
 
Agriculture Contracts 
$
(711,523)
  
$
(1,014,661)
  
$
(162,878)
  
$
2,265,300
 
Energy Contracts  
(2,403,337)
   
1,433,207
   
184,505
   
8,349,202
 
Metal Contracts  
1,152,211
  
178,310
   
1,527,509
   
2,888,176
Stock Indices Contracts  
1,926,144
   
362,692
   
185,728
   
428,964
 
Short-Term Interest Rate Contracts  
4,771,243
  
3,917
  
397,258
   
2,079,017
Long-Term Interest Rate Contracts  
1,959,041
   
(917,301
)
  
443,584
   
4,669,849
Forward Currency Contracts  
9,698,568
   
(521,917
)
  
4,596,066
   
7,509,616
 
Credit Default Index Swap Contracts  
(190,696
)
  
849
   
(84,998
)
  
(611,673)
 
Interest Rate Swap Contracts  
1,098,608
   
512,987
  
(88,019)
   
804,476
Total 
$
17,300,259
  
$
38,083
  
$
6,998,755
  
$
28,382,927
 
 
Type of Instrument 
Trading Gains (Losses) for
the Nine Months Ended
September 30, 2022
  
Trading Gains (Losses) for
the Nine Months Ended
September 30, 2021
 
Agriculture Contracts 
$
2,833,045
  
$
5,865,512
 
Energy Contracts  
7,541,792
   
8,263,428
 
Metal Contracts  
3,539,853
   
1,272,095
 
Stock Indices Contracts  
3,597,137
   
9,582,779
 
Short-Term Interest Rate Contracts  
6,671,292
   
(1,731,083
)
Long-Term Interest Rate Contracts  
14,276,452
   
(6,669,990
)
Forward Currency Contracts  
29,683,518
   
6,498,718
 
Credit Default Index Swap Contracts  
(1,926,863
)
  
476,453
 
Interest Rate Swap Contracts  
3,724,008
   
(2,216,285
)
Total 
$
69,940,234
  
$
21,341,627
 

20
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2022 (Unaudited)

Line Item in the Statements of Operations 
Trading Gains (Losses) for
the Three Months Ended
September 30, 2022
  
Trading Gains (Losses) for
the Three Months Ended
September 30, 2021
 
Futures trading gains (losses):      
Realized** 
$
4,779,742
  
$
2,163,490
 
Change in unrealized  
1,914,037
  
(2,117,326
)
Forward currency trading gains (losses):        
Realized**  
7,975,523
   
(3,908,213)
 
Change in unrealized  
1,723,045
   
3,386,296
Swap trading gains (losses):        
Realized  
706,189
   
345,151
 
Change in unrealized  
201,723
  
168,685
 
Total 
$
17,300,259
  
$
38,083
 

Line Item in the Statements of Operations 
Trading Gains (Losses) for
the Nine Months Ended
September 30, 2022
  
Trading Gains (Losses) for
the Nine Months Ended
September 30, 2021
  
Trading Gains (Losses) for
the Three Months Ended
March 31, 2023
  
Trading Gains (Losses) for
the Three Months Ended
March 31, 2022
 
Futures trading gains (losses):            
Realized*** 
$
36,584,227
  
$
23,052,906
 
Realized** 
$
(160,765)
  
$
18,034,874
 
Change in unrealized  
1,875,344
  
(6,470,165
)
  
2,736,471
   
2,645,634
Forward currency trading gains (losses):                
Realized***  
22,570,322
   
5,664,738
 
Realized**  
4,834,358
   
3,212,003
 
Change in unrealized  
7,113,196
   
833,980
  
(238,292)
   
4,297,613
 
Swap trading gains (losses):                
Realized  
1,392,044
   
(1,400,319
)
  
1,050,410
  
(279,046
)
Change in unrealized  
405,101
   
(339,513
)
  
(1,223,427)
   
471,849
Total 
$
69,940,234
  
$
21,341,627
  
$
6,998,755
  
$
28,382,927
 

**For the three months ended September 30,March 31, 2023 and 2022, and 2021, the amounts above include gains/gains (losses) on foreign currency cash balances at the futures brokers of $(73,875)$5,210 and $56,965,$13,961, respectively, and gains/gains (losses) on spot trades in connection with forward currency trading at the interbank market makers of $(1,388,963)$(169,294) and $314,802,$467,927, respectively.
***For the nine months ended September 30, 2022 and 2021, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $3,343 and $65,469, respectively, and gains/(losses) on spot trades in connection with forward currency trading at the interbank market makers of $(324,827) and $(178,677), respectively.

21
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2022 (Unaudited)

For the three months ended September 30,March 31, 2023 and 2022, and 2021, the monthly average of futures contracts bought and sold was approximately 13,20017,500 and 27,900,12,700, respectively, the monthly average of notional value of centrally cleared swap contracts was approximately $1,298,500,000$1,311,100,000 and $3,727,700,000,$578,200,000, respectively, and the monthly average of notional value of forward currency contracts was $3,461,000,000$1,830,800,000 and $1,878,800,000,$1,387,400,000,  respectively.

For the nine months ended September 30, 2022 and 2021, the monthly average of futures contracts bought and sold was approximately 13,000 and 27,500, respectively, the monthly average of notional value of centrally cleared swap contracts was approximately $857,400,000 and $2,936,200,000, respectively, and the monthly average of notional value of forward currency contracts was $2,010,200,000 and $1,571,900,000, respectively.

