Campbell Strategic Allocation Fund 10-Q 2020 Q2 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

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

For the quarterly period ended June 30, 2020

or

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

For the transition period from ________ to _________

Commission File number: 000-22260

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

(Exact name of Registrant as specified in charter)

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

 2850 Quarry Lake Drive

 Baltimore, Maryland 21209

 (Address of principal executive offices, including zip code)

 (410) 413-2600

 (Registrant’s telephone number, including area code)

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

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

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

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

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

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

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

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

The Registrant has no voting stock. As of June 30, 2020, there were 70,875.539 Units of General and Limited Partnership Interest issued and outstanding.

TABLE OF CONTENTS

			Page
PART I — FINANCIAL INFORMATION
	Item 1.	Financial Statements.
		Condensed Schedules of Investments as of June 30, 2020 and December 31, 2019 (Unaudited)	1-4
		Statements of Financial Condition as of June 30, 2020 and December 31, 2019 (Unaudited)	5
		Statements of Operations for the Three Months and Six Months Ended June 30, 2020 and 2019 (Unaudited)	6
		Statements of Cash Flows for the Six Months Ended June 30, 2020 and 2019 (Unaudited)	7
		Statements of Changes in Partners’ Capital (Net Asset Value) for the Six Months Ended June 30, 2020 and 2019 (Unaudited)	8
		Financial Highlights for the Three Months and Six Months Ended June 30, 2020 and 2019 (Unaudited)	9
		Notes to Financial Statements (Unaudited)	10-22
	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations.	23-29
	Item 3.	Quantitative and Qualitative Disclosure About Market Risk.	30-34
	Item 4.	Controls and Procedures.	34
PARTII — OTHER INFORMATION
	Item 1.	Legal Proceedings.	35
	Item 1A.	Risk Factors.	35
	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds.	35
	Item 3.	Defaults Upon Senior Securities.	35
	Item 4.	Mine Safety Disclosures.	35
	Item 5.	Other Information.	35
	Item 6.	Exhibits.	36-37
SIGNATURES			38

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

JUNE 30, 2020 (Unaudited)

FIXED INCOME SECURITIES

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

See Accompanying Notes to Financial Statements.

1

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

JUNE 30, 2020 (Unaudited)

FIXED INCOME SECURITIES

Maturity Face Value		Description	Fair Value ($)		% of Net Asset Value
		Government and Agency Obligations
		United States
		U.S. Treasury Bills
$	135,000	U.S. Treasury Bills * Due 07/16/2020	$	134,993		0.09	%
$	7,675,000	U.S. Treasury Bills * Due 08/13/2020		7,673,764		5.05	%
$	8,835,000	U.S. Treasury Bills * Due 09/10/2020		8,832,650		5.82	%
		Total Government and Agency Obligations (cost $16,640,971)		16,641,407		10.96	%
		Total Fixed Income Securities ** (cost $117,898,446)	$	118,245,566		77.85	%

SHORT TERM INVESTMENTS

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

LONG FUTURES CONTRACTS

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

SHORT FUTURES CONTRACTS

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

FORWARD CURRENCY CONTRACTS

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

* Pledged as collateral for the trading of futures positions.

** Included in fixed income securities are U.S. Treasury Bills with a fair value of $16,641,407 deposited with the futures broker.

See Accompanying Notes to Financial Statements.

2

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2019 (Unaudited)

FIXED INCOME SECURITIES

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

See Accompanying Notes to Financial Statements.

3

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2019 (Unaudited)

FIXED INCOME SECURITIES

Maturity Face Value		Description	Fair Value ($)		% of Net Asset Value
		Government and Agency Obligations
		United States
		U.S. Treasury Bills
$	6,875,000	U.S. Treasury Bills * Due 01/02/2020		6,875,000		4.20	%
$	1,850,000	U.S. Treasury Bills * Due 01/16/2020		1,848,998		1.13	%
$	17,805,000	U.S. Treasury Bills * Due 02/13/2020		17,774,205		10.85	%
$	12,250,000	U.S. Treasury Bills * Due 03/12/2020		12,214,330		7.45	%
		Total Government And Agency Obligations (cost $38,708,611)		38,712,533		23.63	%
		Total Fixed Income Securities ** (cost $147,317,185)	$	147,466,607		90.00	%

SHORT TERM INVESTMENTS

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

LONG FUTURES CONTRACTS

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

SHORT FUTURES CONTRACTS

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

FORWARD CURRENCY CONTRACTS

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

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

** Included in fixed income securities are U.S. Treasury Bills with a fair value of $28,785,653 deposited with the futures brokers and $9,926,880 deposited with the interbank market makers.

See Accompanying Notes to Financial Statements.

