##### 



SECURITIES AND EXCHANGE COMMISSION
 WASHINGTON, D.C. 20549
 FORM 10-K
 (Mark One)
 þ
    
    ANNUAL REPORT PURSUANT TO SECTION 13 OR 15 (d)
OF THE SECURITIES EXCHANGE ACT OF 1934 [NO FEE REQUIRED]
 For the Fiscal Year Ended December 31, 2006
 Commission File Number 0-22260 and 2-84126   OR
 o
    
    TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934 [NO FEE REQUIRED]
 For
the transition period from
 to
 CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
  DELAWARE
    
    52-1823554(State or other jurisdiction of 
incorporation or organization)
    
    (IRS Employer Identification Number)
 210 W. Pennsylvania Avenue 
Towson, Maryland
    
    21204
 (410)296-3301   None
  Units of Limited Partnership Interest
  o þ
 o þ
 þ o
 þ
  o o þ
 o þ
  5.




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TABLE OF CONTENTS
 PagePART IITEM 1.
    
    BUSINESS
    
    
    1-2ITEM 1A.
    
    RISKS FACTORS
    
    
    3-10ITEM 1B.
    
    UNRESOLVED STAFF COMMENTS
    
    
    10ITEM 2.
    
    PROPERTIES
    
    
    10ITEM 3.
    
    LEGAL PROCEEDINGS
    
    
    10ITEM 4.
    
    SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
    
    
    10PART IIITEM 5.
    
    MARKET FOR REGISTRANTS COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUERPURCHASES OF EQUITY SECURITIES
    
    
    10ITEM 6.
    
    SELECTED FINANCIAL DATA
    
    
    11ITEM 7.
    
    MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OFOPERATIONS
    
    
    12-19ITEM 7A.
    
    QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
    
    
    19-25ITEM 8.
    
    FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
    
    
    25ITEM 9.
    
    CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIALDISCLOSURE
    
    
    25ITEM 9A.
    
    CONTROLS AND PROCEDURES
    
    
    25ITEM 9B.
    
    OTHER INFORMATION
    
    
    25PART IIIITEM 10.
    
    DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT
    
    
    25-27ITEM 11.
    
    EXECUTIVE COMPENSATION
    
    
    28ITEM 12.
    
    SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS
    
    
    28ITEM 13.
    
    CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
    
    
    28ITEM 14.
    
    PRINCIPAL ACCOUNTING FEES AND SERVICES
    
    
    28-29PART IVITEM 15.
    
    EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON FORM 8-K
    
    
    29-30
 
  ii




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PART I
 Item 1. Business
      Regulation
  1




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##### 



Operations
     http://www.sec.gov
 2




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##### 



Item 1A. Risk Factors
  You Could Possibly Lose Your Total Investment in the Fund
  The Fund is Highly Leveraged
  Your Investment Could be Illiquid
     3




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##### 



Forward and Option Transactions are Over-the-Counter, are Not Regulated and are Subject to Credit
Risk
   Options on Futures and Over-the-Counter Contracts are Speculative and Highly Leveraged
  An Investment in the Fund May Not Diversify an Overall Portfolio
  4




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##### 



Trading Risks
 Campbell & Company Analyzes Primarily Technical Market Data
   Increased Competition from Other Trend-Following Traders Could Reduce Campbell & Companys
Profitability
  Speculative Position Limits May Alter Trading Decisions for the Fund
  Increase in Assets Under Management May Make Profitable Trading More Difficult
  5




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##### 



Investors Will Not be Able to Review the Funds Holdings on a Daily Basis
  Tax Risks
 Investors are Taxed Based on Their Share of Fund Profits
  Tax Could be Due from Investors on Their Share of the Funds Ordinary Income Despite Overall Losses
  There Could be a Limit on the Deductibility of Brokerage and Performance Fees
  Other Risks
 Fees and Commissions are Charged Regardless of Profitability and are Subject to Change
  The Futures Broker Could Fail and Has Been Subject to Disciplinary Action
 pro rata
 6




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##### 



Investors Must Not Rely on the Past Performance of Either Campbell & Company or the Fund in
Deciding Whether to Buy Units
  Parties to the Fund Have Conflicts of Interest
     There are No Independent Experts Representing Investors
  The Fund Places Significant Reliance on Campbell & Company
  7




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##### 



The Fund Could Terminate Before Expiration of its Stated Term
  The Fund is Not a Regulated Investment Company
  Proposed Regulatory Change is Impossible to Predict
  Forwards, Options, Swaps, Hybrids and Other Derivatives are Not Subject to CFTC Regulation
  The Fund is Subject to Foreign Market Credit and Regulatory Risk
  8




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##### 



The Fund is Subject to Foreign Exchange Risk
  Transfers Could be Restricted
  A Single-Advisor Fund May be More Volatile Than a Multi-Advisor Fund
  The Performance Fee Could be an Incentive to Make Riskier Investments
  The Fund May Distribute Profits to Limited Partners at Inopportune Times
  Potential Inability to Trade or Report Due to Systems Failure
  9




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##### 



Potential Disruption or Inability to Trade Due to a Failure to Receive Timely and Accurate Market
Data from Third Party Vendors
  Item 1B. Unresolved Staff Comments
  Item 2. Properties
  Item 3. Legal Proceedings
  Item 4. Submission of Matters to a Vote of Security Holders
  PART II
 Item 5. Market for Registrants Common Equity , Related Stockholder Matters and Issuer
Purchases of Equity Securities
    10




---



##### 



Item 6. Selected Financial Data
 Dollars in thousands, except per Unit amounts
 For the Year Ended December 31,2006
    
    
    2005
    
    
    2004
    
    
    2003
    
    
    2002Total Assets
    
    $
    5,777,987
    
    
    $
    5,233,064
    
    
    $
    4,099,736
    
    
    $
    2,877,967
    
    
    $
    1,654,430Total Partners Capital
    
    
    5,654,540
    
    
    
    5,175,699
    
    
    
    4,048,146
    
    
    
    2,828,101
    
    
    
    1,617,949Total Trading Gain
(includes brokerage commissions)
    
    
    348,176
    
    
    
    611,580
    
    
    
    443,116
    
    
    
    543,537
    
    
    
    250,527Net Income
    
    
    211,997
    
    
    
    424,794
    
    
    
    130,292
    
    
    
    342,701
    
    
    
    155,979Net Income Per General
and Limited Partner Unit *
    
    
    113.86
    
    
    
    272.37
    
    
    
    100.20
    
    
    
    385.55
    
    
    
    282.19Increase in Net Asset Value per
General and Limited
Partner Unit
    
    
    121.64
    
    
    
    261.69
    
    
    
    114.36
    
    
    
    395.32
    
    
    
    259.32
  1st Qtr.
    