Open contracts generally mature within three months; as of September 30, 2022,March 31, 2023, the latest maturity date for open futures contracts is December 2023June 2024 and the latest maturity date for open forward currency contracts is December 2022June 2023. However, the Fund intends to close all futures and offset all forward currency contracts prior to maturity. The latest termination date for centrally cleared swap contracts is December 2027June 2028.

20
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2023 (Unaudited)
Credit Risk

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

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

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

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

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

The amount of required margin and good faith deposits with the futures brokers and interbank market makers usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at September 30, 2022March 31, 2023 and December 31, 20212022 was $16,767,752$18,520,696 and $13,432,392,$18,539,186, respectively, which equals approximately 9%11% and 10%11% of Net Asset Value, respectively. Included in cash deposits with the futures brokers, swaps broker and interbank market makers at September 30, 2022March 31, 2023 and December 31, 20212022 was restricted cash for margin requirements of $5,025,484$28,161,153 and $12,711,025,$24,254,313, respectively, which equals approximately 3%17% and 10%15% of Net Asset Value, respectively. There were no cash deposits held at UBS Securities LLC or UBS AG, a futures broker and interbank market maker, respectively, at September 30, 2022March 31, 2023 and December 31, 2021.2022.

2221
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2022MARCH 31, 2023 (Unaudited)

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

Offsetting of Derivative Assets by Counterparty
As of September 30, 2022March 31, 2023
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.
 
$
8,614,947
  
$
(6,545,602
)
 
$
2,069,345
 
Goldman, Sachs & Co.
 
$
8,820,359
  
$
(5,125,234
)
 
$
3,695,125
 
Forward currency contracts
NatWest Markets Plc
  
24,369,684
   
(18,051,037
)
  
6,318,647
 
NatWest Markets Plc
  
14,172,952
   
(13,719,810
)
  
453,142
 
Centrally cleared swap contracts*
Centrally Cleared
  
943,438
   
(943,438
)
  
0
 
Centrally cleared swap contracts
Centrally Cleared
  
1,364,422
   
(1,364,422
)
  
0
 
Total derivatives
 
$
33,928,069
  
$
(25,540,077
)
 
$
8,387,992
 
 
$
24,357,733
  
$
(20,209,466
)
 
$
4,148,267
 

Derivative Assets and Collateral Received by Counterparty
As of March 31, 2023
  
Net Amounts of
Unrealized Gain
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty 
Statements of
Financial Condition
  
Financial
Instruments
  
Cash Collateral
Received
  Net Amount 
Goldman, Sachs & Co. 
$
3,695,125
  
$
0
  
$
0
  
$
3,695,125
 
NatWest Markets Plc  
453,142
   
0
   
0
   
453,142
 
Centrally Cleared  
0
   
0
   
0
   
0
 
Total 
$
4,148,267
  
$
0
  
$
0
  
$
4,148,267
 

Offsetting of Derivative Liabilities by Counterparty
As of March 31, 2023
Type of Instrument
Counterparty
 
Gross
Amounts of
Recognized
Liabilities
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
 
Futures contracts
Goldman, Sachs & Co.
 
$
5,125,234
  
$
(5,125,234
)
 
$
0
 
Forward currency contracts
NatWest Markets Plc
  
13,719,810
   
(13,719,810
)
  
0
 
Centrally cleared swap contracts*
Centrally Cleared
  
2,993,584
   
(1,364,422
)
  
1,629,162
 
Total derivatives  
$
21,838,628
  
$
(20,209,466
)
 
$
1,629,162
 

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

Derivative Assets and Collateral Received by Counterparty
As of September 30, 2022
  
Net Amounts of
Unrealized Gain
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty 
Statements of
Financial Condition
  
Financial
Instruments
  
Cash Collateral
Received
  Net Amount 
Goldman, Sachs & Co. 
$
2,069,345
  
$
0
  
$
0
  
$
2,069,345
 
NatWest Markets Plc  
6,318,647
   
0
   
0
   
6,318,647
 
Centrally Cleared  
0
   
0
   
0
   
0
 
Total 
$
8,387,992
  
$
0
  
$
0
  
$
8,387,992
 
 
Offsetting of Derivative Liabilities by Counterparty
As of September 30, 2022
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.
 
$
6,545,602
  
$
(6,545,602
)
 
$
0
 
Forward currency contracts
NatWest Markets Plc
  
18,051,037
   
(18,051,037
)
  
0
 
Centrally cleared swap contracts
Centrally Cleared
  
1,038,332
   
(943,438
)
  
94,894
 
Total derivatives  
$
25,634,971
  
$
(25,540,077
)
 
$
94,894
 

2322
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2022MARCH 31, 2023 (Unaudited)

Derivative Liabilities and Collateral Pledged by Counterparty
As of September 30, 2022March 31, 2023
 
Net Amounts of
Unrealized Loss
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
     
Net Amounts of
Unrealized Loss
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty 
Statements of
Financial Condition
  
Financial
Instruments
  
Cash Collateral
Pledged
  Net Amount  
Statements of
Financial Condition
  
Financial
Instruments
  
Cash Collateral
Pledged
  Net Amount 
Goldman, Sachs & Co. 
$
0
  
$
0
  
$
0
 
$
0
  
$
0
  
$
0
  
$
0
  
$
0
 
NatWest Markets Plc  
0
   
0
   
0
   
0
   
0
   
0
   
0
   
0
 
Centrally Cleared  
94,894
   
0
   
(94,894)
   
0
   
1,629,162
   
0
   
(1,629,162)
   
0
 
Total 
$
94,894
  
$
0
  
$
(94,894
)
 
$
0
  
$
1,629,162
  
$
0
  
$
(1,629,162)
  
$
0
 

Offsetting of Derivative Assets by Counterparty
As of December 31, 20212022
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.
 
