##### Table of Contents



UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
 WASHINGTON, D.C. 20549
 FORM 10-Q
 þ
    
    Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
 For the quarterly period ended March 31, 2011
 or
 o
    
    Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
 For the transition period from  to
 Commission File number: 0-22260
 CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
  Delaware
    
    52-1823554(State of Organization)
    
    (IRS Employer Identification Number)
 
 
  
  þ o
  þ o
  Large accelerated filer o   
    Accelerated filer
o
    Non-accelerated filer o
    Smaller reporting company
þ(Do not check if a smaller reporting company)
  o þ




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##### 



PagePART I  FINANCIAL INFORMATIONItem 1.
    
    Financial StatementsCondensed Schedules of Investments as of March 31, 2011 and December 31, 2010 (Unaudited)
    
    
    3-7Statements of Financial Condition as of March 31, 2011 and December 31, 2010 (Unaudited)
    
    
    8Statements of Operations for the Three Months Ended March 31, 2011 and 2010 (Unaudited)
    
    
    9Statements of Cash Flows for the Three Months Ended March 31, 2011 and 2010 (Unaudited)
    
    
    10Statements of Changes in Partners Capital (Net Asset Value) for the Three Months Ended March 31, 2011 and 2010 (Unaudited)
    
    
    11Financial Highlights for the Three Months Ended March 31, 2011 and 2010 (Unaudited)
    
    
    12Notes to Financial Statements (Unaudited)
    
    
    13-18Item 2.
    
    Managements Discussion and Analysis of Financial Condition and Results of Operations
    
    
    19-24Item 3.
    
    Quantitative and Qualitative Disclosure About Market Risk
    
    
    25-30Item 4.
    
    Controls and Procedures
    
    
    31PART II  OTHER INFORMATIONItem 6.
    
    Exhibits and Reports on Form 8-K
    
    
    32SIGNATURES
    
    
    
    
    33CERTIFICATIONSEX-31.01EX-31.02EX-32.01EX-32.02




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##### Table of Contents



FIXED INCOME SECURITIES
 Maturity
    
    
    
    
    
    
    
    
    % of NetFace Value
    
    
    Description
    
    Values ($)
    
    
    Asset ValueBank DepositsCanadaFinancials
(cost $56,545,000)
    
    $
    56,577,063
    
    
    
    4.39
    %United StatesFinancials
(cost $55,000,000)
    
    $
    55,019,251
    
    
    
    4.27
    %Total Bank Deposits
(cost $111,545,000)
    
    $
    111,596,314
    
    
    
    8.66
    %Commercial PaperAustraliaFinancials
(cost $13,823,128)
    
    $
    13,827,341
    
    
    
    1.07
    %NetherlandsIndustrial
(cost $20,546,109)
    
    $
    20,570,397
    
    
    
    1.60
    %United StatesConsumer Discretionary
    
    $
    101,523,253
    
    
    
    7.87
    %Consumer Staples
    
    $
    83,648,454
    
    
    
    6.49
    %Financials
    
    $
    84,185,163
    
    
    
    6.53
    %Health Care
    
    $
    43,000,000
    
    
    
    3.33
    %Health Care$
    35,500,000
    
    
    United Helathcare Corp DISC COML Paper Due 04/01/2011
    
    $
    35,499,755
    
    
    
    2.75
    %$
    40,000,000
    
    
    United Helathcare Corp DISC COML Paper Due 04/08/2011
    
    $
    39,997,752
    
    
    
    3.10
    %Industrial
    
    $
    9,126,000
    
    
    
    0.71
    %Services
    
    $
    6,999,508
    
    
    
    0.54
    %Total United States (cost $403,934,695)
    
    $
    403,979,885
    
    
    
    31.32
    %Total Commercial Paper
(cost $438,303,932)
    
    $
    438,377,623
    
    
    
    33.99
    %Corporate BondsUnited StatesFinancials
    
    $
    89,843,610
    
    
    
    6.97
    %Health Care
    
    $
    38,929,881
    
    
    
    3.02
    %Total United States (cost $128,442,634)
    
    $
    128,773,491
    
    
    
    9.99
    %Government And Agency ObligationsUnited StatesU.S. Government Agency$
    25,000,000
    
    
    Federal Home LN MTG Corp BD 1.0 Due 02/25/2013
    
    $
    24,956,950
    
    
    
    1.94
    %$
    10,000,000
    
    
    FHLMC 0.85 Due 12/14/2012
    
    $
    9,976,810
    
    
    
    0.77
    %$
    40,000,000
    
    
    FHLMC NT 1.0 Due 01/28/2013
    
    $
    39,971,200
    
    
    
    3.10
    %Other
    
    $
    93,542,894
    
    
    
    7.25
    %$
    120,000,000
    
    
    U.S. Treasury Bills * Due 05/05/2011
    
    $
    119,994,900
    
    
    
    9.30
    %$
    55,000,000
    
    
    U.S. Treasury Bills * Due 06/30/2011
    
    $
    54,990,375
    
    
    
    4.26
    %
 See Accompanying Notes to Financial Statements.
 3




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##### Table of Contents



Maturity
    
    
    
    
    
    
    
    
    % of NetFace Value
    
    
    Description
    
    Values ($)
    
    
    Asset Value$
    75,000,000
    
    
    U.S. Treasury Bills * Due 04/07/2011
    
    $
    74,999,187
    
    
    
    5.82
    %Total United States (cost $418,565,774)
    
    $
    418,432,316
    
    
    
    32.44
    %Short Term Investment FundsUnited StatesShort Term Investment Funds
(cost $342)
    
    $
    342
    
    
    
    0.00
    %Total Fixed Income Securities
(cost $1,096,857,682)
    
    $
    1,097,180,086
    
    
    
    85.08
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueAgricultural
    
    $
    1,816,819
    
    
    
    0.14
    %Energy
    
    $
    5,436,484
    
    
    
    0.42
    %Metals
    
    $
    2,083,049
    
    
    
    0.16
    %Stock indices
    
    $
    5,235,905
    
    
    
    0.41
    %Short-term interest rates
    
    $
    (2,398,413
    )
    
    
    (0.19
    )%Long-term interest rates
    
    $
    (7,356,287
    )
    
    
    (0.57
    )%Total long futures contracts
    
    $
    4,817,557
    
    
    
    0.37
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueAgricultural
    
    $
    (632,605
    )
    
    
    (0.05
    )%Metals
    
    $
    (2,970,072
    )
    
    
    (0.23
    )%Stock indices
    
    $
    (322,345
    )
    
    
    (0.02
    )%Short-term interest rates
    
    $
    2,404,005
    
    
    
    0.19
    %Long-term interest rates
    
    $
    699,417
    
    
    
    0.05
    %Total short futures contracts
    
    $
    (821,600
    )
    
    
    (0.06
    )%Total futures contracts
    
    $
    3,995,957
    
    
    
    0.31
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    31,684,080
    
    
    
