##### 



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 September 30, 2006
 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
  o o þ
  þ o




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##### 



PagePART I  FINANCIAL INFORMATIONItem 1.
    
    Financial StatementsStatements of Financial Condition as of September 30, 2006 (Unaudited)and December 31, 2005
    
    
    3Condensed Schedules of Investments as of September 30, 2006 (Unaudited)and December 31, 2005
    
    
    45Statements of Operations for the Three Months and Nine Months EndedSeptember 30, 2006 and 2005 (Unaudited)
    
    
    6Statements of Cash Flows for the Nine Months EndedSeptember 30, 2006 and 2005 (Unaudited)
    
    
    7Statements of Changes in Partners Capital (Net Asset Value)for the Nine Months Ended September 30, 2006 and 2005 (Unaudited)
    
    
    8Notes to Financial Statements (Unaudited)
    
    
    915Item 2.
    
    Managements Discussion and Analysis of Financial Condition andResults of Operations
    
    
    1623Item 3.
    
    Quantitative and Qualitative Disclosure About Market Risk
    
    
    2328Item 4.
    
    Controls and Procedures
    
    
    29PART II  OTHER INFORMATION

    
    30Item 6.
    
    Exhibits and Reports on Form 8-K
    
    
    30SIGNATURESCERTIFICATIONS




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
 
 September 30,
    
    
    December 31,2006
    
    
    2005ASSETSEquity in broker trading accountsCash
    
    $
    1,587,169,594
    
    
    $
    383,060,317Restricted cash
    
    
    141,852,787
    
    
    
    0United States government securities
    
    
    1,834,716,389
    
    
    
    2,445,977,400Net unrealized gain (loss) on open futures contracts
    
    
    (53,077,035
    )
    
    
    1,086,731Total equity in broker trading accounts
    
    
    3,510,661,735
    
    
    
    2,830,124,448Cash and cash equivalents
    
    
    233,621,512
    
    
    
    1,026,080,370United States government securities
    
    
    1,650,442,236
    
    
    
    1,545,690,406Net unrealized gain (loss) on open forward currency contracts
    
    
    18,370,420
    
    
    
    (168,831,491
    )Total assets
    
    $
    5,413,095,903
    
    
    $
    5,233,063,733LIABILITIESAccounts payable
    
    $
    659,996
    
    
    $
    859,255Brokerage fee
    
    
    31,522,869
    
    
    
    29,451,059Options written, at fair value (premiums received $783,433)
    
    
    673,270
    
    
    
    0Accrued commissions and other trading fees
on open contracts
    
    
    1,297,652
    
    
    
    970,539Offering costs payable
    
    
    474,818
    
    
    
    1,464,278Subscription deposits
    
    
    0
    
    
    
    150,000Redemptions payable
    
    
    47,812,964
    
    
    
    24,469,943Total liabilities
    
    
    82,441,569
    
    
    
    57,365,074PARTNERS CAPITAL (Net Asset Value)General Partner  19,222.982 and 17,240.171 units
outstanding at September 30, 2006 and December 31, 2005
    
    
    54,565,780
    
    
    
    51,848,435Limited Partners  1,858,714.736 and 1,703,733.918 units
outstanding at September 30, 2006 and December 31, 2005
    
    
    5,276,088,554
    
    
    
    5,123,850,224Total partners capital (Net Asset Value)
    
    
    5,330,654,334
    
    
    
    5,175,698,659Total liabilities and partners capital (Net Asset Value)
    
    $
    5,413,095,903
    
    
    $
    5,233,063,733
  -3-




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
 
 UNITED STATES GOVERNMENT SECURITIES*
 % of NetFace Value
    
    Maturity Date
    
    
    Description
    
    Value
    
    
    Asset Value$1,150,000,000
    
    
    12/14/2006
    
    
    U.S. Treasury Bills
    
    $
    1,138,747,888
    
    
    
    21.36
    %1,050,000,000
    
    
    11/02/2006
    
    
    U.S. Treasury Bills
    
    
    1,045,385,778
    
    
    
    19.61
    %500,000,000
    
    
    11/16/2006
    
    
    U.S. Treasury Bills
    
    
    496,850,278
    
    
    
    9.32
    %404,995,000
    
    
    10/05/2006
    
    
    U.S. Treasury Bills
    
    
    404,775,403
    
    
    
    7.60
    %400,000,000
    
    
    10/12/2006
    
    
    U.S. Treasury Bills
    
    
    399,399,278
    
    
    
    7.49
    %Total United States government securities(cost, including accrued interest,  $3,485,158,625)
    