$
5,632,928
  $(5,438,927) $194,001 
Goldman, Sachs & Co.
 
$
7,750,705
  $(6,792,051) $958,654 
Forward currency contracts
NatWest Markets Plc
  
6,779,979
   
(6,779,979
)
  
0
 
NatWest Markets Plc
  
8,245,050
   
(7,553,616
)
  
691,434
 
Centrally cleared swap contracts*
Centrally Cleared
  
1,649,303
   
(216,558
)
  
1,432,745
 
Centrally Cleared
  
1,924,378
   
(639,427
)
  
1,284,951
 
Total derivatives
 
 
$
14,062,210
  
$
(12,435,464
)
 
$
1,626,746
 
 
 
$
17,920,133
  
$
(14,985,094
)
 
$
2,935,039
 

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

Derivative Assets and Collateral Received by Counterparty
As of December 31, 20212022
 
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. 
$
194,001
 
$
0
 
$
0
 
$
194,001
  
$
958,654
  
$
0
  
$
0
  
$
958,654
 
NatWest Markets Plc 
0
 
0
 
0
 
0
   
691,434
   
0
   
0
   
691,434
 
Centrally Cleared  
1,432,745
  
0
  
0
  
1,432,745
   
1,284,951
   
0
   
0
   
1,284,951
 
Total 
$
1,626,746
 
$
0
 
$
0
 
$
1,626,746
  
$
2,935,039
  
$
0
  
$
0
  
$
2,935,039
 


2423
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2022MARCH 31, 2023 (Unaudited)


Offsetting of Derivative Liabilities by Counterparty
As of December 31, 20212022
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.
 
$
5,438,927
  
$
(5,438,927
)
 
$
0
 
Goldman, Sachs & Co.
 
$
6,792,051
  
$
(6,792,051
)
 
$
0
 
Forward currency contracts
NatWest Markets Plc
  
7,574,528
   
(6,779,979
)
  
794,549
 
NatWest Markets Plc
  
7,553,616
   
(7,553,616
)
  
0
 
Centrally cleared swap contracts
Centrally Cleared
  
216,558
   
(216,558
)
  
0
 
Centrally Cleared
  
639,427
   
(639,427
)
  
0
 
Total derivatives  
$
13,230,013
  
$
(12,435,464
)
 
$
794,549
   
$
14,985,094
  
$
(14,985,094
)
 
$
0
 

Derivative Liabilities and Collateral Pledged by Counterparty
As of December 31, 20212022
 
Net Amounts of
Unrealized Loss
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
     
Net Amounts of
Unrealized Loss
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty 
Statements of
Financial Condition
  Financial
Instruments		  
Cash Collateral
Pledged
  Net Amount  
Statements of
Financial Condition
  Financial
Instruments		  
Cash Collateral
Pledged
  Net Amount 
Goldman, Sachs & Co. 
$
0
  
$
0
  
$
0
  
$
0
  
$
0
  
$
0
  
$
0
  
$
0
 
NatWest Markets Plc  
794,549
   
0
   
(794,549)
   
0
   
0
   
0
   
0
  
0
 
Centrally Cleared  
0
   
0
   
0
   
0
   
0
   
0
   
0
   
0
 
Total 
$
794,549
  
$
0
  
$
(794,549)
  
$
0
  
$
0
  
$
0
  
$
0
 
$
0
 

 
Campbell & Company has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. Campbell & Company’s basic market risk control procedures consist of continuously monitoring open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%. Campbell & Company’s attempt to manage the risk of the Fund’s open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses. Campbell & Company controls the risk of the Fund’s non-trading fixed income instruments by limiting the duration of such instruments and requiring a minimum credit quality of the issuers of those instruments.

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

2524
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2022MARCH 31, 2023 (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 September 30, 2022March 31, 2023 and December 31, 2021,2022, the Statements of Operations and Financial Highlights for the three months and ninethree months ended September 30,March 31, 2023 and 2022, and 2021, and the Statements of Cash Flows and Changes in Partners’ Capital (Net Asset Value) for the ninethree months ended September 30,March 31, 2023 and 2022 and 2021 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 September 30, 2022March 31, 2023 and December 31, 2021,2022, the results of operations and financial highlights for the three months and ninethree months ended September 30,March 31, 2023 and 2022, and 2021, and cash flows and changes in partners’ capital (Net Asset Value) for the ninethree months ended September 30, 2022March 31, 2023 and 2021.2022.

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.

2625
Table of Contents

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

Introduction

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

The Fund will be terminated and dissolved promptly thereafter upon the happening of the earlier of: (a) the expiration of the Fund’s stated term of December 31, 2023; (b) an election to dissolve the Fund at any time by Limited Partners owning more than 50% of the Units then outstanding; (c) the withdrawal of Campbell & Company, unless one or more new general partners have been elected or appointed pursuant to the Agreement of Limited Partnership, as amended; (d) Campbell & Company determines that the purpose of the Fund cannot be fulfilled; or (e) any event which shall make unlawful the continuing existence of the Fund.

Investors who do not redeem prior to December 31, 2023 should expect to receive a distribution of the proportionate share of the Fund’s net asset value as promptly as reasonably practicable after December 31, 2023, but in no event later than January 31, 2024, with a true-up distribution, if any, to follow after completion of the Fund’s final audit.

