##### 



SECURITIES AND EXCHANGE COMMISSION
 WASHINGTON, D.C. 20549
 FORM 10-K
  þ
    
    ANNUAL REPORT PURSUANT TO SECTION 13 OR 15 (d)
OF THE SECURITIES EXCHANGE ACT OF 1934 [NO FEE
REQUIRED]
 For the Fiscal Year Ended December 31, 2005
 Commission File Number 0-22260 and 2-84126
 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
    
    (IRS Employer Identification Number)incorporation or organization)
 210 W. Pennsylvania AvenueTowson, 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
    
    
    2-9ITEM 1B. UNRESOLVED STAFF COMMENTS
    
    
    9ITEM 2. PROPERTIES
    
    
    9ITEM 3. LEGAL PROCEEDINGS
    
    
    9ITEM 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
    
    
    10PART IIITEM 5. MARKET FOR REGISTRANTS COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER
PURCHASES OF EQUITY SECURITIES
    
    
    10ITEM 6. SELECTED FINANCIAL DATA
    
    
    10-11ITEM 7. MANAGEMENTS DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
OPERATIONS
    
    
    11-18ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
    
    
    19-24ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
    
    
    24ITEM 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL
DISCLOSURE
    
    
    24ITEM 9A. CONTROLS AND PROCEDURES
    
    
    24ITEM 9B. OTHER INFORMATION
    
    
    24PART IIIITEM 10. DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT
    
    
    24-26ITEM 11. EXECUTIVE COMPENSATION
    
    
    26ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED
STOCKHOLDER MATTERS
    
    
    26ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
    
    
    26ITEM 14. PRINCIPAL ACCOUNTING FEES AND SERVICES
    
    
    27PART IVITEM 15. EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON FORM 8-K
    
    
    27-28SIGNATURESCERTIFICATIONS




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PART I
 Item 1. Business
      Regulation
  1




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##### 



Operations
     http://www.sec.gov.
 Item 1A. Risk Factors
  You Could Possibly Lose Your Total Investment in the Fund
  2




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##### 



The Fund is Highly Leveraged
  Your Investment Could be Illiquid
     Forward and Option Transactions are Over-the-Counter, are Not Regulated and are Subject to Credit
Risk
   3




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Options on Futures and Over-the-Counter Contracts are Speculative and Highly Leveraged
  An Investment in the Fund May Not Diversify an Overall Portfolio
   Trading Risks
 Campbell & Company Analyzes Primarily Technical Market Data
   Increased Competition from Other Trend-Following Traders Could Reduce Campbell & Companys
Profitability
  4




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Speculative Position Limits May Alter Trading Decisions for the Fund
  Increase in Assets Under Management May Make Profitable Trading More Difficult
  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 Income and Gain
  Tax Could be Due from Investors on Their Share of the Funds Ordinary Income Despite Overall Losses
  5




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There Could be a Limit on the Deductibility of Management 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
 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
   6




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There are No Independent Experts Representing Investors
  The Fund Places Significant Reliance on Campbell & Company
  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
  7




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Forwards, Options, Swaps, Hybrids and Other Derivatives are Not Subject to CFTC Regulation
  The Fund is Subject to Foreign Market Credit and Regulatory Risk
  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
  8




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##### 



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
  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
  9




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##### 



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
    Item 6. Selected Financial Data
 Dollars in thousands, except per Unit amounts
 For the Year Ended December 31,2005
    
    2004
    
    2003
    
    2002
    
    2001Total Assets
    
    
    5,233,064
    
    
    $
    4,099,736
    
    
    $
    2,877,967
    
    
    $
    1,654,430
    
    
    $
    954,185Total Partners Capital
    
    
    5,175,699
    
    
    
    4,048,146
    
    
    
    2,828,101
    
    
    
    1,617,949
    
    
    
    943,219Total Trading Gain
(net of brokerage commissions)
    
    
    611,580
    
    
    
    443,116
    
    
    
    543,537
    
    
    
    250,527
    
    
    
    64,466Net Income
    
    
    424,794
    
    
    
    130,292
    
    
    
    342,701
    
    
    
    155,979
    
    
    
    29,936Net Income Per General
and Limited Partner Unit *
    
    
    272.37
    
    
    
    100.20
    
    
    
    385.55
    
    
    
    282.19
    
    
    
    76.29Increase in Net Asset Value per
General and Limited
Partner Unit
    
    
    261.69
    
    
    
    114.36
    
    
    
    395.32
    
    
    
    259.32
    
    
    
    55.92
  1st
Qtr.
    