4

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF FINANCIAL CONDITION

JUNE 30, 2020 AND DECEMBER 31, 2019 (Unaudited)

	June 30, 2020		December 31, 2019
ASSETS
Equity in futures brokers trading accounts
Cash	$	10,839,362	$	8,760,955
Restricted cash		6,287,866		2,311,537
Fixed income securities (cost $16,640,971 and $28,782,516, respectively)		16,641,407		28,785,653
Net unrealized gain (loss) on open futures contracts		775,280		(4,168,853	)
Total equity in futures brokers trading accounts		34,543,915		35,689,292
Cash and cash equivalents		2,643,239		5,834,745
Restricted cash at interbank market makers		16,364,375		7,963,188
Short term investments (cost $920,312 and $3,076, respectively)		920,312		3,076
Fixed income securities (cost $101,257,475 and $118,534,669, respectively)		101,604,159		118,680,954
Interest receivable		221,635		284,924
Total assets	$	156,297,635	$	168,456,179
LIABILITIES
Accounts payable	$	164,646	$	245,160
Brokerage fee payable		899,176		972,132
Net unrealized loss on forward currency contracts		1,896,824		1,422,358
Accrued commissions and other trading fees on open contracts		36,319		67,189
Offering costs payable		55,427		70,313
Redemptions payable		1,349,428		1,825,504
Total liabilities		4,401,820		4,602,656
PARTNERS’ CAPITAL (Net Asset Value)
General Partner - 0.000 and 0.000 redeemable units outstanding at June 30, 2020 and December 31, 2019		0		0
Limited Partners - 70,875.539 and 74,725.829 redeemable units outstanding at June 30, 2020 and December 31, 2019		151,895,815		163,853,523
Total partners’ capital (Net Asset Value)		151,895,815		163,853,523
Total liabilities and partners’ capital (Net Asset Value)	$	156,297,635	$	168,456,179

See Accompanying Notes to Financial Statements.

5

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS AND SIX MONTHS ENDED JUNE 30, 2020 AND 2019 (Unaudited)

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

See Accompanying Notes to Financial Statements.

6

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2020 AND 2019 (Unaudited)

	Six Months Ended June 30,
	2020			2019
Cash flows from (for) operating activities
Net income (loss)	$	(2,862,723	)	$	15,314,831
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
Net change in unrealized on futures, forwards and investments		(4,667,365	)		3,458,190
(Increase) decrease in interest receivable		63,289			32,134
Increase (decrease) in accounts payable and accrued expenses		(184,340	)		(47,957	)
Purchases of investments		(691,182,950	)		(987,762,547	)
Sales/maturities of investments		719,684,453			993,911,342
Net cash from (for) operating activities		20,850,364			24,905,993
Cash flows from (for) financing activities
Redemption of units		(9,199,571	)		(20,401,728	)
Offering costs paid		(386,376	)		(424,477	)
Net cash from (for) financing activities		(9,585,947	)		(20,826,205	)
Net increase (decrease) in cash, cash equivalents and restricted cash		11,264,417			4,079,788
Cash, cash equivalents and restricted cash at beginning of period		24,870,425			28,167,754
Cash, cash equivalents and restricted cash at end of period	$	36,134,842		$	32,247,542

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

	June 30, 2020		December 31, 2019
Cash, cash equivalents and restricted cash at end of period consists of:
Equity in futures brokers trading accounts:
Cash	$	10,839,362	$	8,760,955
Restricted cash		6,287,866		2,311,537
Cash and cash equivalents		2,643,239		5,834,745
Restricted cash at interbank market makers		16,364,375		7,963,188
Total cash, cash equivalents and restricted cash at end of period	$	36,134,842	$	24,870,425

See Accompanying Notes to Financial Statements.

7

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL (NET ASSET VALUE)

FOR THE SIX MONTHS ENDED JUNE 30, 2020 AND 2019 (Unaudited)

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

Net Asset Value per General and Limited Partner Unit

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

See Accompanying Notes to Financial Statements.

8

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

FINANCIAL HIGHLIGHTS

FOR THE THREE MONTHS AND SIX MONTHS ENDED JUNE 30, 2020 AND 2019 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for the three months and six months ended June 30, 2020 and 2019. This information has been derived from information presented in the financial statements.

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

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

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

(2) Excludes performance fee.

(3) Annualized.

(4) Not Annualized.

See Accompanying Notes to Financial Statements.

9

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

Note 1.  ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

A.  General Description of the Fund

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

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

B.  Regulation

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

C.  Method of Reporting

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

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

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

Investment transactions 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 value and fair value) are reported in the Statements of Financial Condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with ASC 210-20, Offsetting - Balance Sheet. The fair value of futures (exchange-traded) contracts is based on various futures exchanges, and reflects the settlement price for each contract as of the close on the last business day of the reporting period. The fair value of forward currency (non-exchange traded) contracts was extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period.

