Campbell Strategic Allocation Fund 10-Q 2010 Q1 Quarterly report

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

þ Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the quarterly period ended March 31, 2010

or

o 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: 0-22260

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

(Exact name of registrant as specified in charter)

Delaware	52-1823554
(State of 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)

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. Yesþ Noo

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 and post such files). Yesþ Noo

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

Large accelerate filero	Accelerated filero	Non-accelerated filero	Smaller reporting companyþ
		(Do not check if a smaller reporting company)

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yeso Noþ

	Page
PART I — FINANCIAL INFORMATION
Item 1. Financial Statements
Condensed Schedules of Investments as of March 31, 2010 (Unaudited) and December 31, 2009		3-6
Statements of Financial Condition as of March 31, 2010 (Unaudited) and December 31, 2009		7
Statements of Operations for the Three Months Ended March 31, 2010 and 2009 (Unaudited)		8
Statements of Cash Flows for the Three Months Ended March 31, 2010 and 2009 (Unaudited)		9
Statements of Changes in Partners’ Capital (Net Asset Value) for the Three Months Ended March 31, 2010 and 2009 (Unaudited)		10
Financial Highlights for the Three Months Ended March 31, 2010 and 2009 (Unaudited)		11
Notes to Financial Statements (Unaudited)		12-18
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations		19-24
Item 3. Quantitative and Qualitative Disclosure About Market Risk		24-30
Item 4T. Controls and Procedures		30
PART II — OTHER INFORMATION
Item 6. Exhibits and Reports on Form 8-K		31
SIGNATURES		32
CERTIFICATIONS

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31, 2010 (Unaudited)

FIXED INCOME SECURITIES

Maturity					% of Net
Face Value		Description	Values ($)		Asset Value
		Bank Deposits
		Australia
		Financials (cost $32,000,000)	$	31,996,160		2.11	%
		Canada
		Financials (cost $32,000,000)	$	32,010,240		2.11	%
		Netherlands
		Financials (cost $33,301,714)	$	33,300,000		2.19	%
		United States
		Financials (cost $33,340,000)	$	33,397,678		2.20	%
		Total Bank Deposits (cost $130,641,714)	$	130,704,078		8.61	%
		Commercial Paper
		United States
		Consumer Discretionary	$	91,937,375		6.06	%
		Consumer Staples	$	93,957,560		6.19	%
		Financials	$	103,405,298		6.81	%
		Industrials	$	37,529,643		2.47	%
		Materials	$	49,431,615		3.26	%
		Municipal	$	152,548,403		10.05	%
		Utilities	$	90,134,303		5.94	%
		Total United States(cost $618,853,200)	$	618,944,197		40.78	%
		Corporate Bonds
		United States
		Consumer Discretionary	$	1,997,060		0.13	%
		Financials	$	134,928,584		8.89	%
		Total United States(cost $136,857,634)	$	136,925,644		9.02	%
		Government And Agency Obligations
		United States
		U.S. Government Agency
$	30,000,000	Federal Home Loan Bank 0.70% Due 04/18/2011	$	30,028,200		1.98	%
$	44,320,000	Federal Home Loan Bank 1.00% Due 02/28/2011	$	44,371,854		2.92	%
$	8,810,000	Federal Home Loan Bank 1.00% Due 12/22/2011	$	8,771,500		0.58	%
$	20,060,000	Federal Home Loan Bank Step Up Due 02/24/2012	$	20,053,781		1.32	%
$	30,166,000	Federal National Mortgage Association, 6.25% Due 02/01/2011	$	31,622,414		2.08	%
$	20,000,000	Federal National Mortgage Association, Discount Note Due 09/20/2010	$	19,977,060		1.32	%
$	31,000,000	Federal National Mortgage Association, Variable Rate 0.35% Due 05/27/2011	$	31,005,270		2.04	%
		US Government Agency	$	89,680,612		5.91	%
$	75,000,000	U.S. Treasury Bills * Due 04/15/2010	$	74,996,354		4.94	%
$	42,000,000	U.S. Treasury Bills * Due 04/22/2010	$	41,997,305		2.77	%
$	40,000,000	U.S. Treasury Bills * Due 04/08/2010	$	39,999,144		2.63	%
$	75,000,000	U.S. Treasury Bills * Due 04/01/2010	$	75,000,000		4.94	%
		Total United States(cost $507,426,141)	$	507,503,494		33.43	%
		Short Term Investment Funds United States
		Short Term Investment Funds (cost $1,164)	$	1,164		0.00	%
		Total Fixed Income Securities (cost $1,393,779,853)	$	1,394,078,577		91.84	%

See Accompanying Notes to Financial Statements.

3

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31, 2010 (Unaudited)

LONG FUTURES CONTRACTS

				% of Net
Description	Values ($)			Asset Value
Agricultural	$	60,063			0.00	%
Energy	$	5,685,230			0.37	%
Metals	$	12,423,477			0.82	%
Stock indices	$	12,456,244			0.82	%
Short-term interest rates	$	4,342,060			0.29	%
Long-term interest rates	$	(4,604,454	)		(0.30	)%
Total long futures contracts	$	30,362,620			2.00	%

SHORT FUTURES CONTRACTS

				% of Net
Description	Values ($)			Asset Value
Agricultural	$	2,921,528			0.19	%
Energy	$	809,010			0.05	%
Metals	$	(4,233,585	)		(0.28	)%
Stock indices	$	(163,694	)		(0.01	)%
Short-term interest rates	$	353,759			0.02	%
Long-term interest rates	$	2,856,897			0.19	%
Total short futures contracts	$	2,543,915			0.16	%
Total futures contracts	$	32,906,535			2.16	%

FORWARD CURRENCY CONTRACTS

				% of Net
Description	Values ($)			Asset Value
Various long forward currency contracts	$	4,889,774			0.32	%
Various short forward currency contracts	$	(2,810,753	)		(0.19	)%
Total forward currency contracts	$	2,079,021			0.13	%

PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS

			% of Net
Description	Values ($)		Asset Value
Purchased options on forward currency contracts (premiums paid — $3,223,281)	$	2,774,399		0.18	%

WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS

				% of Net
Description	Values ($)			Asset Value
Written options on forward currency contracts (premiums received — $1,199,754)	$	(885,475	)		(0.06	)%

* Pledged as collateral for the trading of futures, forward and option positions.

