Campbell Strategic Allocation Fund 10K 2005 Annual report

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-K

(Mark One)


þ		ANNUAL REPORT PURSUANT TO SECTION 13 OR 15 (d) OF THE SECURITIES EXCHANGE ACT OF 1934[NO FEE REQUIRED]

For the Fiscal Year Ended December 31, 2005

Commission File Number 0-22260 and 2-84126


o		TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934[NO FEE REQUIRED]

For the transition period from to

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

(Exact name of Registrant as specified in its charter)


DELAWARE		52-1823554

(State or other jurisdiction of		(IRS Employer Identification Number)
incorporation or organization)


210 W. Pennsylvania Avenue
Towson, Maryland		21204

Registrant’s telephone number, including area code:(410) 296-3301

Securities registered pursuant to Section 12 (b) of the Act:None

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

Units of Limited Partnership Interest
(Title of Class)

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.
Yes o No þ

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act.
Yes o No þ

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 þ No o

Indicate by check mark if the disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is not contained herein, and will not be contained, to the best of the Registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part II of this Form 10-K or any amendment to this Form 10-K. þ

Indicate by check mark whether the registrant is a large accelerated file, an accelerated filer, or a non-accelerated filer. See definition of “accelerated filer and large accelerated filer” in Rule 12b-2 of the Exchange Act.

Large accelerate filer o Accelerated filer o Non-accelerated filer þ

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

The Registrant has no voting stock. As of December 31, 2005 there were 1,720,974.089 Units of General and Limited Partnership Interest issued and outstanding.

Total number of pages 45. Consecutive page numbers on which exhibits commence:5.

TABLE OF CONTENTS


	Page
PART I

ITEM 1. BUSINESS		1-2

ITEM 1A. RISKS FACTORS		2-9

ITEM 1B. UNRESOLVED STAFF COMMENTS		9

ITEM 2. PROPERTIES		9

ITEM 3. LEGAL PROCEEDINGS		9

ITEM 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS		10

PART II

ITEM 5. MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES		10

ITEM 6. SELECTED FINANCIAL DATA		10-11

ITEM 7. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS		11-18

ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK		19-24

ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA		24

ITEM 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE		24

ITEM 9A. CONTROLS AND PROCEDURES		24

ITEM 9B. OTHER INFORMATION		24

PART III

ITEM 10. DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT		24-26

ITEM 11. EXECUTIVE COMPENSATION		26

ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS		26

ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS		26

ITEM 14. PRINCIPAL ACCOUNTING FEES AND SERVICES		27

PART IV

ITEM 15. EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON FORM 8-K		27-28

SIGNATURES
CERTIFICATIONS

DOCUMENTS INCORPORATED BY REFERENCE — Prospectus dated July 11, 2005 included within the Post-Effective Amendment Number 1 to the Registration Statement on Form S-1 (File No. 333-119259), incorporated by reference into Parts I, II, III and IV.

PART I

Item 1.Business

Campbell Strategic Allocation Fund, L.P. (the “Registrant” or the “Fund”) is a limited partnership, which was organized on May 11, 1993 under the Delaware Revised Uniform Limited Partnership Act. The Registrant operates as a commodity investment pool, whose purpose is to trade speculatively in the U.S. and international futures, forward, option and swap markets. 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 and energy values. The general partner and trading advisor of the Registrant is Campbell & Company, Inc. (“Campbell & Company”). The Registrant’s operations are regulated by the provisions of the Commodity Exchange Act, the regulations of the Commodity Futures Trading Commission, and the rules of the National Futures Association.

The Registrant originally filed a registration statement with the U.S. Securities and Exchange Commission for the sale of a minimum of $2,500,000 and a maximum of $25,000,000 in Units of Limited Partnership Interest at $1,000 each, which registration statement was effective on January 12, 1994. The Fund has since filed additional registration statements with the U.S. Securities and Exchange Commission to bring the sum of existing and offered Units of Limited Partnership Interest to a maximum of approximately $6,410,000,000 through December 2004. The Unit selling price during the initial offering period, which lasted for approximately 90 days and ended on April 15, 1994, was $1,000. Since April 15, 1994, Units of Limited Partnership Interest of the Fund have been offered on an ongoing basis during the Fund’s continuing offering period. During the continuing offering period, subscriptions are accepted monthly and proceeds are transferred to bank and brokerage accounts for trading purposes. The Unit selling price during the continuing offering period is the net asset value per unit as of the last business day of the month in which the subscription is accepted.

A total of $5,104,056,650 has been raised in the initial and continuing offering periods through December 31, 2005.

In addition to making all trading decisions in its capacity as trading advisor, Campbell & Company conducts and manages all aspects of the business and administration of the Registrant in its role as general partner.

The Registrant will be terminated and dissolved promptly thereafter upon the happening of the earlier of: (a) the expiration of the Registrant’s stated term of December 31, 2023; (b) an election to dissolve the Registrant 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 Amended Agreement of Limited Partnership (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 Registrant.

Regulation

Under the Commodity Exchange Act, as amended (the “Act”), commodity exchanges and commodity futures trading are subject to regulation by the Commodity Futures Trading Commission (the “CFTC”). The National Futures Association (the “NFA”), a registered futures association under the Act, is the only non-exchange self-regulatory organization for commodity industry professionals. The CFTC has delegated to the NFA responsibility for the registration of “commodity trading advisors,” “commodity pool operators,” “futures commission merchants,” “introducing brokers” and their respective associated persons and “floor brokers.” The Act requires “commodity pool operators,” and “commodity trading advisors,” such as Campbell & Company, and commodity brokers or “futures commission merchants,” such as the Registrant’s commodity broker, to be registered and to comply with various reporting and recordkeeping requirements. Campbell & Company and the Registrant’s commodity broker are members of the NFA. The CFTC may suspend a commodity pool operator’s or commodity trading advisor’s registration if it finds that its trading practices tend to disrupt orderly market conditions, or as the result of violations of the Commodity Exchange Act or rules and regulations promulgated thereunder. In the event Campbell & Company’s registration as a commodity pool operator or commodity trading advisor were terminated or suspended, Campbell & Company would be unable to continue to manage the business

of the Registrant. Should Campbell & Company’s registration be suspended, termination of the Registrant might result.

In addition to such registration requirements, the CFTC and certain commodity exchanges have established limits on the maximum net long and net short positions which any person, including the Registrant, may hold or control in particular commodities. Most exchanges also limit the maximum changes in futures contract prices that may occur during a single trading day. The Registrant also trades in dealer markets for forward and swap contracts, which are not regulated by the CFTC. Federal and state banking authorities also do not regulate forward trading or forward dealers. In addition, the Registrant trades on foreign commodity exchanges, which are not subject to regulation by any United States government agency.

Operations

A description of the business of the Registrant, including trading approach, rights and obligations of the Partners, and compensation arrangements is contained in the Prospectus under “Summary,” “The Risks You Face, “ “Campbell & Company, Inc.,” “Conflicts of Interest” and “Charges to the Fund,” and such description is incorporated herein by reference from the Prospectus.

The Registrant conducts its business in one industry segment, the speculative trading of futures, forwards and swap contracts. The Registrant is a market participant in the “managed futures” industry. The managed futures industry has grown substantially in the previous ten years. Market participants include all types of investors, such as corporations, employee benefit plans, individuals and foreign investors. Service providers of the managed futures industry include (a) pool operators, which conduct and manage all aspects of trading funds (except trading decisions), such as the Registrant, (b) trading advisors, which make the specific trading decisions, and (c) commodity brokers, which execute and clear the trades pursuant to the instructions of the trading advisor. The Registrant has no employees, and does not engage in the sale of goods or services.

The Registrant engages in financial instrument trading in approximately 50 financial instrument contracts on domestic and international markets. All of the Fund’s assets are currently allocated to the Financial, Metal & Energy Large Portfolio which is concentrated in the financial markets such as interest rates, foreign exchange and stock indices, as well as metals and energy products. As of March 2006, the Fund’s assets are allocated to the different market sectors in approximately the following manner: 52% to currencies, 27% to interest rates, 10% to energy products, 9% to stock indices, and 2% to metals. The contracts traded by the Registrant will fluctuate from time to time.

The Registrant may, in the future, experience increased competition for the futures and other contracts in which it trades. Campbell & Company will recommend similar or identical trades for other accounts under its management. Such competition may also increase due to the widespread utilization of computerized methods similar to those used by Campbell & Company.

The Fund files quarterly, annual and current reports with the Securities and Exchange Commission (“SEC”). These reports are available to read and copy at the SEC’s Public Reference Facilities in Washington, D.C. at 450 Fifth Street, N.W., Washington, D.C. 20549. Please call the SEC’s toll free number, 1-800-SEC-0330, for further information. The Fund does not maintain a website where these reports are posted. However, the Fund’s filings are posted on the SEC’s website athttp://www.sec.gov.

Item 1A.Risk Factors

The following is a discussion of the risk factors applicable to the Registrant:

You Could Possibly Lose Your Total Investment in the Fund

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

The Fund is Highly Leveraged

Because the amount of margin funds necessary to be deposited in order to enter into a futures, forward or option contract position is typically about 2% to 10% of the total value of the contract, Campbell & Company is able to hold positions in the Fund’s account with face values equal to several times the Fund’s net assets. The ratio of margin to equity is typically 10% to 20%, but can range from 5% to 30%. As a result of this leveraging, even a small movement in the price of a contract can cause major losses.

Your Investment Could be Illiquid

Futures, forward and option positions cannot always be liquidated at the desired price. The prices at which a sale or purchase occur may differ from the prices expected because there may be a delay between receiving a quote and executing a trade, particularly in circumstances where a market has limited trading volume and prices are often quoted for relatively limited quantities. A market disruption, such as when foreign governments may take or be subject to political actions which disrupt the markets in their currency or major exports, can also make it difficult to liquidate a position. In addition, most U.S. futures exchanges have established “daily price fluctuation limits” which preclude the execution of trades at prices outside of the limit, and, from time to time, the CFTC or the exchanges may suspend trading in market disruption circumstances. In these cases, it is possible that Campbell & Company, as trading advisor, could be required to maintain a losing position that it otherwise would exit and incur significant losses or be unable to establish a position and miss a profit opportunity.