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.

2726

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.

2827

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.

Results of Operations

The returns for the ninethree months ended September 30,March 31, 2023 and 2022 were 3.29% and 2021 were 48.28% and 9.41%19.52%, respectively. During the ninethree months ended September 30,March 31, 2023 and 2022, and 2021, the Fund accrued brokerage fees in the amount of $8,460,642$2,989,015 and $7,338,172,$2,527,021, respectively, and paid brokerage fees in the amount of $8,182,198$2,972,182 and $7,343,040,$2,397,998, respectively. No performance fees were accrued or paid during these periods.

20222023 (For the NineThree Months Ended September 30)March 31)

Of the 48.28%3.29% year to date return, approximately 54.13%4.25% was due to trading gains (before commissions), approximately 0.42%1.13% due to investment income and approximately (6.27)(2.09)% due to brokerage fees, operating expenses and offering costs borne by the Fund. An analysis of the 54.13%4.25% trading gains by sector is as follows:

Sector % Gain (Loss) 
Credit  1.10(0.38)%
Foreign Exchange2.88%
Commodities  12.260.97%
Interest Rates0.63%
Equity Indices0.15%
4.25%

The Fund showed a profit in January. Gains came from stock index, commodity, foreign exchange (FX), and credit positions, while interest rate holdings produced some partially offsetting losses. Global stock indexes generated the largest gains for the Fund in January. Net long positioning on a variety of equity holdings gained as most major global stock indexes finished the month in the green. The general risk-on sentiment was fueled by China reopening optimism and the hopes that the world’s Central Banks ease off their aggressive rate-hike cycle. A slew of mixed Q4 earnings reports and continued layoff announcements were largely ignored as money flowed into riskier assets. Commodity trading also provided gains for the Fund to start the year. Long coffee and sugar holdings generated the biggest wins within the softs sub-sector as those prices rallied on supply concerns. Industrial metals generated additional gains for the Fund spearheaded by a long LME copper position. The base metals complex experienced a significant monthly rally on back of the weak US dollar, ongoing China reopening optimism, and increasing concern over dwindling stockpiles. Foreign exchange trading produced additional Fund profits. The US dollar experienced a sell-off in January and the gains on long Emerging Market (EM) positions, versus short the USD, more than offset the losses incurred in the short Developed Market (DM) currencies. Longs in Latin American currencies were the main EM gainers as risky assets and carry trades were bought in the risk-on environment. Interest rate positions generated partially offsetting losses on the month. US Treasuries advanced (yields fell) after easing US inflation data strengthened the case for the Fed to turn less aggressive, hurting short positioning along the curve. In Europe, short positioning on German bonds added to Fund losses as prices followed Treasuries higher despite hawkish rhetoric from Lagarde and other European Central Bankers. Long positioning on UK gilts and the Aussie 10-year bond generated partially offsetting gains.Short protection positions in the credit indices which narrowed sharply alongside the broader rally in risk assets generated gains for the Fund.

28
The Fund showed a robust profit in February. Gains came from fixed income, foreign exchange (FX), and commodity positions, while stock indices produced some partially offsetting losses. Credit holdings had limited P&L impact on the month. Interest rate positions dominated Fund gains in February with long-dated and short-dated instruments equally contributing to profits. US Treasury prices fell (yields rose) as hotter-than-expected inflation data and an extraordinary jump in payrolls elicited increasingly hawkish commentary from Fed members throughout the month, benefiting short positioning. Euro-area core inflation accelerated to a record, prompting money markets to price in a higher ECB terminal rate, which created gains for short German bond positioning. Interest rate swap holdings were also additive, led by a payer position in Mexican rates as yields moved higher after a larger-than-expected rate hike from Mexico’s Central Bank. Foreign exchange trading produced additional Fund returns. The US dollar rallied over the course of the month and the Fund’s short positions in the Developed Market (DM), versus long the US dollar, drove sector gains. A short Norwegian krone holding (against long USD) was a major P&L contributor in the FX sector as the krone continued to be susceptible to weakness in energies, ultimately ending the month as the worst performing G-10 currency in 2023. Commodities provided additional profits for the Fund in February. Short holdings across the industrial and precious metal sub-sectors profited as increasing expectations for further Fed policy tightening and a stronger US dollar weighed on metals prices. Net long global stock index positioning generated some offsetting losses during the month. After a strong start to the year, February saw equity markets retrace in North America and Asia. In the US, stronger-than-expected economic releases, which included labor and inflation data, spurred a meaningful repricing of FOMC rate expectations. In the APAC region, strained US-China geopolitical relations and weaker near-term demand outlooks for China further weighed on risk sentiment. Long positioning on European equities provided some offsetting gains as markets proved more resilient to higher rates in the region.