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

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

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

10

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

D. Fair Value

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

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

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

Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes forward currency contracts that the Fund values using models or other valuation methodologies derived from observable market data. This category also includes fixed income investments.

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

The following tables set forth by level within the fair value hierarchy the Fund’s investments accounted for at fair value on a recurring basis as of June 30, 2020 and December 31, 2019.

	Fair Value at June 30, 2020
Description	Level 1		Level 2			Level 3		Total
Investments
Short term investments	$	920,312	$	0		$	0	$	920,312
Fixed income securities		0		118,245,566			0		118,245,566
Other Financial Instruments
Exchange-traded futures contracts		775,280		0			0		775,280
Forward currency contracts		0		(1,896,824	)		0		(1,896,824	)
Total	$	1,695,592	$	116,348,742		$	0	$	118,044,334

	Fair Value at December 31, 2019
Description	Level 1			Level 2			Level 3		Total
Investments
Short term investments	$	3,076		$	0		$	0	$	3,076
Fixed income securities		0			147,466,607			0		147,466,607
Other Financial Instruments
Exchange-traded futures contracts		(4,168,853	)		0			0		(4,168,853	)
Forward currency contracts		0			(1,422,358	)		0		(1,422,358	)
Total	$	(4,165,777	)	$	146,044,249		$	0	$	141,878,472

The gross presentation of the fair value of the Fund’s derivatives by instrument type is shown in Note 9. See Condensed Schedules of Investments for additional detail categorization.

11

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

E.  Cash and Cash Equivalents

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

F.  Income Taxes

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

Management has continued to evaluate the application of ASC 740, Income Taxes, to the Fund, and has determined that no reserves for uncertain tax positions were required. There are no tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly increase or decrease within twelve months. The Fund files federal and state tax returns. The 2016 through 2019 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

G.  Offering Costs

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

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

H.  Foreign Currency Transactions

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

I.  Recently Issued Accounting Pronouncements

In August 2018, the FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement. The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Campbell & Company has adopted the new guidance, and management has determined its adoption has no material impact on the Fund’s financial statement disclosures.

12

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

J.  Reclassification

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

Note 2.  GENERAL PARTNER AND COMMODITY TRADING ADVISOR

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

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

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

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

Note 3.  ADMINISTRATOR AND TRANSFER AGENT

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

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

Note 4.  CASH MANAGER AND CUSTODIAN

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

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

13

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

Note 5.  DEPOSITS WITH FUTURES BROKERS

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

Note 6.  DEPOSITS WITH INTERBANK MARKET MAKERS

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

Note 7.  OPERATING EXPENSES

Operating expenses of the Fund are limited by the Amended Agreement of Limited Partnership to 0.5% per year of the average month-end Net Asset Value of the Fund. Actual operating expenses were less than 0.5% (annualized) of average month-end Net Asset Value for the three months ended June 30, 2020 and 2019.

Note 8.  SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

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

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

Note 9.  TRADING ACTIVITIES AND RELATED RISKS

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

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

Market Risk

For derivatives, risks arise from changes in the fair value of the contracts. Market movements result in frequent changes in the fair value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the fair value of financial instruments and contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades. Theoretically, the Fund is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. See Note 1.C. for an explanation of how the Fund determines its valuation for derivatives as well as the netting of derivatives.

14

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

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

The following tables summarize quantitative information required by ASC 815.  The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statements of Financial Condition, as of June 30, 2020 and December 31, 2019 is as follows:

Type of Instrument *	Statements of Financial Condition Location	Asset Derivatives at June 30, 2020 Fair Value		Liability Derivatives at June 30, 2020 Fair Value			Net
Agriculture Contracts	Net unrealized gain (loss) on open futures contracts	$	300,966	$	(763,491	)	$	(462,525	)
Energy Contracts	Net unrealized gain (loss) on open futures contracts		747,948		(243,070	)		504,878
Metal Contracts	Net unrealized gain (loss) on open futures contracts		3,712,809		(4,650,560	)		(937,751	)
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts		560,375		(495,619	)		64,756
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		224,624		(81,713	)		142,911
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		1,618,519		(155,508	)		1,463,011
Forward Currency Contracts	Net unrealized gain (loss) on open forward currency contracts		5,835,934		(7,732,758	)		(1,896,824	)
Totals		$	13,001,175	$	(14,122,719	)	$	(1,121,544	)