    2.46
    %Various short forward currency contracts
    
    $
    (41,055,866
    )
    
    
    (3.18
    )%Total forward currency contracts
    
    $
    (9,371,786
    )
    
    
    (0.72
    )%
 PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValuePurchased options on forward currency contracts
(premiums paid  $2,886,584)
    
    $
    5,153,924
    
    
    
    0.40
    %
 WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueWritten options on forward currency contracts
(premiums received  $1,645,658)
    
    $
    (2,656,276
    )
    
    
    (0.21
    )%
 
 *
    
    Pledged as collateral for the trading of futures, forward and option positions. See Accompanying Notes to Financial Statements.
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##### Table of Contents



FIXED INCOME SECURITIES
 Maturity
    
    
    
    
    
    
    
    
    % of NetFace Value
    
    
    Description
    
    Values ($)
    
    
    Asset ValueBank DepositsCanadaFinancials
(cost $14,545,000)
    
    $
    14,557,945
    
    
    
    1.03
    %United StatesFinancials
(cost $33,000,000)
    
    $
    33,009,535
    
    
    
    2.33
    %Total Bank Deposits
(cost $47,545,000)
    
    $
    47,567,480
    
    
    
    3.36
    %Commercial PaperAustraliaFinancials
(cost $13,810,957)
    
    $
    13,816,616
    
    
    
    0.97
    %NetherlandsIndustrial
(cost $20,508,143)
    
    $
    20,554,351
    
    
    
    1.45
    %PanamaConsumer Discretionary
(cost $32,994,474)
    
    $
    32,994,307
    
    
    
    2.33
    %United KingdomConsumer Staples
(cost $11,531,551)
    
    $
    11,532,293
    
    
    
    0.81
    %United StatesConsumer Discretionary
    
    $
    115,527,505
    
    
    
    8.15
    %Consumer Staples
    
    $
    6,683,703
    
    
    
    0.47
    %Energy
    
    $
    43,103,277
    
    
    
    3.04
    %Financials
    
    $
    42,144,129
    
    
    
    2.97
    %Health Care
    
    $
    56,326,259
    
    
    
    3.97
    %Industrial
    
    $
    22,132,270
    
    
    
    1.56
    %Municipal
    
    $
    5,277,272
    
    
    
    0.37
    %Services
    
    $
    19,997,604
    
    
    
    1.41
    %Utilities
    
    $
    89,945,673
    
    
    
    6.34
    %Total United States (cost $401,123,948)
    
    $
    401,137,692
    
    
    
    28.28
    %Total Commercial Paper
(cost $479,969,073)
    
    $
    480,035,259
    
    
    
    33.84
    %Corporate BondsUnited StatesFinancials
(cost $103,844,282)
    
    $
    104,048,295
    
    
    
    7.34
    %Government And Agency ObligationsUnited StatesU.S. Government Agency$
    19,400,000
    
    
    Federal Home Loan Bank 0.625% Due 10/18/2012
    
    $
    19,363,140
    
    
    
    1.37
    %$
    30,000,000
    
    
    Federal Home Loan Bank 0.70% Due 04/18/2011
    
    $
    30,041,550
    
    
    
    2.12
    %$
    25,000,000
    
    
    Federal Home Loan Bank BD 0.40% Due 12/09/2011
    
    $
    24,988,175
    
    
    
    1.76
    %$
    44,320,000
    
    
    Federal Home Loan Bank BD 1.00% Due 02/28/2011
    
    $
    44,348,055
    
    
    
    3.13
    %Other
    
    $
    94,000,068
    
    
    
    6.63
    %
 See Accompanying Notes to Financial Statements.
 5




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##### Table of Contents



Maturity
    
    
    
    
    
    
    
    
    % of NetFace Value
    
    
    Description
    
    Values ($)
    
    
    Asset Value$
    75,000,000
    
    
    U.S. Treasury Bills *Due 01/06/2011
    
    $
    74,998,646
    
    
    
    5.29
    %$
    30,000,000
    
    
    U.S. Treasury Bills *Due 01/06/2011
    
    $
    29,999,528
    
    
    
    2.12
    %$
    75,000,000
    
    
    U.S. Treasury Bills *Due 01/13/2011
    
    $
    74,997,625
    
    
    
    5.29
    %Total United States (cost $392,776,938)
    
    $
    392,736,787
    
    
    
    27.71
    %Short Term Investment FundsUnited StatesShort Term Investment Funds(cost $841)
    
    $
    841
    
    
    
    0.00
    %Total Fixed Income Securities
(cost $1,024,136,134)
    
    $
    1,024,388,662
    
    
    
    72.25
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueAgricultural
    
    $
    9,251,944
    
    
    
    0.65
    %Energy
    
    $
    3,035,710
    
    
    
    0.21
    %Metals
    
    $
    10,794,183
    
    
    
    0.76
    %Stock indices
    
    $
    (306,791
    )
    
    
    (0.02
    )%Short-term interest rates
    
    $
    1,605,624
    
    
    
    0.11
    %Long-term interest rates
    
    $
    192,278
    
    
    
    0.01
    %Total long futures contracts
    
    $
    24,572,948
    
    
    
    1.72
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueAgricultural
    
    $
    (72,440
    )
    
    
    (0.01
    )%Energy
    
    $
    (1,087,850
    )
    
    
    (0.08
    )%Metals
    
    $
    (2,444,287
    )
    
    
    (0.17
    )%Stock indices
    
    $
    243,953
    
    
    
    0.02
    %Short-term interest rates
    
    $
    (33,297
    )
    
    
    0.00
    %Long-term interest rates
    
    $
    (2,828,749
    )
    
    
    (0.20
    )%Total short futures contracts
    
    $
    (6,222,670
    )
    
    
    (0.44
    )%Total futures contracts
    
    $
    18,350,278
    
    
    
    1.28
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    114,487,860
    
    
    
    8.07
    %Various short forward currency contracts
    
    $
    (92,306,224
    )
    
    
    (6.51
    )%Total forward currency contracts
    
    $
    22,181,636
    
    
    
    1.56
    %
 PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValuePurchased options on forward currency contracts
(premiums paid   $4,537,333)
    
    $
    6,243,013
    
    
    
    0.44
    %
 See Accompanying Notes to Financial Statements.
 6




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##### Table of Contents



WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueWritten options on forward currency contracts
(premiums received   $988,402)
    
    $
    (2,884,114
    )
    
    
    (0.20
    )%
 
 *
    
    Pledged as collateral for the trading of futures, forward and option positions. See Accompanying Notes to Financial Statements.
 7




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##### Table of Contents



March 31,
    
    
    December 31,2011
    
    
    2010ASSETSEquity in broker trading accountsCash
    
    $
    275,141,848
    
    
    $
    294,040,862Fixed income securities
(cost $194,994,087 and $149,996,271, respectively)
    
    
    194,994,087
    
    
    