Unexpected market illiquidity has caused major losses in recent years in such sectors as emerging markets and mortgage-backed securities. There can be no assurance that the same will not happen to the Fund at any time or from time to time. The large size of the positions which Campbell & Company, as trading advisor, acquires for the Fund increases the risk of illiquidity by both making its positions more difficult to liquidate and increasing the losses incurred while trying to do so.

Also, there is no secondary market for the units and none is expected to develop. While the units have redemption rights, there are restrictions. For example, redemptions can occur only at the end of a month. If a large number of redemption requests were to be received at one time, the Fund might have to liquidate positions to satisfy the requests. Such a forced liquidation could adversely affect the Fund and consequently your investment.

Transfers of interest in the units are subject to limitations, such as 30 days’ advance notice of any intent to transfer. Also, Campbell & Company may deny a request to transfer if it determines that the transfer may result in adverse legal or tax consequences for the Fund.

Forward and Option Transactions are Over-the-Counter, are Not Regulated and are Subject to Credit Risk

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

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, if any. Campbell & Company seeks to minimize credit risk primarily by

depositing and maintaining the Fund’s assets at financial institutions and brokers that Campbell & Company believes to be creditworthy.

Options on Futures and Over-the-Counter Contracts are Speculative and Highly Leveraged

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

An Investment in the Fund May Not Diversify an Overall Portfolio

Historically, alternative investments such as managed futures funds have been generally non-correlated to the performance of other asset classes such as stocks and bonds. Non-correlation means that there is no statistically valid relationship between the past performance of futures, forward, option and swap contracts, on the one hand, and stocks or bonds, on the other hand. Non-correlation should not be confused with negative correlation, where the performance of two asset classes would be exactly opposite.

Because of this non-correlation, the Fund cannot be expected to be automatically profitable during unfavorable periods for the stock market or vice versa. The futures, forward, option and swap markets are fundamentally different from the securities markets in that for every gain in futures, forward, option and swap trading, there is an equal and offsetting loss. If the Fund does not perform in a manner non-correlated with the general financial markets or does not perform successfully, you will obtain no diversification benefits by investing in the units and the Fund may have no gains to offset your losses from other investments.

Trading Risks

Campbell & Company Analyzes Primarily Technical Market Data

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

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

Increased Competition from Other Trend-Following Traders Could Reduce Campbell & Company’s Profitability

There has been a dramatic increase over the past 10 to 15 years in the amount of assets managed by trend-following trading systems like some of the Campbell & Company programs. In 1980, the assets in the managed futures industry were estimated at approximately $300 million; by the end of 2004, this estimate had risen to approximately $131.9 billion. Increased trading competition from other trend-following traders could operate to

the detriment of the Fund. It may become more difficult for the Fund to implement its trading strategy if other trading advisors using technical systems are, at the same time, also attempting to initiate or liquidate futures, forward, option or swap positions, or otherwise alter trading patterns.

Speculative Position Limits May Alter Trading Decisions for the Fund

The CFTC has established limits on the maximum net long or net short positions which any person may hold or control in certain futures contracts. Some exchanges also have established such limits. All accounts controlled by the general partner, including the account of the Fund, are combined for speculative position limit purposes. If positions in those accounts were to approach the level of the particular speculative position limit, such limits could cause a modification of the general partner’s trading decisions for the Fund or force liquidation of certain futures positions. Either of these actions may not be in the best interest of the investors.

Increase in Assets Under Management May Make Profitable Trading More Difficult

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

Investors Will Not be Able to Review the Fund’s Holdings on a Daily Basis

The general partner makes the Fund’s trading decisions. While the general partner receives daily trade confirmations from the futures broker and over-the-counter counterparty, the Fund’s trading results are reported to limited partners monthly. Accordingly, an investment in the Fund does not offer limited partners the same transparency, i.e., an ability to review all investment positions daily, that a personal trading account offers.

Tax Risks

Investors are Taxed Based on Their Share of Fund Income and Gain

Investors are taxed each year on their share of the Fund’s income and gain, if any, irrespective of whether they redeem any units or receive any cash distribution from the Fund. The general partner has the authority to make such distributions at any time in its sole discretion.

Tax Could be Due from Investors on Their Share of the Fund’s Ordinary Income Despite Overall Losses

Investors may be required to pay tax on their allocable share of the Fund’s ordinary income, which is the Fund’s interest income and gain on some foreign futures contracts and certain other investment assets, even though the Fund incurs overall losses. Capital losses can be used only to offset capital gains and, in the case of non-corporate investors, $3,000 of ordinary income each year. Consequently, if an individual investor were allocated $5,000 of ordinary income and $10,000 of capital losses, the investor would owe tax on $2,000 of

ordinary income even though the investor would have a $5,000 economic loss for the year. The $7,000 unused capital loss could be used in subsequent years to offset capital gain and ordinary income, but subject to the same annual limitation on its deductibility against ordinary income.

There Could be a Limit on the Deductibility of Management and Performance Fees

Although the Fund treats the management and performance fees paid to the general partner as ordinary and necessary business expenses, upon audit, the Fund may be required to treat such fees as “investment advisory fees” if the Fund’s trading activities did not constitute a trade or business for tax purposes. Investment advisory fees are subject to substantial restrictions on deductibility for federal income tax purposes. Such treatment would likely create or increase the tax liability of non-corporate limited partners.

Other Risks

Fees and Commissions are Charged Regardless of Profitability and are Subject to Change

The Fund is subject to substantial charges payable irrespective of profitability, in addition to performance fees which are payable based on the Fund’s profitability. Included in these charges are brokerage fees and operating expenses. On the Fund’s forward and option trading, “bid-ask” spreads and prime brokerage fees are incorporated into the pricing of forward, option and swap contracts by the counterparties in addition to the brokerage fees paid by the Fund. It is not possible to quantify the “bid-ask” spreads paid by the Fund because the Fund cannot determine the profit its counterparty is making on the forward and option transactions. Such spreads can at times be significant.

The Futures Broker Could Fail and Has Been Subject to Disciplinary Action

The Commodity Exchange Act generally requires a futures broker to segregate all funds received from customers from such broker’s proprietary assets. If the futures broker fails to do so, the assets of the Fund might not be fully protected in the event of the bankruptcy of the futures broker. Furthermore, in the event of the futures broker’s bankruptcy, the Fund could lose the entire amount, or be limited to recovering only apro ratashare, of all available funds segregated on behalf of the futures broker’s combined customer accounts, even though certain property specifically traceable to the Fund (for example, Treasury bills deposited by the Fund with the futures broker as margin) was held by the futures broker. Furthermore, dealers in forward, option and swap contracts are not regulated by the Commodity Exchange Act and are not obligated to segregate customer assets. As a result, you do not have such basic protection in forward, option and swap contracts.

Investors Must Not Rely on the Past Performance of Either Campbell & Company or the Fund in Deciding Whether to Buy Units

The future performance of the Fund is not predictable, and no assurance can be given that the Fund will perform successfully in the future. Past performance is not necessarily indicative of future results.

Parties to the Fund Have Conflicts of Interest

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

Campbell & Company has a conflict of interest because it acts as the general partner and sole trading advisor for the Fund. Since Campbell & Company acts as both trading advisor and general partner for the Fund, it is very unlikely that its advisory contract will be terminated by the Fund. The fees payable to Campbell & Company were established by it and were not the subject of arm’s-length negotiation. These fees consist of up to a 8% brokerage fee (of which 3% is retained) and a 20% performance fee. Campbell & Company, as general partner, determines

whether or not distributions are made and it receives increased fees to the extent distributions are not made. Campbell & Company has the authority to make such distributions at any time in its sole discretion.

Selling agents will be entitled to ongoing compensation as a result of their clients remaining in the Fund, so a conflict exists between the selling agent’s interest in maximizing compensation and in advising its clients to make investment decisions in the client’s best interests.

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

There are No Independent Experts Representing Investors

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

The Fund Places Significant Reliance on Campbell & Company

Limited partners are not entitled to participate in the management of the Fund or the conduct of its business. Rather, the Fund is wholly dependent upon the services of the general partner. There can be no assurance that such services will be available for any length of time following the term of the Advisory Agreement. Furthermore, the incapacity of the general partner’s principals could have a material and adverse effect on the general partner’s ability to discharge its obligations under the Advisory Agreement. However, there is no individual principal at Campbell & Company whose absence would result in a material adverse effect on Campbell & Company’s ability to adequately carry out its advisory responsibilities.

The Fund Could Terminate Before Expiration of its Stated Term

The general partner may withdraw from the Fund upon 90 days’ notice, which would cause the Fund to terminate unless a substitute general partner were obtained. Other events, such as a long-term substantial loss suffered by the Fund, could also cause the Fund to terminate before the expiration of its stated term. This could cause you to liquidate your investments and upset the overall maturity and timing of your investment portfolio. If the registrations with the CFTC or memberships in the National Futures Association of Campbell & Company or the futures broker were revoked or suspended, such entity would no longer be able to provide services to the Fund.

The Fund is Not a Regulated Investment Company

Although the Fund and Campbell & Company are subject to regulation by the CFTC, the Fund is not an investment company subject to the Investment Company Act of 1940 and Campbell & Company is not registered as an investment adviser under the Investment Advisers Act of 1940. Accordingly, you do not have the protections afforded by those statutes which, for example, requires investment companies to have a majority of disinterested directors and regulates the relationship between the adviser and the investment company.

Proposed Regulatory Change is Impossible to Predict

The futures markets are subject to comprehensive statutes, regulations and margin requirements. In addition, the CFTC and futures exchanges are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily price limits and the suspension of trading. The regulation of futures, forward, option and swap transactions in the United States is a rapidly changing area of law and is subject to modification by government and judicial action. In addition, various national governments have expressed concern regarding the disruptive effects of speculative trading in the currency markets and the need to regulate

the “derivatives” markets in general. The effect of any future regulatory change on the Fund is impossible to predict, but could be substantial and adverse.