* Derivatives not designated as hedging instruments under ASC 815

Type of Instrument *	Statements of Financial Condition Location	Asset Derivatives at December 31, 2019 Fair Value		Liability Derivatives at December 31, 2019 Fair Value			Net
Agriculture Contracts	Net unrealized gain (loss) on open futures contracts	$	100,996	$	(1,568,839	)	$	(1,467,843	)
Energy Contracts	Net unrealized gain (loss) on open futures contracts		976,245		(135,657	)		840,588
Metal Contracts	Net unrealized gain (loss) on open futures contracts		2,891,613		(4,116,917	)		(1,225,304	)
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts		780,153		(609,690	)		170,463
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		168,765		(578,590	)		(409,825	)
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		768,719		(2,845,651	)		(2,076,932	)
Forward Currency Contracts	Net unrealized gain (loss) on open forward currency contracts		12,443,080		(13,865,438	)		(1,422,358	)
Totals		$	18,129,571	$	(23,720,782	)	$	(5,591,211	)

* Derivatives not designated as hedging instruments under ASC 815

15

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

The trading gains and losses of the Fund’s derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the three months ended June 30, 2020 and 2019 is as follows:

Type of Instrument	Trading Gains/(Losses) for the Three Months Ended June 30, 2020			Trading Gains/(Losses) for the Three Months Ended June 30, 2019
Agriculture Contracts	$	(1,747,859	)	$	(2,852,774	)
Energy Contracts		(783,897	)		208,408
Metal Contracts		(700,063	)		(1,722,381	)
Stock Indices Contracts		390,867			5,688,760
Short-Term Interest Rate Contracts		439,171			6,398,164
Long-Term Interest Rate Contracts		341,387			5,594,389
Forward Currency Contracts		(6,918,024	)		(1,749,609	)
Total	$	(8,978,418	)	$	11,564,957

Type of Instrument	Trading Gains/(Losses) for the Six Months Ended June 30, 2020			Trading Gains/(Losses) for the Six Months Ended June 30, 2019
Agriculture Contracts	$	175,246		$	(2,393,509	)
Energy Contracts		4,442,386			(2,101,416	)
Metal Contracts		3,786,710			(2,721,409	)
Stock Indices Contracts		(23,176,345	)		10,040,717
Short-Term Interest Rate Contracts		8,448,354			8,825,694
Long-Term Interest Rate Contracts		2,536,115			12,183,804
Forward Currency Contracts		6,233,353			(3,697,199	)
Total	$	2,445,819		$	20,136,682

16

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

Line Item in the Statements of Operations	Trading Gains/(Losses) for the Three Months Ended June 30, 2020			Trading Gains/(Losses) for the Three Months Ended June 30, 2019
Futures trading gains (losses):
Realized**	$	492		$	15,259,049
Change in unrealized		(2,060,886	)		(1,944,483	)
Forward currency trading gains (losses):
Realized**		3,984,032			(1,952,204	)
Change in unrealized		(10,902,056	)		202,595
Total	$	(8,978,418	)	$	11,564,957

Line Item in the Statements of Operations	Trading Gains/(Losses) for the Six Months Ended June 30, 2020			Trading Gains/(Losses) for the Six Months Ended June 30, 2019
Futures trading gains (losses):
Realized***	$	(8,731,667	)	$	21,497,650
Change in unrealized		4,944,133			2,336,231
Forward currency trading gains (losses):
Realized***		6,707,819			2,467,191
Change in unrealized		(474,466	)		(6,164,390	)
Total	$	2,445,819		$	20,136,682

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

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

For the three months ended June 30, 2020 and 2019, the monthly average of futures contracts bought and sold was approximately 19,400 and 25,300, respectively, and the monthly average of notional value of forward currency contracts was $986,400,000 and $2,029,600,000, respectively.

For the six months ended June 30, 2020 and 2019, the monthly average of futures contracts bought and sold was approximately 25,300 and 26,200, respectively, and the monthly average of notional value of forward currency contracts was $1,056,500,000 and $1,995,300,000, respectively.

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

17

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

Credit Risk

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

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

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

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

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

The amount of required margin and good faith deposits with the futures brokers and interbank market makers usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at June 30, 2020 and December 31, 2019 was $16,641,407 and $38,712,533, respectively, which equals approximately 11% and 24% of Net Asset Value, respectively. The cash deposited with the interbank market makers at June 30, 2020 and December 31, 2019 was $18,407,598 and $13,104,927, respectively, which equals approximately 12% and 8% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents, and restricted cash at interbank market makers. Included in cash deposits with the futures brokers and interbank market makers at June 30, 2020 and December 31, 2019 was restricted cash for margin requirements of $22,652,241 and $10,274,725, respectively, which equals approximately 15% and 6% of Net Asset Value, respectively.