    149,996,271Net unrealized gain (loss) on open futures contracts
    
    
    3,995,957
    
    
    
    18,350,278Total equity in broker trading accounts
    
    
    474,131,892
    
    
    
    462,387,411Cash and cash equivalents
    
    
    34,961,179
    
    
    
    78,868,811Restricted cash deposits with forwards broker
    
    
    31,473,879
    
    
    
    4,324,051Fixed income securities
(cost $901,863,595 and $874,139,862, respectively)
    
    
    902,185,999
    
    
    
    874,392,391Options purchased, at fair value
(premiums paid  $2,886,584 and $4,537,333, respectively)
    
    
    5,153,924
    
    
    
    6,243,013Net unrealized gain (loss) on open forward currency contracts
    
    
    (9,371,786
    )
    
    
    22,181,636Interest receivable
    
    
    760,973
    
    
    
    2,445,265Total assets
    
    $
    1,439,296,060
    
    
    $
    1,450,842,578LIABILITIESAccounts payable
    
    $
    395,430
    
    
    $
    729,337Brokerage fee
    
    
    7,674,939
    
    
    
    8,438,643Options written, at fair value
(premiums received  $1,645,658 and $988,402, respectively)
    
    
    2,656,276
    
    
    
    2,884,114Payable for securities purchased
    
    
    119,994,900
    
    
    
    0Accrued commissions and other trading fees on open contracts
    
    
    310,262
    
    
    
    197,479Offering costs payable
    
    
    235,281
    
    
    
    407,181Redemptions payable
    
    
    18,375,643
    
    
    
    20,340,196Total liabilities
    
    
    149,642,731
    
    
    
    32,996,950PARTNERS CAPITAL (Net Asset Value)General Partner  4,330.602 and 6,602.933 redeemable units
outstanding at March 31, 2011 and December 31, 2010
    
    
    10,678,788
    
    
    
    17,239,400Limited Partners  518,666.244 and 536,451.595 redeemable units
outstanding at March 31, 2011 and December 31, 2010
    
    
    1,278,974,541
    
    
    
    1,400,606,228Total partners capital (Net Asset Value)
    
    
    1,289,653,329
    
    
    
    1,417,845,628Total liabilities and partners capital (Net Asset Value)
    
    $
    1,439,296,060
    
    
    $
    1,450,842,578
 See Accompanying Notes to Financial Statements.
 8




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##### Table of Contents



Three Months EndedMarch 31,2011
    
    
    2010TRADING GAINS (LOSSES)Futures trading gains (losses)Realized
    
    $
    (13,044,309
    )
    
    $
    (69,962,051
    )Change in unrealized
    
    
    (14,354,321
    )
    
    
    37,483,652Brokerage commissions
    
    
    (887,321
    )
    
    
    (1,118,997
    )Net gain (loss) from futures trading
    
    
    (28,285,951
    )
    
    
    (33,597,396
    )Forward currency and options on forward
currency trading gains (losses)Realized
    
    
    5,957,690
    
    
    
    (29,088,325
    )Change in unrealized
    
    
    (30,106,668
    )
    
    
    16,827,346Brokerage commissions
    
    
    (130,483
    )
    
    
    (103,881
    )Net gain (loss) from forward currency
and options on forward currency trading
    
    
    (24,279,461
    )
    
    
    (12,364,860
    )Total net trading gain (loss)
    
    
    (52,565,412
    )
    
    
    (45,962,256
    )NET INVESTMENT INCOME (LOSS)Investment incomeInterest income
    
    
    1,158,300
    
    
    
    1,561,540Realized gain (loss) on fixed income securities
    
    
    4,739
    
    
    
    (5,487
    )Change in unrealized gain (loss) on fixed income securities
    
    
    69,874
    
    
    
    455,115Total investment income
    
    
    1,232,913
    
    
    
    2,011,168ExpensesBrokerage fee
    
    
    24,235,629
    
    
    
    27,783,387Operating expenses
    
    
    550,731
    
    
    
    738,894Total expenses
    
    
    24,786,360
    
    
    
    28,522,281Net investment income (loss)
    
    
    (23,553,447
    )
    
    
    (26,511,113
    )NET INCOME (LOSS)
    
    $
    (76,118,859
    )
    
    $
    (72,473,369
    )NET INCOME (LOSS) PER GENERAL
AND LIMITED PARTNER UNIT
(based on weighted average number
of units outstanding during the period)
    
    $
    (141.65
    )
    
    $
    (103.56
    )INCREASE (DECREASE) IN NET ASSET VALUE
PER GENERAL AND LIMITED PARTNER UNIT
    
    $
    (144.98
    )
    
    $
    (100.17
    )
 See Accompanying Notes to Financial Statements.
 9




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##### Table of Contents



Three Months EndedMarch 31,2011
    
    
    2010Cash flows from (for) operating activitiesNet income (loss)
    
    $
    (76,118,859
    )
    
    $
    (72,473,369
    )Adjustments to reconcile net income (loss) to net cash from (for) operating activitiesNet change in unrealized
    
    
    44,391,115
    
    
    
    (54,766,113
    )(Increase) decrease in restricted cash
    
    
    (27,149,828
    )
    
    
    0(Increase) decrease in option premiums paid
    
    
    1,650,749
    
    
    
    800,061Increase (decrease) in option premiums received
    
    
    657,256
    
    
    
    (54,954
    )Increase (decrease) in payable for securities purchased
    
    
    119,994,900
    
    
    
    (99,998,667
    )(Increase) decrease in interest receivable
    
    
    1,684,292
    
    
    
    909,974Increase (decrease) in accounts payable and accrued expenses
    
    
    (984,828
    )
    
    
    (1,167,042
    )Purchases of investments in fixed income securities
    
    
    (10,493,211,325
    )
    
    
    (13,612,873,948
    )Sales/maturities of investments in fixed income securities
    
    
    10,420,489,775
    
    
    
    13,825,497,204Net cash from (for) operating activities
    
    
    (8,596,753
    )
    
    
    (14,126,854
    )Cash flows from (for) financing activitiesRedemption of units
    
    
    (53,348,078
    )
    
    
    (102,959,521
    )Offering costs paid
    
    
    (861,815
    )
    
    
    (754,311
    )Net cash from (for) financing activities
    
    
    (54,209,893
    )
    
    
    (103,713,832
    )Net increase (decrease) in cash and cash equivalents
    
    
    (62,806,646
    )
    
    
    (117,840,686
    )Cash and cash equivalentsBeginning of period
    
    
    372,909,673
    
    
    
    266,140,992End of period
    
    $
    310,103,027
    
    
    $
    148,300,306End of period cash and cash equivalents consists of:Cash in broker trading accounts
    
    $
    275,141,848
    
    
    $
    115,761,597Cash and cash equivalents
    
    
    34,961,179
    
    
    