    

2nd
Qtr.
    
    

3rd
Qtr.
    
    

4th
Qtr.2005
    
    
    2005
    
    
    2005
    
    
    2005Total Trading Gain (Loss)
(net of 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. 10




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##### 



1st
Qtr.
    
    

2nd Qtr.
    
    

3rd Qtr.
    
    

4th Qtr.2004
    
    
    2004
    
    
    2004
    
    
    2004Total Trading Gain (Loss)
(includes brokerage
commissions)
    
    $
    556,936
    
    
    $
    (334,861
    )
    
    $
    (82,946
    )
    
    $
    303,987Net Income (Loss)
    
    
    402,652
    
    
    
    (388,753
    )
    
    
    (135,081
    )
    
    
    251,474Net Income (Loss)
per General and
Limited Partner
Unit *
    
    
    360.96
    
    
    
    (303.89
    )
    
    
    (98.46
    )
    
    
    175.31Increase (Decrease)
in Net Asset Value
per General and
Limited Partner Unit
    
    
    358.82
    
    
    
    (313.09
    )
    
    
    (102.60
    )
    
    
    171.23Net Asset Value per
General and Limited
Partner Unit at the
End of the Period
    
    
    2,990.19
    
    
    
    2,677.10
    
    
    
    2,574.50
    
    
    
    2,745.73
 
 *
    
    - Based on weighted average number of units outstanding during the period. Item 7. Managements Discussion and Analysis of Financial Condition and Results of Operations.
 Introduction
  Critical Accounting Policies
   Capital Resources
  Liquidity
  11




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##### 



i.e.
   Results of Operations
  2005
  Sector
    
    % Gain (Loss)Interest Rates
    
    
    6.65
    %Currencies
    
    
    5.98Energy
    
    
    3.34Metals
    
    
    1.16Stock Indices
    
    
    (2.82
    )14.31
    %
  12




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13




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2004
  14




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##### 



Sector
    
    % Gain (Loss)Interest Rates
    
    
    12.60
    %Currencies
    
    
    2.20Energy
    
    
    1.78Metals
    
    
    (0.61
    )Stock Indices
    
    
    (1.98
    )13.99
    %
        15




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##### 



2003
  Sector
    
    % Gain (Loss)Currencies
    
    
    26.22
    %Stock Indices
    
    
    5.70Metals
    
    
    (0.34
    )Energy
    
    
    (0.80
    )Interest Rates
    
    
    (3.32
    )27.46
    %
 16




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rd
  17




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##### 



Off-Balance Sheet Risk
    Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts
Accounted for at Fair Value
  18




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##### 



Item 7A. Quantitative and Qualitative Disclosures About Market Risk
 Introduction
 Past Results Not Necessarily Indicative of Future Performance
    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).
   19




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##### 



The Funds Trading Value at Risk in Different Market Sectors
  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
    %
 
 *
    
    -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%. 20




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##### 



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%. December 31, 2003TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    1.29
    %
    
    
    26.22
    %Stock Indices
    
    
    0.57
    %
    
    
    5.70
    %Energy
    
    
    0.45
    %
    
    
    (0.80
    )%Long Interest Rates
    
    
    0.43
    %
    
    
    (2.36
    )%Short Interest Rates
    
    
    0.20
    %
    
    
    (0.96
    )%Metals
    
    
    0.02
    %
    
    
    (0.34
    )%Aggregate/Total
    
    
    1.49
    %
    
    
    27.46
    %
 
 *
    
    -The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The aggregate VaR represents the VaR of the Funds open
positions across all market sectors, and is less than the sum of the VaRs for all such market
sectors due to the diversification benefit across asset classes.**
    
    -Of the return for the year ended December 31, 2003, approximately 27.46% was due to
trading gains (before commissions) and approximately 0.98% was due to interest income, offset
by approximately 10.76% due to brokerage fees, performance fees and operating and offering
costs borne by the Fund giving a net return of 17.68%. Material Limitations of Value at Risk as an Assessment of Market Risk
  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;
 21




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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; and5)
    
    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.
  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
  22




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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
   23




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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
  Theresa D. Becks Chief Financial Officer Treasurer Secretary Director
 24