18

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

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

Offsetting of Derivative Assets by Counterparty
As of June 30, 2020
Type of Instrument	Counterparty	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition
Futures contracts	Goldman Sachs	$	7,165,241	$	(6,389,961	)	$	775,280
Forward currency contracts	NatWest Markets PLC		5,835,934		(5,835,934	)		0
Total derivatives		$	13,001,175	$	(12,225,895	)	$	775,280

Derivative Assets and Collateral Received by Counterparty
As of June 30, 2020
	Net Amounts of Unrealized Gain in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty			Financial Instruments		Cash Collateral Received		Net Amount
Goldman Sachs	$	775,280	$	0	$	0	$	775,280
NatWest Markets PLC		0		0		0		0
Total	$	775,280	$	0	$	0	$	775,280

Offsetting of Derivative Liabilities by Counterparty
As of June 30, 2020
Type of Instrument	Counterparty	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statements of Financial Condition			Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition
Futures contracts	Goldman Sachs	$	6,389,961	$	(6,389,961	)	$	0
Forward currency contracts	NatWest Markets PLC		7,732,758		(5,835,934	)		1,896,824
Total derivatives		$	14,122,719	$	(12,225,895	)	$	1,896,824

19

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

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

Offsetting of Derivative Assets by Counterparty
As of December 31, 2019
Type of Instrument	Counterparty	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	2,834,912	$	(2,834,912	)	$	0
Futures contracts	Goldman Sachs		2,851,579		(2,851,579	)		0
Total futures contracts			5,686,491		(5,686,491	)		0
Forward currency contracts	UBS AG		6,221,540		(6,221,540	)		0
Forward currency contracts	NatWest Markets PLC		6,221,540		(6,221,540	)		0
Total forward currency contracts			12,443,080		(12,443,080	)		0
Total derivatives		$	18,129,571	$	(18,129,571	)	$	0

Derivative Assets and Collateral Received by Counterparty
As of December 31, 2019
	Net Amounts of Unrealized Gain in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty			Financial Instruments		Cash Collateral Received		Net Amount
UBS Securities LLC	$	0	$	0	$	0	$	0
Goldman Sachs		0		0		0		0
UBS AG		0		0		0		0
NatWest Markets PLC		0		0		0		0
Total	$	0	$	0	$	0	$	0

20

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

Offsetting of Derivative Liabilities by Counterparty
As of December 31, 2019
Type of Instrument	Counterparty	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statements of Financial Condition			Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	4,929,967	$	(2,834,912	)	$	2,095,055
Futures contracts	Goldman Sachs		4,925,377		(2,851,579	)		2,073,798
Total futures contracts			9,855,344		(5,686,491	)		4,168,853
Forward currency contracts	UBS AG		6,932,719		(6,221,540	)		711,179
Forward currency contracts	NatWest Markets PLC		6,932,719		(6,221,540	)		711,179
Total forward currency contracts			13,865,438		(12,443,080	)		1,422,358
Total derivatives		$	23,720,782	$	(18,129,571	)	$	5,591,211

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

* Represents a portion of the $9,926,880 fair value in U.S. Treasury Bills held at the interbank market makers.

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

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

21

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

Note 10. INDEMNIFICATIONS

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

Note 11. INTERIM FINANCIAL STATEMENTS

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

Note 12. SUBSEQUENT EVENTS

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

22

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

Introduction

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

Critical Accounting Policies

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates utilized in preparing the financial statements are reasonable and prudent; however, actual results could differ from those estimates. The Fund’s significant accounting policies are described in detail in Note 1 of the Financial Statements.

The Fund records all investments at fair value in its financial statements, with changes in fair value reported as a component of realized and change in unrealized trading gains (losses) in the Statements of Operations. Generally, fair values are based on market prices; however, in certain circumstances, estimates are involved in determining fair value in the absence of an active market closing price (i.e., forward contracts which are traded in the inter-bank market).

Capital Resources

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

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

The Fund generally maintains 60% to 75% of its net asset value in cash, cash equivalents or other liquid positions in its cash management program over and above that needed to post as collateral for trading. These funds are available to meet redemptions each month. After redemptions are taken into account each month, the trade level of the Fund is adjusted and positions in the instruments the Fund trades are liquidated, if necessary, on a pro-rata basis to meet those increases or decreases in trade levels.

Liquidity

Most United States commodity exchanges limit fluctuations in the prices of futures contracts during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” During a single trading day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has reached the daily limit for that day, positions in that contract can neither be taken nor liquidated. Futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Fund from promptly liquidating unfavorable positions and subject the Fund to substantial losses which could exceed the margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Fund may not be able to execute futures trades at favorable prices, if little trading in such contracts is taking place. Other than these limitations on liquidity, which are inherent in the Fund’s futures trading operations, the Fund’s assets are expected to be highly liquid.