    32,538,709Total end of period cash and cash equivalents
    
    $
    310,103,027
    
    
    $
    148,300,306
 See Accompanying Notes to Financial Statements.
 10




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##### Table of Contents



Partners CapitalGeneral Partner
    
    
    Limited Partners
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountThree Months Ended March 31, 2011Balances at December 31, 2010
    
    
    6,602.933
    
    
    $
    17,239,400
    
    
    
    536,451.595
    
    
    $
    1,400,606,228
    
    
    
    543,054.528
    
    
    $
    1,417,845,628Net income
(loss) for the three months ended March 31, 2011
    
    
    
    
    
    
    (553,140
    )
    
    
    
    
    
    
    (75,565,719
    )
    
    
    
    
    
    
    (76,118,859
    )Redemptions
    
    
    (2,272.331
    )
    
    
    (5,999,999
    )
    
    
    (17,785.351
    )
    
    
    (45,383,526
    )
    
    
    (20,057.682
    )
    
    
    (51,383,525
    )Offering costs
    
    
    
    
    
    
    (7,473
    )
    
    
    
    
    
    
    (682,442
    )
    
    
    
    
    
    
    (689,915
    )Balances at March 31, 2011
    
    
    4,330.602
    
    
    $
    10,678,788
    
    
    
    518,666.244
    
    
    $
    1,278,974,541
    
    
    
    522,996.846
    
    
    $
    1,289,653,329Three Months Ended March 31, 2010Balances at December 31, 2009
    
    
    6,637.982
    
    
    $
    15,893,851
    
    
    
    706,905.488
    
    
    $
    1,692,597,767
    
    
    
    713,543.470
    
    
    $
    1,708,491,618Net income (loss) for the three months ended
March 31, 2010
    
    
    
    
    
    
    (659,190
    )
    
    
    
    
    
    
    (71,814,179
    )
    
    
    
    
    
    
    (72,473,369
    )Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (51,758.059
    )
    
    
    (117,142,123
    )
    
    
    (51,758.059
    )
    
    
    (117,142,123
    )Offering costs
    
    
    
    
    
    
    (5,736
    )
    
    
    
    
    
    
    (598,651
    )
    
    
    
    
    
    
    (604,387
    )Balances at March 31, 2010
    
    
    6,637.982
    
    
    $
    15,228,925
    
    
    
    655,147.429
    
    
    $
    1,503,042,814
    
    
    
    661,785.411
    
    
    $
    1,518,271,739
 Net Asset Value per General and Limited Partner UnitMarch 31, 2011
    
    
    December 31, 2010
    
    
    March 31, 2010
    
    
    December 31, 2009$
    2,465.89
    
    
    $
    2,610.87
    
    
    $
    2,294.21
    
    
    $
    2,394.38
 See Accompanying Notes to Financial Statements.
 11




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##### Table of Contents



Three Months EndedMarch 31,2011
    
    
    2010Per Unit Performance(for a unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    2,610.87
    
    
    $
    2,394.38Income (loss) from operations:Total net trading gains (losses) (1)
    
    
    (99.87
    )
    
    
    (61.43
    )Net investment income (loss) (1)
    
    
    (43.83
    )
    
    
    (37.88
    )Total net income (loss) from operations
    
    
    (143.70
    )
    
    
    (99.31
    )Offering costs (1)
    
    
    (1.28
    )
    
    
    (0.86
    )Net asset value per unit at end of period
    
    $
    2,465.89
    
    
    $
    2,294.21Total Return(3)
    
    
    (5.55
    )%
    
    
    (4.18
    )%Supplemental DataRatios to average net asset value:Expenses prior to performance fee (4)
    
    
    7.19
    %
    
    
    7.15
    %Performance fee (3)
    
    
    0.00
    %
    
    
    0.00
    %Total expenses
    
    
    7.19
    %
    
    
    7.15
    %Net investment income (loss) (2),(4)
    
    
    (6.83
    )%
    
    
    (6.65
    )%
 Total returns are calculated based on the change in value of a unit during the period. An
individual partners total returns and ratios may vary from the above total returns and ratios
based on the timing of additions and redemptions.
 
 (1)
    
    Net investment income (loss) per unit and offering costs per unit are calculated by dividing
the net investment income (loss) and offering costs by the average number of units outstanding
during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile
the change in net asset value per unit with the other per unit information.(2)
    
    Excludes performance fee.(3)
    
    Not annualized(4)
    
    Annualized See Accompanying Notes to Financial Statements.
 12




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##### Table of Contents



Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
 A.
    
    General Description of the Fund
 Campbell Strategic Allocation Fund, L.P. (the Fund) is a Delaware limited partnership which
operates as a commodity investment pool. The Fund engages in the speculative trading of
futures contracts, forward currency contracts and options on forward currency contracts.
 B.
    
    Regulation
 As a registrant with the Securities and Exchange Commission, the Fund is subject to the
regulatory requirements under the Securities Act of 1933 and the Securities Exchange Act of
1934. As a commodity investment pool, the Fund is subject to the regulations of the Commodity
Futures Trading Commission, an agency of the United States (U.S.) government which regulates
most aspects of the commodity futures industry; rules of the National Futures Association, an
industry self-regulatory organization; and the requirements of the various commodity exchanges
where the Fund executes transactions. Additionally, the Fund is subject to the requirements of
futures commission merchants (brokers) and interbank market makers through which the Fund
trades.
 C.
    