    2nd Qtr.
    
    3rd Qtr.
    
    4th Qtr.2006
    
    2006
    
    2006
    
    2006Total Trading Gain (Loss)
(includes brokerage
commissions)
    
    $
    295,705
    
    
    $
    (341,736
    )
    
    $
    (172,324
    )
    
    $
    566,531Net Income (Loss)
    
    
    250,825
    
    
    
    (374,694
    )
    
    
    (200,067
    )
    
    
    535,933Net Income (Loss)
per General and
Limited Partner
Unit *
    
    
    141.24
    
    
    
    (195.77
    )
    
    
    (105.06
    )
    
    
    289.18Increase (Decrease)
in Net Asset Value
per General and
Limited Partner Unit
    
    
    135.08
    
    
    
    (197.56
    )
    
    
    (106.37
    )
    
    
    290.49Net Asset Value per
General and Limited
Partner Unit at the
End of the Period
    
    
    3,142.50
    
    
    
    2,944.94
    
    
    
    2,838.57
    
    
    
    3,129.06
 
 *
    
    - Based on weighted average number of units outstanding during the period.
 1st Qtr.
    
    2nd Qtr.
    
    3rd Qtr.
    
    4th Qtr.2005
    
    2005
    
    2005
    
    2005Total Trading Gain (Loss)
(includes brokerage
commissions)
    
    $
    (95,831
    )
    
    $
    546,406
    
    
    $
    (14,383
    )
    
    $
    175,388Net Income (Loss)
    
    
    (143,189
    )
    
    
    498,040
    
    
    
    (59,548
    )
    
    
    129,491Net Income (Loss)
per General and
Limited Partner
Unit *
    
    
    (95.53
    )
    
    
    323.87
    
    
    
    (38.20
    )
    
    
    78.82Increase (Decrease)
in Net Asset Value
per General and
Limited Partner Unit
    
    
    (98.24
    )
    
    
    322.16
    
    
    
    (42.00
    )
    
    
    79.77Net Asset Value per
General and Limited
Partner Unit at the
End of the Period
    
    
    2,647.49
    
    
    
    2,969.65
    
    
    
    2,927.65
    
    
    
    3,007.42
 
 *
    
    - Based on weighted average number of units outstanding during the period.
 11




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##### 



Item 7. Managements Discussion and Analysis of Financial Condition and
Results of Operations.
 Introduction
  Critical Accounting Policies
   Capital Resources
  Liquidity
  12




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##### 



i.e.
   Results of Operations
  2006
  Sector
    
    % Gain (Loss)Stock Indices
    
    
    6.67
    %Interest Rates
    
    
    3.05Metals
    
    
    2.01Currencies
    
    
    1.91Energy
    
    
    (6.71
    )6.93
    %
  13




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##### 



2005
  Sector
    
    % Gain (Loss)Interest Rates
    
    
    6.65
    %Currencies
    
    
    5.98Energy
    
    
    3.34Metals
    
    
    1.16Stock Indices
    
    
    (2.82
    )14.31
    %
 14




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##### 



15




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##### 



16




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##### 



2004
  Sector
    
    % Gain (Loss)Interest Rates
    
    
    12.60
    %Currencies
    
    
    2.20Energy
    
    
    1.78Metals
    
    
    (0.61
    )Stock Indices
    
    
    (1.98
    )13.99
    %
     17




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##### 



18




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##### 



Off-Balance Sheet Risk
    Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts
Accounted for at Fair Value
  Item 7A. Quantitative and Qualitative Disclosures About Market Risk
 Introduction
 Past Results Not Necessarily Indicative of Future Performance
  19




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##### 



Standard of Materiality
  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).
    20




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##### 



The Funds Trading Value at Risk in Different Market Sectors
  December 31, 2006TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Stock Indices
    
    
    0.75
    %
    
    
    6.67
    %Currencies
    
    
    0.70
    %
    
    
    1.91
    %Energy
    
    
    0.39
    %
    
    
    (6.71
    )%Long Interest Rates
    
    
    0.35
    %
    
    
    (0.24
    )%Short Interest Rates
    
    
    0.26
    %
    
    
    3.29
    %Metals
    
    
    0.17
    %
    
    
    2.01
    %Aggregate/Total
    
    
    1.42
    %
    
    
    6.93
    %
 
 *
    
    -The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The aggregate VaR represents the VaR of the Funds open
positions across all market sectors, and is less than the sum of the VaRs for all such market
sectors due to the diversification benefit across asset classes.**
    
    -Of the return for the year ended December 31, 2006, approximately 6.93% was due to
trading gains (before commissions) and approximately 4.72% due to interest income, offset by
approximately 7.61% due to brokerage fees, performance fees and operating and offering costs
borne by the Fund giving a net return of 4.04%.
 December 31, 2005TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    1.45
    %
    
    
    5.98
    %Long Interest Rates
    
    
    0.80
    %
    
    
    1.80
    %Energy
    
    
    0.63
    %
    
    
    3.34
    %Short Interest Rates
    
    
    0.62
    %
    
    
    4.85
    %Stock Indices
    
    
    0.38
    %
    
    
    (2.82
    )%Metals
    
    
    0.06
    %
    
    
    1.16
    %Aggregate/Total
    
    
    2.45
    %
    
    
    14.31
    %
 21




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##### 



*
    
    -The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The aggregate VaR represents the VaR of the Funds open
positions across all market sectors, and is less than the sum of the VaRs for all such market
sectors due to the diversification benefit across asset classes.**
    