Forwards, Options, Swaps, Hybrids and Other Derivatives are Not Subject to CFTC Regulation

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

The Fund is Subject to Foreign Market Credit and Regulatory Risk

A substantial portion of Campbell & Company’s trades takes place on markets or exchanges outside the United States. From time to time, as much as 20% to 50% of the Fund’s overall market exposure could involve positions taken on foreign markets. The risk of loss in trading foreign futures contracts and foreign options can be substantial. Participation in foreign futures contracts and foreign options transactions involves the execution and clearing of trades on, or subject to the rules of, a foreign board of trade. Non-U.S. markets may not be subject to the same degree of regulation as their U.S. counterparts. None of the CFTC, NFA or any domestic exchange regulates activities of any foreign boards of trade, including the execution, delivery and clearing of transactions, nor do any have the power to compel enforcement of the rules of a foreign board of trade or any applicable foreign laws. Trading on foreign exchanges also presents the risks of exchange controls, expropriation, taxation and government disruptions.

The Fund is Subject to Foreign Exchange Risk

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

Transfers Could be Restricted

Limited partners may transfer or assign units only upon 30 days’ prior written notice to the general partner and only if the general partner is satisfied that the transfer complies with applicable laws and would not result in adverse legal or tax consequences for the Fund. A transferee shall not become a substituted limited partners without the written consent of the general partner.

A Single-Advisor Fund May be More Volatile Than a Multi-Advisor Fund

The Fund is a single-advisor managed futures fund. Potential investors should understand that many managed futures funds are structured as multi-advisor funds in order to attempt to control risk and reduce volatility through combining advisors whose historical performance records have exhibited a significant degree of non-correlation with each other. As a single-advisor managed futures fund, the Fund may have increased performance volatility and a higher risk of loss than investment vehicles employing multiple advisors.

The Performance Fee Could be an Incentive to Make Riskier Investments

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

The Fund May Distribute Profits to Limited Partners at Inopportune Times

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

Potential Inability to Trade or Report Due to Systems Failure

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

Potential Disruption or Inability to Trade Due to a Failure to Receive Timely and Accurate Market Data from Third Party Vendors

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

Item 1B.Unresolved Staff Comments

None.

Item 2.Properties

The Registrant does not use any physical properties in the conduct of its business. Its assets currently consist of futures and other contracts, cash, short-term time deposits and U.S. Treasury Bills.

Item 3.Legal Proceedings

Campbell & Company is not aware of any material legal proceedings to which the Registrant is a party or to which any of their assets are subject.

Item 4.Submission of Matters to a Vote of Security Holders

None.

PART II

Item 5.Market for Registrant’s Common Equity , Related Stockholder Matters and Issuer Purchases of Equity Securities

Units of Limited Partnership Interest are not publicly traded. Units may be transferred or redeemed subject to the conditions imposed by the Amended Agreement of Limited Partnership. As of December 31, 2005, there were 55,817 Partners in the Registrant and 1,720,974.089 Units of General and Limited Partnership Interest outstanding.

Campbell & Company has sole discretion in determining what distributions, if any, the Registrant will make to its Unit holders. Campbell & Company has not made any distributions as of the date hereof.

The Registrant has no securities authorized for issuance under equity compensation plans.

Item 6.Selected Financial Data

Dollars in thousands, except per Unit amounts


	For the Year Ended December 31,
	2005		2004		2003		2002		2001
Total Assets		5,233,064	$	4,099,736	$	2,877,967	$	1,654,430	$	954,185
Total Partners’ Capital		5,175,699		4,048,146		2,828,101		1,617,949		943,219
Total Trading Gain (net of brokerage commissions)		611,580		443,116		543,537		250,527		64,466
Net Income		424,794		130,292		342,701		155,979		29,936
Net Income Per General and Limited Partner Unit *		272.37		100.20		385.55		282.19		76.29
Increase in Net Asset Value per General and Limited Partner Unit		261.69		114.36		395.32		259.32		55.92

The following summarized quarterly financial information presents the results of operations for the three-month periods ending March 31, June 30, September 30 and December 31, 2005 and 2004.


	1^st Qtr.			2^nd Qtr.		3^rd Qtr.			4^th Qtr.
	2005			2005		2005			2005
Total Trading Gain (Loss) (net of brokerage commissions)	$	(95,831	)	$	546,406	$	(14,383	)	$	175,388
Net Income (Loss)		(143,189	)		498,040		(59,548	)		129,491
Net Income (Loss) per General and Limited Partner Unit *		(95.53	)		323.87		(38.20	)		78.82
Increase (Decrease) in Net Asset Value per General and Limited Partner Unit		(98.24	)		322.16		(42.00	)		79.77
Net Asset Value per General and Limited Partner Unit at the End of the Period		2,647.49			2,969.65		2,927.65			3,007.42


*		- Based on weighted average number of units outstanding during the period.


	1^st Qtr.		2^nd Qtr.			3^rd Qtr.			4^th Qtr.
	2004		2004			2004			2004
Total Trading Gain (Loss) (includes brokerage commissions)	$	556,936	$	(334,861	)	$	(82,946	)	$	303,987
Net Income (Loss)		402,652		(388,753	)		(135,081	)		251,474
Net Income (Loss) per General and Limited Partner Unit *		360.96		(303.89	)		(98.46	)		175.31
Increase (Decrease) in Net Asset Value per General and Limited Partner Unit		358.82		(313.09	)		(102.60	)		171.23
Net Asset Value per General and Limited Partner Unit at the End of the Period		2,990.19		2,677.10			2,574.50			2,745.73


*		- Based on weighted average number of units outstanding during the period.

Item 7.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 is ongoing.

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, swap and forward contracts which are traded in the inter-bank market).

Capital Resources

The Fund will raise additional capital only through the sale of Units offered pursuant to the continuing offering, and 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.

Liquidity

Most United States commodity exchanges limit fluctuations in commodity 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. Commodity 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 commodity 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 commodity futures trading operations, the Fund’s assets are expected to be highly liquid.

The entire offering proceeds, without deductions, will be credited to the Fund’s bank and brokerage accounts to engage in trading activities and as reserves for that trading. The Fund meets its margin requirements by depositing U.S. government securities with the futures broker and the over-the-counter counterparties. In this way, substantially all (i.e., 95% or more) of the Fund’s assets, whether used as margin for trading purposes or as reserves for such trading, can be invested in U.S. government securities and time deposits with U.S. banks. Investors should note that maintenance of the Fund’s assets in U.S. government securities and banks 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.

Approximately 10% to 30% of the Fund’s assets normally are committed as required margin for futures contracts and held by the futures broker, 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 broker 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 swap 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 remaining 40% to 80% of the Fund’s assets will normally be invested in cash equivalents, such as U.S. Treasury bills, and held by the futures broker or the over-the-counter counterparties.

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.

Results of Operations

The returns for the years ended December 31, 2005, 2004, and 2003 were 9.53%, 4.35% and 17.68%, respectively.

2005

For the 2005 increase of 9.53%, approximately 14.31% was due to trading gains (before commissions) and approximately 2.92% was due to interest income, offset by approximately 7.70% due to brokerage fees, performance fees, and operating and offering costs borne by the Fund. An analysis of the 14.31% trading gain by sector is as follows:


Sector	% Gain (Loss)
Interest Rates		6.65	%
Currencies		5.98
Energy		3.34
Metals		1.16
Stock Indices		(2.82	)

		14.31	%

The late December 2004 reversal of the major trends in currencies and equities persisted into January 2005 leaving the Fund with negative performance for the month. The U.S. Dollar rallied sharply in the first week of the month and held its new levels, which produced losses in the currency sector. The post-election rally in equities gave

way to selling in January, which also produced losses for the Fund. The energy sector was positive as crude oil approached $50 per barrel. The interest rate sector was also positive.

The rally in the U.S. Dollar failed early in February and the Dollar ended the month lower. However, the small gains on the Fund’s U.S. Dollar short positions were offset by losses in its non-Dollar currency pairs, resulting in losses in the currency sector overall. This was a difficult interest rate environment with different pressures observable at different points along the yield curve. Consequently, the Fund’s short-term interest rate positions were positive, but not profitable enough to offset the losses in long-term interest rates. The stock index sector was the best performing sector for the month as the equity markets reversed again and traded higher reclaiming a portion of the losses in January. Crude oil’s continued rally also contributed profits for the month.

The Fund had a small trading profit in the month of March. The gains for the month were in the interest rate sector, as both short-term and long-term positions were profitable, and in the energy sector where crude oil made a new high. The U.S. Dollar closed higher for the month, reversing a long downtrend, which caused losses for the Fund. In addition, the Fund incurred losses in its non-Dollar currency positions in March making the currency sector the worst performing sector for the first quarter. The equity index markets also reversed and ended the month lower which caused losses for the Fund.

Gains in the interest rate and currency sectors led to a positive return for April. Interest rate instruments continued the rally which began in late March. The energy sector was the worst performing sector for the month. Crude oil prices fell by almost $8 a barrel, which, combined with the related sell-off in other energy products, resulted in losses for the month. Equity indices were also negative with stock prices ending lower following sharp declines mid-month.

The Fund had a positive return in May which turned the Fund’s year-to-date return positive. The interest rate and currency sectors continued their profitability in April and May. The apparent breakdown of the EU constitutional ratification process was a key development late in the month causing investors to readjust their expectations for the Euro. The shift in favor of the U.S. Dollar topped off a six week rally that led to its highest level since before the 2004 U.S. elections which benefited the Fund’s currency positions. The Fund’s interest rate positions benefited from the U.S. 10-year Treasury yield being pushed once again below 4%.

In June, global uncertainties continued to provide profitable trends for the Fund. The U.S. Dollar was up sharply in June to new six month highs, as the Euro and Yen continued a steep six-week slide. A further flattening of the yield curve provided a profitable opportunity for the Fund’s models and the fixed income sector. Several energy markets made new all-time highs in June contributing to the Fund’s profits for the month.

The Fund reported its fourth consecutive monthly gain in July. Markets were rattled following the Chinese currency revaluation, but much of the initial decline in the U.S. Dollar was recovered the following day. The equity markets ended the month broadly higher and were the Fund’s most profitable sector, while the interest rates sector traded lower and generated the Fund’s largest losses. Energy markets traded lower early in the month, but ended near all-time highs and at a profit for the Fund’s long positions.