See Accompanying Notes to Financial Statements.

4

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009

FIXED INCOME SECURITIES

Maturity					% of Net
Face Value		Description	Values ($)		Asset Value
		Bank Deposits
		United States
		Financials (cost $65,590,000)	$	65,689,065		3.84	%
		Commercial Paper
		Germany
		Materials (cost $17,252,376)	$	17,259,598		1.01	%
		Netherlands
		Consumer Discretionary (cost $23,481,034)	$	23,481,191		1.37	%
		United States
		Consumer Discretionary	$	143,576,225		8.40	%
		Consumer Staples	$	80,742,190		4.73	%
		Energy	$	72,767,525		4.26	%
		Financials	$	231,111,026		13.53	%
		Industrials	$	79,892,248		4.68	%
		Municipal	$	169,945,539		9.95	%
		Telecommunications	$	4,409,848		0.26	%
		Utilities	$	29,998,000		1.76	%
		Total United States(cost $812,299,397)	$	812,442,601		47.57	%
		Total Commercial Paper (cost $853,032,807)	$	853,183,390		49.95	%
		Corporate Bonds
		United States
		Financials (cost $106,198,611)	$	106,210,199		6.22	%
		Government And Agency Obligations
		United States
		U.S. Government Agency	$	311,649,912		18.24	%
		U.S. Treasury Bills
$	30,000,000	U.S. Treasury Bills * Due 01/14/2010	$	29,999,973		1.76	%
$	100,000,000	U.S. Treasury Bills * Due 01/28/2010	$	99,998,667		5.85	%
$	37,000,000	U.S. Treasury Bills * Due 03/25/2010	$	36,994,882		2.17	%
$	100,000,000	U.S. Treasury Bills * Due 04/01/2010	$	99,988,750		5.85	%
		Total United States(cost $579,049,811)	$	578,632,184		33.87	%
		Short Term Investment Funds
		United States
		Short Term Investment Funds (cost $2,531,880)	$	2,531,880		0.15	%
		Total Fixed Income Securities (cost $1,606,403,109)	$	1,606,246,718		94.03	%

See Accompanying Notes to Financial Statements.

5

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009

LONG FUTURES CONTRACTS

				% of Net
Description	Values ($)			Asset Value
Agricultural	$	(59,783	)		0.00	%
Energy	$	798,745			0.05	%
Metals	$	4,011,004			0.23	%
Stock indices	$	12,654,145			0.74	%
Short-term interest rates	$	(5,342,338	)		(0.31	)%
Long-term interest rates	$	(14,825,155	)		(0.87	)%
Total long futures contracts	$	(2,763,382	)		(0.16	)%

SHORT FUTURES CONTRACTS

				% of Net
Description	Values ($)			Asset Value
Agricultural	$	50,561			0.00	%
Metals	$	(2,581,534	)		(0.15	)%
Long-term interest rates	$	717,238			0.04	%
Total short futures contracts	$	(1,813,735	)		(0.11	)%
Total futures contracts	$	(4,577,117	)		(0.27	)%

FORWARD CURRENCY CONTRACTS

				% of Net
Description	Values ($)			Asset Value
Various long forward currency contracts	$	(64,092,290	)		(3.75	)%
Various short forward currency contracts	$	49,010,012			2.87	%
Total forward currency contracts	$	(15,082,278	)		(0.88	)%

PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS

			% of Net
Description	Values ($)		Asset Value
Purchased options on forward currency contracts (premiums paid — $4,023,342)	$	4,062,722		0.24	%

WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS

				% of Net
Description	Values ($)			Asset Value
Written options on forward currency contracts (premiums received - $1,254,708)	$	(1,094,738	)		(0.06	)%

* Pledged as collateral for the trading of futures, forward and option positions.

See Accompanying Notes to Financial Statements.

6

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF FINANCIAL CONDITION
March 31, 2010 (Unaudited) and December 31, 2009

	March 31,		December 31,
	2010		2009
ASSETS
Equity in broker trading accounts
Cash	$	115,761,597	$	224,803,378
Fixed income securities (cost $149,996,354 and $199,987,417, respectively)		149,996,354		199,987,417
Net unrealized gain (loss) on open futures contracts		32,906,535		(4,577,117	)
Total equity in broker trading accounts		298,664,486		420,213,678
Cash and cash equivalents		32,538,709		41,337,614
Fixed income securities (cost $1,243,783,499 and $1,406,415,692, respectively)		1,244,082,223		1,406,259,301
Options purchased, at fair value (premiums paid — $3,223,281 and $4,023,342, respectively)		2,774,399		4,062,722
Net unrealized gain (loss) on open forward currency contracts		2,079,021		(15,082,278	)
Interest receivable		1,154,981		2,064,955
Total assets	$	1,581,293,819	$	1,858,855,992
LIABILITIES
Accounts payable	$	405,005	$	642,518
Brokerage fee		9,213,731		10,246,641
Options written, at fair value (premiums received — $1,199,754 and $1,254,708, respectively)		885,475		1,094,738
Payable for securities purchased		0		99,998,667
Accrued commissions and other trading fees on open contracts		309,728		206,347
Offering costs payable		196,827		346,751
Redemptions payable		52,011,314		37,828,712
Total liabilities		63,022,080		150,364,374
PARTNERS’ CAPITAL (Net Asset Value)
General Partner - 6,637.982 redeemable units outstanding at March 31, 2010 and December 31, 2009		15,228,925		15,893,851
Limited Partners - 655,147.429 and 706,905.488 redeemable units outstanding at March 31, 2010 and December 31, 2009		1,503,042,814		1,692,597,767
Total partners’ capital (Net Asset Value)		1,518,271,739		1,708,491,618
Total liabilities and partners’ capital (Net Asset Value)	$	1,581,293,819	$	1,858,855,992

See Accompanying Notes to Financial Statements.