    $
    3,485,158,625
    
    
    
    65.38
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (97,547,980
    )
    
    
    (1.83
    )%Metals
    
    
    (4,239,317
    )
    
    
    (0.08
    )%Stock index
    
    
    46,139,902
    
    
    
    0.87
    %Short-term interest rates
    
    
    (121,518
    )
    
    
    (0.01
    )%Long-term interest rates
    
    
    15,987,658
    
    
    
    0.30
    %Total long futures contracts
    
    $
    (39,781,255
    )
    
    
    (0.75
    )%
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    498,800
    
    
    
    0.01
    %Metals
    
    
    (65,622
    )
    
    
    (0.00
    )%Short-term interest rates
    
    
    (12,978,669
    )
    
    
    (0.25
    )%Long-term interest rates
    
    
    (750,289
    )
    
    
    (0.01
    )%Total short futures contracts
    
    $
    (13,295,780
    )
    
    
    (0.25
    )%Total futures contracts
    
    $
    (53,077,035
    )
    
    
    (1.00
    )%
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (131,676,339
    )
    
    
    (2.47
    )%Various short forward currency contracts
    
    
    150,046,759
    
    
    
    2.81
    %Total forward currency contracts
    
    $
    18,370,420
    
    
    
    0.34
    %
 WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueWritten options on forward currency contracts(premiums received  $783,433)
    
    $
    (673,270
    )
    
    
    (0.01
    )%
 *
    
     Pledged as collateral for the trading of futures, forward and options contracts.
  -4-




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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, forward and options contracts.
  -5-




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
 
 Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2006
    
    
    2005
    
    
    2006
    
    
    2005TRADING GAINS (LOSSES)Futures trading gains (losses)Realized
    
    $
    (150,270,549
    )
    
    $
    128,973,892
    
    
    $
    155,153,768
    
    
    $
    344,045,110Net change in unrealized
    
    
    (113,239,800
    )
    
    
    (44,737,691
    )
    
    
    (54,163,766
    )
    
    
    33,579,132Brokerage commissions
    
    
    (1,493,660
    )
    
    
    (3,316,162
    )
    
    
    (6,497,043
    )
    
    
    (9,045,864
    )Net gain (loss) from futures trading
    
    
    (265,004,009
    )
    
    
    80,920,039
    
    
    
    94,492,959
    
    
    
    368,578,378Forward currency and options on forward
currency trading gains (losses)Realized
    
    
    25,380,343
    
    
    
    (42,624,855
    )
    
    
    (498,112,655
    )
    
    
    (99,835,143
    )Net change in unrealized
    
    
    68,058,958
    
    
    
    (52,295,326
    )
    
    
    187,312,074
    
    
    
    168,445,949Brokerage commissions
    
    
    (759,449
    )
    
    
    (383,025
    )
    
    
    (2,047,657
    )
    
    
    (997,324
    )Net gain (loss) from forward
currency and options on forward
currency trading
    
    
    92,679,852
    
    
    
    (95,303,206
    )
    
    
    (312,848,238
    )
    
    
    67,613,482Total net trading gains (losses)
    
    
    (172,324,157
    )
    
    
    (14,383,167
    )
    
    
    (218,355,279
    )
    
    
    436,191,860EXPENSES NET OF INTEREST
INCOMEIncomeInterest income
    
    
    70,042,056
    
    
    
    35,563,671
    
    
    
    194,831,573
    
    
    
    87,452,934ExpensesBrokerage fee
    
    
    97,230,493
    
    
    
    80,030,707
    
    
    
    293,924,316
    
    
    
    226,146,963Performance Fee
    
    
    0
    
    
    
    0
    
    
    
    4,818,187
    
    
    
    0Operating expenses
    
    
    554,428
    
    
    
    698,084
    
    
    
    1,669,814
    
    
    
    2,195,587Total expenses
    
    
    97,784,921
    
    
    
    80,728,791
    
    
    
    300,412,317
    
    
    
    228,342,550Expenses net of interest income
    
    
    (27,742,865
    )
    
    
    (45,165,120
    )
    
    
    (105,580,744
    )
    
    
    (140,889,616
    )NET INCOME (LOSS)
    
    $
    (200,067,022
    )
    
    $
    (59,548,287
    )
    
    $
    (323,936,023
    )
    
    $
    295,302,244NET INCOME (LOSS) PER GENERAL
AND LIMITED PARTNER UNIT
(based on weighted average number of
units outstanding during the period)
    
    $
    (105.06
    )
    