    Method of Reporting
 The Funds financial statements are presented in accordance with accounting principles
generally accepted in the United States of America, which may require the use of certain
estimates made by the Funds management. Actual results may differ from these estimates.
 Investment transactions are accounted for on the trade date. Gains or losses are realized when
contracts are liquidated. Unrealized gains and losses on open contracts (the difference
between contract trade price and market price) are reported in the statement of financial
condition as a net gain or loss, as there exists a right of offset of unrealized gains or
losses in accordance with Financial Accounting Standards Board (FASB) Accounting Standards
Codification (ASC) 210-20, Offsetting  Balance Sheet. The fair value of futures
(exchange-traded) contracts is determined by the various futures exchanges, and reflects the
settlement price for each contract as of the close on the last business day of the reporting
period. The fair value of forward currency (non-exchange traded) contracts was extrapolated on
a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) on the last business day of
the reporting period.
 The fair value of option (non-exchange traded) contracts is calculated by applying an
industry-standard adaptation of the Black-Scholes options valuation model to foreign currency
options, using as inputs the spot prices, interest rates and option implied volatilities
quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period. Any change in
net unrealized gain or loss from the preceding period is reported in the statement of
operations.
 When the Fund writes an option, an amount equal to the premium received by the Fund is
reflected as an asset and an equivalent liability. The amount of the liability is subsequently
marked to market to reflect the current fair value of option written. Brokerage commissions
include other trading fees and are charged to expense when contracts are opened.
 The fixed income investments, other than U.S. Treasury bills, are held at the custodian and
marked to market on the last business day of the reporting period by the custodian who
utilizes a third party vendor hierarchy of pricing providers who specialize in such markets.
The prices furnished by the providers consider the yield or price of bonds of comparable
quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in
such securities. U.S. Treasury bills are held at the brokers or interbank market makers and
are stated at cost plus accrued interest, which approximates fair value. Premiums and
discounts on fixed income securities are amortized for financial reporting purposes.
 For purposes of both financial reporting and calculation of redemption value, Net Asset Value
per unit is calculated by dividing Net Asset Value by the number of outstanding units.
 The Fund follows the provisions of ASC 820, Fair Value Measurements and Disclosures, as of
January 1, 2008. ASC 820 provides guidance for determining fair value and requires increased
disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820
defines fair value as the price that would be received to sell an asset or paid to transfer a
liability in an orderly transaction between market participants at the measurement date.
 ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation
techniques used to measure fair value into three broad levels. The fair value hierarchy gives
the highest priority to quoted prices (unadjusted) in active markets for identical assets or
liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).
 Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or
liabilities that the Fund has the ability to access at the measurement date. An active market
for the asset or liability is a market in which transactions for the asset or liability occur
with sufficient frequency and volume to provide pricing information on an ongoing basis. The
value of the Funds exchange-traded futures contracts fall into this category.
 Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for
the asset or liability, either directly or indirectly. This category includes forward currency
contracts and options on forward currency contracts that the Fund values using models or other
valuation methodologies derived from observable market data. This category also includes fixed
income investments.
 Level 3 inputs are unobservable inputs for an asset or liability (including the Funds own
assumptions used in determining the fair value of investments). Unobservable inputs shall be
used to measure fair value to the extent that observable inputs are not available, thereby
allowing for situations in which there is little, if any, market activity for the asset or
liability at the measurement date. As of and for the period ended March 31, 2011, the Fund did
not have any Level 3 assets or liabilities.
 13




---



##### Table of Contents



Fair Value at March 31, 2011Description
    
    Level 1
    
    
    Level 2
    
    
    Level 3
    
    
    TotalInvestmentsFixed income securities
    
    $
    0
    
    
    $
    1,097,180,086
    
    
    $
    0
    
    
    $
    1,097,180,086Other Financial InstrumentsExchange-traded futures contracts
    
    
    3,995,957
    
    
    
    0
    
    
    
    0
    
    
    
    3,995,957Forward currency contracts
    
    
    0
    
    
    
    (9,371,786
    )
    
    
    0
    
    
    
    (9,371,786
    )Options purchased
    
    
    0
    
    
    
    5,153,924
    
    
    
    0
    
    
    
    5,153,924Options written
    
    
    0
    
    
    
    (2,656,276
    )
    
    
    0
    
    
    
    (2,656,276
    )Total
    
    $
    3,995,957
    
    
    $
    1,090,305,948
    
    
    $
    0
    
    
    $
    1,094,301,905
 Fair Value at December 31, 2010Description
    
    Level 1
    
    
    Level 2
    
    
    Level 3
    
    
    TotalInvestmentsFixed income securities
    
    $
    0
    
    
    $
    1,024,388,662
    
    
    $
    0
    
    
    $
    1,024,388,662Other Financial InstrumentsExchange-traded futures contracts
    
    
    18,350,278
    
    
    
    0
    
    
    
    0
    
    
    
    18,350,278Forward currency contracts
    
    
    0
    
    
    
    22,181,636
    
    
    
    0
    
    
    
    22,181,636Options purchased
    
    
    0
    
    
    
    6,243,013
    
    
    
    0
    
    
    
    6,243,013Options written
    
    
    0
    
    
    
    (2,884,114
    )
    
    
    0
    
    
    
    (2,884,114
    )Total
    
    $
    18,350,278
    
    
    $
    1,049,929,197
    
    
    $
    0
    
    
    $
    1,068,279,475
 The gross presentation of the fair value of the Funds derivatives by instrument type is shown
in Note 7. See Condensed Schedule of Investments for additional detail categorization.
 D.
    
    Cash and Cash Equivalents
 Cash and cash equivalents includes cash and overnight money market investments at financial
institutions.
 E.
    
    Income Taxes
 The Fund prepares calendar year U.S. federal and applicable state information tax returns and
reports to the partners their allocable shares of the Funds income, expenses and trading
gains or losses. No provision for income taxes has been made in the accompanying financial
statements as each partner is individually responsible for reporting income or loss based on
such partners respective share of the Funds income and expenses as reported for income tax
purposes.
 Management has continued to evaluate the application of ASC 740, Income Taxes, to the Fund,
and has determined that no reserves for uncertain tax positions were required. There are no
tax positions for which it is reasonably possible that the total amounts of unrecognized tax
benefits will significantly increase or decrease within twelve
months. The Fund files federal and state tax returns. The 2007 through 2010 tax years
generally remain subject to examination by the U.S. federal and most state tax authorities.
 F.
    
    Offering Costs
 Campbell & Company, Inc. (Campbell & Company) has incurred all costs in connection with
the initial and continuous offering of units of the Fund (offering costs). In addition,
Campbell & Company continues to compensate wholesalers for services rendered to Limited
Partners. The Funds liability for offering costs is limited to the maximum of total offering
costs incurred by Campbell & Company or 2.5% of the aggregate subscriptions accepted during
the initial and continuous offerings. The Fund is only liable for payment of offering costs
on a monthly basis as calculated based on the limitations stated above. At March 31, 2011,
and December 31, 2010, the Fund reflects a liability in the statement of financial condition
for offering costs payable to Campbell & Company of $235,281 and $407,181, respectively. The
amount of monthly reimbursement due to Campbell & Company is charged directly to partners
capital.
 14




---



##### Table of Contents



If the Fund terminates prior to completion of payment of the calculated amounts to Campbell &
Company, Campbell & Company will not be entitled to any additional payments, and the Fund
will have no further obligation to Campbell & Company. At March 31, 2011 and December 31,
2010, the amount of unreimbursed offering costs incurred by Campbell & Company is $237,578
and $414,245, respectively.
 G.
    