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##### 



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
 Kevin M. Heerdt Chief
Operating Officer
 James M. Little Executive Vice President-Business Development Director The Handbook of Financial Futures
 Thomas P. Lloyd General Counsel
and Executive Vice President-Legal and Compliance
 25




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Audit Committee Financial Expert
  Code of Ethics
  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, 2005, no Units of
Limited Partnership are owned or held by an officer of Campbell & Company.(b)
    
    Security Ownership of Management. As of December 31, 2005, Campbell & Company
owned 17,240.171 Units of General Partnership Interest having a value of $51,848,435.
Units of General Partnership will always be owned by Campbell & Company in its capacity
as general partner.
 Item 13. Certain Relationships and Related Transactions
  26




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##### 



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, 2005
and 2004 were $88,110 and $46,750, 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, 2005 and 2004 were $0 and
$14,000, 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, 2005 and 2004 were $0 and $570,920,
respectively. During the year ended December 31, 2004, a total of 60,072 individual
investor K-1s were distributed to the Partners.(d)
    
    All Other 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 assistance in the preparation and mailing of the Funds
monthly account statements to Partners, utilizing data, narrative and other items
provided by Campbell & Company for the years ended December 31, 2005 and 2004 were $0 and
$1,017,229, respectively. During the year ended December 31, 2004, a total of 674,196
monthly account statements were distributed to Partners.(e)
    
    The Board of Directors of Campbell & Company approved all of the services
described above. The Board of Directors has determined that the payments made to its
independent accountants for these services are compatible with maintaining such
auditors independence. The Board of Directors explicitly pre-approves all audit and
non-audit services and all engagement fees and terms.
 PART IV
 Item 15. Exhibits, Financial Statement Schedules, and Reports on Form 8-K
 (a)
    
    The Following documents are filed as part of this report:
 (1)
    
    See Financial Statements beginning on page 30 hereof.(2)
    
    Schedules:Financial statement schedules have been omitted because they are not included
in the financial statements or notes hereto applicable or because equivalent
information has been included in the financial statements or notes thereto.(3)
    
    Exhibits
 27




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##### 



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 1 to the Registration Statement Form S-1 (No.
333-119259) filed on May 25, 2005).10.01
    
    Form of Advisory Agreement between the Registrant and Campbell &
Company. (Incorporated by reference to the respective exhibit to the
Registrants Registration Statement on Form S-1 (No. 33-67164) filed on August
9, 1993).10.02
    
    Form of Customer Agreement between the Registrant and
PaineWebber Incorporated. (Incorporated by reference to the respective exhibit
to the Registrants Registration Statement on Form S-1 (No. 33-67164) filed on
August 9, 1993).10.03
    
    Subscription Agreement and Power of Attorney. (Incorporated by
reference to the respective exhibit to the Registrants Post-Effective Amendment
Number 1 to the Registration Statement Form S-1 (No. 333-119259) filed on May
25, 2005).10.04
    
    Escrow Agreement between the Registrant and Mercantile Safe
Deposit & Trust Company. (Incorporated by reference to the respective exhibit
to the Registrants Registration Statement on Form S-1 (No. 33-67164) filed on
August 9, 1993).10.05
    
    International Swap Dealers Association, Inc. Master Agreement
between the Registrant and ABN AMRO Bank, N.V. (Incorporated by reference to the
respective exhibit to the Registrants Registration Statement of Form S-1 (No.
333-61274) filed on May 18, 2001).10.06
    
    International Swap Dealers Association, Inc. Master Agreement
between the Registrant and Deutsche Bank AG. (Incorporated by reference to the
respective exhibit to the Registrants Registration Statement of Form S-1 (No.
333-61274) filed on May 18, 2001).31.01
    
    Certification of Bruce L. Cleland, Chief Executive Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.31.02
    
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.
 Exhibit Number
    
    Description of Document32.01
    
    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.
 28




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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 Campbell

D. Keith Campbell
    
    Chairman
of the Board/s/ William C. Clarke, III

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

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

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

James M. Little
    
    Executive
Vice President and Director
 29




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##### 



CAMPBELL STRATEGIC ALLOCATION
FUND, L.P.
 ANNUAL REPORT
  30




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P
 INDEX
 PAGESReports of Independent Registered Public Accounting FirmsDeloitte & Touche LLP
    
    
    32Arthur F. Bell, Jr. & Associates, L.L.C.
    