    $
    (38.20
    )
    
    $
    (173.72
    )
    
    $
    192.78INCREASE (DECREASE) IN NET
ASSET VALUE PER GENERAL
AND LIMITED PARTNER UNIT
    
    $
    (106.37
    )
    
    $
    (42.00
    )
    
    $
    (168.85
    )
    
    $
    181.92
  -6-




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
 
 Nine Months EndedSeptember 30,2006
    
    
    2005Cash flows from (for) operating activitiesNet income (loss)
    
    $
    (323,936,023
    )
    
    $
    295,302,244Adjustments to reconcile net income (loss) to net
cash (for) operating activitiesNet change in unrealized
    
    
    (133,148,308
    )
    
    
    (202,025,081
    )Increase in restricted cash
    
    
    (141,852,787
    )
    
    
    0Options premium received
    
    
    783,433
    
    
    
    0Increase (decrease) in accounts payable and
accrued expenses
    
    
    2,199,664
    
    
    
    3,412,054Net sales (purchases) of investments in United States
government securities
    
    
    506,509,181
    
    
    
    (572,145,158
    )Net cash (for) operating activities
    
    
    (89,444,840
    )
    
    
    (475,455,941
    )Cash flows from (for) financing activitiesAddition of units
    
    
    818,748,469
    
    
    
    729,058,890Increase (decrease) in subscription deposits
    
    
    (150,000
    )
    
    
    10,000Redemption of units
    
    
    (305,458,073
    )
    
    
    (325,752,336
    )Offering costs paid
    
    
    (12,045,137
    )
    
    
    (9,427,778
    )Net cash from financing activities
    
    
    501,095,259
    
    
    
    393,888,776Net increase (decrease) in unrestricted cash and cash equivalents
    
    
    411,650,419
    
    
    
    (81,567,165
    )Unrestricted cash and cash equivalentsBeginning of period
    
    
    1,409,140,687
    
    
    
    939,148,927End of period
    
    $
    1,820,791,106
    
    
    $
    857,581,762End of period unrestricted cash and cash equivalents consists of:Cash in broker trading accounts
    
    $
    1,587,169,594
    
    
    $
    322,395,910Cash and cash equivalents
    
    
    233,621,512
    
    
    
    535,185,852Total end of period unrestricted cash
and cash equivalents
    
    $
    1,820,791,106
    
    
    $
    857,581,762
  -7-




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS CAPITAL (NET ASSET VALUE)
 
 Partners CapitalGeneral
    
    
    Limited
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountNine Months Ended September 30, 2006Balances at
December 31, 2005
    
    
    17,240.171
    
    
    $
    51,848,435
    
    
    
    1,703,733.918
    
    
    $
    5,123,850,224
    
    
    
    1,720,974.089
    
    
    $
    5,175,698,659Net (loss) for the nine months
ended September 30, 2006
    
    
    
    
    
    
    (3,271,765
    )
    
    
    
    
    
    
    (320,664,258
    )
    
    
    
    
    
    
    (323,936,023
    )Additions
    
    
    1,982.811
    
    
    
    6,100,000
    
    
    
    265,558.492
    
    
    
    812,648,469
    
    
    
    267,541.303
    
    
    
    818,748,469Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (110,577.674
    )
    
    
    (328,801,094
    )
    
    
    (110,577.674
    )
    
    
    (328,801,094
    )Offering costs
    
    
    
    
    
    
    (110,890
    )
    
    
    
    
    
    
    (10,944,787
    )
    
    
    
    
    
    
    (11,055,677
    )Balances at
September 30, 2006
    
    
    19,222.982
    
    
    $
    54,565,780
    
    
    
    1,858,714.736
    
    
    $
    5,276,088,554
    
    
    
    1,877,937.718
    
    
    $
    5,330,654,334Nine Months Ended September 30, 2005Balances 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 nine months
ended September 30, 2005
    
    
    
    
    
    
    2,967,720
    
    
    
    
    
    
    
    292,334,524
    
    
    
    
    
    
    
    295,302,244Additions
    
    
    1,169.241
    
    
    
    3,280,000
    
    
    
    259,535.812
    
    
    
    725,778,890
    
    
    
    260,705.053
    
    
    
    729,058,890Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (115,788.202
    )
    
    
    (323,309,526
    )
    
    
    (115,788.202
    )
    
    
    (323,309,526
    )Offering costs
    
    
    
    
    
    
    (86,381
    )
    
    
    
    
    
    
    (8,477,966
    )
    
    
    
    
    
    
    (8,564,347
    )Balances at
September 30, 2005
    
    
    16,220.970
    
    
    $
    47,489,323
    
    
    
    1,603,038.760
    
    
    $
    4,693,144,059
    
    
    
    1,619,259.730
    
    
    $
    4,740,633,382
 Net Asset Value per General Partner and Limited Partner UnitSeptember 30,
    
    
    December 31,
    
    
    September 30,
    
    
    December 31,2006
    
    
    2005
    
    
    2005
    
    
    2004$
    2,838.57
    
    
    $
    3,007.42
    
    
    $
    2,927.65
    
    
    $
    2,745.73
  -8-




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
 
 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
 A.
    