    Foreign Currency Transactions
 The Funds functional currency is the U.S. dollar; however, it transacts business in
currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other
than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of
the statement of financial condition. Income and expense items denominated in currencies
other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the
period. Gains and losses resulting from the translation to U.S. dollars are reported in
income.
 Note 2. GENERAL PARTNER AND COMMODITY TRADING ADVISOR
 The general partner of the Fund is Campbell & Company, which conducts and manages the
business of the Fund. Campbell & Company is also the commodity trading advisor of the Fund.
The Amended Agreement of Limited Partnership provides that Campbell & Company may make
withdrawals of its units, provided that such withdrawals do not reduce Campbell & Companys
aggregate percentage interest in the Fund to less than 1% of the net aggregate
contributions.
 Campbell & Company is required by the Amended Agreement of Limited Partnership to maintain a
net worth equal to at least 5% of the capital contributed by all the limited partnerships
for which it acts as general partner, including the Fund. The minimum net worth shall in no
case be less than $50,000 nor shall net worth in excess of $1,000,000 be required.
 The Fund pays a monthly brokerage fee equal to 1/12 of 7% (7% annualized) of month-end net
assets to Campbell & Company and approximately $4 per round turn to the broker for execution
and clearing costs. From the 7% fee, a portion (4%) is used to compensate selling agents for
ongoing services rendered and a portion (3%) is retained by Campbell & Company for trading
and management services rendered. The amount paid to the broker and interbank market makers
for execution and clearing costs is limited to 1/12 of 1% (1% annualized) of month-end net
assets.
 Campbell & Company is also paid a quarterly performance fee of 20% of the Funds aggregate
cumulative appreciation in the Net Asset Value per unit, exclusive of appreciation
attributable to interest income. More specifically, the performance fee is paid on the
cumulative increase, if any, in the Net Asset Value per Unit over the highest previous
cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark) adjusting
for investment income. In determining the brokerage and performance fees (the fees),
adjustments shall be made for capital additions and withdrawals and Net Assets shall not be
reduced by the fees being calculated for such current period. The performance fee is not
subject to any clawback provisions. The fees are typically paid in the month following the
month in which they are earned. The fees are paid from the available cash at the Funds
bank, broker or cash management accounts.
 Note 3. CASH MANAGER AND CUSTODIAN
 In July 2009, the Fund appointed Wilmington Trust Investment Management LLC, a wholly owned
subsidiary of Wilmington Trust Corporation, and Horizon Cash Management LLC as cash managers
under the Non-Custody Investment Advisory Agreements to manage and control the liquid assets
of the Fund. Each cash manager is registered as an investment adviser with the Securities
and Exchange Commission of the United States under the Investment Advisers Act of 1940.
 The Fund opened custodial accounts at The Northern Trust Company (the custodian) and has
granted the cash managers authority to make certain investments on behalf of the Fund
provided such investments are consistent with the investment guidelines created by the
general partner. All securities purchased by the cash managers on behalf of the Fund will be
held in the Funds custody accounts at the custodian. The cash managers will have no
beneficial or other interest in the securities and cash in such custody accounts.
 In December 2010, the Fund terminated the Non-Custody Investment Advisory Agreement with
Wilmington Trust Invesment Management LLC as cash manager and transferred the funds to
Horizon Cash Management to manage for the Fund.
 Note 4. DEPOSITS WITH BROKERS
 The Fund deposits assets with brokers subject to Commodity Futures Trading Commission
regulations and various exchange and broker requirements. Margin requirements are satisfied
by the deposit of U.S. Treasury bills and cash with such brokers. The Fund typically earns
interest income on its assets deposited with the brokers.
 Note 5. OPERATING EXPENSES
 Operating expenses of the Fund are limited by the Amended Agreement of Limited Partnership
to 0.5% per year of the average month-end Net Asset Value of the Fund. Actual operating
expenses were less than 0.5% (annualized) of average month-end Net Asset Value for the three
months ended March 31, 2011 and 2010.
 15




---



##### Table of Contents



Note 6. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
 Investments in the Fund were made by subscription agreement, subject to acceptance by
Campbell & Company.
 The Fund is not required to make distributions, but may do so at the sole discretion of
Campbell & Company. A limited partner may request and receive redemption of units owned,
subject to restrictions in the Amended Agreement of Limited Partnership. Units are
transferable, but no market exists for their sale and none is expected to develop. Monthly
redemptions are permitted upon ten (10) business days advance written notice to Campbell &
Company.
 Redemption fees, which are paid to Campbell & Company, apply through the first twelve
month-ends following purchase as follows: 4% of Net Asset Value per unit redeemed through the
third month-end, 3% of Net Asset Value per unit redeemed through the sixth month-end, 2% of
Net Asset Value per unit redeemed through the ninth month-end and 1% of Net Asset Value per
unit redeemed through the twelfth month end. After the twelfth month-end following purchase
of a unit, no redemption fees apply. For the three months ended March 31, 2011 and 2010,
Campbell & Company received redemption fees of $0 and $0 respectively.
 Note 7. TRADING ACTIVITIES AND RELATED RISKS
 The Fund engages in the speculative trading of U.S. and foreign futures contracts, forward
currency contracts and options on forward currency contracts (collectively, derivatives).
Specifically, the Fund trades a portfolio focused on financial futures, which are instruments
designed to hedge or speculate on changes in interest rates, currency exchange rates or stock
index values, as well as metals, energy and agricultural values. A secondary emphasis is on
metals, energy and agriculture values. The Fund is exposed to both market risk, the risk
arising from changes in the fair value of the contracts, and credit risk, the risk of failure
by another party to perform according to the terms of a contract. The market sensitive
instruments held by the Fund are acquired for speculative trading purposes, and all or a
substantial amount of the Funds assets are subject to the risk of trading loss. Unlike an
operating company, the risk of market sensitive instruments is integral, not incidental, to
the Funds main line of business.
 Purchase and sale of futures contracts requires margin deposits with the broker. Additional
deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires
a broker to segregate all customer transactions and assets from such brokers proprietary
activities. A customers cash and other property (for example, U.S. Treasury bills) deposited
with a broker are considered commingled with all other customer funds subject to the brokers
segregation requirements. In the event of a brokers insolvency, recovery may be limited to a
pro rata share of segregated funds available. It is possible that the recovered amount could
be less than total cash and other property deposited.
 The amount of required margin and good faith deposits with the broker and interbank market
makers usually range from 10% to 30% of Net Asset Value. The fair value of securities held to
satisfy such requirements at March 31, 2011 and December 31, 2010 was $1,097,180,086 and
$179,995,799, respectively, which equals 85% and 13% of Net Asset Value, respectively. The
cash deposited with interbank market makers at March 31, 2011 and December 31, 2010 was
$66,284,021 and $83,046,799, respectively, which equals 5% and 6% of Net Asset Value,
respectively. These amounts are included in cash and cash equivalents. Included in cash
deposits with the broker and interbank market maker at March 31, 2011 and December 31, 2010
was restricted cash for margin requirements of $31,473,879 and $4,324,051 respectively, which
equals 2% and 0% of Net Asset Value respectively.
 The Fund trades forward currency and options on forward currency contracts in unregulated
markets between principals and assumes the risk of loss from counterparty nonperformance.
Accordingly, the risks associated with forward currency and options on foreign currency
contracts are generally greater than those associated with exchange traded contracts because
of the greater risk of counterparty default. Additionally, the trading of forward currency
and options on forward currency contracts typically involves delayed cash settlement.
 The Fund has a substantial portion of its assets on deposit with financial institutions. In
the event of a financial institutions insolvency, recovery of Fund assets on deposit may be
limited to account insurance or other protection afforded such deposits.
 For derivatives, risks arise from changes in the fair value of the contracts. Market
movements result in frequent changes in the fair value of the Funds open positions and,
consequently, in its earnings and cash flow. The
Funds market risk is influenced by a wide variety of factors, including the level and
volatility of exchange rates, interest rates, equity price levels, the fair value of
financial instruments and contracts, the diversification effects among the Funds open
positions and the liquidity of the markets in which it trades. Theoretically, the Fund is
exposed to a market risk equal to the notional contract value of futures and forward currency
contracts purchased and unlimited liability on such contracts sold short. As both a buyer and
seller of options, the Fund pays or receives a premium at the outset and then bears the risk
of unfavorable changes in the price of the contract underlying the option. Written options
expose the Fund to potentially unlimited liability, and purchased options expose the Fund to
a risk of loss limited to the premiums paid. See Note 1. C. for an explanation of how the
Fund determines its valuation for derivatives as well as the netting of derivatives.
 The Fund has adopted the provisions of ASC 815, Derivatives and Hedging, (ASC 815). ASC 815
provides enhanced disclosures about how and why an entity uses derivative instruments, how
derivative instruments are accounted for, and how derivative instruments affect an entitys
financial position, financial performance and cash flows.
 The following tables summarize quantitative information required by ASC 815.
 The fair value of the Funds derivatives by instrument type, as well as the location of those
instruments on the Statement of Financial Condition, as of March 31, 2011 and December 31,
2010 is as follows:
 16