    
    33Financial StatementsStatements of Financial Condition
December 31, 2005 and 2004
    
    
    34Condensed Schedules of Investments
December 31, 2005 and 2004
    
    
    35-36Statements of Operations For the Years
Ended December 31, 2005, 2004 and 2003
    
    
    37Statements of Cash Flows For the Years
Ended December 31, 2005, 2004 and 2003
    
    
    38Statements of Changes in Partners Capital (Net Asset Value)
For the Years Ended December 31, 2005, 2004 and 2003
    
    
    39Notes to Financial Statements
    
    
    40-45
 31




---



##### 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
 
     
 32




---



##### 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
 
     
 33




---



##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
 2005
    
    
    2004ASSETSEquity in broker trading accountsCash
    
    $
    383,060,317
    
    
    $
    201,083,246United States government securities
    
    
    2,445,977,400
    
    
    
    1,871,364,160Net unrealized gain on open futures contracts
    
    
    1,086,731
    
    
    
    59,986,708Total equity in broker trading accounts
    
    
    2,830,124,448
    
    
    
    2,132,434,114Cash and cash equivalents
    
    
    1,026,080,370
    
    
    
    738,065,681United States government securities
    
    
    1,545,690,406
    
    
    
    1,299,373,618Net unrealized (loss) on open forward currency contracts
    
    
    (168,831,491
    )
    
    
    (70,137,402
    )Total assets
    
    $
    5,233,063,733
    
    
    $
    4,099,736,011LIABILITIESAccounts payable
    
    $
    859,255
    
    
    $
    855,905Brokerage fee
    
    
    29,451,059
    
    
    
    23,425,887Accrued commissions and other trading fees
on open contracts
    
    
    970,539
    
    
    
    914,080Offering costs payable
    
    
    1,464,278
    
    
    
    2,230,619Subscription deposits
    
    
    150,000
    
    
    
    0Redemptions payable
    
    
    24,469,943
    
    
    
    24,163,399Total liabilities
    
    
    57,365,074
    
    
    
    51,589,890PARTNERS CAPITAL (Net Asset Value)General
Partner  17,240.171 and 15,051.729 units
outstanding at December 31, 2005 and 2004
    
    
    51,848,435
    
    
    
    41,327,984Limited
Partners  1,703,733.918 and 1,459,291.150 units
outstanding at December 31, 2005 and 2004
    
    
    5,123,850,224
    
    
    
    4,006,818,137Total partners capital
(Net Asset Value)
    
    
    5,175,698,659
    
    
    
    4,048,146,121Total liabilities and partners capital
    
    $
    5,233,063,733
    
    
    $
    4,099,736,011
  34




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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$
    1,265,000,000
    
    
    
    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 index
    
    
    (160,226
    )
    
    
    (0.00
    )%Long-term interest rates
    
    
    1,586,847
    
    
    
    0.03
    %Total long futures contracts
    
    $
    (47,811,157
    )
    
    
    (0.92
    )%
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueMetals
    
    $
    (86,285
    )
    
    
    (0.00
    )%Stock index
    
    
    (1,176,505
    )
    
    
    (0.03
    )%Short-term interest rates
    
    
    55,439,109
    
    
    
    1.07
    %Long-term interest rates
    
    
    (5,278,431
    )
    
    
    (0.10
    )%Total short futures contracts
    
    $
    48,897,888
    
    
    
    0 .94
    %Total futures contracts
    
    $
    1,086,731
    
    
    
    0.02
    %
 FORWARD CURRENCY CONTRACTS
 % of 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.  35




---



##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
 UNITED STATES GOVERNMENT SECURITIES*
 % of NetFace Value
    
    
    Maturity Date
    
    
    Description
    
    Value
    
    
    Asset Value$
    1,675,000,000
    
    
    
    01/06/05
    
    
    U.S. Treasury Bills
    
    $
    1,674,618,108
    
    
    
    41.37
    %$
    575,000,000
    
    
    
    03/17/05
    
    
    U.S. Treasury Bills
    
    
    572,424,479
    
    
    
    14.14
    %$
    350,000,000
    
    
    
    01/13/05
    
    
    U.S. Treasury Bills
    
    
    349,808,667
    
    
    
    8.64
    %$
    200,000,000
    
    
    
    01/27/05
    
    
    U.S. Treasury Bills
    
    
    199,734,222
    
    
    