August saw sharp trend reversals occur in each of the major financial sectors, resulting in losses for the Fund. The currency sector was the Fund’s worst performing sector. The U.S. Dollar peaked at the end of July, then reversed sharply and traded close to its recent lows at the end of August. A similar reversal occurred in the interest rates sector, resulting in losses at both ends of the yield curve. Equities trended higher in July, but record energy prices caused a sharp sell-off in August and resulted in a loss in this sector. The energy and metal sectors were the only profitable sectors in the Fund this month, but the size of positions was not sufficient to offset the losses incurred in the financial sectors.

In September, the Fund saw many of the trends in the major financial sectors resume their course. The same sectors that reversed so sharply in August were the most profitable in September, while the energy sector was the only sector that had losses. The U.S. Dollar rallied strongly from the start of the month following the late-August sell-off, and again approached the highs for the year. The Fund lost money on some non-U.S. Dollar trades, however the currency sector was profitable overall. The equities sector also finished higher. Fixed income instruments ended lower after the sharp reversals in August and provided solid gains for the Fund’s short positions.

The Fund performance was positive for the month of October. The fixed income sector was profitable as inflation fears fueled the sell-off in bonds and interest rates moved higher across the whole yield curve. The currency sector also delivered gains as the U.S. Dollar continued to show strength. The energy markets ended the month lower which contributed negatively to the Fund’s performance, but the biggest losses for the month were in the equity indices sector as stock prices declined sharply.

Currencies were the most profitable sector contributing to the positive return for November as the U.S. Dollar continued to strengthen against the Euro and the Yen. The major theme continued to be the rising U.S. interest rate differentials and the persistent weakness of the Yen. The fixed-income sector was profitable overall, but gains in short-term interest rate instruments were partially offset by losses on the long end of the curve as mid-month economic data eased the markets’ fears of inflation. The same data pushed equity indices higher across the globe which was a welcome result for many investors, but it went against our positions. Energy prices continued their slide in November with warmer than normal weather in many regions of the country. This was good news for energy consumers, but caused losses for our positions. Metals, although only a small part of the Fund’s portfolio, saw significant gains this month with copper rising to new all-time highs and gold closing over $500 per ounce.

Sharp reversals in the currencies and interest rates sectors resulted in losses in December, but the Fund had positive results for 2005. Currencies were one of the most profitable sectors for the year, but was the major source of losses in December. The Japanese Yen was in decline against most other currencies all year, but reversed sharply in December as new economic data finally turned positive. The Euro also rallied and the US Dollar lost ground on a perception of change in relative short-term interest rates policy, increasing the losses on our currency positions.

These same factors contributed to reversals in the fixed income markets in December which also resulted in losses for the Fund, but this sector was also the most profitable for the Fund in 2005. The worst performing sector in 2005 was the equities sector, but conversely it was profitable in December as the rally in US stocks fizzled, while European and Asian stock indices continued to trade higher, ending a year of strong gains for those markets. Energy prices also finished higher in December as markets characterized by tight supply and increasing demand continued to be sensitive to weather and geopolitical change. This resulted in good profits in the energy sector for both the month and the year.

2004

For the 2004 increase of 4.35%, approximately 13.99% was due to trading gains (before commissions) and approximately 1.23% was due to interest income, offset by approximately 10.87% due to brokerage fees, performance fees, and operating and offering costs borne by the Fund. An analysis of the 13.99% trading gain by sector is as follows:


Sector	% Gain (Loss)
Interest Rates		12.60	%
Currencies		2.20
Energy		1.78
Metals		(0.61	)
Stock Indices		(1.98	)

		13.99	%

The year began with the Fund posting a positive return in January despite significant volatility throughout the month. The weak U.S. Dollar continued to drive most global markets, including many that had no apparent or direct connection to the Dollar, and in circumstances such as this, subtle shifts in perception can have a disproportionate impact on prices. The Dollar traded lower throughout the month, which was profitable for the Fund’s currency positions. Much of the gain reversed late in the month when markets reacted violently when the Federal Open Market Committee (FOMC) slightly restated its short-term interest rate bias. The interest rate sector was slightly positive despite also having suffered a reversal of earlier gains following the FOMC announcement. The stock index and metals sectors had small losses for the month.

The Fund had a strong positive return in February as the trends that were in place at the end of January persisted. The continued concern over the record U.S. budget deficit and current account imbalance kept downward pressure on the U.S. Dollar and resulted in strong gains in the currency sector. The weak Dollar in return reinforced several related trends, including the continued rise in energy prices, resulting in positive returns in the energy sector. The interest rates sector was also profitable for the month as European interest rate instruments traded higher.

All of the gain for the month of March came from the interest rate sector as U.S. Treasuries continued to trade higher, while a weakening U.S. Dollar also contributed solid returns. The energy sector was moderately positive, while the equity index sector was moderately negative.

In April, interest rates reversed course and started to head higher in response to a perceived change in stance by the U.S. Federal Reserve. In the days that followed, most major market trends also reversed. Fixed income instruments sold off hard and the U.S. Dollar rallied, while precious and base metals and many other physical commodities traded sharply lower. The equities markets also fell. Only the continued rise in energy prices provided modest gains for the Fund in April.

May was a difficult month for systematic trend following strategies and the Fund finished the month with slightly negative performance. Crude oil set record high prices during the month, which led to gains for the Fund in the energy sector. Most fixed income and currency contracts experienced a classic whipsaw. They began the month with the continuation of April’s reversals, but ended the month with a strong rally. Equity prices continued to weaken in the face of higher energy prices and global political uncertainty, which led to losses in the stock indices sector.

June was another month of choppy, range-bound trading, which resulted in negative performance for the Fund in all sectors. The market impact of unfolding events in Iraq had diminished greatly, and many traders were reluctant to take positions ahead of the Federal Reserve Bank’s June 30 interest rate announcement. Absent any other significant news, the markets remained trendless and did not provide the opportunities needed to produce positive returns.

July was a slightly negative month as most markets the Fund traded continued to oscillate in relatively narrow ranges. Interest rate instruments traded lower and then rallied on weaker than expected economic statistics, while equity indices rallied and then declined amid broad earnings disappointments. The U.S. Dollar traded in a narrow

range. In the energy sector, a classic whipsaw caused the Fund to exit most of its long positions just before crude oil prices rallied to all-time highs.

August performance was negative as most financial markets continued to be bound by the ranges which had been in place previously. Fixed income instruments rallied profitably during the month, but these gains were quickly offset by losses in the currency sector as the U.S. Dollar strengthened. Small losses resulted from stock index trading as a six-week downtrend reversed sharply, mirroring the rise and fall of crude oil prices. The Fund’s exposure to the highly volatile energy sector was minor as a result of trading filters that kept the Fund out of that sector.

The losses for the Fund continued in September as listless market conditions persisted. While U.S. Dollar and interest rate instruments traded in narrow ranges, the Fund managed small profits in these sectors. These gains were largely offset by losses in the Fund’s small positions in the volatile energy sector. The largest losses for the month came from the equity index positions as positive economic reports late in the month caused stocks to rally towards 90-day highs.

The Fund bounced back with a respectable gain in October. This was primarily as a result of positive performance in the foreign exchange and interest rate sectors, as the long-awaited downward movement in the U.S Dollar began to unfold. Traders reacted to key economic data, including a report of the second highest trade-gap in U.S. history. Following the report, the U.S. Dollar trended broadly lower against other leading currencies. The Fund was on the sidelines in the energy sector during the month as crude oil hit new highs and natural gas traded at the highest prices since the levels reached in February 2003.

The Fund had a strong profitable month in November as the growing momentum in the slide of the U.S. Dollar resulted in a new low against the Euro and multi-year lows against other major currencies. Structural problems of record budget deficits, trade deficits, and current account deficits, and the prospect of four more years of unchanged fiscal and monetary policy had the attention of the foreign exchange markets. Consequently, while the U.S. Dollar has been weak for several years, the recent decline has been very sharp. The foreign exchange and interest rate sectors were profitable in November and were the most profitable sectors for the year.

The Fund finished the year with a positive performance in December and for the year, closing out a year that was confounding for many traders. The big stories for the year were the slide in the U.S. Dollar and the rise and fall of crude oil prices, but high volatility made these markets difficult to trade. Fixed income was the most profitable sector for the Fund in 2004. Long-term interest rates were sharply higher in the first quarter, but reversed in the second quarter despite a Federal Reserve Bank bias toward higher rates. The rally continued through the second half of the year and produced strong returns for the year in the fixed income sector. Equity markets were range-bound for most of the year awaiting the outcome of the election, which was followed by a dramatic rally and delivered some useful gains from the otherwise worst performing sector in 2004.

2003

For the 2003 increase of 17.68%, approximately 27.46% was due to trading gains (before commissions) and approximately 0.98% was due to interest income, offset by approximately 10.76% due to brokerage fees, performance fees, and operating and offering costs borne by the Fund. An analysis of the 27.46% trading gain by sector is as follows:


Sector	% Gain (Loss)
Currencies		26.22	%
Stock Indices		5.70
Metals		(0.34	)
Energy		(0.80	)
Interest Rates		(3.32	)

		27.46	%

The long-term trends that created opportunity for the Fund in 2002 continued in January 2003, in which profits were earned in every sector. However, the environment was one where a single event, the prospect of war with Iraq, was driving the Fund’s whole portfolio. While the Fund’s systematic and disciplined trading strategies continued to keep it engaged, leverage was subsequently decreased to protect against significant losses which could result from potential sharp and extended reversals in core positions.

The Fund was positive again in February with metals being the only negative sector. Strong momentum in energy, fixed income, currencies and stock indices continued, largely as a result of the troubled global geopolitical outlook. In order to mitigate the risk of potential sharp reversals in trends, the Fund maintained a lower-than-normal level of leverage during the month.

The long awaited market reversal occurred in March. Initially, energy, precious metals and fixed income markets all sold off sharply, while equities and the U.S. Dollar rallied. Several days into this correction, these markets all sold off suddenly, as hopes of a quick victory in Iraq subsided. With significantly reduced leverage, the losses the Fund sustained were relatively modest, giving the Fund a positive first quarter.

In April, the Fund’s leverage was returned to a more normal level, but the portfolio was not fully engaged in many markets due to the lack of strong trends. Many markets had calmed significantly at this time, but uncertainty was still prevalent in global markets due to the many unresolved geopolitical issues. A strong performance in the currencies sector was partially offset by negative performances in the metals and stock index sectors.