    -Of the return for the year ended December 31, 2005, approximately 14.31% was due to
trading gains (before commissions) and approximately 2.92% due to interest income, offset by
approximately 7.70% due to brokerage fees, performance fees and operating and offering costs
borne by the Fund giving a net return of 9.53%.
 December 31, 2004TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    1.15
    %
    
    
    2.20
    %Long Interest Rates
    
    
    0.83
    %
    
    
    10.03
    %Short Interest Rates
    
    
    0.26
    %
    
    
    2.57
    %Stock Indices
    
    
    0.60
    %
    
    
    (1.98
    )%Energy
    
    
    0.18
    %
    
    
    1.78
    %Metals
    
    
    0.11
    %
    
    
    (0.61
    )%Aggregate/Total
    
    
    1.84
    %
    
    
    13.99
    %
 
 *
    
    -The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The aggregate VaR represents the VaR of the Funds open
positions across all market sectors, and is less than the sum of the VaRs for all such market
sectors due to the diversification benefit across asset classes.**
    
    -Of the return for the year ended December 31, 2004, approximately 13.99% was due to
trading gains (before commissions) and approximately 1.23% was due to interest income, offset
by approximately 10.87% due to brokerage fees, performance fees and operating and offering
costs borne by the Fund giving a net return of 4.35%.
 Material Limitations of Value at Risk as an Assessment of Market Risk
  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.
 22




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##### 



Non-Trading Risk
  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.
  Currencies
 i.e.,
 Interest Rates
  23




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##### 



Stock Indices
  Energy
  Metals
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
  Treasury Bill Positions
  Qualitative Disclosures Regarding Means of Managing Risk Exposure
   24




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##### 



General
  Item 8. Financial Statements and Supplementary Data
  Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure
  Item 9A. Controls and Procedures
  Item 9B. Other Information
  PART III
 Item 10. Directors and Executive Officers of the Registrant
  G. William Andrews Vice President: Director of Research Operations
 25




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##### 



Theresa D. Becks Chief Financial Officer Treasurer Secretary Director
 D. Keith Campbell Chairman of the Board of Directors
 William C. Clarke, III Executive Vice President Director
 Bruce L. Cleland President Director Chief Executive Officer
 Michael S. Harris Vice President and Director
of Trading
 Michael J. Hebrank
 26




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##### 



Kevin M. Heerdt Executive Vice President-Research Chief Operating Officer
 James M. Little Executive Vice President- Business Development Director The Handbook of Financial Futures
 Thomas P. Lloyd General Counsel Executive Vice President-Legal and Compliance
   Audit Committee Financial Expert
  Code of Ethics
  27




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##### 



Item 11. Executive Compensation
  Item 12. Security Ownership of Certain Beneficial Owners and Management and Related
Shareholder Matters
 (a)
    
    Security Ownership of Certain Beneficial Owners. As of December 31, 2006, no Units of
Limited Partnership are owned or held by an officer of Campbell & Company.(b)
    
    Security Ownership of Management. As of December 31, 2006, Campbell & Company
owned 19,222.982 Units of General Partnership Interest having a value of $60,149,864.
Units of General Partnership will always be owned by Campbell & Company in its capacity
as general partner.
 Item 13. Certain Relationships and Related Transactions
  Item 14. Principal Accounting Fees and Services
  (a)
    
    Audit FeesThe aggregate fees billed for professional services rendered by the principal accountant
for the audit of the Funds annual financial statements, for review of financial
statements included in the Funds Forms 10-Q and other services normally provided in
connection with regulatory filing or engagements for the years ended December 31, 2006
and 2005 were $93,196 and $88,110, respectively.(b)
    
    Audit Related FeesThe aggregate fees billed by the principal accountant for the monthly recalculation of
the Funds net asset value for the years ended December 31, 2006 and 2005 were $0 and $0,
respectively.(c)
    
    Tax FeesThe aggregate fees billed by the principal accountant for professional services rendered
for the preparation and filing of the Funds Schedule K-1s and all necessary federal and
state tax returns for the years ended December 31, 2006 and 2005 were $0 and $0,
respectively.(d)
    
    All Other FeesThe aggregate fees and expenses billed by the principal accountant for professional
services, and related cost reimbursement for postage, supplies and fulfillment house
expenses, rendered for the
 28




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##### 



assistance in the preparation and mailing of the Funds
monthly account statements to Partners, utilizing data, narrative and other items
provided by Campbell & Company for the years ended December 31, 2006 and 2005 were $0 and
$0, respectively.
 (e)
    
    The Board of Directors of Campbell & Company approved all of the services
described above. The Board of Directors has determined that the payments made to its
independent accountants for these
services are compatible with maintaining such auditors independence. The Board of
Directors explicitly pre-approves all audit and non-audit services and all engagement
fees and terms.
 PART IV
 Item 15. Exhibits, Financial Statement Schedules, and Reports on Form 8-K
 (a)
    
    The Following documents are filed as part of this report:
 (1)
    
    See Financial Statements beginning on page 32 hereof.(2)
    
    Schedules:Financial statement schedules have been omitted because they are not included
in the financial statements or notes hereto applicable or because equivalent
information has been included in the financial statements or notes thereto.
 (3)
    
    Exhibits
 Exhibit Number
    
    Description of Document1.01
    
    Form of Selling Agreement among the Registrant, Campbell &
Company, PaineWebber Incorporated and the Selling Agent. (Incorporated by
reference to the respective exhibit to the Registrants Registration Statement
on Form S-1 (No. 333-43250) filed on August 8, 2000).1.02
    
    Form of Auxiliary Selling Agreement. (Incorporated by reference
to the respective exhibit to the Registrants Registration Statement on Form S-1
(No. 333-80933) filed on June 17, 1999).3.01
    