7

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF OPERATIONS
For the Three Months Ended March 31, 2010 and 2009
(Unaudited)

	Three Months Ended
	March 31,
	2010			2009
TRADING GAINS (LOSSES)
Futures trading gains (losses)
Realized	$	(69,962,051	)	$	5,683,817
Change in unrealized		37,483,652			(8,548,267	)
Brokerage commissions		(1,118,997	)		(642,221	)
Net gain (loss) from futures trading		(33,597,396	)		(3,506,671	)
Forward currency and options on forward currency trading gains (losses)
Realized		(29,088,325	)		26,143,921
Change in unrealized		16,827,346			(14,364,951	)
Brokerage commissions		(103,881	)		(52,491	)
Net gain (loss) from forward currency and options on forward currency trading		(12,364,860	)		11,726,479
Total net trading gain (loss)		(45,962,256	)		8,219,808
NET INVESTMENT INCOME (LOSS)
Investment income
Interest income		1,561,540			216,212
Realized gain (loss) on fixed income securities		(5,487	)		0
Change in unrealized gain (loss) on fixed income securities		455,115			0
Total investment income		2,011,168			216,212
Expenses
Brokerage fee		27,783,387			42,252,108
Operating expenses		738,894			409,516
Total expenses		28,522,281			42,661,624
Net investment income (loss)		(26,511,113	)		(42,445,412	)
NET INCOME (LOSS)	$	(72,473,369	)	$	(34,225,604	)
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT (based on weighted average number of units outstanding during the period)	$	(103.56	)	$	(37.40	)
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT	$	(100.17	)	$	(39.68	)

See Accompanying Notes to Financial Statements.

8

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF CASH FLOWS
For the Three Months Ended March 31, 2010 and 2009
(Unaudited)

	Three Months Ended
	March 31,
	2010			2009
Cash flows from (for) operating activities
Net income (loss)	$	(72,473,369	)	$	(34,225,604	)
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
Net change in unrealized		(54,766,113	)		22,913,219
(Increase) decrease in restricted cash		0			83,927,379
(Increase) decrease in option premiums paid		800,061			55,535
Increase (decrease) in option premiums received		(54,954	)		(291,660	)
Increase (decrease) in payable for securities purchased		(99,998,667	)		0
(Increase) decrease in interest receivable		909,974			27,140
Increase (decrease) in accounts payable and accrued expenses		(1,167,042	)		(924,224	)
Purchases of investments in fixed income securities		(13,612,873,948	)		(2,381,012,749	)
Sales/maturities of investments in fixed income securities		13,825,497,204			1,291,000,000
Net cash from (for) operating activities		(14,126,854	)		(1,018,530,964	)
Cash flows from (for) financing activities
Redemption of units		(102,959,521	)		(164,558,005	)
Offering costs paid		(754,311	)		(1,135,383	)
Net cash from (for) financing activities		(103,713,832	)		(165,693,388	)
Net increase (decrease) in cash and cash equivalents		(117,840,686	)		(1,184,224,352	)
Cash and cash equivalents
Beginning of period		266,140,992			1,309,258,625
End of period	$	148,300,306		$	125,034,273
End of period cash and cash equivalents consists of:
Cash in broker trading accounts	$	115,761,597		$	105,827,508
Cash and cash equivalents		32,538,709			19,206,765
Total end of period cash and cash equivalents	$	148,300,306		$	125,034,273

See Accompanying Notes to Financial Statements.

9

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL (NET ASSET VALUE)
For the Three Months Ended March 31, 2010 and 2009
(Unaudited)

	Partners’ Capital
	General Partner					Limited Partners						Total
	Units		Amount			Units			Amount			Units			Amount
Three Months Ended March 31, 2010
Balances at December 31, 2009		6,637.982	$	15,893,851			706,905.488		$	1,692,597,767			713,543.470		$	1,708,491,618
Net income (loss) for the three months ended March 31, 2010				(659,190	)					(71,814,179	)					(72,473,369	)
Redemptions		0.000		0			(51,758.059	)		(117,142,123	)		(51,758.059	)		(117,142,123	)
Offering costs				(5,736	)					(598,651	)					(604,387	)
Balances at March 31, 2010		6,637.982	$	15,228,925			655,147.429		$	1,503,042,814			661,785.411		$	1,518,271,739
Three Months Ended March 31, 2009
Balances at December 31, 2008		10,367.982	$	27,266,756			923,465.791		$	2,428,627,136			933,833.773		$	2,455,893,892
Net income (loss) for the three months ended March 31, 2009				(399,680	)					(33,825,924	)					(34,225,604	)
Redemptions		0.000		0			(59,883.428	)		(156,897,344	)		(59,883.428	)		(156,897,344	)
Offering costs				(11,722	)					(1,031,698	)					(1,043,420	)
Balances at March 31, 2009		10,367.982	$	26,855,354			863,582.363		$	2,236,872,170			873,950.345		$	2,263,727,524

Net Asset Value per General and Limited Partner Unit
March 31, 2010		December 31, 2009		March 31, 2009		December 31, 2008
$	2,294.21	$	2,394.38	$	2,590.22	$	2,629.90

See Accompanying Notes to Financial Statements.

10

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

FINANCIAL HIGHLIGHTS
For the Three Months Ended March 31, 2010 and 2009
(UNAUDITED)

The following information presents per unit operating performance data and other supplemental financial data for the three months ended March 31, 2010 and 2009. This information has been derived from information presented in the financial statements.

