##### 



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, 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)
 Baltimore, Maryland 21204
 (410) 296-3301
  þ o
  Large accelerate filer o
    
    Accelerated filer o
    
    Non-accelerated filer þ
  þ o
 28




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##### 



PagePART I  FINANCIAL INFORMATIONItem 1. Financial StatementsStatements of Financial Condition as of March 31, 2006 (Unaudited) and December 31, 2005 (Audited)
    
    
    3Condensed Schedules of Investments as of March 31, 2006 (Unaudited) and December 31, 2005 (Audited)
    
    
    4-5Statements of Operations for the Three Months Ended March 31, 2006 and 2005 (Unaudited)
    
    
    6Statements of Cash Flows for the Three Months Ended March 31, 2006 and 2005 (Unaudited)
    
    
    7Statements of Changes in Partners Capital (Net Asset Value) for the Three Months Ended March 31, 2006 and 2005 (Unaudited)
    
    
    8Notes to Financial Statements (Unaudited)
    
    
    9-15Item 2. Managements Discussion and Analysis of Financial Condition and Results of Operations
    
    
    16-20Item 3. Quantitative and Qualitative Disclosure About Market Risk
    
    
    20-26Item 4. Controls and Procedures
    
    
    26PART II  OTHER INFORMATION
    
    
    27Item 6. Exhibits and Reports on Form 8-K
    
    
    27SIGNATURESCERTIFICATIONS




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
 March 31,
    
    
    December 31,2006
    
    
    2005ASSETSEquity in broker trading accountsCash
    
    $
    461,046,992
    
    
    $
    383,060,317United States government securities
    
    
    3,061,466,854
    
    
    
    2,445,977,400Net unrealized gain on open futures contracts
    
    
    160,987,167
    
    
    
    1,086,731Total equity in broker trading accounts
    
    
    3,683,501,013
    
    
    
    2,830,124,448Cash and cash equivalents
    
    
    458,997,465
    
    
    
    1,026,080,370United States government securities
    
    
    1,884,898,382
    
    
    
    1,545,690,406Net unrealized gain (loss) on open forward currency contracts
    
    
    59,864,253
    
    
    
    (168,831,491
    )Total assets
    
    $
    6,087,261,113
    
    
    $
    5,233,063,733LIABILITIESAccounts payable
    
    $
    383,415
    
    
    $
    859,255Brokerage fee
    
    
    33,834,049
    
    
    
    29,451,059Options written, at fair value (premium received  $940,196)
    
    
    439,200
    
    
    
    0Accrued commissions and other trading fees
on open contracts
    
    
    896,021
    
    
    
    970,539Performance fee payable
    
    
    4,818,187
    
    
    
    0Offering costs payable
    
    
    2,203,959
    
    
    
    1,464,278Redemptions payable
    
    
    41,921,992
    
    
    
    24,469,943Subscription deposits
    
    
    521,140
    
    
    
    150,000Total liabilities
    
    
    85,017,963
    
    
    
    57,365,074PARTNERS CAPITAL (Net Asset Value)General
Partner  19,155.443 and 17,240.171 units
outstanding at March 31, 2006 and December 31, 2005
    
    
    60,195,979
    
    
    
    51,848,435Limited
Partners  1,890,866.980 and 1,703,733.918 units
outstanding at March 31 2006 and December 31, 2005
    
    
    5,942,047,171
    
    
    
    5,123,850,224Total partners capital
(Net Asset Value)
    
    
    6,002,243,150
    
    
    
    5,175,698,659Total liabilities and partners capital (Net Asset Value)
    
    $
    6,087,261,113
    
    
    $
    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$
    1,900,000,000
    
    
    
    4/06/2006
    
    
    U.S. Treasury Bills
    
    $
    1,898,925,486
    
    
    
    31.64
    %$
    1,265,000,000
    
    
    
    5/04/2006
    
    
    U.S. Treasury Bills
    
    
    1,259,980,792
    
    
    