    Agreement of Limited Partnership of the Registrant dated May 11,
1993. (Incorporated by reference to the respective exhibit to the Registrants
Registration Statement on Form S-1 (No. 33-67164) filed on August 9, 1993).3.02
    
    Certificate of Limited Partnership of the Registrant.
(Incorporated by reference to the respective exhibit to the Registrants
Registration Statement on Form S-1 (No. 33-67164) filed on August 9, 1993).3.03
    
    Amended Agreement of Limited Partnership of the Registrant.
(Incorporated by reference to the respective exhibit to the Registrants
Post-Effective Amendment Number 3 to the Registration Statement Form S-1 (No.
333-119259) filed on November 1, 2006).10.01
    
    Form of Advisory Agreement between the Registrant and Campbell &
Company. (Incorporated by reference to the respective exhibit to the
Registrants Registration Statement on Form S-1 (No. 33-67164) filed on August
9, 1993).10.02
    
    Form of Customer Agreement between the Registrant and
PaineWebber Incorporated. (Incorporated by reference to the respective exhibit
to the Registrants Registration Statement on Form S-1 (No. 33-67164) filed on
August 9, 1993).
 29




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##### 



Exhibit Number
    
    Description of Document10.03
    
    Subscription Agreement and Power of Attorney. (Incorporated by
reference to the respective exhibit to the Registrants Post-Effective Amendment
Number 3 to the Registration Statement Form S-1 (No. 333-119259) filed on
November 1, 2006).10.04
    
    Escrow Agreement between the Registrant and Mercantile Safe
Deposit & Trust Company. (Incorporated by reference to the respective exhibit
to the Registrants Registration Statement on Form S-1 (No. 33-67164) filed on
August 9, 1993).10.05
    
    International Swap Dealers Association, Inc. Master Agreement
between the Registrant and ABN AMRO Bank, N.V. (Incorporated by reference to the
respective exhibit to the Registrants Registration Statement of Form S-1 (No.
333-61274) filed on May 18, 2001).10.06
    
    International Swap Dealers Association, Inc. Master Agreement between
the Registrant and Deutsche Bank AG. (Incorporated by reference to the
respective exhibit to the Registrants Registration Statement of Form S-1 (No.
333-61274) filed on May 18, 2001).31.01
    
    Certification of Bruce L. Cleland, Chief Executive Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.31.02
    
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.32.01
    
    Certification of Bruce L. Cleland, Chief Executive Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.32.02
    
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.
 (b)
    
    Reports on Form 8-KNone.
 30




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##### 



SIGNATURES
  CAMPBELL STRATEGIC ALLOCATION FUND, L.P.By:
    
    CAMPBELL & COMPANY, INC.General PartnerBy:
    
    /s/ Theresa D. BecksTheresa D. BecksChief Financial Officer, Secretary, Treasurer and Director
  Signature
    
    Capacity/s/ D. Keith CampbellD. Keith Campbell
    
    Chairman
of the Board/s/ William C. Clarke, IIIWilliam C. Clarke, III
    
    Executive
Vice President and Director/s/ Bruce L. ClelandBruce L. Cleland
    
    President,
Chief Executive Officer and Director/s/ Theresa D. BecksTheresa D. Becks
    
    Chief
Financial Officer, Secretary,Treasurer and Director/s/ James M. LittleJames M. Little
    
    Executive
Vice President and Director
 31




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##### 



CAMPBELL STRATEGIC ALLOCATION
FUND, L.P.
 ANNUAL REPORT
  INDEX
 PAGESReports of Independent Registered Public Accounting FirmsDeloitte & Touche LLP
    
    
    33Arthur F. Bell, Jr. & Associates, L.L.C.
    
    
    34Financial StatementsStatements of Financial Condition
December 31, 2006 and 2005
    
    
    35Condensed Schedules of Investments
December 31, 2006 and 2005
    
    
    36-37Statements of Operations For the Years
Ended December 31, 2006, 2005 and 2004
    
    
    38Statements of Cash Flows For the Years
Ended December 31, 2006, 2005 and 2004
    
    
    39Statements of Changes in Partners Capital (Net Asset Value)
For the Years Ended December 31, 2006, 2005 and 2004
    
    
    40Notes to Financial Statements
    
    
    41-47
 32




---



##### 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
 
     
 33




---



##### 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
 
     
 34




---



##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
 2006
    
    
    2005ASSETSEquity in broker trading accountsCash
    
    $
    1,230,053,812
    
    
    $
    381,760,399Restricted cash
    
    
    64,472,902
    
    
    
    0United States government securities
    
    
    2,009,334,413
    
    
    
    2,445,977,400Net unrealized gain on open futures contracts
    
    
    148,774,650
    
    
    
    1,086,731Total equity in broker trading accounts
    
    
    3,452,635,777
    
    
    
    2,828,824,530Cash and cash equivalents
    
    
    477,024,471
    
    
    
    1,026,080,370United States government securities
    
    
    1,645,702,500
    
    
    
    1,545,690,406Options purchased, at fair value (premiums paid $3,991,104)
    
    
    4,759,458
    
    
    
    0Net unrealized gain (loss) on open forward currency contracts
    
    
    191,519,359
    
    
    
    (168,831,491
    )Interest receivable
    
    
    6,345,242
    
    
    
    1,299,918Total assets
    
    $
    5,777,986,807
    
    
    $
    5,233,063,733LIABILITIESAccounts payable
    
    $
    850,854
    
    
    $
    859,255Brokerage fee
    
    
    33,622,892
    
    
    
    29,451,059Options written, at fair value (premiums received $2,319,699)
    
    
    2,169,268
    
    
    
    0Accrued commissions and other trading fees
on open contracts
    
    
    1,999,134
    
    
    
    970,539Offering costs payable
    
    
    516,133
    
    
    
    1,464,278Subscription deposits
    
    
    0
    
    
    
    150,000Redemptions payable
    
    
    84,288,360
    
    
    
    24,469,943Total liabilities
    
    
    123,446,641
    
    
    