The entire offering proceeds, without deductions, were credited to the Fund’s bank, custodial and/or cash management accounts. The Fund meets margin requirements for its trading activities by depositing cash or U.S. government securities with the futures brokers and the over-the-counter counterparties. This does not reduce the risk of loss from trading futures and forward contracts. The Fund receives all interest earned on its assets. No other person shall receive any interest or other economic benefits from the deposit of Fund assets.

23

Approximately 10% to 30% of the Fund’s assets normally are committed as required margin for futures contracts and held by the futures brokers, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. Treasury bills in segregated accounts with the futures brokers pursuant to the Commodity Exchange Act and regulations thereunder. Approximately 5% to 15% of the Fund’s assets are deposited with over-the-counter counterparties in order to initiate and maintain forward contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparties.

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

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

The Fund’s assets are not and will not be, directly or indirectly, commingled with the property of any other person in violation of law or invested in or loaned to Campbell & Company or any affiliated entities.

Off-Balance Sheet Risk

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Fund trades in futures and forward 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, the general partner (who also acts as trading advisor), minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30% however, these precautions may not be effective in limiting the risk of loss.

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

24

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

The Fund invests in futures and forward currency contracts. The fair value of futures (exchange-traded) contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of the last business day of the reporting period. The fair value of forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) of the last business day of the reporting period.

Results of Operations

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

2020 (For the Six Months Ended June 30)

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

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

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

25

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

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

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

26

Losses in May once again came from foreign exchange, as well as commodity and stock index holdings, while interest rate positions contributed some gains. May’s short positioning on several of the so-called commodity currencies, namely the Norwegian krone and Australian dollar, produced losses when those currencies rallied strongly.  Fueling the run-up was a sharp rebound in many beaten down commodity markets, specifically the energy complex, as optimism grew that the worst of the COVID-19 crisis was over.  A long position on the Canadian dollar (versus short the US dollar) contributed some partially offsetting gains for the sector on the same commodity currency drivers cited above. Commodity holdings produced additional losses for the Fund during the month.  Short positioning on the energy, grain, and industrial metal complexes showed losses as those markets rallied driven by the improving COVID-19 crisis.  A long holding on precious metals, specifically silver, produced some partially offsetting gains for the sector as expected industrial demand overwhelmed limited supplies of the metal. Short positioning on stock indexes in Europe and Japan suffered as most global stock indices continued to bounce higher from the March COVID-19 crisis lows.  Regional economic re-openings linked with no new major spikes in coronavirus cases fueled the equity optimism.  A long position on the Hong Kong Hang Seng index added to sector losses as that market was one of the few global indexes to sell-off during May.  China’s legislature approved a proposal to impose a highly contentious national security law in the semi-autonomous territory which sparked the regional equity sell-off. Interest rate positions from both long and short-dated instruments contributed partially offsetting gains to the Fund in May.  A short position on the German 10-year note was one of the most profitable markets in the sector.  The German Bund sold-off during the month (prices lower and yields higher) as signs of improvement in the coronavirus crisis caused traders to shun safe haven assets in favor of riskier ones.

Foreign exchange trading in both the emerging and developed markets produced losses for the Fund during June.  The greatest declines were seen in the Norwegian krone, Australian dollar, and certain Latin American currencies.  These commodity-linked currencies strengthened to start the month, causing some strategies to cover their previously held long positions, only to reverse those moves later in June.  The investor exuberance over additional government stimulus and the economic re-openings quickly wore off on reports of increasing COVID-19 infection outbreaks. Short soft commodity and industrial metal holdings suffered as the dollar weakened early in the month and as optimism over a rapid recovery in economic growth bolstered prices.  Short grain positions produced losses on the last trading day of the month as the grain complex rallied sharply after the USDA reported acreage that trailed estimates.  Within the energy sub-sector, a short natural gas holding provided some offsetting gains amid plummeting US gas exports as well as shifting weather and market supply dynamics. Meanwhile, stock index trading generated some offsetting gains. The Fund held a mix of long and short positions across the traded universe of indexes and showed a gain in Asia and North America, but partially offsetting losses were realized in Europe.  Most global indexes experienced a choppy month amid mixed coronavirus news coupled with hopes for more stimulus from central banks. Interest rate positions from long-dated instruments also contributed small offsetting gains during the month.  The Bank of Japan signaled plans to buy more shorter-maturity bonds which caused the yield curve to steepen and benefited our short positioning on longer-dated Japanese government bonds.