	Three Months Ended
	March 31,
	2010			2009
Per Unit Performance
(for a unit outstanding throughout the entire period)
Net asset value per unit at beginning of period	$	2,394.38		$	2,629.90
Income (loss) from operations:
Total net trading gains (losses) (1)		(61.43	)		7.84
Net investment income (loss) (1)		(37.88	)		(46.38	)
Total net income (loss) from operations		(99.31	)		(38.54	)
Offering costs (1)		(0.86	)		(1.14	)
Net asset value per unit at end of period	$	2,294.21		$	2,590.22
Total Return (3)		(4.18	)%		(1.51	)%
Supplemental Data
Ratios to average net asset value:Expenses prior to performance fee (4)
Expenses prior to performance fee (4)		7.15	%		7.14	%
Performance fee (3)		0.00	%		0.00	%
Total expenses		7.15	%		7.14	%
Net investment income (loss) (2),(4)		(6.65	)%		(7.10	)%

Total returns are calculated based on the change in value of a unit during the period. An individual partner’s total returns and ratios may vary from the above total returns and ratios based on the timing of additions 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)	Not annualized
(4)	Annualized

See Accompanying Notes to Financial Statements.

11

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (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 options on forward currency contracts.
	Effective June 14, 2008, units in the Fund were no longer offered for sale (Please refer to Note 10). For existing investors in the Fund, business is conducted as usual. There was no change in trading, operations or monthly statements, etc. and redemptions will continue to be offered on a monthly basis.
B.	Regulation
	As a registrant with the Securities and Exchange Commission, the Fund is subject to the regulatory requirements under the Securities Act of 1933 and the Securities Exchange Act of 1934. 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 futures commission merchants (brokers) and interbank market makers 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. Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statement of financial condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 210-20, Offsetting — Balance Sheet, (formerly FAS No. 39 — “Offsetting of Amounts Related to Certain 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 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 fair value of option (non-exchange traded) contracts is calculated by applying an industry-standard adaptation of the Black-Scholes options valuation model to foreign currency options, using as input, the spot prices, interest rates and option implied volatilities quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period. Any change in net unrealized gain or loss from the preceding period is reported in the statement of operations.
	When the Fund writes an option, an amount equal to the premium received by the Fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current fair value of option written. Brokerage commissions include other trading fees and are charged to expense when contracts are opened.
	The fixed income investments, other than U.S. Treasury bills held at the brokers or interbank market makers, are marked to market on the last business day of the reporting period by a custodian who utilizes 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. U.S. Treasury bills not held by the custodian are stated at cost plus accrued interest, which approximates fair value. Premiums and discounts on debt securities are amortized for financial reporting purposes.
	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.
	The Fund adopted the provisions of ASC 820, Fair Value Measurements and Disclosures (formerly FASB No. 157, “Fair Value Measurements”), as of January 1, 2008. 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 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 and options on forward currency contracts that the Fund values using models or other valuation methodologies derived from observable market data. This category also includes fixed income investments.

12

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)

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 and for the period ended March 31, 2010, the Fund did not have any Level 3 assets or liabilities.

In January 2010, the FASB issued Accounting Standards update No. 2010-06 (“ASU 2010-06”) for improving disclosure about fair value measurements. ASU 2010-06 adds new disclosure requirements about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value. As of January 1, 2010, the Fund adopted the provisions of ASC 2010-06 except for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years.

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 March 31, 2010 and December 31, 2009.

	Fair Value at March 31, 2010
Description	Level 1		Level 2			Level 3		Total
Investments
Fixed income securities	$	0	$	1,394,078,577		$	0	$	1,394,078,577
Other Financial Instruments
Exchange-traded futures contracts		32,906,535		0			0		32,906,535
Forward currency contracts		0		2,079,021			0		2,079,021
Options purchased		0		2,774,399			0		2,774,399
Options written		0		(885,475	)		0		(885,475	)
Total	$	32,906,535	$	1,398,046,522		$	0	$	1,430,953,057

	Fair Value at December 31, 2009
Description	Level 1			Level 2			Level 3		Total
Investments
Fixed income securities	$	0		$	1,606,246,718		$	0	$	1,606,246,718
Other Financial Instruments
Exchange-traded futures contracts		(4,577,117	)		0			0		(4,577,117	)
Forward currency contracts		0			(15,082,278	)		0		(15,082,278	)
Options purchased		0			4,062,722			0		4,062,722
Options written		0			(1,094,738	)		0		(1,094,738	)
Total	$	(4,577,117	)	$	1,594,132,424		$	0	$	1,589,555,307

D.	Cash and Cash Equivalents
	Cash and cash equivalents includes cash and overnight money market investments at financial institutions.
E.	Income Taxes
	The Fund prepares calendar year U.S. federal and applicable state information 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 (formerly FASB No. 48, “Accounting for Uncertainty in 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 2006 through 2009 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

13

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)

F.	Offering Costs
	Campbell & Company, Inc. (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 or 2.5% of the aggregate subscriptions accepted during the initial and continuous offerings. The Fund is only liable for payment of offering costs on a monthly basis as calculated based on the limitations stated above. At March 31, 2010, and December 31, 2009, the Fund reflects a liability in the statement of financial condition for offering costs payable to Campbell & Company of $196,827 and $346,751, respectively. The amount of monthly reimbursement due to Campbell & Company is charged directly to partners’ capital.
	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. At March 31, 2010 and December 31, 2009, the amount of unreimbursed offering costs incurred by Campbell & Company is $296,456 and $529,166, respectively.
G.	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 statement 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.
H.	Reclassification
	Certain prior period amounts in the Statement of Cash Flows were reclassified to conform to current period presentation.

Note 2. GENERAL PARTNER AND COMMODITY TRADING ADVISOR

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

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 broker 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 broker and interbank market makers 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, broker or cash management accounts.