    57,365,074PARTNERS CAPITAL (Net Asset Value)General Partner 19,222.982 and 17,240.171 units
outstanding at December 31, 2006 and 2005
    
    
    60,149,864
    
    
    
    51,848,435Limited Partners  1,787,882.705 and 1,703,733.918 units
outstanding at December 31, 2006 and 2005
    
    
    5,594,390,302
    
    
    
    5,123,850,224Total partners capital (Net Asset Value)
    
    
    5,654,540,166
    
    
    
    5,175,698,659Total liabilities and partners capital (Net Asset Value)
    
    $
    5,777,986,807
    
    
    $
    5,233,063,733
  35




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
 
 UNITED STATES GOVERNMENT SECURITIES*
 % of NetFace Value
    
    
    Maturity Date
    
    Description
    
    Value
    
    
    Asset Value$
    1,150,000,000
    
    
    03/15/2007
    
    U.S. Treasury Bills
    
    $
    1,138,818,327
    
    
    
    20.14
    %1,025,000,000
    
    
    02/01/2007
    
    U.S. Treasury Bills
    
    
    1,020,658,170
    
    
    
    18.05
    %500,000,000
    
    
    02/15/2007
    
    U.S. Treasury Bills
    
    
    496,918,750
    
    
    
    8.79
    %400,000,000
    
    
    01/04/2007
    
    U.S. Treasury Bills
    
    
    399,840,333
    
    
    
    7.07
    %400,000,000
    
    
    01/11/2007
    
    U.S. Treasury Bills
    
    
    399,463,333
    
    
    
    7.06
    %200,000,000
    
    
    01/25/2007
    
    U.S. Treasury Bills
    
    
    199,338,000
    
    
    
    3.53
    %Total United States government securities (cost, including accrued interest,  $3,655,036,913)
    
    $
    3,655,036,913
    
    
    
    64.64
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (53,549,310
    )
    
    
    (0.95)
    %Metals
    
    
    (8,996,304
    )
    
    
    (0.16)
    %Stock indices
    
    
    67,620,532
    
    
    
    1.20
    %Long-term interest rates
    
    
    (6,296,155
    )
    
    
    (0.11)
    %Total long futures contracts
    
    $
    (1,221,237
    )
    
    
    (0.02)
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    1,062,310
    
    
    
    0.02
    %Metals
    
    
    4,289,929
    
    
    
    0.08
    %Short-term interest rates
    
    
    43,845,952
    
    
    
    0.77
    %Long-term interest rates
    
    
    100,797,696
    
    
    
    1.78
    %Total short futures contracts
    
    $
    149,995,887
    
    
    
    2.65
    %Total futures contracts
    
    $
    148,774,650
    
    
    
    2.63
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (104,725,010
    )
    
    
    (1.85
    )%Various short forward currency contracts
    
    
    296,244,369
    
    
    
    5.24
    %Total forward currency contracts
    
    $
    191,519,359
    
    
    
    3.39
    %
 PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValuePurchased options on forward currency contracts
(premiums paid  $3,991,104)
    
    $
    4,759,458
    
    
    
    0.08
    %
 WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueWritten options on forward currency contracts
(premiums received  $2,319,699)
    
    $
    (2,169,268
    )
    
    
    (0.04
    )%
 
 *
    
    - pledged as collateral for the trading of futures and forward positions.  36




---



##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
 
 UNITED STATES GOVERNMENT SECURITIES*
 % of NetFace Value
    
    
    Maturity Date
    
    Description
    
    Value
    
    
    Asset Value$
    1,265,000,000
    
    
    02/02/06
    
    U.S. Treasury Bills
    
    $
    1,260,694,934
    
    
    
    24.35
    %1,200,000,000
    
    
    01/05/06
    
    U.S. Treasury Bills
    
    
    1,199,539,333
    
    
    
    23.18
    %920,000,000
    
    
    03/16/06
    
    U.S. Treasury Bills
    
    
    912,832,689
    
    
    
    17.64
    %400,000,000
    
    
    01/12/06
    
    U.S. Treasury Bills
    
    
    399,560,000
    
    
    
    7.72
    %220,000,000
    
    
    Various
    
    U.S. Treasury Bills
    
    
    219,040,850
    
    
    
    4.23
    %Total United States government securities (cost, including accrued interest, - $3,991,667,806)
    
    $
    3,991,667,806
    
    
    
    77.12
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (52,245,803
    )
    
    
    (1.01
    )%Metals
    
    
    3,008,025
    
    
    
    0.06
    %Stock indices
    
    
    (160,226
    )
    
    
    (0.00
    )%Long-term interest rates
    
    
    1,586,847
    
    
    
    0.03
    %Total long futures contracts
    
    $
    (47,811,157
    )
    
    
    (0.92
    )%
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueMetals
    
    $
    (86,285
    )
    
    
    (0.00
    )%Stock indices
    
    
    (1,176,505
    )
    
    
    (0.03
    )%Short-term interest rates
    
    
    55,439,109
    
    
    
    1.07
    %Long-term interest rates
    
    
    (5,278,431
    )
    
    
    (0.10
    )%Total short futures contracts
    
    $
    48,897,888
    
    
    
    0.94
    %Total futures contracts
    
    $
    1,086,731
    
    
    
    0.02
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (126,676,006
    )
    
    
    (2.45
    )%Various short forward currency contracts
    
    
    (42,155,485
    )
    
    
    (0.81
    )%Total forward currency contracts
    
    $
    (168,831,491
    )
    
    
    (3.26
    )%
 
 *
    
    - pledged as collateral for the trading of futures and forward positions.  37




---



##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
 
 2006
    
    
    2005
    
    
    2004TRADING GAINSFutures trading gains (losses)Realized
    
    $
    131,759,999
    
    
    $
    420,433,284
    
    
    $
    396,317,020Change in unrealized
    
    
    147,687,919
    
    
    
    (58,899,977
    )
    
    
    16,128,478Brokerage commissions
    
    
    (8,756,027
    )
    
    
    (13,246,276
    )
    