2019 (For the Six Months Ended June 30)

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

Sector	% Gain (Loss)
Commodities		(3.81	)%
Currencies		(2.04	)%
Interest Rates		11.73	%
Stock Indices		5.52	%
		11.40	%

27

The Fund, which consists of trend following, systematic macro, and short-term strategies, was lower in January. Losses came from commodity and foreign exchange positions, while fixed income and stock holdings produced partially offsetting gains for the Fund. Commodity trading generated losses for the Fund in January. Short energy positions suffered as the complex rebounded from multi-year lows on back of bullish fundamental developments and a general increase in risk sentiment. Short grain positioning also detracted as the sector traded higher amid adverse weather conditions in key growing regions, and some optimism surrounding the latest round of trade talks between the US and China. Foreign exchange positioning produced additional losses, with gains in long emerging market currencies (versus the USD) being overshadowed by losses in the developed markets, where we were net short against the greenback. The USD was broadly weaker on the month with the notable themes being the US government shutdown and a less hawkish FOMC. Short positioning on several of the commodity currencies produced the largest losses as those currencies rallied on back of the increase in prices across the petroleum complex during the month. Interest rate positions from long-dated instruments provided offsetting profits during the month. Long positioning on bonds issued by Australia, Canada, and France generated the largest gains. The shift in central bank rhetoric to a more dovish tone caused global fixed income markets to rise to start the year.  Stock index positions also produced some offsetting gains during the month. Despite a myriad of global headwinds, stock markets recovered from their December sell-off, encouraged by a resumption of trade talks, dovish Fed takeaways, and the start of US Q4 earnings that mostly met expectations. Shorter term strategies moved from short to long, flipping net Fund positioning in time to capitalize on rallying equity markets, especially in the Hang Seng index.

The Fund showed a profit in February with gains coming from commodity and stock index positions, while interest rate holdings produced some partially offsetting losses. Foreign Exchange (FX) had little P&L impact on the Fund during the month. Commodity trading generated profits for the Fund in February. Short positioning across the grain subsector produced some of the best sector gains. Wheat extended a sell-off to a ten-month low following a year-over-year improvement in winter crop conditions. A long position on palladium led gains in the precious metals subsector. Palladium rose to a record high amid tight supplies and steadily rising demand for the rare metal. Some partially offsetting losses came from the industrial metal subsector. Short positioning on copper and nickel suffered as prices rose, driven by signs of progress on US / Chinese trade talks and amid tight supplies. Stock index positions produced additional gains. Long positioning on European, US, and Asia-Pacific indices produced the best profits within the sector. European stock indices benefitted from signs of progress for a successful Brexit (the UK divorce from the European Union) with the Euro Stoxx 50 and the French CAC 40 producing some of the greatest sector returns. Asia-Pacific stocks rallied amid signs that a US / Chinese trade deal was also making positive progress. President Trump delayed a March 1^st tariff increase on China as he cited “significant progress” on the trade talks. Some of the biggest gains within the region came from Australia and Hong Kong. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting losses during the month. Long positioning on the United Kingdom (UK) gilt (10-year note) contributed the largest losses to the sector. Signs of positive progress on Brexit and hawkish comments from the UK central bank head Mark Carney conspired to send gilt prices down sharply from near-term highs. In the foreign exchange sector, gains in developed market currencies were almost equally offset by losses in the emerging market currencies, leading to negligible P&L for currencies overall. Long US dollar positioning was profitable against developed market currencies but losses in the emerging markets, especially from the Brazilian real and the South African rand, mostly negated any FX sector gains.

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

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

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

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

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Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Introduction

Past Results Not Necessarily Indicative of Future Performance

The Fund is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or a substantial amount of the Fund’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Fund’s main line of business.

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

The Fund rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Fund’s past performance is not necessarily indicative of its future results.

Standard of Materiality

Materiality as used in this section, “Quantitative and Qualitative Disclosures About Market Risk,” is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage and multiplier features of the Fund’s market sensitive instruments.

Quantifying the Fund’s Trading Value at Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the Fund’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact (such as the dollar amount of maintenance margin required for market risk sensitive instruments held at the end of the reporting period).

The Fund’s risk exposure in the various market sectors traded is estimated in terms of Value at Risk (VaR). The Fund estimates VaR using a model based upon historical simulation (with a confidence level of 97.5%) which involves constructing a distribution of hypothetical daily changes in the value of a trading portfolio. The VaR model takes into account linear exposures to risks, including equity and commodity prices, interest rates, foreign exchange rates, and correlation among these variables. The hypothetical changes in portfolio value are based on daily percentage changes observed in key market indices or other market factors to which the portfolio is sensitive. The Fund’s VaR at a one day 97.5% confidence level corresponds to the negative change in portfolio value that, based on observed market risk factors, would have been exceeded once in 40 trading days or one day in 40. VaR typically does not represent the worst case outcome.