In May, the uncertainty that remained in April dominated the markets the Fund trades and led to another positive month. While corporate earnings looked stronger, unemployment, overcapacity and the ongoing threat of terrorism still loomed large over the global financial markets. The US dollar weakened further against the other major currencies despite the concern expressed by the United States’ trade partners over the impact this would have on global trade. Interest rates were the best performing sector for the Fund particularly at the long end of the yield curve, where higher prices reflected lower rates. Currency contracts were also strongly positive, while losses in the energy and stock index sectors offset some of those gains.

Even with a negative result for June, the Fund finished the first half of 2003 with a double-digit return. Long-term interest rates lost value as yield curves steepened, particularly the Japanese government bond. Short-term interest rates and stock index sectors contributed very modest gains for the month, while all other sectors contributed losses. While the global economy was looking better than it had for several years, many substantive uncertainties remained.

The Fund’s performance for July was negative due to significant price reversals in the Fund’s largest positions. The U.S. Dollar’s strong rally caused losses in the Fund’s currency and cross rate sectors. In addition, the sudden sharp sell-off in long-term bonds resulted in losses in the Fund’s long positions. These losses were partially offset by gains in the Fund’s long equity index positions as investor confidence grew in the economic recovery and the potential for improved growth.

The stock indices sector was the best performing sector for the month of August as the U.S. equity markets posted their sixth straight month of gains. Much of this was attributed to improving consumer confidence, federal tax cuts and increased defense spending. The energy sector contributed positive returns as crude oil remained above the thirty-dollar level on continuing supply concerns. Also, the Fund’s short positions in the Japanese Government Bond provided a significant portion of the month’s gains.

In September, the currency sector was the only significantly positive sector as short U.S. Dollar positions benefited from continued weakness in the U.S. Dollar. After showing positive returns for most of the month, sudden reversals in the fixed income, equity and energy markets washed out the gains in the currency sector and put the Fund’s portfolio into negative territory late in the month. The Fund finished the 3^rd quarter with a negative return, but was positive through September.

The Fund began the fourth quarter on a positive note with a majority of the gain coming from the currencies and stock indices sectors. The continued but orderly decline of the U.S. Dollar against the other major currencies

provided good trending opportunities during October, but an unexpectedly sharp decline in the Yen at the end of the month took away some of the profits earned earlier. The performance of the currency cross rates, interest rates and energy sectors all resulted in losses for the month. The energy markets were particularly volatile, with natural gas prices whipsawing on shifting weather predictions, while crude oil declined sharply from the high end of its recent trading range.

November was a positive month for the Fund. The currencies and stock indices sectors provided good profits, which were partially offset by losses in the cross currency, energy and interest rate sectors. As global equity prices continued to strengthen, the U.S. dollar weakened, reaching 10 and 5 year lows against the Canadian dollar and Sterling, respectively, while the Euro made an all time high late in the month. Paradoxically strong U.S. economic indicators encouraged a positive outlook, with a strong retail sales and a 20-year high in manufacturing. Global economic data was also encouraging, particularly that coming out of Asia.

The trends of the falling U.S. dollar and the rise in global equity indices prevalent in the second half of 2003 continued in December and left the Fund with a gain for the month. These trends were also responsible for most of the gains for the year.

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, option 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 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, option 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 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, option and swap 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, option, swap and 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 swap and forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 5:00 P.M. (E.T.) of the last business day of the reporting period or based on the market value of its exchange-traded equivalent.

Item 7A.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 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, 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 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 year 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 aggregate VaR represents the VaR of the Fund’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.

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

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

Because the business of the Fund is the speculative trading of futures, forwards and 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 December 31, 2005, 2004 and 2003 and the trading gains/losses by market category for the years then ended.


	December 31, 2005
				Trading
Market Sector	Value at Risk*			Gain/(Loss)**
Currencies		1.45	%		5.98	%
Long Interest Rates		0.80	%		1.80	%
Energy		0.63	%		3.34	%
Short Interest Rates		0.62	%		4.85	%
Stock Indices		0.38	%		(2.82	)%
Metals		0.06	%		1.16	%


Aggregate/Total		2.45	%		14.31	%


*		-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, 2005, approximately 14.31% was due to trading gains (before commissions) and approximately 2.92% due to interest income, offset by approximately 7.70% due to brokerage fees, performance fees and operating and offering costs borne by the Fund giving a net return of 9.53%.


	December 31, 2004
				Trading
Market Sector	Value at Risk*			Gain/(Loss)**
Currencies		1.15	%		2.20	%
Long Interest Rates		0.83	%		10.03	%
Short Interest Rates		0.26	%		2.57	%
Stock Indices		0.60	%		(1.98	)%
Energy		0.18	%		1.78	%
Metals		0.11	%		(0.61	)%


Aggregate/Total		1.84	%		13.99	%


*		-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, 2004, approximately 13.99% was due to trading gains (before commissions) and approximately 1.23% was due to interest income, offset by approximately 10.87% due to brokerage fees, performance fees and operating and offering costs borne by the Fund giving a net return of 4.35%.


	December 31, 2003
				Trading
Market Sector	Value at Risk*			Gain/(Loss)**
Currencies		1.29	%		26.22	%
Stock Indices		0.57	%		5.70	%
Energy		0.45	%		(0.80	)%
Long Interest Rates		0.43	%		(2.36	)%
Short Interest Rates		0.20	%		(0.96	)%
Metals		0.02	%		(0.34	)%


Aggregate/Total		1.49	%		27.46	%


*		-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, 2003, approximately 27.46% was due to trading gains (before commissions) and approximately 0.98% was due to interest income, offset by approximately 10.76% due to brokerage fees, performance fees and operating and offering costs borne by the Fund giving a net return of 17.68%.

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. The market risk represented by these investments is immaterial.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

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

The following were the primary trading risk exposures of the Fund as of December 31, 2005, by market sector.

Currencies

Exchange rate risk is the principal market exposure of the Fund. The Fund’s currency exposure is to 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 is 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. However, the Fund also takes positions in the government debt of Switzerland. Campbell & Company anticipates that G-7 interest rates will remain the primary market exposure of the Fund for the foreseeable future. The changes in interest rates which have the most effect on the Fund are changes in long-term, as opposed to short-term rates. Most of the speculative positions held by the Fund are in medium- to long-term instruments.

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 and Taiwan). The stock index futures traded by the Fund are 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. (Static markets would not cause major market changes but would make it difficult for the Fund to avoid being “whipsawed” into numerous small losses.)

Energy

The Fund’s primary energy market exposure is to gas and oil price movements, often resulting from political developments and ongoing conflicts in the Middle East. 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 gold, copper, nickel and zinc.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the only non-trading risk exposures of the Fund as of December 31, 2005.

Foreign Currency Balances

The Fund’s primary foreign currency balances are in 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).

Treasury Bill Positions

The Fund’s only market exposure in instruments held other than for trading is in its Treasury Bill portfolio. The Fund holds Treasury Bills (interest bearing and credit risk-free) with durations no longer than six months. Violent fluctuations in prevailing interest rates could cause immaterial 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 imposing “stop-loss” points at which open positions must be closed out.

Campbell & Company controls the risk of the Fund’s non-trading instruments (Treasury Bills held for cash management purposes) by limiting the duration of such instruments to no more than six months.

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 8.Financial Statements and Supplementary Data

Financial statements meeting the requirements of Regulation S-X appear beginning on Page 30 of this report. The supplementary financial information specified by Item 302 of Regulation S-K is included in Item 6. Selected Financial Data.

Item 9.Changes in and Disagreements with Accountants on Accounting and Financial Disclosure

None.

Item 9A.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 annual 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.

Item 9B.Other Information

There was no information required to be disclosed in a report on form 8-K during the fourth quarter of 2005.

PART III

Item 10.Directors and Executive Officers of the Registrant

The Registrant has no directors or executive officers. The Registrant has no employees. It is managed by Campbell & Company in its capacity as general partner. Campbell & Company has been registered as a commodity pool operator (CPO) since September 1982. Its main business address is 210 West Pennsylvania Avenue, Towson, Maryland 21204, (410) 296-3301. Campbell & Company’s directors and executive officers are as follows:

Theresa D. Becks, born in 1963, joined Campbell & Company in June 1991 and has served as theChief Financial OfficerandTreasurersince 1992, andSecretaryand aDirectorsince 1994. In addition to her role as CFO, Ms. Becks also oversees administration, compliance and trade operations. Ms. Becks is also the Chief Financial Officer, Treasurer and Assistant Secretary of both Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, and The Campbell Multi-Strategy Trust, a registered investment company. Ms. Becks is currently a member of the Board of Directors of the Managed Funds Association. From 1987 to 1991, she was employed by Bank Maryland Corp, a publicly held company, as a Vice President and Chief Financial Officer. Prior to that time, she worked with Ernst & Young. Ms. Becks is a C.P.A.

and has a B.S. in Accounting from the University of Delaware. Ms. Becks is an Associated Person of Campbell & Company.

D. Keith Campbell, born in 1942, has served as theChairman of the Board of Directorsof Campbell & Company since it began operations, was President until 1994, and was Chief Executive Officer until 1997. Mr. Campbell is the majority voting stockholder of Campbell & Company. From 1971 to 1978, he was a registered representative of a futures commission merchant. Mr. Campbell has acted as a commodity trading advisor since 1972 when, as general partner of the Campbell Fund, a limited partnership engaged in commodity futures trading, he assumed sole responsibility for trading decisions made on behalf of the Fund. Since then, he has applied various technical trading models to numerous discretionary futures trading accounts. Mr. Campbell is registered with the CFTC and NFA as a commodity pool operator. Mr. Campbell is an Associated Person of Campbell & Company.

William C. Clarke, III, born in 1951, joined Campbell & Company in June 1977 and has served as anExecutive Vice Presidentsince 1991 and aDirectorsince 1984. Mr. Clarke holds a B.S. in Finance from Lehigh University where he graduated in 1973. Mr. Clarke currently oversees all aspects of research, which involves the development of proprietary trading models and portfolio management methods. Mr. Clarke is an Associated Person of Campbell & Company.