    4.93
    %$
    200,000,000
    
    
    
    02/17/05
    
    
    U.S. Treasury Bills
    
    
    199,459,500
    
    
    
    4.93
    %$
    175,000,000
    
    
    
    02/03/05
    
    
    U.S. Treasury Bills
    
    
    174,692,802
    
    
    
    4.32
    %Total
United States government securities
(cost, including accrued interest,  $3,170,737,778)
    
    $
    3,170,737,778
    
    
    
    78.33
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (7,304,068
    )
    
    
    (0.18
    )%Metals
    
    
    2,572,720
    
    
    
    0.06
    %Stock index
    
    
    35,075,316
    
    
    
    0.87
    %Short-term interest rates
    
    
    (3,149,439
    )
    
    
    (0.08
    )%Long-term interest rates
    
    
    31,917,409
    
    
    
    0.79
    %Total long futures contracts
    
    $
    59,111,938
    
    
    
    1.46
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueMetals
    
    $
    (4,000,591
    )
    
    
    (0.10
    )%Short-term interest rates
    
    
    4,890,991
    
    
    
    0.12
    %Long-term interest rates
    
    
    (15,630
    )
    
    
    0.00
    %Total short futures contracts
    
    $
    874,770
    
    
    
    0.02
    %Total futures contracts
    
    $
    59,986,708
    
    
    
    1.48
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    121,005,028
    
    
    
    2.99
    %Various short forward currency contracts
    
    
    (191,142,430
    )
    
    
    (4.72
    )%Total forward currency contracts
    
    $
    (70,137,402
    )
    
    
    (1.73
    )%
 
 *
    
     pledged as collateral for the trading of futures and forward positions.  36




---



##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
 2005
    
    
    2004
    
    
    2003TRADING GAINSFutures trading gains (losses)Realized
    
    $
    420,433,284
    
    
    $
    396,317,020
    
    
    $
    (53,295,006
    )Change in unrealized
    
    
    (58,899,977
    )
    
    
    16,128,478
    
    
    
    27,050,964Brokerage commissions
    
    
    (13,246,276
    )
    
    
    (7,550,124
    )
    
    
    (4,574,976
    )Net gain (loss) from futures trading
    
    
    348,287,031
    
    
    
    404,895,374
    
    
    
    (30,819,018
    )Forward currency and swap trading gains (losses)Realized
    
    
    363,426,548
    
    
    
    203,232,232
    
    
    
    510,354,521Change in unrealized
    
    
    (98,694,089
    )
    
    
    (163,904,953
    )
    
    
    65,019,392Brokerage commissions
    
    
    (1,439,002
    )
    
    
    (1,106,990
    )
    
    
    (1,017,503
    )Net gain from forward currency and
swap trading
    
    
    263,293,457
    
    
    
    38,220,289
    
    
    
    574,356,410Total net trading gains
    
    
    611,580,488
    
    
    
    443,115,663
    
    
    
    543,537,392EXPENSES NET OF INTEREST INCOMEIncomeInterest income
    
    
    130,633,883
    
    
    
    43,794,851
    
    
    
    21,955,515ExpensesBrokerage fee
    
    
    314,447,041
    
    
    
    251,008,338
    
    
    
    158,423,875Performance fee
    
    
    45,364
    
    
    
    102,769,447
    
    
    
    61,928,585Operating expenses
    
    
    2,927,479
    
    
    
    2,840,344
    
    
    
    2,439,006Total expenses
    
    
    317,419,884
    
    
    
    356,618,129
    
    
    
    222,791,466Expenses net of interest income
    
    
    (186,786,001
    )
    
    
    (312,823,278
    )
    
    
    (200,835,951
    )NET INCOME
    
    $
    424,794,487
    
    
    $
    130,292,385
    
    
    $
    342,701,441NET INCOME PER GENERAL AND
LIMITED PARTNER UNIT(based on weighted average number
of units outstanding during the year)
    
    $
    272.37
    
    
    $
    100.20
    
    
    $
    385.55INCREASE IN NET ASSET VALUE
PER GENERAL AND LIMITED
PARTNER UNIT
    
    $
    261.69
    
    
    $
    114.36
    
    
    $
    395.32
  37




---



##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
 2005
    
    
    2004
    
    
    2003Cash flows from (for) operating activitiesNet income
    
    $
    424,794,487
    
    
    $
    130,292,385
    
    
    $
    342,701,441Adjustments to reconcile net income to
net cash (for) operating activitiesNet change in unrealized
    