---



##### Table of Contents



Asset
    
    
    LiabilityDerivatives at
    
    
    Derivatives atStatement of Financial
    
    March 31, 2011
    
    
    March 31, 2011Type of Instrument *
    
    Condition Location
    
    Fair Value
    
    
    Fair Value
    
    
    NetAgricultural Contracts
    
    Equity in broker trading accounts
    
    $
    3,843,651
    
    
    $
    (2,659,437
    )
    
    $
    1,184,214Energy Contracts
    
    Equity in broker trading accounts
    
    
    5,437,055
    
    
    
    (571
    )
    
    
    5,436,484Metal Contracts
    
    Equity in broker trading accounts
    
    
    4,884,533
    
    
    
    (5,771,556
    )
    
    
    (887,023
    )Stock Indices Contracts
    
    Equity in broker trading accounts
    
    
    5,658,328
    
    
    
    (744,768
    )
    
    
    4,913,560Short-Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    2,483,527
    
    
    
    (2,477,935
    )
    
    
    5,592Long-Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    1,119,707
    
    
    
    (7,776,577
    )
    
    
    (6,656,870
    )Forward Currency Contracts
    
    Net unrealized gain (loss) on
open forward currency contracts
    
    
    82,359,860
    
    
    
    (91,731,646
    )
    
    
    (9,371,786
    )Purchased Options on Forward Currency Contracts
    
    Options purchased, at fair value
    
    
    5,153,924
    
    
    
    0
    
    
    
    5,153,924Written Options on Forward Currency 
Contracts
    
    Options written, at fair value
    
    
    0
    
    
    
    (2,656,276
    )
    
    
    (2,656,276
    )Totals
    
    
    
    $
    110,940,585
    
    
    $
    (113,818,766
    )
    
    $
    (2,878,181
    )
 
 *
    
    Derivatives not designated as hedging instruments under ASC 815 Asset
    
    
    LiabilityDerivatives at
    
    
    Derivatives atStatement of Financial
    
    
    December 31, 2010
    
    
    December 31, 2010Type of Instrument *
    
    Condition Location
    
    
    Fair Value
    
    
    Fair Value
    
    
    NetAgricultural Contracts
    
    Equity in broker trading accounts
    
    $
    9,610,969
    
    
    $
    (431,465
    )
    
    $
    9,179,504Energy Contracts
    
    Equity in broker trading accounts
    
    
    4,023,972
    
    
    
    (2,076,112
    )
    
    
    1,947,860Metal Contracts
    
    Equity in broker trading accounts
    
    
    10,873,440
    
    
    
    (2,523,544
    )
    
    
    8,349,896Stock Indices Contracts
    
    Equity in broker trading accounts
    
    
    3,772,491
    
    
    
    (3,835,329
    )
    
    
    (62,838
    )Short-Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    1,682,213
    
    
    
    (109,886
    )
    
    
    1,572,327Long-Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    433,641
    
    
    
    (3,070,112
    )
    
    
    (2,636,471
    )Net unrealized gain (loss) onForward Currency Contracts
    
    open forward currency contracts
    
    
    119,656,649
    
    
    
    (97,475,013
    )
    
    
    22,181,636Purchased Options on Forward Currency
Contracts
    
    Options purchased, at fair value
    
    
    6,243,013
    
    
    
    0
    
    
    
    6,243,013Written Options on Forward Currency Contracts
    
    Options written, at fair value
    
    
    0
    
    
    
    (2,884,114
    )
    
    
    (2,884,114
    )Totals
    
    
    
    
    
    $
    156,296,388
    
    
    $
    (112,405,575
    )
    
    $
    43,890,813
 
 *
    
    Derivatives not designated as hedging instruments under ASC 815  Trading Revenue for
    
    
    Trading Revenue forthe Three Months Ended
    
    
    the Three Months EndedType of Instrument
    
    March 31, 2011
    
    
    March 31, 2010Agricultural Contracts
    
    $
    630,090
    
    
    $
    197,469Energy Contracts
    
    
    27,856,636
    
    
    
    (13,864,180
    )Metal Contracts
    
    
    (6,094,793
    )
    
    
    (13,930,579
    )Stock Indices Contracts
    
    
    (25,455,550
    )
    
    
    (32,696,583
    )Short-Term Interest Rate Contracts
    
    
    (15,944,164
    )
    
    
    49,231,741Long Term Interest Rate Contracts
    
    
    (8,362,041
    )
    
    
    (21,356,493
    )Forward Currency Contracts
    
    
    (12,496,855
    )
    
    
    (4,145,403
    )Purchased Options on Forward Currency Contracts
    
    
    (19,009,179
    )
    
    
    (17,952,291
    )Written Options on Forward Currency Contracts
    
    
    7,357,056
    
    
    
    9,836,715Total
    
    $
    (51,518,800
    )
    
    $
    (44,679,604
    )
 17




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##### Table of Contents



Trading Revenue for
    
    
    Trading Revenue forthe Three Months Ended
    
    
    the Three Months EndedLine Item in the Statement of Operations
    
    March 31, 2011
    
    
    March 31, 2010Futures trading gains (losses):Realized
    
    $
    (13,015,501
    )
    
    $
    (69,902,277
    )Change in unrealized
    
    
    (14,354,321
    )
    
    
    37,483,652Forward currency and options on forward currency trading gains (losses):Realized
    
    
    5,957,690
    
    
    
    (29,088,325
    )Change in unrealized
    
    
    (30,106,668
    )
    
    
    16,827,346Total
    
    $
    (51,518,800
    )
    