Bruce L. Cleland, born in 1947, joined Campbell & Company in January 1993 and has served asPresidentand aDirectorsince 1994, andChief Executive Officersince 1997. Mr. Cleland is also the President and Chief Executive Officer of Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, and Trustee, Chief Executive Officer and President of The Campbell Multi-Strategy Trust, a registered investment company. Mr. Cleland has worked in the international derivatives industry since 1973, and has owned and managed firms engaged in global clearing, floor brokerage, trading and portfolio management. Mr. Cleland is currently a member of the Board of Directors of the National Futures Association, and previously served as a member of the Board of Directors of the Managed Funds Association and as a member of the Board of Governors of the COMEX, in New York. Mr. Cleland is a graduate of Victoria University in Wellington, New Zealand where he earned a Bachelor of Commerce and Administration degree. Mr. Cleland is an Associated Person of Campbell & Company.

Kevin M. Heerdt, born in 1958, joined Campbell & Company in March 2003 and has served asChief Operating Officersince June 2005. Prior to June 2005, Mr. Heerdt served as an Executive Vice President-Research. His duties also include risk management, research, and the development of quantitatively based hedge fund and options strategies. Mr. Heerdt is also the Vice President and Chief Operating Officer of both Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, and The Campbell Multi-Strategy Trust, a registered investment company. The Campbell Multi-Strategy Trust, a registered investment company. From February 2002 to March 2003, he was self-employed through Integrity Consulting. Previously, Mr. Heerdt worked for twelve years at Moore Capital Management, Inc., where he was a Director until 1999, and a Managing Director from 2000 to 2002. Mr. Heerdt holds a B.A. in Economics and in International Relations from the University of Southern California. Mr. Heerdt is an Associated Person of Campbell & Company.

James M. Little, born in 1946, joined Campbell & Company in April 1990 and has served asExecutive Vice President-Business Developmentand aDirectorsince 1992. Mr. Little is also the Vice President of both Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, and The Campbell Multi-Strategy Trust, a registered investment company. Mr. Little holds a B.S. in Economics and Psychology from Purdue University. From 1989 to 1990, Mr. Little was a registered representative of A.G. Edwards & Sons, Inc. From 1984 to 1989, he was the Chief Executive Officer of James Little & Associates, Inc., a commodity pool operator and broker-dealer. Mr. Little is the co-author ofThe Handbook of Financial Futures, and is a frequent contributor to investment industry publications. Mr. Little is an Associated Person of Campbell & Company.

Thomas P. Lloyd, born in 1959, joined Campbell & Company in September 2005 asGeneral Counsel and Executive Vice President-Legal and Compliance. In this capacity, he is involved in all aspects of legal affairs,

compliance and regulatory oversight. Mr. Lloyd is also the Secretary, Chief Compliance Officer and Assistant Treasurer of both Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, and The Campbell Multi-Strategy Trust, a registered investment company. From 1999 to 2005, Mr. Lloyd was employed by Deutsche Bank Securities Inc. (“DBSI”) in several positions, including Managing Director and head of the legal group for Deutsche Bank Alex. Brown, the Private Client Division of DBSI. From 1997 to 1999, Mr. Lloyd was an attorney in the Enforcement Department of NASD Regulation, Inc., and, from 1995 to 1997, he served as a senior counsel in the Division of Enforcement of the United States Securities and Exchange Commission. From 1989 to 1995, he was engaged in the private practice of law. Mr. Lloyd holds a B.A. in Economics from the University of Maryland, and a J.D. from the University of Baltimore School of Law. Mr. Lloyd is a member of the Bars of the State of Maryland and the United States Supreme Court.

There has never been a material administrative, civil or criminal action brought against Campbell & Company or any of its directors, executive officers, promoters or control persons.

No Forms 3, 4, or 5 have been furnished to the Registrant since inception. To the best of the Registrant’s knowledge, no such forms have been or are required to be filed.

Audit Committee Financial Expert

The Board of Directors of Campbell & Company, in its capacity as the audit committee for the Fund, has determined that Theresa D. Becks qualifies as an “audit committee financial expert” in accordance with the applicable rules and regulations of the Securities and Exchange Commission. She is not independent of management.

Code of Ethics

Campbell & Company has adopted a code of ethics for its chief executive officer, chief financial officer, controller, accounting managers and persons performing similar functions. A copy of the code of ethics may be obtained at no charge by written request to Campbell & Company’s corporate secretary, Court Towers Building, 210 West Pennsylvania Ave., Suite 770, Towson, Maryland 21204 or by calling 1-800-698-7235.

Item 11.Executive Compensation

The Registrant is managed by its general partner, Campbell & Company. Campbell & Company receives from the Registrant a Brokerage Fee equal to up to 8% of the Registrant’s month-end Net Assets per year. From such 8% Brokerage Fee, Campbell & Company remits up to 1% to the Commodity Broker for execution and clearing costs, and 4% to the broker-dealers which engaged in the distribution of the Units in return for ongoing services to the Limited Partners. Campbell & Company retains the remaining 3% as management fees (2% for providing advisory fees and 1% for acting as general partner). Campbell & Company also receives a performance fee of 20% of the aggregate cumulative appreciation (if any) in Net Asset Value per unit at the end of each calendar quarter, exclusive of the appreciation attributable to interest income.

Item 12.Security Ownership of Certain Beneficial Owners and Management and Related Shareholder Matters

	(a)		Security Ownership of Certain Beneficial Owners. As of December 31, 2005, no Units of Limited Partnership are owned or held by an officer of Campbell & Company.

	(b)		Security Ownership of Management. As of December 31, 2005, Campbell & Company owned 17,240.171 Units of General Partnership Interest having a value of $51,848,435. Units of General Partnership will always be owned by Campbell & Company in its capacity as general partner.

Item 13.Certain Relationships and Related Transactions

See Item 11, Executive Compensation and Item 12, Security Ownership of Certain Beneficial Owners and Management.

Item 14.Principal Accounting Fees and Services

The principal accountant for the year ended December 31, 2005 was Deloitte & Touche LLP. The principal accountant for the year ended December 31, 2004 was Arthur F. Bell, Jr. & Associates, L.L.C. Accordingly, 2005 fees disclosed below relate to Deloitte & Touche LLP and 2004 fees disclosed relate to Arthur F. Bell, Jr. & Associates, L.L.C., respectively.

	(a)		Audit Fees

			The aggregate fees billed for professional services rendered by the principal accountant for the audit of the Fund’s annual financial statements, for review of financial statements included in the Fund’s Forms 10-Q and other services normally provided in connection with regulatory filing or engagements for the years ended December 31, 2005 and 2004 were $88,110 and $46,750, respectively.

	(b)		Audit Related Fees

			The aggregate fees billed by the principal accountant for the monthly recalculation of the Fund’s net asset value for the years ended December 31, 2005 and 2004 were $0 and $14,000, respectively.

	(c)		Tax Fees

			The aggregate fees billed by the principal accountant for professional services rendered for the preparation and filing of the Fund’s Schedule K-1’s and all necessary federal and state tax returns for the years ended December 31, 2005 and 2004 were $0 and $570,920, respectively. During the year ended December 31, 2004, a total of 60,072 individual investor K-1s were distributed to the Partners.

	(d)		All Other Fees

			The aggregate fees and expenses billed by the principal accountant for professional services, and related cost reimbursement for postage, supplies and fulfillment house expenses, rendered for the assistance in the preparation and mailing of the Fund’s monthly account statements to Partners, utilizing data, narrative and other items provided by Campbell & Company for the years ended December 31, 2005 and 2004 were $0 and $1,017,229, respectively. During the year ended December 31, 2004, a total of 674,196 monthly account statements were distributed to Partners.

	(e)		The Board of Directors of Campbell & Company approved all of the services described above. The Board of Directors has determined that the payments made to its independent accountants for these services are compatible with maintaining such auditors’ independence. The Board of Directors explicitly pre-approves all audit and non-audit services and all engagement fees and terms.

PART IV

Item 15.Exhibits, Financial Statement Schedules, and Reports on Form 8-K

(a)

The Following documents are filed as part of this report:

	(1)		See Financial Statements beginning on page 30 hereof.

	(2)		Schedules:

			Financial statement schedules have been omitted because they are not included in the financial statements or notes hereto applicable or because equivalent information has been included in the financial statements or notes thereto.

	(3)		Exhibits


Exhibit Number		Description of Document
1.01		Form of Selling Agreement among the Registrant, Campbell & Company, PaineWebber Incorporated and the Selling Agent. (Incorporated by reference to the respective exhibit to the Registrant’s Registration Statement on Form S-1 (No. 333-43250) filed on August 8, 2000).

1.02		Form of Auxiliary Selling Agreement. (Incorporated by reference to the respective exhibit to the Registrant’s Registration Statement on Form S-1 (No. 333-80933) filed on June 17, 1999).

3.01		Agreement of Limited Partnership of the Registrant dated May 11, 1993. (Incorporated by reference to the respective exhibit to the Registrant’s Registration Statement on Form S-1 (No. 33-67164) filed on August 9, 1993).

3.02		Certificate of Limited Partnership of the Registrant. (Incorporated by reference to the respective exhibit to the Registrant’s Registration Statement on Form S-1 (No. 33-67164) filed on August 9, 1993).

3.03		Amended Agreement of Limited Partnership of the Registrant. (Incorporated by reference to the respective exhibit to the Registrant’s Post-Effective Amendment Number 1 to the Registration Statement Form S-1 (No. 333-119259) filed on May 25, 2005).

10.01		Form of Advisory Agreement between the Registrant and Campbell & Company. (Incorporated by reference to the respective exhibit to the Registrant’s Registration Statement on Form S-1 (No. 33-67164) filed on August 9, 1993).

10.02		Form of Customer Agreement between the Registrant and PaineWebber Incorporated. (Incorporated by reference to the respective exhibit to the Registrant’s Registration Statement on Form S-1 (No. 33-67164) filed on August 9, 1993).

10.03		Subscription Agreement and Power of Attorney. (Incorporated by reference to the respective exhibit to the Registrant’s Post-Effective Amendment Number 1 to the Registration Statement Form S-1 (No. 333-119259) filed on May 25, 2005).