    General Description of the Fund
  B.
    
    Regulation
  C.
    
    Method of Reporting
  -9-




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 C.
    
    Method of Reporting (Continued)
  D.
    
    Cash and Cash Equivalents
  E.
    
    Income Taxes
  F.
    
    Offering Costs
   G.
    
    Foreign Currency Transactions
  -10-




---



##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 H.
    
    Reclassification
  Note 2.
    
    GENERAL PARTNER AND COMMODITY TRADING ADVISOR
    DEPOSITS WITH BROKER
  OPERATING EXPENSES
  -11-




---



##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
   TRADING ACTIVITIES AND RELATED RISKS
     -12-




---



##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
    Futures Contracts
    
    
    Forward Currency and Options on Forward(exchange traded)
    
    
    Currency Contracts (non-exchange traded)September 30,
    
    
    December 31,
    
    
    September 30,
    
    
    December 31,2006
    
    
    2005
    
    
    2006
    
    
    2005Gross unrealized gains
    
    $
    70,074,039
    
    
    $
    82,188,360
    
    
    $
    161,986,518
    
    
    $
    127,868,014Gross unrealized losses
    
    
    (123,151,074
    )
    
    
    (81,101,629
    )
    
    
    (143,505,935
    )
    
    
    (296,699,505
    )Net unrealized gain (loss)
    
    $
    (53,077,035
    )
    
    $
    1,086,731
    
    
    $
    18,480,583
    
    
    $
    (168,831,491
    )
   INDEMNIFICATIONS
  -13-




---



##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 INTERIM FINANCIAL STATEMENTS
  -14-




---



##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 FINANCIAL HIGHLIGHTS
  Three months ended
    
    
    Nine months endedSeptember 30,
    
    
    September 30,2006
    
    
    2005
    
    
    2006
    
    
    2005(Unaudited)
    
    
    (Unaudited)
    
    
    (Unaudited)
    
    
    (Unaudited)Per Unit Performance(for a unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    2,944.94
    
    
    $
    2,969.65
    
    
    $
    3,007.42
    
    
    $
    2,745.73Income (loss) from operations:Total trading gains (losses) (1)
    
    
    (90.96
    )
    
    
    (10.88
    )
    
    
    (106.30
    )
    
    
    279.48Expenses net of interest income (1)
    
    
    (14.57
    )
    
    
    (28.97
    )
    
    
    (56.62
    )
    
    
    (91.97
    )Total income (loss) from operations
    
    
    (105.53
    )
    
    
    (39.85
    )
    
    
    (162.92
    )
    
    
    187.51Offering costs (1)
    
    
    (0.84
    )
    
    
    (2.15
    )
    
    
    (5.93
    )
    
    
    (5.59
    )Net asset value per unit at end of period
    
    $
    2,838.57
    
    
    $
    2,927.65
    
    
    $
    2,838.57
    
    
    $
    2,927.65Total Return(3)
    
    
    (3.61
    )%
    
    
    (1.41
    )%
    
    
    (5.61
    )%
    
    
    6.63
    %Supplemental DataRatios to average net asset value:Expenses prior to performance fee (4)
    
    
    7.07
    %
    
    
    7.04
    %
    
    
    7.06
    %
    
    
    7.10
    %Performance fee (3)
    
    
    0.00
    %
    
    
    0.00
    %
    
    
    0.09
    %
    
    
    0.00
    %Total expenses
    
    
    7.07
    %
    
    
    7.04
    %
    
    
    7.15
    %
    
    
    7.10
    %Expenses net of interest income (2), (4), (5)
    
    
    2.00
    %
    
    
    3.94
    %
    
    
    2.41
    %
    
    
    4.38
    %
 Total returns are calculated based on the change in value of a unit during the period. An
individual partners total returns and ratios may vary from the above total returns and
ratios based on the timing of additions and redemptions.
 