The Fund realized a loss in March. Losses came from interest rate, stock, commodity, and credit holdings, while foreign exchange (FX) produced some partially offsetting gains during the month. Interest rate positions dominated Fund losses on the month, with both long-dated and short-dated instruments suffering in the wake of the banking crisis that drove global bond prices higher (yields lower). The negative impact on the financial sector from the US Fed’s policy tightening campaign prompted traders to scale back rate hike bets, hurting short US Treasury positioning across most tenors. Partially offsetting gains came from long UK Gilt and Aussie 10-year bond positioning, both of which benefited from the rapid shift to less risky assets. Stock holdings also weighed on Fund performance amid a volatile month of trading. Predominantly long stock positioning was negatively impacted after the collapse of Silicon Valley Bank and the ensuing fears of contagion. Some stock P&L losses were recovered with prices rallying off mid-month lows as the banking sector stabilized and investors weighed the possibility of the Fed pausing its rate increases. Commodity positions added to Fund losses in March. Short precious metal holdings generated the largest sub-sector losses as bullion prices rose amid the banking sector turmoil, diminished expectations for further Fed tightening, and a softer US dollar. Credit trading generated additional losses as a short protection position in the iTraxx Senior Financial index suffered after credit spreads widened sharply in the wake of the Silicon Valley Bank and Credit Suisse fiascos. Foreign exchange trading provided some partially offsetting Fund gains. While the DXY index traded lower during the month on back of the shift to a more dovish outlook on the US Federal Reserve, a few of the so-called commodity currencies were the exceptions. The Fund profited from short-positions on the Aussie dollar and Norwegian krone, which both traded softer on back of weakness in oil markets.

2022 (For the Three Months Ended March 31)

Of the 19.52% year to date return, approximately 21.77% was due to trading gains (before commissions) and approximately (0.11)% due to investment loss, offset by approximately (2.14)% due to brokerage fees, operating expenses and offering costs borne by the Fund. An analysis of the 21.77% trading gains by sector is as follows:

Sector% Gain (Loss)
Credit0.00%
Commodities10.38%
Foreign Exchange  22.475.87%
Interest Rates  15.895.27%
Equity Indices  2.410.25%
   54.1321.77%

29
The Fund showed a gain in January with gains coming from interest rate, commodity, and foreign exchange (FX) positions, while stock index and credit holdings produced some partially offsetting losses.  Interest rate positions produced the largest gains for the Fund during January, with profits most pronounced in long-dated instruments.  Global yields jumped (prices fell) as persistent, rising inflation prompted central banks to increase efforts in tightening monetary policy.  Short UK gilt positioning contributed the most sizable gains after UK inflation hit its highest reading since 1992 on surging demand, higher energy costs, and supply chain disruptions.  Commodity trading provided additional profits for the Fund during the month.  Long positioning on the petroleum complex generated the best sector gains. Energy markets advanced as supply constraints and heightened geopolitical tensions coincided with a recovery in demand amid easing concerns surrounding the severity of the Omicron variant.  Longs on soy products also produced gains as soy markets advanced on tight supply expectations amid persistent South American weather concerns.  Foreign exchange trading produced additional gains for the Fund with long US dollar positions (versus short foreign currency) benefiting.  The greenback rallied during the second half of January with the DXY dollar index reaching a multi-year high on back of the decidedly hawkish approach from the Federal Reserve.  At the January FOMC meeting, the Fed signaled they intend to raise interest rates as early as March and the market subsequently priced in five hikes during 2022.  Largely long positioning on global stock indices produced losses for the Fund in January, with most major benchmarks posting large losses for the month.  Investor worries about inflation, persistent supply chain issues, and the upcoming rate hikes from the Federal Reserve fueled the risk-off trading.  In credit trading, short protection positions generated further offsetting losses as US and European credit spreads widened sharply alongside the unwind of risky assets.

29

The Fund showed a modest loss in February with losses came from foreign exchange, credit, fixed income, and stock index positions as commodity holdings produced some partially offsetting gains. Foreign exchange trading produced losses for the Fund. Short positions in developed market currencies (against long USD) were overwhelmed as the recent strength in the greenback was countered by this month’s demand for commodity currencies like the Australian and New Zealand dollars. Short positions in some Eastern European currencies (against long USD) provided partially offsetting gains as Russian contagion fears drove weakness in Polish and Hungarian assets. In credit trading, short protection positions generated further losses as US and European credit spreads widened sharply alongside the unwind of risky assets. Interest rate positions caused additional losses in February. A late month flight-to-safety rally sparked by the intensifying Russia/Ukraine conflict reversed earlier weakness. Losses in German and Australian 10-year bonds overwhelmed gains made in UK Gilts and US Treasuries. Global stock indices also detracted from the Fund amid mixed positioning during the month. February began with most major indexes fluctuating as investors focused on hotter than expected inflation and assessed prospects for rate hikes and quantitative tightening. By mid-month sentiment turned negative as the focus shifted from monetary policy to geopolitical concerns and the unprecedented Russian sanctions. Commodity trading provided positive returns for the Fund during the month. Long positioning on the petroleum complex generated the best sector gains as energy markets advanced amid continued supply constraints and elevated risk premiums stemming from geopolitical tensions between Russia and Ukraine. Some long grain holdings also generated gains as grain markets rallied sharply across the board on supply concerns following Russia’s attack on Ukraine.

The Fund showed a strong gain in March with gains coming from commodity, foreign exchange, fixed income, stock index, and credit positions. Commodity trading provided the strongest returns for the Fund during the month. Long positioning across the energy complex resulted in the best sub-sector gains as global demand continued to recover from the pandemic while the war in Europe further squeezed an already tight market. Base metal holdings also contributed gains as long positioning profited from a sharp rally across the complex as Russia’s invasion of Ukraine coincided with a historic supply shortage. Nickel dominated industrial metal returns following outperformance on the back of a short-squeeze that saw prices leap 85% over two days, a move that ultimately resulted in an unprecedented 6-day trading halt on the LME. Foreign exchange trading produced additional profits for the Fund with both the developed market (DM) and emerging market (EM) currencies contributing. A short position on the Japanese yen drove the largest DM gains as the JPY weakened on the continued ultra-loose monetary policy in Japan relative to rising yields in the US. A long position on the Brazilian real was also profitable as the BRL benefited from price increases in Brazilian exports as well as general demand for higher yielding currencies. Interest rate positions also contributed gains with short positioning on Treasuries leading profits. The Federal Reserve’s policy normalization began in March and leaned more hawkish than expected which proved profitable for short 2-year and 10-year UST positions. Global stock indices further added to profits as momentum and short-term strategies were able to navigate the significant mid-month reversal in equities. Short positions to start the month were profitable as stocks traded lower on geopolitical concerns, an FOMC rate hike, and hawkish Fed commentary. However, risk sentiment turned positive on war de-escalation prospects during the latter half of the month and a shift in model positioning captured additional gains. In credit trading, short protection positions generated nominal gains as US and European credit spreads tightened alongside stock indices and other risky assets.