10.04		Escrow Agreement between the Registrant and Mercantile Safe Deposit & Trust Company. (Incorporated by reference to the respective exhibit to the Registrant’s Registration Statement on Form S-1 (No. 33-67164) filed on August 9, 1993).

10.05		International Swap Dealers Association, Inc. Master Agreement between the Registrant and ABN AMRO Bank, N.V. (Incorporated by reference to the respective exhibit to the Registrant’s Registration Statement of Form S-1 (No. 333-61274) filed on May 18, 2001).

10.06		International Swap Dealers Association, Inc. Master Agreement between the Registrant and Deutsche Bank AG. (Incorporated by reference to the respective exhibit to the Registrant’s Registration Statement of Form S-1 (No. 333-61274) filed on May 18, 2001).

31.01		Certification of Bruce L. Cleland, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.

31.02		Certification of Theresa D. Becks, Chief Financial Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.


Exhibit Number		Description of Document
32.01		Certification of Bruce L. Cleland, 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 Theresa D. Becks, 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 on Form 8-K

		None.

SIGNATURES

Pursuant to the requirements of Section 13 or 15 (d) 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 on March 31, 2006.


		CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

		By: CAMPBELL & COMPANY, INC.
		General Partner

		By:		/s/ Theresa D. Becks
		Theresa D. Becks
		Chief Financial Officer, Secretary, Treasurer and Director

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the Registrant in the capacities indicated on March 31, 2006.


Signature		Capacity

/s/ D. Keith Campbell D. Keith Campbell		Chairman of the Board

/s/ William C. Clarke, III William C. Clarke, III		Executive Vice President and Director

/s/ Bruce L. Cleland Bruce L. Cleland		President, Chief Executive Officer and Director

/s/ Theresa D. Becks Theresa D. Becks		Chief Financial Officer, Secretary, Treasurer and Director

/s/ James M. Little James M. Little		Executive Vice President and Director

CAMPBELL STRATEGIC ALLOCATION
FUND, L.P.

ANNUAL REPORT

December 31, 2005

CAMPBELL STRATEGIC ALLOCATION FUND, L.P

INDEX


	PAGES
Reports of Independent Registered Public Accounting Firms

Deloitte & Touche LLP		32

Arthur F. Bell, Jr. & Associates, L.L.C.		33

Financial Statements

Statements of Financial Condition December 31, 2005 and 2004		34

Condensed Schedules of Investments December 31, 2005 and 2004		35-36

Statements of Operations For the Years Ended December 31, 2005, 2004 and 2003		37

Statements of Cash Flows For the Years Ended December 31, 2005, 2004 and 2003		38

Statements of Changes in Partners’ Capital (Net Asset Value) For the Years Ended December 31, 2005, 2004 and 2003		39

Notes to Financial Statements		40-45

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Partners of
Campbell Strategic Allocation Fund, L.P.

We have audited the accompanying statement of financial condition of Campbell Strategic Allocation Fund, L.P. (the “Partnership”), including the condensed schedule of investments, as of December 31, 2005, and the related statements of operations, cash flows, and changes in partners’ capital (net asset value) for the year then ended. These financial statements are the responsibility of the Partnership’s management. Our responsibility is to express an opinion on these financial statements based on our audit. The financial statements of Campbell Strategic Allocation Fund, L.P. for the years ended December 31, 2004 and 2003 were audited by other auditors whose report, dated March 22, 2005, expressed an unqualified opinion on those statements.

We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Partnership is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances but not for the purpose of expressing an opinion on the effectiveness of the Partnership’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion.

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Campbell Strategic Allocation Fund, L.P. as of December 31, 2005, the results of its operations and changes in its cash flows and partners’ capital (net asset value) for the year then ended in conformity with accounting principles generally accepted in the United States of America.

/s/ Deloitte & Touche LLP

Princeton, New Jersey
March 15, 2006

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Partners
Campbell Strategic Allocation Fund, L.P.

We have audited the accompanying statement of financial condition of Campbell Strategic Allocation Fund, L.P., including the condensed schedule of investments, as of December 31, 2004, and the statements of operations, cash flows and changes in partners’ capital (net asset value) for the years ended December 31, 2004 and 2003. These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Campbell Strategic Allocation Fund, L.P. as of December 31, 2004, and the results of its operations, cash flows and the changes in its net asset values for the years ended December 31, 2004 and 2003, in conformity with U.S. generally accepted accounting principles.

/s/ Arthur F. Bell, Jr. & Associates, L.L.C.

Hunt Valley, Maryland
March 22, 2005

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
December 31, 2005 and 2004


	2005			2004
ASSETS
Equity in broker trading accounts
Cash	$	383,060,317		$	201,083,246
United States government securities		2,445,977,400			1,871,364,160
Net unrealized gain on open futures contracts		1,086,731			59,986,708


Total equity in broker trading accounts		2,830,124,448			2,132,434,114

Cash and cash equivalents		1,026,080,370			738,065,681
United States government securities		1,545,690,406			1,299,373,618
Net unrealized (loss) on open forward currency contracts		(168,831,491	)		(70,137,402	)


Total assets	$	5,233,063,733		$	4,099,736,011


LIABILITIES
Accounts payable	$	859,255		$	855,905
Brokerage fee		29,451,059			23,425,887
Accrued commissions and other trading fees on open contracts		970,539			914,080
Offering costs payable		1,464,278			2,230,619
Subscription deposits		150,000			0
Redemptions payable		24,469,943			24,163,399


Total liabilities		57,365,074			51,589,890


PARTNERS’ CAPITAL (Net Asset Value)
General Partner — 17,240.171 and 15,051.729 units outstanding at December 31, 2005 and 2004		51,848,435			41,327,984
Limited Partners — 1,703,733.918 and 1,459,291.150 units outstanding at December 31, 2005 and 2004		5,123,850,224			4,006,818,137


Total partners’ capital (Net Asset Value)		5,175,698,659			4,048,146,121


Total liabilities and partners’ capital	$	5,233,063,733		$	4,099,736,011

See accompanying notes.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2005

UNITED STATES GOVERNMENT SECURITIES*


							% of Net
Face Value		Maturity Date		Description	Value		Asset Value
$	1,265,000,000		02/02/06	U.S. Treasury Bills	$	1,260,694,934		24.35	%
$	1,200,000,000		01/05/06	U.S. Treasury Bills		1,199,539,333		23.18	%
$	920,000,000		03/16/06	U.S. Treasury Bills		912,832,689		17.64	%
$	400,000,000		01/12/06	U.S. Treasury Bills		399,560,000		7.72	%
$	220,000,000	Various		U.S. Treasury Bills		219,040,850		4.23	%


Total United States government securities (cost, including accrued interest, — $3,991,667,806)					$	3,991,667,806		77.12	%

LONG FUTURES CONTRACTS


				% of Net
Description	Value			Asset Value
Energy	$	(52,245,803	)		(1.01	)%
Metals		3,008,025			0.06	%
Stock index		(160,226	)		(0.00	)%
Long-term interest rates		1,586,847			0.03	%

Total long futures contracts	$	(47,811,157	)		(0.92	)%

SHORT FUTURES CONTRACTS


				% of Net
Description	Value			Asset Value
Metals	$	(86,285	)		(0.00	)%
Stock index		(1,176,505	)		(0.03	)%
Short-term interest rates		55,439,109			1.07	%
Long-term interest rates		(5,278,431	)		(0.10	)%


Total short futures contracts	$	48,897,888			0 .94	%


Total futures contracts	$	1,086,731			0.02	%

FORWARD CURRENCY CONTRACTS


				% of Net
Description	Value			Asset Value
Various long forward currency contracts	$	(126,676,006	)		(2.45	)%
Various short forward currency contracts		(42,155,485	)		(0.81	)%


Total forward currency contracts	$	(168,831,491	)		(3.26	)%


*		— pledged as collateral for the trading of futures and forward positions.

See accompanying notes.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2004

UNITED STATES GOVERNMENT SECURITIES*


							% of Net
Face Value		Maturity Date		Description	Value		Asset Value
$	1,675,000,000		01/06/05	U.S. Treasury Bills	$	1,674,618,108		41.37	%
$	575,000,000		03/17/05	U.S. Treasury Bills		572,424,479		14.14	%
$	350,000,000		01/13/05	U.S. Treasury Bills		349,808,667		8.64	%
$	200,000,000		01/27/05	U.S. Treasury Bills		199,734,222		4.93	%
$	200,000,000		02/17/05	U.S. Treasury Bills		199,459,500		4.93	%
$	175,000,000		02/03/05	U.S. Treasury Bills		174,692,802		4.32	%


				Total United States government securities (cost, including accrued interest, — $3,170,737,778)	$	3,170,737,778		78.33	%

LONG FUTURES CONTRACTS


				% of Net
Description	Value			Asset Value
Energy	$	(7,304,068	)		(0.18	)%
Metals		2,572,720			0.06	%
Stock index		35,075,316			0.87	%
Short-term interest rates		(3,149,439	)		(0.08	)%
Long-term interest rates		31,917,409			0.79	%


Total long futures contracts	$	59,111,938			1.46	%

SHORT FUTURES CONTRACTS


				% of Net
Description	Value			Asset Value
Metals	$	(4,000,591	)		(0.10	)%
Short-term interest rates		4,890,991			0.12	%
Long-term interest rates		(15,630	)		0.00	%


Total short futures contracts	$	874,770			0.02	%


Total futures contracts	$	59,986,708			1.48	%

FORWARD CURRENCY CONTRACTS


				% of Net
Description	Value			Asset Value
Various long forward currency contracts	$	121,005,028			2.99	%
Various short forward currency contracts		(191,142,430	)		(4.72	)%


Total forward currency contracts	$	(70,137,402	)		(1.73	)%


*		— pledged as collateral for the trading of futures and forward positions.