    
    157,594,066
    
    
    
    147,776,475
    
    
    
    (92,070,356
    )Increase (decrease) in accounts payable
and accrued expenses
    
    
    6,084,981
    
    
    
    (8,687,415
    )
    
    
    24,241,652Net (purchases) of investments in
United States government securities
    
    
    (820,930,028
    )
    
    
    (1,247,047,726
    )
    
    
    (670,929,818
    )Net cash (for) operating activities
    
    
    (232,456,494
    )
    
    
    (977,666,281
    )
    
    
    (396,057,081
    )Cash flows from (for) financing activitiesAddition of units
    
    
    1,123,597,622
    
    
    
    1,341,837,619
    
    
    
    1,028,600,448Increase (decrease) in subscription deposits
    
    
    150,000
    
    
    
    0
    
    
    
    (17,206,853
    )Redemption of units
    
    
    (408,082,091
    )
    
    
    (219,153,952
    )
    
    
    (141,662,019
    )Offering costs paid
    
    
    (13,217,277
    )
    
    
    (22,519,363
    )
    
    
    (13,138,074
    )Net cash from financing activities
    
    
    702,448,254
    
    
    
    1,100,164,304
    
    
    
    856,593,502Net increase in cash and cash equivalents
    
    
    469,991,760
    
    
    
    122,498,023
    
    
    
    460,536,421Cash and cash equivalentsBeginning of year
    
    
    939,148,927
    
    
    
    816,650,904
    
    
    
    356,114,483End of year
    
    $
    1,409,140,687
    
    
    $
    939,148,927
    
    
    $
    816,650,904End of year cash and cash equivalents consists of:Cash in broker trading accounts
    
    $
    383,060,317
    
    
    $
    201,083,246
    
    
    $
    189,245,425Cash and cash equivalents
    
    
    1,026,080,370
    
    
    
    738,065,681
    
    
    
    627,405,479Total end of year cash and
cash equivalents
    
    $
    1,409,140,687
    
    
    $
    939,148,927
    
    
    $
    816,650,904
  38




---



##### 



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, 2002
    
    
    7,262.904
    
    
    $
    16,240,216
    
    
    
    716,313.085
    
    
    $
    1,601,708,976
    
    
    
    723,575.989
    
    
    $
    1,617,949,192Net income for the year
ended December 31, 2003
    
    
    
    
    
    
    3,446,561
    
    
    
    
    
    
    
    339,254,880
    
    
    
    
    
    
    
    342,701,441Additions
    
    
    3,553.090
    
    
    
    8,913,502
    
    
    
    406,079.954
    
    
    
    1,019,686,946
    
    
    
    409,633.044
    
    
    
    1,028,600,448Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (58,445.500
    )
    
    
    (147,291,398
    )
    
    
    (58,445.500
    )
    
    
    (147,291,398
    )Offering costs
    
    
    
    
    
    
    (139,397
    )
    
    
    
    
    
    
    (13,719,661
    )
    
    
    
    
    
    
    (13,859,058
    )Balances at
December 31, 2003
    
    
    10,815.994
    
    
    
    28,460,882
    
    
    
    1,063,947.539
    
    
    
    2,799,639,743
    
    
    
    1,074,763.533
    
    
    
    2,828,100,625Net 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
    
    
    $
    5,175,698,659
 Net Asset Value Per General and Limited Partner Unit
 December 31,2005
    
    
    2004
    
    
    2003$
    3,007.42
    
    
    $
    2,745.73
    
    
    $
    2,631.37
  39




---



##### 



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 swap 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 U.S. generally
accepted accounting principles, which may require the use of certain estimates made
by the Funds management. Actual results may differ from these estimates. Investment
transactions are accounted for on the trade date. Gains or losses are realized when
contracts are liquidated. Unrealized gains and losses on open contracts (the
difference between contract trade price and market price) are reported in the
statement of financial condition as a net gain or loss, as there exists a right of
offset of unrealized gains or losses in accordance with Financial Accounting
Standards Board Interpretation No. 39  Offsetting of Amounts Related to Certain
Contracts. The market value of futures (exchange-traded) contracts is determined by
the various futures exchanges, and reflects the settlement price for each contract as
of the close of the last business day of the reporting period. The market value of
swap and forward currency (non-exchange traded) contracts is extrapolated on a
forward basis from the spot prices quoted as of 5:00 P.M. (E.T.) of the last business
day of the reporting period or based on the market value of its exchange-traded
equivalent. Any change in net unrealized gain or loss from the preceding period is
reported in the statement of operations. Brokerage commissions include other trading
fees and are charged to expense when contracts are opened. United States government
securities are stated at cost plus accrued interest, which approximates market value.For purposes of both financial reporting and calculation of redemption value, Net
Asset Value per unit is calculated by dividing Net Asset Value by the number of
outstanding units.
 40