The Fund produced a gain during April. Profits came from foreign exchange, interest rate, and commodity holdings, while credit positions and stock index trading had little P&L impact. Foreign exchange trading produced the largest Fund returns in April. Long US dollar exposure proved profitable as the greenback saw a sharp rally over the month. The USD gained on the increasingly aggressive US monetary policy and the significant rise in longer dated interest rate yields. The greenback also benefited from global growth concerns as Europe continues to struggle with the fallout from Russia’s invasion of Ukraine, and China enacted lockdowns in a bid to curtail the spread of the latest Covid-19 variant. Interest rate positions produced additional profits during April, with gains concentrated in long-dated instruments. Short positioning on US Treasuries produced the greatest profits for the sector as the Fed prepares the double act of rate hikes with quantitative tightening. The prospect of tighter monetary policy coupled with concerns over surging inflation around the world sent bond prices lower and real yields higher.

Commodity positions also generated gains during the month. Long holdings on the energy complex generated the best commodity sub-sector returns as energy markets advanced on continued supply concerns, although gains were capped as China’s extended coronavirus lockdowns curbed demand for energies. Grain holdings provided additional returns for the Fund as the war in Ukraine, drought concerns, and increased biofuel demand lifted prices higher. Credit trading was relatively flat as short protection positions generated additional offsetting losses as US and European credit spreads widened amid the risk-off environment. Mixed positioning in global stock indices had little impact on the Fund in April, with nearly all major benchmarks logging losses for the month. The risk-off trading was fueled by the hawkish shift in global monetary policy, demand destruction from China’s Covid lockdowns, and continued geopolitical uncertainty centered on Ukraine.

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The Fund produced a loss during May. Losses came from foreign exchange, stock index, and commodity positions. Fixed income and credit index trading had little P&L impact on the month. Foreign exchange trading produced the largest losses for the Fund during May. Long US dollar positions (versus short the foreign currency) experienced losses amid the broader weakness in the USD. While the greenback remains stronger on the year, the DXY dollar index experienced a reversal during May. The foreign exchange market is reconsidering whether US policy makers might slow or potentially pause the tightening cycle in the latter half of 2022, which limited the demand for the US currency. Additionally, data over the course of the month showed the potential of a weaker US consumer which also contributed to the weakness in the buck. Stock index positioning generated additional losses over the course of the month. Global equity returns were mixed during May amid volatility across the global indices as markets weighed accelerating inflation concerns in Europe with easing Covid restrictions in China and some investor expectations of a possible slowdown in US monetary tightening. Commodity holdings generated modest losses during the month. Net long positioning on the grain complex incurred losses for the Fund as grain markets plummeted into month-end on the possibility that Russia will allow exports of Ukrainian grain through the Black Sea. Long holdings on energies generated partially offsetting gains as those markets advanced on continued fallout from the war in Ukraine, in addition to easing Covid restrictions in Asia, a busy travel season, and low inventories. Mixed positioning in fixed income had little impact on the Fund in May. Longs on European interest rate instruments produced losses as those markets declined (yields rose) as record inflation prints increased bets the BoE and ECB will have to quicken the pace of rate hikes to quell surging prices. Canadian Government Bonds produced some offsetting gains amid a hawkish approach from the BoC. Finally in credit trading, short protection positions also had little impact on the Fund during the month.

The Fund produced a gain during June. Profits came from foreign exchange (FX), interest rate, and stock index holdings. The commodity sector and credit positions had little P&L impact. Foreign exchange trading generated the largest gains for the Fund during the month. Long USD positions (versus short the foreign currency) benefited from the broad-based rally in the greenback. Dominating the market narrative, inflation remains stubbornly high and the Federal Reserve continues to lead the hawkish charge. Following the hotter US CPI print early in the month, the Fed indicated that slowing inflation is more important than the possibility of slower economic growth as a result of higher rates, which helped drive the wide-reaching appreciation in the dollar. Fixed income positions produced additional returns with gains concentrated in long-dated instruments. Persistent inflation prompted central banks to take more aggressive action in their hiking cycles, leading to several greater-than-expected rate increases. Short positioning on Australia and US 10-year instruments profited as yields rose (prices fell) in reaction to the RBA and Fed both delivering rate hikes that exceeded expectations. A fifth consecutive rate hike from the Bank of England, accompanied by hawkish guidance, pushed UK yields higher (prices lower) to the benefit of short Gilt positioning. Net short stock index positioning provided additional gains during the month. Global stock indices sold-off sharply as investors became increasingly convinced that the pace of rising interest rates will trigger a recession. Comments from global central bank speakers throughout the month remained hawkish and Fed Chair Powell even conceded that a soft landing could be “very challenging.” In credit trading, short protection positions were relative flat as US and European credit spreads widened sharply alongside the selloff in risky assets. The models flipped to long protection at the end of June and recovered some of their earlier losses. Commodity trading had little impact on the Fund during the month as gains made from short wheat holdings were offset by losses generated from energy positions.