    
    (7,550,124
    )Net gain from futures trading
    
    
    270,691,891
    
    
    
    348,287,031
    
    
    
    404,895,374Forward currency and options on foreign currency
trading gains (losses)Realized
    
    
    (280,907,717
    )
    
    
    363,426,548
    
    
    
    203,232,232Change in unrealized
    
    
    361,269,635
    
    
    
    (98,694,089
    )
    
    
    (163,904,953
    )Brokerage commissions
    
    
    (2,878,200
    )
    
    
    (1,439,002
    )
    
    
    (1,106,990
    )Net gain from forward currency and
options on forward currency trading
    
    
    77,483,718
    
    
    
    263,293,457
    
    
    
    38,220,289Total net trading gains
    
    
    348,175,609
    
    
    
    611,580,488
    
    
    
    443,115,663EXPENSES NET OF INTEREST INCOMEIncomeInterest income
    
    
    261,724,377
    
    
    
    130,633,883
    
    
    
    43,794,851ExpensesBrokerage fee
    
    
    390,856,239
    
    
    
    314,447,041
    
    
    
    251,008,338Performance fee
    
    
    4,818,187
    
    
    
    45,364
    
    
    
    102,769,447Operating expenses
    
    
    2,228,483
    
    
    
    2,927,479
    
    
    
    2,840,344Total expenses
    
    
    397,902,909
    
    
    
    317,419,884
    
    
    
    356,618,129Expenses net of interest income
    
    
    (136,178,532
    )
    
    
    (186,786,001
    )
    
    
    (312,823,278
    )NET INCOME
    
    $
    211,997,077
    
    
    $
    424,794,487
    
    
    $
    130,292,385NET INCOME PER GENERAL AND
LIMITED PARTNER UNIT(based on weighted average number
of units outstanding during the year)
    
    $
    113.86
    
    
    $
    272.37
    
    
    $
    100.20INCREASE IN NET ASSET VALUE
PER GENERAL AND LIMITED
PARTNER UNIT
    
    $
    121.64
    
    
    $
    261.69
    
    
    $
    114.36
  38




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
 
 2006
    
    
    2005
    
    
    2004Cash flows from (for) operating activitiesNet income
    
    $
    211,997,077
    
    
    $
    424,794,487
    
    
    $
    130,292,385Adjustments to reconcile net income to
net cash (for) operating activities
Net change in unrealized
    
    
    (508,957,554
    )
    
    
    157,594,066
    
    
    
    147,776,475Increase in restricted cash
    
    
    (64,472,902
    )
    
    
    0
    
    
    
    0Increase in interest receivable
    
    
    (5,045,324
    )
    
    
    (726,399
    )
    
    
    (458,674
    )Option premiums paid
    
    
    (3,991,104
    )
    
    
    0
    
    
    
    0Option premiums received
    
    
    2,319,699
    
    
    
    0
    
    
    
    0Increase (decrease) in accounts payable
and accrued expenses
    
    
    5,192,027
    
    
    
    6,084,981
    
    
    
    (8,687,415
    )Net sales (purchases) of investments in
United States government securities
    
    
    336,630,893
    
    
    
    (820,930,028
    )
    
    
    (1,247,047,726
    )Net cash for operating activities
    
    
    (26,327,188
    )
    
    
    (233,182,893
    )
    
    
    (978,124,955
    )Cash flows from (for) financing activitiesAddition of units
    
    
    849,723,054
    
    
    
    1,123,597,622
    
    
    
    1,341,837,619Increase (decrease) in subscription deposits
    
    
    (150,000
    )
    
    
    150,000
    
    
    
    0Redemption of units
    
    
    (510,552,792
    )
    
    
    (408,082,091
    )
    
    
    (219,153,952
    )Offering costs paid
    
    
    (13,455,560
    )
    
    
    (13,217,277
    )
    
    
    (22,519,363
    )Net cash from financing activities
    
    
    325,564,702
    
    
    
    702,448,254
    
    
    
    1,100,164,304Net increase in cash and cash equivalents
    
    
    299,237,514
    
    
    
    469,265,361
    
    
    
    122,039,349Cash and cash equivalentsBeginning of year
    
    
    1,407,840,769
    
    
    
    938,575,408
    
    
    
    816,536,059End of year
    
    $
    1,707,078,283
    
    
    $
    1,407,840,769
    
    
    $
    938,575,408End of year cash and cash equivalents consists of:Cash in broker trading accounts
    
    $
    1,230,053,812
    
    
    $
    381,760,399
    
    
    $
    200,509,727Cash and cash equivalents
    
    
    477,024,471
    
    
    
    1,026,080,370
    
    
    
    738,065,681Total end of year cash and
cash equivalents
    
    $
    1,707,078,283
    
    
    $
    1,407,840,769
    
    
    $
    938,575,408
  39




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS CAPITAL (NET ASSET VALUE)
 
 Partners CapitalGeneral
    
    
    Limited
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountBalances at
December 31, 2003
    
    
    10,815.994
    
    
    $
    28,460,882
    
    
    
    1,063,947.539
    
    
    $
    2,799,639,743
    
    
    
    1,074,763.533
    
    
    $
    2,828,100,625Net income for the year
ended December 31, 2004
    
    
    
    
    
    
    1,300,362
    
    
    
    
    
    
    
    128,992,023
    
    
    
    
    
    
    
    130,292,385Additions
    
    
    4,235.735
    
    
    
    11,804,000
    
    
    
    478,957.592
    
    
    
    1,330,033,619
    
    
    
    483,193.327
    
    
    
    1,341,837,619Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (83,613.981
    )
    
    
    (228,722,464
    )
    
    
    (83,613.981
    )
    
    
    (228,722,464
    )Offering costs
    
    
    
    
    
    
    (237,260
    )
    
    
    
    
    
    
    (23,124,784
    )
    
    
    
    
    
    
    (23,362,044
    )Balances at
December 31, 2004
    
    
    15,051.729
    
    
    
    41,327,984
    
    
    
    1,459,291.150
    
    
    
    4,006,818,137
    
    
    