Note 3. CASH MANAGER AND CUSTODIAN

In July 2009, the Fund appointed Wilmington Trust Investment Management LLC, a wholly owned subsidiary of Wilmington Trust Corporation, and Horizon Cash Management LLC as cash managers under the Non-Custody Investment Advisory Agreements to manage and control the liquid assets of the Fund. Each cash manager is registered as an investment adviser with the Securities and Exchange Commission of the United States under the Investment Advisers Act of 1940.

The Fund opened custodial accounts at The Northern Trust Company (the custodian) and has granted the cash managers 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 managers on behalf of the Fund will be held in the Fund’s custody accounts at the custodian. The cash managers will have no beneficial or other interest in the securities and cash in such custody accounts. The cash managers began trading on behalf of the Fund in August 2009.

14

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)

Note 4. DEPOSITS WITH BROKERS

The Fund deposits assets with brokers subject to Commodity Futures Trading Commission regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of U.S. Treasury bills and cash with such brokers. The Fund typically earns interest income on its assets deposited with the brokers.

Note 5. 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 three months ended March 31, 2010, and 2009.

Note 6. 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.

Redemption fees, which are paid to Campbell & Company, apply through the first twelve month-ends following purchase as follows: 4% of Net Asset Value per unit redeemed through the third month-end, 3% of Net Asset Value per unit redeemed through the sixth month-end, 2% of Net Asset Value per unit redeemed through the ninth month-end and 1% of Net Asset Value per unit redeemed through the twelfth month end. After the twelfth month-end following purchase of a unit, no redemption fees apply. For the three months ended March 31, 2010 and 2009, Campbell & Company received redemption fees of $0 and $6,576 respectively.

Note 7. TRADING ACTIVITIES AND RELATED RISKS

The Fund engages in the speculative trading of U.S. and foreign futures contracts, forward currency contracts and options on forward currency contracts (collectively, “derivatives”). Specifically, the Fund trades a portfolio primarily focused on financial futures, which are instruments designed to hedge or speculate on changes in interest rates, currency exchange rates or stock index values. A secondary emphasis is on metals, energy and agriculture values. 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. The market sensitive instruments held by the Fund 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.

Purchase and sale of futures contracts requires margin deposits with the broker. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a 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 amount of required margin and good faith deposits with the broker 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 March 31, 2010 and December 31, 2009 was $231,992,804 and $266,982,272, respectively, which equals 15% and 16% of Net Asset Value, respectively. The cash deposited with interbank market makers at March 31, 2010 and December 31, 2009 was $32,345,678 and $41,140,268, respectively, which equals 2% and 2% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents. There was no restricted cash at March 31, 2010 or December 31, 2009.

The Fund trades forward currency and options on forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with forward currency and options on foreign 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 and options on forward currency contracts typically involves delayed cash settlement.

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

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. As both a buyer and seller of options, the Fund pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Fund to potentially unlimited liability, and purchased options expose the Fund to a risk of loss limited to the premiums paid. See Note 1. C. for an explanation of how the Fund determines its valuation for derivatives as well as the netting of derivatives.

15

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)

The unrealized gain (loss) on open futures, forward currency and options on forward currency contracts is comprised of the following:

							Forward Currency and
							Options on Forward
	Futures Contracts						Currency Contracts
	(exchange traded)						(non-exchange traded)
	March 31, 2010			December 31, 2009			March 31, 2010			December 31, 2009
Gross unrealized gains	$	47,540,772		$	25,016,239		$	49,941,403		$	68,424,483
Gross unrealized losses		(14,634,237	)		(29,593,356	)		(47,996,985	)		(83,307,411	)
Net unrealized gain (loss)	$	32,906,535		$	(4,577,117	)	$	1,944,418		$	(14,882,928	)

In March 2008, the FASB issued ASC 815, “Derivatives and Hedging” (formerly SFAS No. 161, “Disclosures about Dervative instruments and Hedging Activities”). 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. ASC 815 is effective for financial statements issued for the Fund’s first fiscal year beginning after November 15, 2008. The Fund adopted ASC 815 effective January 1, 2009.

The following tables summarize quantitative information required by ASC 815.

The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Financial Condition, as of March 31, 2010 and December 31, 2009 is as follows:

		Asset		Liability
		Derivatives at		Derivatives at
	Statement of Financial	March 31, 2010		March 31, 2010
Type of Instrument *	Condition Location	Fair Value		Fair Value			Net
Agricultural Contracts	Equity in broker trading accounts	$	3,926,418	$	(944,827	)	$	2,981,591
Energy Contracts	Equity in broker trading accounts		6,496,665		(2,425	)		6,494,240
Metal Contracts	Equity in broker trading accounts		12,505,558		(4,315,666	)		8,189,892
Stock Indices Contracts	Equity in broker trading accounts		13,701,556		(1,409,006	)		12,292,550
Short-Term Interest Rate Contracts	Equity in broker trading accounts		5,700,498		(1,004,679	)		4,695,819
Long-Term Interest Rate Contracts	Equity in broker trading accounts		5,210,072		(6,957,629	)		(1,747,557	)
Forward Currency Contracts	Net unrealized gain (loss) on open forward currency contracts		48,879,467		(46,800,446	)		2,079,021
Purchased Options on Forward Currency Contracts	Options purchased, at fair value		2,774,399		0			2,774,399
Written Options on Forward Currency Contracts	Options written, at fair value		0		(885,475	)		(885,475	)
Totals		$	99,194,633	$	(62,320,153	)	$	36,874,480

* Derivatives not designated as hedging instruments under ASC 815

16

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)