The Fund produced a loss in July. Losses came from interest rate and foreign exchange (FX) holdings, while commodity positions produced some partially offsetting gains. The stock and credit sectors had little P&L impact. Interest rate positions produced the largest losses for the Fund with declines most notable in long-dated instruments. Bonds rallied (yields fell) amid ongoing fears that tightening monetary policy will drag leading economies into recession. Net short positioning on US Treasuries produced losses as prices jumped after two consecutive quarters of negative GDP confirmed the US economy is in technical recession. Despite a surprise full percentage point rate hike from the Bank of Canada, short positioning in Canada 10-year bonds added to losses after a softer inflation print blunted the case for another 100bps hike, which sent bond prices higher. Foreign exchange trading produced additional losses for the Fund. A short position on the Japanese yen was a detractor for the Fund as the JPY experienced strong gains versus the dollar following the weaker US data and the prospects of a less aggressive Fed. Partially offsetting gains were experienced in the euro as EURUSD reached parity for the first time since 2002 on back of the energy crisis in Europe and a series of poor European data. Commodity trading generated profits for the Fund during the month. Short wheat positioning provided the best sub-sector gains as the grain traded lower on strong US crop expectations, which could help relieve global supply shortfalls caused by turmoil in the Black Sea region. A short sugar position also produced gains as prices fell amid lingering global demand uncertainty and healthy supply expectations from Brazil. Global stock index trading had little P&L impact as gains made on European and Asian stock holdings were overwhelmed by losses sustained from the North American region. Stock indices advanced in July as easing rate rise expectations and generally strong big tech earnings sparked a broad-based rally.

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The Fund produced a gain in August. Profits came from interest rate and foreign exchange (FX) holdings, while commodities and credit index positions produced some partially offsetting losses during the month. The stock index sector had little P&L impact. Interest rate positions produced the largest gains for the Fund in August. Bond yields surged (prices fell) as hawkish commentary from policymakers heightened fears of aggressive monetary policy action aimed at curtailing inflation, despite the risk of dragging economies into recession. Short positioning on Canadian bonds, US Treasuries, and UK gilts led gains. Canadian bonds fell after core inflation rose to a record 5.3% while US Treasury prices declined after a chorus of Fed officials reiterated their resolve to keep hiking rates and to maintain a restrictive stance “for some time.” Foreign exchange trading produced additional gains. August saw a steady rally in the greenback throughout the month and the Fund’s long US dollar positions benefited, especially against the developed market currencies. A short position on the Japanese yen was the largest FX contributor as a hawkish approach from the Fed, coupled with the continued easing policy from the Bank of Japan, caused the yen to resume its weakening trend versus the USD. Commodity holdings produced some offsetting losses for the Fund. Long energy positions generated the largest sector losses as energy markets came under pressure on global recession worries. Short precious metal positioning created some of the best offsetting profits within the commodities sector as a continually hawkish Fed, the stronger US dollar, and rising Treasury yields weighed on metal prices.

Credit trading was unprofitable as short protection positions generated losses as US and European credit spreads widened amid the risk-off environment. Stock index trading had little P&L impact as gains made on North American stock index holdings were overwhelmed by losses sustained from the Asian region; European positions had a negligible impact. The global equities markets sold-off in the latter half of the month on expectations of tighter global monetary policy conditions.

The Fund produced a gain in September.  Profits came from foreign exchange (FX), interest rate, and stock holdings, while commodities and credit index positions produced some partially offsetting losses during the month. FX positions produced the largest gains for the Fund in September.  The US dollar experienced a sharp rally during the month and the Fund’s long USD positions benefited, especially against shorts in the developed market currencies.  The narrative in FX was dominated by the US Federal Reserve hiking rates and the greenback serving as a high yielding safe-haven asset.  The largest gains came from shorts on the Norwegian krone (versus long USD), which weakened amid the worsening European oil and gas crisis. Interest rate positions generated additional profits.  Aggressive monetary policy around the globe, elevated inflation, and the European energy crisis pressured bond prices and produced gains for short positioning on fixed income instruments.  Partially offsetting losses came from long Gilt positioning.  UK yields surged (prices fell) after British policy makers announced sweeping tax reform and the market braced for an onslaught of bond supply and aggressive rate hikes. Short stock index positioning also produced gains for the Fund during the month. Investors shed risk assets, sending benchmarks lower across the globe, amid the tightening of financial conditions driven by unrelenting global rate hikes aimed at containing inflation. Commodity holdings detracted from the Fund during September. Some long positioning, namely in cotton, energies, and industrial metals, produced losses as commodities generally underperformed on back of the weakening demand outlook, heightened global recession fears, and the rapidly strengthening US dollar.  Wheat prices were an exception and rose during the month as supply worries amid war risks outweighed the stronger dollar, and hurt our short positioning. Credit trading was unprofitable as short protection positions generated losses as US and European credit spreads widened amid the risk-off environment.

2021 (For the Nine Months Ended September 30)

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

Sector% Gain (Loss)
Credit(1.84)%
Commodities11.27%
Foreign Exchange4.99%
Interest Rates(6.09)%
Equity Indices6.97%
15.30%

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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.

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

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

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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.