    1,474,342.879
    
    
    
    4,048,146,121Net income for the year
ended December 31, 2005
    
    
    
    
    
    
    4,265,819
    
    
    
    
    
    
    
    420,528,668
    
    
    
    
    
    
    
    424,794,487Additions
    
    
    2,188.442
    
    
    
    6,380,000
    
    
    
    388,029.969
    
    
    
    1,117,217,622
    
    
    
    390,218.411
    
    
    
    1,123,597,622Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (143,587.201
    )
    
    
    (408,388,635
    )
    
    
    (143,587.201
    )
    
    
    (408,388,635
    )Offering costs
    
    
    
    
    
    
    (125,368
    )
    
    
    
    
    
    
    (12,325,568
    )
    
    
    
    
    
    
    (12,450,936
    )Balances at
December 31, 2005
    
    
    17,240.171
    
    
    
    51,848,435
    
    
    
    1,703,733.918
    
    
    
    5,123,850,224
    
    
    
    1,720,974.089
    
    
    
    5,175,698,659Net income for the year
ended December 31, 2006
    
    
    
    
    
    
    2,327,389
    
    
    
    
    
    
    
    209,669,688
    
    
    
    
    
    
    
    211,997,077Additions
    
    
    1,982.811
    
    
    
    6,100,000
    
    
    
    276,043.383
    
    
    
    843,623,054
    
    
    
    278,026.194
    
    
    
    849,723,054Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (191,894.596
    )
    
    
    (570,371,209
    )
    
    
    (191,894.596
    )
    
    
    (570,371,209
    )Offering costs
    
    
    
    
    
    
    (125,960
    )
    
    
    
    
    
    
    (12,381,455
    )
    
    
    
    
    
    
    (12,507,415
    )Balances at
December 31, 2006
    
    
    19,222.982
    
    
    $
    60,149,864
    
    
    
    1,787,882.705
    
    
    $
    5,594,390,302
    
    
    
    1,807,105.687
    
    
    $
    5,654,540,166
 Net Asset Value Per General and Limited Partner UnitDecember 31,2006
    
    
    2005
    
    
    2004$
    3,129.06
    
    
    $
    3,007.42
    
    
    $
    2,745.73
  40




---



##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
 
 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
 A.
    
    General Description of the FundCampbell Strategic Allocation Fund, L.P. (the Fund) is a Delaware limited partnership
which operates as a commodity investment pool. The Fund engages in the speculative
trading of futures contracts, forward currency contracts and options on forward
currency contracts.B.
    
    RegulationAs a registrant with the Securities and Exchange Commission, the Fund is subject to
the regulatory requirements under the Securities Act of 1933 and the Securities
Exchange Act of 1934. As a commodity investment pool, the Fund is subject to the
regulations of the Commodity Futures Trading Commission, an agency of the United
States (U.S.) government which regulates most aspects of the commodity futures
industry; rules of the National Futures Association, an industry self-regulatory
organization; and the requirements of the various commodity exchanges where the Fund
executes transactions. Additionally, the Fund is subject to the requirements of
futures commission merchants (brokers) and interbank and other market makers through
which the Fund trades.C.
    
    Method of ReportingThe Funds financial statements are presented in accordance with accounting
principles generally accepted in the United States of America, which may require the
use of certain estimates made by the Funds management. Actual results may differ
from these estimates. Investment transactions are accounted for on the trade date.
Gains or losses are realized when contracts are liquidated. Unrealized gains and
losses on open contracts (the difference between contract trade price and market
price) are reported in the statement of financial condition as a net gain or loss, as
there exists a right of offset of unrealized gains or losses in accordance with
Financial Accounting Standards Board Interpretation No. 39  Offsetting of Amounts
Related to Certain Contracts. The market value of futures (exchange-traded)
contracts is determined by the various futures exchanges, and reflects the settlement
price for each contract as of the close of the last business day of the reporting
period. Beginning July 1, 2006, the market value of forward currency (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 or based on the
market value of its exchange-traded equivalent. Prior to July 1, 2006, the market
value of forward currency (non-exchange traded) contracts was extrapolated on a
forward basis from the spot prices quoted as of 5:00 P.M. (E.T.) of the last business
day of the reporting period or based on the market value of its exchange-traded
equivalent. The market value of option (non-exchange traded) contracts is calculated
by applying an industry-standard adaptation of the Black-Scholes options valuation
model to foreign currency options, using as input, the spot prices, interest rates
and option implied volatilities quoted as of 3:00 P.M. (E.T.) on the last business
day of the reporting period. When the Fund writes an option, an amount equal to the
premium received by the Fund is reflected as an asset and an equivalent liability.
The amount of the liability is subsequently marked-to-market to reflect the current
market value of option written. Any change in net unrealized gain or loss from the
preceding period is reported in the statement of operations.
 41




---



##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 C.
    
    Method of Reporting (Continued)Brokerage commissions include other trading fees and are charged to expense when
contracts are opened. United States government securities are stated at cost plus
accrued interest, which approximates market value. For purposes of both financial
reporting and calculation of redemption value, Net Asset Value per unit is calculated
by dividing Net Asset Value by the number of outstanding units.D.
    
    Cash and Cash EquivalentsCash and cash equivalents includes cash and short-term time deposits held at
financial institutions.E.
    
    Income TaxesThe Fund prepares calendar year U.S. and applicable state information tax returns and
reports to the partners their allocable shares of the Funds income, expenses and
trading gains or losses. No provision for income taxes has been made in the
accompanying financial statements as each partner is individually responsible for
reporting income or loss based on such partners respective share of the Funds
income and expenses as reported for income tax purposes.F.
    