		Asset		Liability
		Derivatives at		Derivatives at
	Statement of Financial	December 31, 2009		December 31, 2009
Type of Instrument *	Condition Location	Fair Value		Fair Value			Net
Agricultural Contracts	Equity in broker trading accounts	$	616,716	$	(625,938	)	$	(9,222	)
Energy Contracts	Equity in broker trading accounts		999,217		(200,472	)		798,745
Metal Contracts	Equity in broker trading accounts		7,483,987		(6,054,517	)		1,429,470
Stock Indices Contracts	Equity in broker trading accounts		13,693,321		(1,039,176	)		12,654,145
Short-Term Interest Rate Contracts	Equity in broker trading accounts		276,225		(5,618,563	)		(5,342,338	)
Long-Term Interest Rate Contracts	Equity in broker trading accounts		1,946,773		(16,054,690	)		(14,107,917	)
Forward Currency Contracts	Net unrealized gain (loss) on open forward currency contracts		66,727,508		(81,809,786	)		(15,082,278	)
Purchased Options on Forward Currency Contracts	Options purchased, at fair value		4,062,722		0			4,062,722
Written Options on Forward Currency Contracts	Options written, at fair value		0		(1,094,738	)		(1,094,738	)
Totals		$	95,806,469	$	(112,497,880	)	$	(16,691,411	)

* Derivatives not designated as hedging instruments under ASC 815

The trading revenue of the Fund’s derivatives by instrument type, as well as the location of those gains and losses on the Statement of Operations, for the period ended March 31, 2010 and March 31, 2009 is as follows:

	Trading Revenue for			Trading Revenue for the
	the Three Months Ended			Three Months Ended
Type of Instrument	March 31, 2010			March 31, 2009
Agricultural Contracts	$	197,469		$	0
Energy Contracts		(13,864,180	)		(592,805	)
Metal Contracts		(13,930,579	)		(12,290,423	)
Stock Indices Contracts		(32,696,583	)		(17,292,126	)
Short-Term Interest Rate Contracts		49,231,741			17,059,096
Long Term Interest Rate Contracts		(21,356,493	)		10,449,273
Forward Currency Contracts		(4,145,403	)		(2,678,658	)
Purchased Options on Forward Currency Contracts		(17,952,291	)		(4,903,179	)
Written Options on Forward Currency Contracts		9,836,715			19,360,807
Total	$	(44,679,604	)	$	9,111,985

17

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)

	Trading Revenue for			Trading Revenue for
	the Three Months Ended			the Three Months Ended
Line Item in the Statement of Operations	March 31, 2010			March 31, 2009
Futures trading gains (losses):
Realized	$	(69,902,277	)	$	5,881,282
Change in unrealized		37,483,652			(8,548,267	)
Forward currency and options on forward currency trading gains (losses):
Realized		(29,088,325	)		26,143,921
Change in unrealized		16,827,346			(14,364,951	)
Total	$	(44,679,604	)	$	9,111,985

For the three months and year to date ended March 31, 2010 and March 31, 2009, the monthly average of futures contracts bought and sold was approximately 94,900 and 45,300 respectively, and the monthly average of notional value of forward currency and options on forward currency contracts was $11,513,300,000 and $8,186,800,000 respectively.

Open contracts generally mature within twelve months; as of March 31, 2010, the latest maturity date for open futures contracts is June 2011, the latest maturity date for open forward currency contracts is June 2010, and the latest expiry date for options on forward currency contracts is April 2010. However, the Fund intends to close all futures and foreign currency contracts prior to maturity.

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 precalculating “stop-loss” points at which systems will signal to close open positions. 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 bears 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.

Note 8. 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 9. INTERIM FINANCIAL STATEMENTS

The statements of financial condition, including the condensed schedule of investments, as of March 31, 2010 and December 31, 2009, and the statements of operations, cash flows, changes in partners’ capital (Net Asset Value) and financial highlights for the three months ended March 31, 2010 and 2009 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 March 31, 2010, and the results of operations, cash flows, changes in partners’ capital (Net Asset Value) and financial highlights for the three months ended March 31, 2010 and 2009.

Note 10. SUBSEQUENT EVENTS

Management of the Fund has evaluated subsequent events through the date the financial statements were issued. Other than the following, there are no subsequent events to disclose or record. On April 27, 2010, a registration statement was filed with the Securities and Exchange Commission to reopen the Fund to existing investors. As of May 17, 2010, the registration is not yet effective.

18

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

Introduction

The offering of Campbell Strategic Allocation Fund L.P.’s (the “Fund”) Units of Limited Partnership Interest commenced on January 12, 1994, and the initial offering terminated on April 15, 1994 with proceeds of $9,692,439. The continuing offering period commenced immediately after the termination of the initial offering period; additional subscriptions totaling $6,068,918,915 were accepted during the continuing offering period ended June 13, 2008. Redemptions through March 31, 2010 total $4,891,455,558. The Fund commenced operations on April 18, 1994.

Critical Accounting Policies

The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates utilized in preparing the financial statements are reasonable and prudent; however, actual results could differ from those estimates. The 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 gain (loss) in the Statements of Operations. Generally, fair values are based on market prices; however, in certain circumstances, estimates are involved in determining fair value in the absence of an active market closing price (e.g. option and forward contracts which are traded in the inter-bank market).

Capital Resources

Effective June 14, 2008, 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. On April 27, 2010, a registration statement was filed with the Securities and Exchange Commission to reopen the Fund to existing investors. As of May 17, 2010, the registration is not yet effective.

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 maintains 40-80% of its net asset value in cash, cash equivalents or other liquid positions in its cash management program over and above that needed to post as collateral for trading. These funds are available to meet redemptions each month. After redemptions are taken into account each month, the trade level of the 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.

19

Liquidity

Most United States commodity exchanges limit fluctuations in futures contracts prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” During a single trading day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has reached the daily limit for that day, positions in that contract can neither be taken nor liquidated. Futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the 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, brokerage 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 broker and the over-the-counter counterparties. This does not reduce the risk of loss from trading futures, forward and option 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.