See accompanying notes.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
For the Years Ended December 31, 2005, 2004 and 2003


	2005			2004			2003
TRADING GAINS
Futures trading gains (losses)
Realized	$	420,433,284		$	396,317,020		$	(53,295,006	)
Change in unrealized		(58,899,977	)		16,128,478			27,050,964
Brokerage commissions		(13,246,276	)		(7,550,124	)		(4,574,976	)


Net gain (loss) from futures trading		348,287,031			404,895,374			(30,819,018	)


Forward currency and swap trading gains (losses)
Realized		363,426,548			203,232,232			510,354,521
Change in unrealized		(98,694,089	)		(163,904,953	)		65,019,392
Brokerage commissions		(1,439,002	)		(1,106,990	)		(1,017,503	)


Net gain from forward currency and swap trading		263,293,457			38,220,289			574,356,410


Total net trading gains		611,580,488			443,115,663			543,537,392


EXPENSES NET OF INTEREST INCOME
Income
Interest income		130,633,883			43,794,851			21,955,515


Expenses
Brokerage fee		314,447,041			251,008,338			158,423,875
Performance fee		45,364			102,769,447			61,928,585
Operating expenses		2,927,479			2,840,344			2,439,006


Total expenses		317,419,884			356,618,129			222,791,466


Expenses net of interest income		(186,786,001	)		(312,823,278	)		(200,835,951	)


NET INCOME	$	424,794,487		$	130,292,385		$	342,701,441


NET INCOME PER GENERAL AND LIMITED PARTNER UNIT
(based on weighted average number of units outstanding during the year)	$	272.37		$	100.20		$	385.55


INCREASE IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT	$	261.69		$	114.36		$	395.32

See accompanying notes.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
For the Years Ended December 31, 2005, 2004 and 2003


	2005			2004			2003
Cash flows from (for) operating activities
Net income	$	424,794,487		$	130,292,385		$	342,701,441
Adjustments to reconcile net income to net cash (for) operating activities
Net change in unrealized		157,594,066			147,776,475			(92,070,356	)
Increase (decrease) in accounts payable and accrued expenses		6,084,981			(8,687,415	)		24,241,652
Net (purchases) of investments in United States government securities		(820,930,028	)		(1,247,047,726	)		(670,929,818	)


Net cash (for) operating activities		(232,456,494	)		(977,666,281	)		(396,057,081	)


Cash flows from (for) financing activities
Addition of units		1,123,597,622			1,341,837,619			1,028,600,448
Increase (decrease) in subscription deposits		150,000			0			(17,206,853	)
Redemption of units		(408,082,091	)		(219,153,952	)		(141,662,019	)
Offering costs paid		(13,217,277	)		(22,519,363	)		(13,138,074	)


Net cash from financing activities		702,448,254			1,100,164,304			856,593,502


Net increase in cash and cash equivalents		469,991,760			122,498,023			460,536,421

Cash and cash equivalents
Beginning of year		939,148,927			816,650,904			356,114,483


End of year	$	1,409,140,687		$	939,148,927		$	816,650,904


End of year cash and cash equivalents consists of:
Cash in broker trading accounts	$	383,060,317		$	201,083,246		$	189,245,425
Cash and cash equivalents		1,026,080,370			738,065,681			627,405,479


Total end of year cash and cash equivalents	$	1,409,140,687		$	939,148,927		$	816,650,904

See accompanying notes.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL (NET ASSET VALUE)
For the Years Ended December 31, 2005, 2004 and 2003


	Partners’ Capital
	General					Limited						Total
	Units		Amount			Units			Amount			Units			Amount
Balances at December 31, 2002		7,262.904	$	16,240,216			716,313.085		$	1,601,708,976			723,575.989		$	1,617,949,192
Net income for the year ended December 31, 2003				3,446,561						339,254,880						342,701,441
Additions		3,553.090		8,913,502			406,079.954			1,019,686,946			409,633.044			1,028,600,448
Redemptions		0.000		0			(58,445.500	)		(147,291,398	)		(58,445.500	)		(147,291,398	)
Offering costs				(139,397	)					(13,719,661	)					(13,859,058	)

Balances at December 31, 2003		10,815.994		28,460,882			1,063,947.539			2,799,639,743			1,074,763.533			2,828,100,625
Net income for the year ended December 31, 2004				1,300,362						128,992,023						130,292,385
Additions		4,235.735		11,804,000			478,957.592			1,330,033,619			483,193.327			1,341,837,619
Redemptions		0.000		0			(83,613.981	)		(228,722,464	)		(83,613.981	)		(228,722,464	)
Offering costs				(237,260	)					(23,124,784	)					(23,362,044	)

Balances at December 31, 2004		15,051.729		41,327,984			1,459,291.150			4,006,818,137			1,474,342.879			4,048,146,121
Net income for the year ended December 31, 2005				4,265,819						420,528,668						424,794,487
Additions		2,188.442		6,380,000			388,029.969			1,117,217,622			390,218.411			1,123,597,622
Redemptions		0.000		0			(143,587.201	)		(408,388,635	)		(143,587.201	)		(408,388,635	)
Offering costs				(125,368	)					(12,325,568	)					(12,450,936	)

Balances at December 31, 2005		17,240.171	$	51,848,435			1,703,733.918		$	5,123,850,224			1,720,974.089		$	5,175,698,659

Net Asset Value Per General and Limited Partner Unit


December 31,
2005		2004		2003
$	3,007.42	$	2,745.73	$	2,631.37

See accompanying notes.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS

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 swap contracts.

	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 and other market makers through which the Fund trades.

	C.		Method of Reporting

			The Fund’s financial statements are presented in accordance with U.S. generally accepted accounting principles, 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 Interpretation No. 39 – “Offsetting of Amounts Related to Certain 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 swap and forward currency (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 5:00 P.M. (E.T.) of the last business day of the reporting period or based on the market value of its exchange-traded equivalent. Any change in net unrealized gain or loss from the preceding period is reported in the statement of operations. Brokerage commissions include other trading fees and are charged to expense when contracts are opened. United States government securities are stated at cost plus accrued interest, which approximates market value.

			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.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)

Note 1.ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

	D.		Cash and Cash Equivalents

			Cash and cash equivalents includes cash and short-term time deposits held at financial institutions.

	E.		Income Taxes

			The Fund prepares calendar year U.S. 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.

	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). 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; this maximum is further limited by 30 month pay-out schedules. The Fund is only liable for payment of offering costs on a monthly basis as calculated based on the limitations stated above. At December 31, 2005 and 2004, the Fund reflects a liability in the statement of financial condition for offering costs payable to Campbell & Company of $1,464,278 and $2,230,619, repectively. 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 December 31, 2005 and 2004, the amount of unreimbursed offering costs incurred by Campbell & Company was $3,561,403 and $2,654,427, 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.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)

Note 1.ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

	H.		Reclassification

			Certain amounts in the 2004 financial statements were reclassified to conform with the 2005 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 $6 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.

Note 3.DEPOSITS WITH BROKER

The Fund deposits assets with a broker 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 broker. The Fund earns interest income on its assets deposited with the broker.

Note 4.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% of average month-end Net Asset Value for the years ended December 31, 2005, 2004 and 2003.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)

Note 5.SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

Investments in the Fund are 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. 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.

Note 6.TRADING ACTIVITIES AND RELATED RISKS

The Fund engages in the speculative trading of U.S. and foreign futures contracts, forward currency contracts and swap contracts (collectively, “derivatives”). The Fund is exposed to both market risk, the risk arising from changes in the market value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract.

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 and other market makers usually range from 10% to 30% of Net Asset Value. The market value of securities held to satisfy such requirements at December 31, 2005 and 2004 was $3,991,667,806 and $3,170,737,778, respectively, which equals 77% and 78% of Net Asset Value, respectively. The cash deposited with interbank and other market makers at December 31, 2005 and 2004 was $842,829,676 and $656,506,665, respectively, which equals 16% and 16% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents.

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

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)

Note 6.TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)

For derivatives, risks arise from changes in the market value of the contracts. Theoretically, the Fund is exposed to a market risk equal to the notional contract value of futures, forward currency and swap contracts purchased and unlimited liability on such contracts sold short.

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


	Futures Contracts						Forward Currency Contracts
	(exchange traded)						(non-exchange traded)
	December 31,						December 31,
	2005			2004			2005			2004
Gross unrealized gains	$	82,188,360		$	80,577,521		$	127,868,014		$	160,643,120
Gross unrealized losses		(81,101,629	)		(20,590,813	)		(296,699,505	)		(230,780,522	)


Net unrealized gain (loss)	$	1,086,731		$	59,986,708		$	(168,831,491	)	$	(70,137,402	)

Open contracts generally mature within three months; as of December 31, 2005, the latest maturity date for open futures contracts is September 2006, and the latest maturity date for open forward currency contracts is March 2006. However, the Fund intends to close all 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 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 creditworthy. 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.

Note 7.INDEMNIFICATIONS

In the normal course of business, the Fund enters into contracts and agreements that contain a variety of representations and warranties and 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.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)

Note 8.FINANCIAL HIGHLIGHTS

The following information presents per unit operating performance data and other supplemental financial data for the years ended December 31, 2005, 2004 and 2003. This information has been derived from information presented in the financial statements.


	2005			2004			2003
Per Unit Performance
(for a unit outstanding throughout the entire year)

Net asset value per unit at beginning of year	$	2,745.73		$	2,631.37		$	2,236.05


Income (loss) from operations:
Total net trading gains⁽¹⁾		389.43			372.91			636.86
Expenses net of interest income⁽¹⁾		(119.76	)		(240.58	)		(225.95	)


Total net income from operations		269.67			132.33			410.91


Offering costs⁽¹⁾		(7.98	)		(17.97	)		(15.59	)


Net asset value per unit at end of year	$	3,007.42		$	2,745.73		$	2,631.37


Total Return		9.53	%		4.35	%		17.68	%


Supplemental Data

Ratios to average net asset value:
Expenses prior to performance fee		(7.09	)%		(7.10	)%		(7.15)	%
Performance fee		0.00	%		(2.88	)%		(2.75	)%


Total expenses		(7.09	)%		(9.98	)%		(9.90	)%


Expenses net of interest income⁽²⁾		(4.17	)%		(5.88	)%		(6.17	)%

Total returns are calculated based on the change in value of a unit during the year. 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⁾		Expenses net of interest income per unit and offering costs per unit are calculated by dividing the expenses net of interest income and offering costs by the average number of units outstanding during the year. Total trading gains 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.

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

Positive
Negative
Uncertain
Constraining
Legalese
Litigious
Readability	8th grade Avg

Campbell Strategic Allocation Fund 10-K2005 FY Annual report

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