    $
    (44,679,604
    )
 For the three months ended March 31, 2011 and 2010 the monthly average of futures contracts
bought and sold was approximately 73,700 and 94,900 respectively, and the monthly average of
notional value of forward currency and options on forward currency contracts was
$12,337,200,000 and $11,513,300,000 respectively.Open contracts generally mature within twelve months; as of March 31, 2011, the latest
maturity date for open futures contracts is June 2012, the latest maturity date for open
forward currency contracts is June 2011, and the latest expiry date for options on forward
currency contracts is April 2011. However, the Fund intends to close all futures and foreign
currency contracts prior to maturity.Campbell & Company has established procedures to actively monitor market risk and minimize
credit risk, although there can be no assurance that it will, in fact, succeed in doing so.
Campbell & Companys basic market risk control procedures consist of continuously monitoring
open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio
that rarely exceeds 30%. Campbell & Companys attempt to manage the risk of the Funds open
positions is essentially the same in all market categories traded. Campbell & Company applies
risk management policies to its trading which generally limit the total exposure that may be
taken per risk unit of assets under management. In addition, Campbell & Company follows
diversification guidelines (often formulated in terms of the balanced volatility between
markets and correlated groups), as well as reducing position sizes dynamically in response to
trading losses. Campbell & Company controls the risk of the Funds non-trading fixed income
instruments by limiting the duration of such instruments and requiring a minimum credit
quality of the issuers of those instruments.Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the
Funds assets at financial institutions and brokers which Campbell & Company believes to be
credit worthy. The limited partners bears the risk of loss only to the extent of the market
value of their respective investments and, in certain specific circumstances, distributions
and redemptions received.
 Note 8. INDEMNIFICATIONS
 In the normal course of business, the Fund enters into contracts and agreements that contain
a variety of representations and warranties which provide general indemnifications. The
Funds maximum exposure under these arrangements is unknown, as this would involve future
claims that may be made against the Fund that have not yet occurred. The Fund expects the
risk of any future obligation under these indemnifications to be remote.
 Note 9. INTERIM FINANCIAL STATEMENTS
 The statement of financial condition, including the condensed schedule of investments, as of
March 31, 2011 and December 31, 2010, and the statements of operations, cash flows, changes in partners capital
(Net Asset Value) and financial highlights for the three months ended March 31, 2011 and 2010
are unaudited. In the opinion of management, such financial statements reflect all
adjustments, which were of a normal and recurring nature, necessary for a fair presentation
of financial position as of March 31, 2011, and the results of operations, cash flows,
changes in partners capital (Net Asset Value) and financial highlights for the three months
ended March 31, 2011 and 2010.
 Note 10. SUBSEQUENT EVENTS
 Management of the Fund has evaluated subsequent events through the date the financial
statements were filed. There are no subsequent events to disclose or record.
 18




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Item 2. Managements Discussion and Analysis of Financial Condition and
Results of Operations
 Introduction
  Critical Accounting Policies
   Capital Resources
    19




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Liquidity
      20




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Off-Balance Sheet Risk
    Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts
Accounted for at Fair Value
  21




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Results of Operations
  2011
  Sector
    
    % Gain (Loss)Commodities
    
    
    3.22
    %Currencies
    
    
    0.05Stock Indices
    
    
    0.05Interest Rates
    
    
    0.053.37
    %
   22




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##### Table of Contents



2010
  Sector
    
    % Gain (Loss)Interest Rates
    
    
    1.67
    %Currencies
    
    
    (0.63
    )Commodities
    
    
    (1.57
    )Stock Indices
    
    
    (1.88
    )(2.41
    )%
  23




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24




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##### Table of Contents



Item 3. 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).
  25




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##### Table of Contents



The Funds Trading Value at Risk in Different Market Sectors
  March 31, 2011
 TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Commodities
    
    
    0.96
    %
    
    
    3.22
    %Stock Indices
    
    
    0.87
    %
    
    
    0.05
    %Currencies
    
    
    0.58
    %
    
    
    0.05
    %Interest Rates
    
    
    0.25
    %
    
    
    0.05
    %Aggregate/Total
    
    
    2.01
    %
    
    
    3.37
    %
 
 *
    
    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 (5.55)% return for the three months ended March 31, 2011, approximately 3.37% was
due to trading gains (before commissions) and approximately (1.71)% due to investment income
offset by approximately (7.21)% due to brokerage fees, operating expenses and offering costs
borne by the Fund. 26




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##### Table of Contents



December 31, 2010
 TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Commodities
    
    
    0.83
    %
    
    
    3.30
    %Stock Indices
    
    
    0.48
    %
    
    
    (2.31
    )%Currencies
    
    
    0.46
    %
    
    
    3.10
    %Interest Rates
    
    
    0.45
    %
    
    
    12.22
    %Aggregate/Total
    
    
    1.72
    %
    
    
    16.31
    %
 
 *
    
    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 9.04% return for the twelve months ended December 31, 2010, approximately 16.31%
was due to trading gains (before commissions) and approximately 0.46% due to investment income
offset by approximately (7.73%) due to brokerage fees, operating expenses and offering costs
borne by the Fund. 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; 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.
  27




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##### Table of Contents



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
  Interest Rates
  28




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Stock Indices
  Energy
  Metals
  Agricultural
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
  29




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##### Table of Contents



Fixed Income Securities
  Treasury Bill Positions Held for Margin Purposes
  Qualitative Disclosures Regarding Means of Managing Risk Exposure
   General
  30




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Item 4. Controls and Procedures
  31




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##### Table of Contents



PART II-OTHER INFORMATION
 Item 1. Legal Proceedings.
  Item 1A. Risk Factors.
  Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
  Item 3. Defaults Upon Senior Securities.
  Item 4. (Removed and Reserved).
 Item 5. Other Information.
  
 Item 6. Exhibits and Reports on Form 8-K.
  ExhibitNumber
    
    Description of Document31.01
    
    Certification of Theresa D. Becks, Chief Executive Officer, pursuant to
Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.31.02
    
    Certification of Gregory T. Donovan, Chief Financial Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.32.01
    
    Certification of Theresa D. Becks, Chief Executive Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.32.02
    
    Certification of Gregory T. Donovan, Chief Financial Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.
  None.
 32




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##### Table of Contents



SIGNATURES
  CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Registrant)By:
    Campbell & Company, Inc.General PartnerDate:  May 16, 2011
    By:
    /s/  Theresa D. BecksTheresa D. BecksChief Executive Officer 33




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##### Table of Contents



EXHIBIT INDEX
 Exhibit Number
    
    Description of Document
    
    Page Number31.01
    
    Certification by Chief Executive Officer
    
    E 2  E 331.02
    
    Certification by Chief Financial Officer
    
    E 4  E 532.01
    
    Certification by Chief Executive Officer
    
    E 632.02
    
    Certification by Chief Financial Officer
    
    E 7
 E1