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

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

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

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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 with 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 options contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the 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 interests positions of the Fund, the Fund could lose all of its assets and the Limited Partners would realize a 100% loss. Campbell & Company, Inc., the general partner (who also acts as trading advisor), minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%.

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

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

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

The Fund invests in futures, forward currency and options on forward currency contracts. The market value of futures (exchange-traded) contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of the last business day of the reporting period. The market value of forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) of the last business day of the reporting period. The market value of option (non-exchange traded) contracts is calculated by applying an industry-standard adaptation of the Black-Scholes options valuation model to foreign currency options, using as input, the spot prices, interest rates and option implied volatilities quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period.

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Results of Operations

The returns for the three months ending March 31, 2010 and 2009 were (4.18)% and (1.51%), respectively. During the three months ended March 31, 2010 and 2009, the Fund accrued brokerage fees in the amount of $27,783,387 and $42,252,108, respectively, and paid brokerage fees in the amount of $28,816,297 and $43,424,605, respectively. No performance fees were accrued or paid during this period.

2010

Of the (4.18)% year to date return, approximately 2.41% was due to trading losses (before commissions) and approximately 1.90% due to brokerage fees, operating expenses and offering costs borne by the Fund, offset by approximately 0.13% due to investment income. An analysis of the 2.41% trading loss by sector is as follows:

Sector	% Gain (Loss)
Interest Rates		1.67	%
Currencies		(0.63	)
Commodities		(1.57	)
Stock Indices		(1.88	)
		(2.41	)%

The New Year began with an equity sell-off in the second half of the month as global confidence in a steady recovery, again, began to waver, resulting in trading losses for the Fund’s net long equity indices positions. Primary drivers were related to: (1) China’s efforts to manage growth; (2) questionable stability of the European Union as Greece potentially defaults on sovereign debt; and (3) the potential heavy-handed regulation of the U.S. banking system. As the global risk trade unwound, the Fund’s commodity positions also produced losses, largely in the energy complex and in base metals. The global negative news detracted from a relative positive earnings season and signs of improved economic data. Further losses were recorded in currency trading as the U.S. Dollar was, once again, seen as a safe haven as the economic health of several nations was called into question. Marginal gains were recorded in fixed income as we were able to benefit from the steepening of the yield curve as a result of short-term interest rates being kept at extremely low levels by global central banks.

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The first half of February was somewhat subdued as the market digested mixed U.S. employment numbers versus the unemployment rate. By mid-month, the U.S. Federal Reserve surprised the markets by deciding to hike the discount rate, in a clear sign that the pace of their exit strategy may be more aggressive than originally anticipated. The Fund’slong positions in short-term rates, both in the U.S. and Europe, fueled strong gains in the sector for the remainder of the month. Gains were also recorded in currency trading as the Euro currency weakened against most majors on accelerated sovereign fears evidenced by the record high cost of insuring Greek and Portuguese debt. Global equity indices trading produced small losses for the Fund as a result of dealing with diverse global macroeconomic challenges (weakening Euro, China central bank intervention and U.S. employment and earnings season results). While the market finished generally negative in Europe and Asia, the U.S. managed to record a gain on largely upbeat fourth quarter earnings announcements with many S&P constituents beating consensus expectations. Commodity trading resulted in generally negative results as the structural imbalances in Europe, and the strong relative performance of the U.S. economy versus the Eurozone helped “de-link” Europe from the risk trade, keeping commodities in alignment with U.S. stocks. While energy prices rallied for most of the month, precious metals sold off early only to turn positive as the market used gold as a safe haven against Eurozone turmoil.

March proved to be a very strong month for trends as the Fund’s long positions in energies and base metals benefited from prices moving higher on climbing global economic growth prospects. Global equity indices also provided gains for the Fund’s long positions as prices surged on renewed merger and acquisition activity, positive news centered on economic releases, and subdued fears regarding Greece’s finances. Marginal gains were recorded in the foreign exchange markets as the return of the carry trade pushed commodity linked currencies higher. Almost all central banks have acknowledged that the worst has passed; however, the lack of flexibility to induce fresh fiscal or monetary stimulus has forced a lower for longer interest rate policy globally. The Fund’s net gains were partially offset by losses in the fixed income markets from our long positions in U.S. Treasury futures as prices fell during the month. In the U.S. fixed income market, heavy supply put pressure on bond prices, and U.S. Treasury yields were higher than swap yields for the first time on record.

2009

Of the 2009 year-to-date return of (1.51)%, approximately 0.34% was due to trading gains (before commissions) and approximately 0.01% was due to investment income, offset by approximately (1.86)% due to brokerage fees, operating expenses and offering costs borne by the Fund. An analysis of the 0.34% trading gain by sector is as follows:

Sector	% Gain (Loss)
Interest Rates		1.17	%
Currencies		0.50
Commodities		(0.54	)
Stock Indices		(0.79	)
		0.34	%

President Obama’s stimulus plan took center stage in January; however, weak economic data continued to negatively impact global stock markets into the start of the New Year. An early month rally fizzled quickly, causing notable declines in major global indices. The Fund gained in equity indices trading on net short positions across each region. Gains were recorded in fixed income trading as the world’s central banks continued to lower interest rates. Mounting fiscal deficits and huge issuance needs began to weigh heavy on the long-end; however, credit markets generally improved in January with yield spreads continuing to contract. Foreign exchange trading finished slightly negative on the month. Risk aversion and capital preservation benefited the Fund’s net long U.S. Dollar position; however, the U.K. government’s unprecedented move to give the Bank of England power to increase their stake in Royal Bank of Scotland to 70% helped fuel a late month rally in the British Pound, eliminating gains from a previous decline.

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Commodity trading was generally flat on volatility across precious and base metals and a slowing of the negative energy trend.

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

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

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 market 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 difference 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 futures results.

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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, 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 of the Fund’s VaR corresponds to the negative change in portfolio value that, based on observed market risk factors, would have been exceeded once in 40 trading days or one day in 40. VaR typically does not represent the worst case outcome.