 (1)
    
    Expenses net of interest income per unit and offering costs per unit
are calculated by dividing the expenses net of interest income and offering costs by
the average number of units outstanding during the period. Total trading gains
(losses) is a balancing amount necessary to reconcile the change in net asset value
per unit with the other per unit information.(2)
    
    Excludes performance fee.(3)
    
    Not annualized(4)
    
    Annualized(5)
    
    Expenses net of interest income is shown as a positive percentage when expenses
exceed interest income for the period. -15-




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Item 2.
    
    Managements Discussion and Analysis of Financial Condition and
Results of Operations
          -16-




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i.e.
     -17-




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2006
  Sector
    
    % Gain (Loss)Metals
    
    
    2.18
    %Stock Indices
    
    
    2.13Interest Rates
    
    
    1.99Energy
    
    
    (4.51
    )Currencies
    
    
    (5.15
    )(3.36
    )%
     -18-




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-19-




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2005
  Sector
    
    % Gain (Loss)Energy
    
    
    4.49
    %Interest Rates
    
    
    3.19Currencies
    
    
    1.72Metals
    
    
    0.55Stock Indices
    
    
    0.4010.35
    %
    -20-




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-21-




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Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts
Accounted for at Fair Value
  -22-




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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.
  -23-




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The Funds Trading Value at Risk in Different Market Sectors
  -24-




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September 30, 2006TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Energy
    
    
    0.58
    %
    
    
    (4.51
    )%Currencies
    
    
    0.55
    %
    
    
    (5.15
    )%Stock Indices
    
    
    0.29
    %
    
    
    2.13
    %Short Interest Rates
    
    
    0.26
    %
    
    
    2.52
    %Metals
    
    
    0.15
    %
    
    
    2.18
    %Long Interest Rates
    
    
    0.11
    %
    
    
    (0.53
    )%Aggregate/Total
    
    
    1.03
    %
    
    
    (3.36
    )%
 
 *
    
    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 nine months ended September 30, 2006, approximately 3.36% was due
to trading losses (before commissions) and approximately 5.74% was due to brokerage fees,
performance fees and operating and offering costs borne by the Fund, offset by approximately
3.49% due to interest income giving a net return of (5.61)%. 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%. Material Limitations of Value at Risk as an Assessment of Market Risk
 -25-




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1)
    
    Past changes in market risk factors will not always result in accurate predictions of
the distributions and correlations of future market movements;
 2)
    
    Changes in portfolio value caused by market movements may differ from those of the VaR
model;
 3)
    
    VaR results reflect past trading positions while future risk depends on future
positions;
 4)
    
    VaR using a one day time horizon does not fully capture the market risk of positions
that cannot be liquidated or hedged within one day; and
 5)
    
    The historical market risk factor data for VaR estimation may provide only limited
insight into losses that could be incurred under certain unusual market movements.
  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.
  -26-




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Currencies
 i.e.,
 Interest Rates
  Stock Indices
  Energy
  Metals
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  -27-




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Foreign Currency Balances
  Treasury Bill Positions
  Qualitative Disclosures Regarding Means of Managing Risk Exposure
   General
  -28-




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Item 4. Controls and Procedures
  -29-




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PART II-OTHER INFORMATION
 Item 1.
    
    Legal Proceedings.
  Item 2.
    
    Changes in Securities and Use of Proceeds
  Item 3.
    
    Defaults Upon Senior Securities
  Item 4.
    
    Submissions of Matters to a vote of Security Holders.
  Item 5.
    
    Other Information
  Item 6.
    
    Exhibits and Reports on Form 8-K.
 (a)
    
    Exhibits
 ExhibitNumber
    
    Description of Document31.01
    
    Certification of Bruce L. Cleland, Chief Executive Officer, pursuant to
Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.31.02
    
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.32.01
    
    Certification of Bruce L. Cleland, Chief Executive Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.32.02
    
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.
 (b)
    
    Reports of Form 8-K
  -30-




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##### 



SIGNATURES
  CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Registrant)By:
    Campbell & Company, Inc.General Partner By:
    /s/ Theresa D. BecksTheresa D. BecksChief Financial Officer/Treasurer/Director -31-




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EXHIBIT INDEX
 Exhibit Number
    
    Description of Document
    
    Page Number31.01
    
    Certification by Chief Executive Officer
    
    E 2  E331.02
    
    Certification by Chief Financial Officer
    
    E 4  E532.01
    
    Certification by Chief Executive Officer
    
    E 632.02
    
    Certification by Chief Financial Officer
    
    E 7
 -E1-