    Offering CostsCampbell & Company, Inc. (Campbell & Company) has incurred all costs in connection
with the initial and continuous offering of units of the Fund (offering costs). The
Funds liability for offering costs is limited to the maximum of total offering costs
incurred by Campbell & Company or 2.5% of the aggregate subscriptions accepted during
the initial and continuous offerings; this maximum is further limited by 30 month
pay-out schedules. The Fund is only liable for payment of offering costs on a
monthly basis as calculated based on the limitations stated above. At December 31,
2006 and 2005, the Fund reflects a liability in the statement of financial condition
for offering costs payable to Campbell & Company of $516,133 and $1,464,278,
respectively. The amount of monthly reimbursement due to Campbell & Company is
charged directly to partners capital.If the Fund terminates prior to completion of payment of the calculated amounts to
Campbell & Company, Campbell & Company will not be entitled to any additional
payments, and the Fund will have no further obligation to Campbell & Company. At
December 31, 2006 and 2005, the amount of un-reimbursed offering costs incurred by
Campbell & Company is $1,110,061 and $3,561,403, respectively.
 42




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 G.
    
    Foreign Currency TransactionsThe Funds functional currency is the U.S. dollar; however, it transacts business in
currencies other than the U.S. dollar. Assets and liabilities denominated in
currencies other than the U.S. dollar are translated into U.S. dollars at the rates
in effect at the date of the statement of financial condition. Income and expense
items denominated in currencies other than the U.S. dollar are translated into U.S.
dollars at the rates in effect during the period. Gains and losses resulting from
the translation to U.S. dollars are reported in income.H.
    
    ReclassificationCertain amounts in the 2004 and 2005 financial statements were reclassified to
conform with the 2006 presentation.I.
    
    Recently Issued Accounting PronouncementsIn July 2006, the Financial Accounting Standards Board (FASB) issued Interpretation
No. 48 (FIN 48) entitled Accounting For Uncertainty in Income Taxes  an
interpretation of FASB Statement No. 109. FIN 48 prescribes the minimum recognition
threshold a tax position must meet in connection with accounting for uncertainties in
income tax positions taken or expected to be taken by an entity before being measured
and recognized in the financial statements. Adoption of FIN 48 is required for
fiscal years beginning after December 15, 2006. The implementation of FIN 48 is not
expected to have a material impact on the Funds financial statements.In September 2006, the FASB issued Statement of Financial Accounting Standards No.
157, Fair Value Measurements (FAS 157). FAS 157 defines fair value, establishes a
framework for measuring fair value in accounting principles generally accepted in the
United States of America, and expands disclosures about fair value measurements.
While FAS 157 does not require any new fair value measurements, for some entities,
the application of FAS 157 may change current practice. FAS 157 is effective for
financial statements issued for fiscal years beginning after November 15, 2007, and
interim periods within those fiscal years. The implementation of FAS 157 is not
expected to have a material impact on the Funds financial statements.
 GENERAL PARTNER AND COMMODITY TRADING ADVISOR
  43




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 GENERAL PARTNER AND COMMODITY TRADING ADVISOR (CONTINUED)
   DEPOSITS WITH BROKERS
  OPERATING EXPENSES
  SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
   TRADING ACTIVITIES AND RELATED RISKS
  44




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
      45




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
  Futures Contracts

Forward Currency and Options on Forward(exchange traded)
    
    
    Currency Contracts (non-exchange traded)December 31,
    
    
    December 31,
    
    
    December 31,
    
    
    December 31,2006
    
    
    2005
    
    
    2006
    
    
    2005Gross unrealized gains
    
    $
    225,720,639
    
    
    $
    82,188,360
    
    
    $
    363,846,416
    
    
    $
    127,868,014Gross unrealized losses
    
    
    (76,945,989
    )
    
    
    (81,101,629
    )
    
    
    (171,408,272
    )
    
    
    (296,699,505
    )Net unrealized gain (loss)
    
    $
    148,774,650
    
    
    $
    1,086,731
    
    
    $
    192,438,144
    
    
    $
    (168,831,491
    )
   INDEMNIFICATIONS
  46




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 FINANCIAL HIGHLIGHTS
  2006
    
    
    2005
    
    
    2004Per Unit Performance(for a unit outstanding throughout the entire year)Net asset value per unit at beginning of year
    
    $
    3,007.42
    
    
    $
    2,745.73
    
    
    $
    2,631.37Income (loss) from operations:Total net trading gains (1)
    
    
    201.50
    
    
    
    389.43
    
    
    
    372.91Expenses net of interest income (1)
    
    
    (73.14
    )
    
    
    (119.76
    )
    
    
    (240.58
    )Total net income from operations
    
    
    128.36
    
    
    
    269.67
    
    
    
    132.33Offering costs (1)
    
    
    (6.72
    )
    
    
    (7.98
    )
    
    
    (17.97
    )Net asset value per unit at end of year
    
    $
    3,129.06
    
    
    $
    3,007.42
    
    
    $
    2,745.73Total Return
    
    
    4.04
    %
    
    
    9.53
    %
    
    
    4.35
    %Supplemental DataRatios to average net asset value:Expenses prior to performance fee
    
    
    7.08
    %
    
    
    7.09
    %
    
    
    7.10
    %Performance fee
    
    
    0.09
    %
    
    
    0.00
    %
    
    
    2.88
    %Total expenses
    
    
    7.17
    %
    
    
    7.09
    %
    
    
    9.98
    %Expenses net of interest income (2), (3)
    
    
    2.37
    %
    
    
    4.17
    %
    
    
    5.88
    %
 Total returns are calculated based on the change in value of a unit during the period.
An individual partners total returns and ratios may vary from the above total returns and
ratios based on the timing of additions and redemptions.
 
 (1)
    
    Expenses net of interest income per unit and offering costs per unit are
calculated by dividing the expenses net of interest income and offering costs by the
average number of units outstanding during the period. Total 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)
    
    Expenses net of interest income is shown as a positive percentage when expenses
exceed interest income for the period. 47




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##### 



EXHIBIT INDEX
 Exhibit Number
    
    Description of Document
    
    Page Number31.01
    
    Certification by Chief Executive Officer
    
    E 231.02
    
    Certification by Chief Financial Officer
    
    E 332.01
    
    Certification by Chief Executive Officer
    
    E 432.02
    
    Certification by Chief Financial Officer
    
    E 5
 E-1