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

The VaR for a sector represents the one day downside risk for the aggregate exposures associated with this sector. The current methodology used to calculate the aggregate VaR represents the VaR of the Fund’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.

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

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

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Because the business of the Fund is the speculative trading of futures, forwards and options, 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 March 31, 2010 and December 31, 2009 and the trading gains/losses by market category for the three months ended March 31, 2010 and the year ended December 31, 2009.

	March 31, 2010
				Trading
Market Sector	Value at Risk*			Gain/(Loss)**
Interest Rates		0.62	%		1.67	%
Stock Indices		0.60	%		(1.88	)%
Commodities		0.54	%		(1.57	)%
Currencies		0.52	%		(0.63	)%
Aggregate/Total		1.65	%		(2.41	)%

* -	The VaR for a sector represents the one day downside risk for the aggregate exposures associated with this sector. 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 return for the three months ended March 31, 2010, approximately 2.41% was due to trading losses (before commissions) and approximately 1.90% due to brokerage fees, operating expenses and offering costs borne by the Fund, offset by approximately 0.13% due to investment income, giving a net return of (4.18)%.

	December 31, 2009
				Trading
Market Sector	Value at Risk*			Gain/(Loss)**
Currencies		0.90	%		3.70	%
Interest Rates		0.68	%		(4.66	)%
Stock Indices		0.45	%		(0.46	)%
Commodities		0.41	%		(0.24	)%
Aggregate/Total		1.62	%		(1.66	)%

* -	The VaR for a sector represents the one day downside risk for the aggregate exposures associated with this sector. 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 return for the year ended December 31, 2009, approximately 1.66% was due to trading losses (before commissions) and approximately 7.44% due to brokerage fees, operating costs and offering costs borne by the Fund offset by approximately 0.14% due to investment income giving a net return of (8.96)%.

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

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

1)	Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;
2)	Changes in portfolio value caused by market movements may differ from those of the VaR model;
3)	VaR results reflect past trading positions while future risk depends on future positions;
4)	VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and
5)	The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.

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

Non-Trading Risk

The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Fund also has non-trading market risk as a result of investing a substantial portion of its available assets in U.S. Treasury Bills held at the broker and over-the-counter counterparty. The market risk represented by these investments is minimal. Finally, the Fund has non-trading market risk on fixed income securities held as part of its cash management program. The cash managers will use their best endeavors in the management of the assets of the 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.

27

The following were the primary trading risk exposures of the Fund as of March 31, 2010, by market sector.

Currencies

Exchange rate risk can be a significant market exposure of the Fund. 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.

Interest Rates

     Interest rate risk can be a significant market exposure of the Fund. Interest rate movements directly affect the price of the sovereign bond positions held by the Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Fund’s profitability. The Fund’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. Campbell & Company anticipates that G-7 interest rates will remain the primary rate exposure of the Fund for the foreseeable future. Changes in the interest rate environment will have the most impact on longer dated fixed income positions, at points of time throughout the year the majority of the speculative positions held by the Fund may be held in medium to long-term fixed income positions.

Stock Indices

The Fund’s primary equity exposure is to equity price risk in the G-7 countries and several other countries (Hong Kong, Spain, the Netherlands and Taiwan). 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.

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.

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Metals

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

Agricultural

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

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the primary non-trading risk exposures of the Fund as of March 31, 2010.

Foreign Currency Balances

The Fund’s primary foreign currency balances are in Australian Dollar, Japanese Yen, British Pounds and Euros. 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

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 managers, Wilmington and Horizon, have authority to make certain investments on behalf of the Fund. All securities purchased by the cash managers on behalf of the Fund will be held in the Fund’s custody accounts at the custodian. The cash managers will use their 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.

Treasury Bill Positions Held for Margin Purposes

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

The means by which the 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 precalculating “stop-loss” points at which systems will signal to close open positions.

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Campbell & Company manages the risk of the Fund’s non-trading instruments of Treasury Bills held for margin purposes by limiting the duration of such instruments to no more than six months. Campbell & Company manages the risk of the Fund’s fixed income securities held for cash management purposes by restricting the cash managers to investing in securities that are modeled after those investments allowed by the futures broker as defined under The Commodity Exchange Act, Title 17, Part 1, § 1.25 Investment of customer funds. Investments can include, but are not limited to, (i) U.S. Government Securities, Government Agency Securities, Municipal Securities, banker acceptances and certificates of deposits; (ii) commercial paper; and (iii) corporate debt.

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.

Item 4T. Controls and Procedures

Campbell & Company, Inc., the general partner of the Fund, with the participation of the general partner’s Chief Executive Officer and Chief Financial 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 quarterly report. Based on their evaluation, the Chief Executive Officer and Chief Financial 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.

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PART II-OTHER INFORMATION

Item 1.	Legal Proceedings.
	None
Item 2.	Changes in Securities and Use of Proceeds
	None
Item 3.	Defaults Upon Senior Securities
	Not applicable.
Item 4.	Submissions of Matters to a vote of Security Holders.
	None
Item 5.	Other Information
	None

Item 6.	Exhibits and Reports on Form 8-K.
	(a) Exhibits

Exhibit
Number	Description of Document
31.01	Certification of Theresa D. Becks, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
31.02	Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
32.01	Certification of Theresa D. Becks, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
32.02	Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
(b)	Reports of Form 8-K
	None.

31

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, Inc.
	General Partner

Date: May 17, 2010	By:	/s/ Theresa D. Becks
		Theresa D. Becks
		Chief Executive Officer

32

EXHIBIT INDEX

Exhibit Number	Description of Document	Page Number
31.01	Certification by Chief Executive Officer	E 2
31.02	Certification by Chief Financial Officer	E 3
32.01	Certification by Chief Executive Officer	E 4
32.02	Certification by Chief Financial Officer	E 5

-E 1-