The Fund produced a gain in May with profits coming from commodity, foreign exchange, stock index, and credit holdings, while fixed income positions created some partially offsetting losses. Commodity holdings produced the best Fund gains during May. In the precious metals sub-sector, a long position on gold proved profitable amid a drumbeat of dovish commentary from FOMC officials who insisted that any inflationary pressures will be transitory which helped weaken the US dollar and sent gold futures higher by over 7% during the month. Other commodity sub-sectors that contributed to monthly gains included grains, energies, softs, and industrial metals. Foreign exchange trading in both the emerging and developed market currencies was profitable for the Fund. A long South African rand holding (against short USD) was the best performer in the EM space as the ZAR rose to its highest level in almost two years, helped along by strong demand for energies and metals. Long positioning on the Canadian dollar (against short USD) was also profitable on back of the bid in commodities as well as the Bank of Canada’s pivot to a more hawkish stance. The overall weaker greenback benefited other short USD holdings, adding to sector gains. Global stock indexes generated additional profits for the Fund. Long positioning on many global stock indexes profited as most major equity indexes advanced during the month. Economic reopening progress from the pandemic linked with ongoing monetary and fiscal stimulus created a risk-on backdrop for stocks. Credit trading was also profitable during May as short protection positions produced gains as most US and European credit spreads narrowed amid the risk-on environment. Interest rate positions created some partially offsetting losses during the month. Short positioning on some European and US instruments suffered as prices rose (yields fell) as multiple ECB and Federal Reserve officials pushed back against market expectations that both central banks were close to considering reducing quantitative easing measures.

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

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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.

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.

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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.

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.

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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.

36

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.

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 September 30, 2022March 31, 2023 and December 31, 20212022 and the trading gains/losses by market category for the ninethree months ended September 30, 2022March 31, 2023 and the year ended December 31, 2021.2022.

 September 30, 2022  March 31, 2023 
Market Sector 
Value
at Risk*
  
Trading
Gain/(Loss)**
  
Value
at Risk*
  
Trading
Gain/(Loss)**
 
Credit 0.04% 1.10% 0.24% (0.38)%
Commodities 0.57% 12.26% 0.61% 0.97%
Foreign Exchange 1.00% 22.47% 0.67% 2.88%
Interest Rates 0.65% 15.89% 1.43% 0.63%
Equity Indices 0.37%  2.41% 0.66%  0.15%
Aggregate/Total 1.68%  54.13% 2.35%  4.25%

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

**Of the 48.28%3.29% year to date return, approximately 54.13%4.25% was due to trading gains (before commissions), approximately 0.42%1.13% due to investment income and approximately (6.27)(2.09)% due to brokerage fees, operating expenses and offering costs borne by the Fund.

 December 31, 2021  December 31, 2022 
Market Sector 
Value
at Risk*
  
Trading
Gain/(Loss)**
  
Value
at Risk*
  
Trading
Gain/(Loss)**
 
Credit 0.07% (0.61)%  0.09%  1.52%
Commodities 0.91% 10.99%  0.54%  9.43%
Foreign Exchange 0.90% 8.09%  1.15%  20.25%
Interest Rates 0.58% (10.04)%  0.98%  16.46%
Equity Indices 0.92%  8.70%  0.53%  1.06%
Aggregate/Total 2.09%  17.12%  1.66%  48.72%

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

**Of the 9.26%41.83% year to date return, approximately 17.12%48.72% was due to trading gains (before commissions) and approximately 0.08%1.42% due to investment income, offset by approximately (7.94)(8.31)% due to brokerage fees, operating expenses and offering costs borne by the Fund.

3732

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 September 30, 2022,March 31, 2023, 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.

3833

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 September 30, 2022.March 31, 2023.

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).

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 provideprovides no guarantee that any profit or interest will accrue to the Fund as a result of such management.

3934

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.

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.

4035

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 25, 2022.24, 2023.

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

4136

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)
   
 Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
   
 Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
   
 Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
   
 Certification of John R. Radle, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
   
101.01101 
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments As of September 30, 2022March 31, 2023 and December 31, 2021,2022, (ii) Statements of Financial Condition As of September 30, 2022March 31, 2023 and December 31, 2021,2022, (iii) Statements of Operations For the Three Months March 31, 2023 and Nine Months Ended September 30, 2022, and 2021, (iv) Statements of Cash Flows For the NineThree Months Ended September 30,March 31, 2023 and 2022, and 2021, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the NineThree Months Ended September 30,March 31, 2023 and 2022, and 2021, (vi) Financial Highlights For the Three Months March 31, 2023 and Nine Months Ended September 30, 2022, and 2021, (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.

4237

EXHIBIT INDEX

Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
  
Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
  
Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
  
Certification of John R. Radle, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
  
101.01101
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments As of September 30, 2022March 31, 2023 and December 31, 2021,2022, (ii) Statements of Financial Condition As of September 30, 2022March 31, 2023 and December 31, 2021,2022, (iii) Statements of Operations For the Three Months March 31, 2023 and Nine Months Ended September 30, 2022, and 2021, (iv) Statements of Cash Flows For the NineThree Months Ended September 30,March 31, 2023 and 2022, and 2021, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the NineThree Months Ended September 30,March 31, 2023 and 2022, and 2021, (vi) Financial Highlights For the Three Months March 31, 2023 and Nine Months Ended September 30, 2022, and 2021, (vii) Notes to Financial Statements.
  
104
Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).

4338

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: November 14, 2022May 15, 2023By:
/s/ Kevin D. Cole
 
  Kevin D. Cole 
  Chief Executive Officer & Chief Investment Officer 

39