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

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

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

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 and forwards, 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 June 30, 2020 and December 31, 2019 and the trading gains/losses by market category for the six months ended June 30, 2020 and the year ended December 31, 2019.

	June 30, 2020
Market Sector	Value at Risk*			Trading Gain/(Loss)**
Commodities		0.70	%		4.65	%
Currencies		0.54	%		3.81	%
Interest Rates		0.58	%		6.39	%
Stock Indices		0.28	%		(13.66	) %
Aggregate/Total		1.35	%		1.19	%

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

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

	December 31, 2019
Market Sector	Value at Risk*			Trading Gain/(Loss)**
Commodities		0.51	%		(8.27	) %
Currencies		0.60	%		(3.68	) %
Interest Rates		0.61	%		12.74	%
Stock Indices		0.71	%		9.63	%
Aggregate/Total		1.19	%		10.42	%

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

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

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

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

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

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

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

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

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

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

Non-Trading Risk

The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Fund also has non-trading market risk as a result of investing a portion of its available assets in U.S. Treasury Bills held at the brokers and over-the-counter counterparties. The market risk represented by these investments is minimal. Finally, the Fund has non-trading market risk on fixed income securities held as part of its cash management program. The cash manager will use its best endeavors in the management of the assets of the Fund but provide no guarantee that any profit or interest will accrue to the Fund as a result of such management.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

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

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

Currencies

The Fund’s currency exposure is to foreign exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Fund trades in a large number of currencies, including cross-rates — i.e., positions between two currencies other than the U.S. Dollar. Campbell & Company does not anticipate that the risk profile of the Fund’s currency sector will change significantly in the future.

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Interest Rates

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

Stock Indices

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

Energy

The Fund’s primary energy market exposure is to natural gas, crude oil and derivative product price movements, often resulting from international political developments and ongoing conflicts in the Middle East and the perceived outcome. Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

Metals

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

Agricultural

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

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the non-trading risk exposures of the Fund as of June 30, 2020.

Foreign Currency Balances

The Fund’s primary foreign currency balances are in Australian Dollar, British Pound, Canadian Dollar, Euros, Hong Kong Dollar, Japanese Yen, Singapore Dollar, South African Rand and Swedish Krona. The Fund controls the non-trading risk of these balances by regularly converting these balances back into dollars (no less frequently than twice a month, and more frequently if a particular foreign currency balance becomes unusually large).

Fixed Income Securities and Short Term Investments

The Fund’s primary market exposure in instruments (other than treasury positions described in the subsequent section) held other than for trading is in its fixed income portfolio. The cash manager, PNC, has authority to make certain investments on behalf of the Fund. All securities purchased by the cash manager on behalf of the Fund will be held in the Fund’s custody account at the custodian. The cash manager will use its best endeavors in the management of the assets of the Fund but provide no guarantee that any profit or interest will accrue to the Fund as a result of such management.

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U.S. Treasury Bill Positions for Margin Purposes

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

The means by which the Fund and Campbell & Company, severally, attempt to manage the risk of the Fund’s open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses.

General

The Fund is unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or uncertainties that will have a material effect on operations. From time to time, certain regulatory agencies have proposed increased margin requirements on futures contracts. Because the Fund generally will use a small percentage of assets as margin, the Fund does not believe that any increase in margin requirements, as proposed, will have a material effect on the Fund’s operations.

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

The future impact of the COVID-19 outbreak on the financial performance of the Fund’s investments will depend on future developments, including the duration and spread of the virus and related advisories and restrictions. These developments and the impact of COVID-19 on the financial markets and the overall economy are highly uncertain and cannot be predicted. If the financial markets and/or the overall economy are impacted for an extended period, the Fund’s ability to trade and investment results may be materially affected.

Item 4.  Controls and Procedures.

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

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PART II-OTHER INFORMATION

Item 1.  Legal Proceedings.

None

Item 1A.  Risk Factors.

None

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

None

Item 3.  Defaults Upon Senior Securities.

Not applicable.

Item 4.  Mine Safety Disclosures.

Not applicable.

Item 5.  Other Information.

None

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Item 6.  Exhibits.

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

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

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

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

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

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EXHIBIT INDEX

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

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SIGNATURES

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

	CAMPBELL STRATEGIC ALLOCATION FUND, L.P. (Registrant)
	By:	Campbell & Company, LP
		General Partner
Date: August 14, 2020	By:	/s/ G. William Andrews
		G. William Andrews
		Chief Executive Officer

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