---



##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 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,
2005 and 2004, the Fund reflects a liability in the statement of financial condition
for offering costs payable to Campbell & Company of $1,464,278 and $2,230,619,
repectively. The amount of monthly reimbursement due to Campbell & Company is
charged directly to partners capital.If the Fund terminates prior to completion of payment of the calculated amounts to
Campbell & Company, Campbell & Company will not be entitled to any additional
payments, and the Fund will have no further obligation to Campbell & Company. At
December 31, 2005 and 2004, the amount of unreimbursed offering costs incurred by
Campbell & Company was $3,561,403 and $2,654,427, respectively.G.
    
    Foreign Currency 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.
 41




---



##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 H.
    
    ReclassificationCertain amounts in the 2004 financial statements were reclassified to conform with
the 2005 presentation.
 GENERAL PARTNER AND COMMODITY TRADING ADVISOR
    DEPOSITS WITH BROKER
  OPERATING EXPENSES
  42




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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
   TRADING ACTIVITIES AND RELATED RISKS
     43




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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 Contracts(exchange traded)
    
    
    (non-exchange traded)December 31,
    
    
    December 31,2005
    
    
    2004
    
    
    2005
    
    
    2004Gross unrealized gains
    
    $
    82,188,360
    
    
    $
    80,577,521
    
    
    $
    127,868,014
    
    
    $
    160,643,120Gross unrealized losses
    
    
    (81,101,629
    )
    
    
    (20,590,813
    )
    
    
    (296,699,505
    )
    
    
    (230,780,522
    )Net unrealized gain (loss)
    
    $
    1,086,731
    
    
    $
    59,986,708
    
    
    $
    (168,831,491
    )
    
    $
    (70,137,402
    )
   INDEMNIFICATIONS
  44




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 FINANCIAL HIGHLIGHTS
  2005
    
    
    2004
    
    
    2003Per Unit Performance(for a unit outstanding throughout the entire year)Net asset value per unit at beginning of year
    
    $
    2,745.73
    
    
    $
    2,631.37
    
    
    $
    2,236.05Income (loss) from operations:Total net trading gains (1)
    
    
    389.43
    
    
    
    372.91
    
    
    
    636.86Expenses net of interest income (1)
    
    
    (119.76
    )
    
    
    (240.58
    )
    
    
    (225.95
    )Total net income from operations
    
    
    269.67
    
    
    
    132.33
    
    
    
    410.91Offering costs (1)
    
    
    (7.98
    )
    
    
    (17.97
    )
    
    
    (15.59
    )Net asset value per unit at end of year
    
    $
    3,007.42
    
    
    $
    2,745.73
    
    
    $
    2,631.37Total Return
    
    
    9.53
    %
    
    
    4.35
    %
    
    
    17.68
    %Supplemental DataRatios to average net asset value:Expenses prior to performance fee
    
    
    (7.09
    )%
    
    
    (7.10
    )%
    
    
    (7.15)
    %Performance fee
    
    
    0.00
    %
    
    
    (2.88
    )%
    
    
    (2.75
    )%Total expenses
    
    
    (7.09
    )%
    
    
    (9.98
    )%
    
    
    (9.90
    )%Expenses net of interest income (2)
    
    
    (4.17
    )%
    
    
    (5.88
    )%
    
    
    (6.17
    )%
 Total returns are calculated based on the change in value of a unit during the year. An
individual partners total returns and ratios may vary from the above total returns and
ratios based on the timing of additions and redemptions.
 
 (1)
    
    Expenses net of interest income per unit and offering costs per unit
are calculated by dividing the expenses net of interest income and offering costs by
the average number of units outstanding during the year. Total trading gains is a
balancing amount necessary to reconcile the change in net asset value per unit with
the other per unit information.(2)
    
    Excludes performance fee. 45




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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