    20.99
    %$
    1,100,000,000
    
    
    
    6/15/2006
    
    
    U.S. Treasury Bills
    
    
    1,089,744,792
    
    
    
    18.16
    %$
    400,000,000
    
    
    
    4/13/2006
    
    
    U.S. Treasury Bills
    
    
    399,445,333
    
    
    
    6.65
    %$
    300,000,000
    
    
    
    5/18/2006
    
    
    U.S. Treasury Bills
    
    
    298,268,833
    
    
    
    4.97
    %Total United States government securities(cost,
including accrued interest,  $4,946,365,236)
    
    $
    4,946,365,236
    
    
    
    82.41
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    35,211,134
    
    
    
    0.58
    %Metals
    
    
    39,576,732
    
    
    
    0.66
    %Stock index
    
    
    31,540,432
    
    
    
    0.53
    %Short-term interest rates
    
    
    (269,511
    )
    
    
    (0.01
    )%Long-term interest rates
    
    
    (12,097,054
    )
    
    
    (0.20
    )%Total long futures contracts
    
    $
    93,961,733
    
    
    
    1.56
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (118,500
    )
    
    
    (0.00
    )%Metals
    
    
    (1,488,064
    )
    
    
    (0.02
    )%Stock index
    
    
    (16,574
    )
    
    
    (0.00
    )%Short-term interest rates
    
    
    50,420,300
    
    
    
    0.84
    %Long-term interest rates
    
    
    18,228,272
    
    
    
    0.30
    %Total short futures contracts
    
    $
    67,025,434
    
    
    
    1.12
    %Total futures contracts
    
    $
    160,987,167
    
    
    
    2.68
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (114,433,016
    )
    
    
    (1.90
    )%Various short forward currency contracts
    
    
    174,297,269
    
    
    
    2.90
    %Total forward currency contracts
    
    $
    59,864,253
    
    
    
    1.00
    %
 OPTIONS WRITTEN ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueOptions written on forward currency contracts
(premiums received  $940,196)
    
    $
    (439,200
    )
    
    
    (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 EndedMarch 31,2006
    
    
    2005TRADING GAINSFutures trading gains (losses)Realized
    
    $
    89,770,576
    
    
    $
    42,247,184Change in unrealized
    
    
    159,900,436
    
    
    
    20,360,874Brokerage commissions
    
    
    (2,819,593
    )
    
    
    (2,393,373
    )Net gain from futures trading
    
    
    246,851,419
    
    
    
    60,214,685Forward currency and options on forward currency
trading gains (losses)Realized
    
    
    (179,873,451
    )
    
    
    (186,236,580
    )Change in unrealized
    
    
    229,196,741
    
    
    
    30,552,512Brokerage commissions
    
    
    (469,965
    )
    
    
    (361,993
    )Net gain (loss) from forward currency
and options on
forward currency trading
    
    
    48,853,325
    
    
    
    (156,046,061
    )Total net trading gains (losses)
    
    
    295,704,744
    
    
    
    (95,831,376
    )EXPENSES NET OF INTEREST INCOMEIncomeInterest income
    
    
    56,580,283
    
    
    
    23,575,237ExpensesBrokerage fee
    
    
    96,118,639
    
    
    
    70,188,958Performance Fee
    
    
    4,818,187
    
    
    
    0Operating expenses
    
    
    522,742
    
    
    
    744,084Total expenses
    
    
    101,459,568
    
    
    
    70,933,042Expenses net of interest income
    
    
    (44,879,285
    )
    
    
    (47,357,805
    )NET INCOME (LOSS)
    
    $
    250,825,459
    
    
    $
    (143,189,181
    )NET INCOME (LOSS) PER GENERAL AND
LIMITED PARTNER UNIT(based on weighted average number of
units outstanding during the period)
    
    $
    141.24
    
    
    $
    (95.53
    )INCREASE (DECREASE) IN NET ASSET VALUE
PER GENERAL AND LIMITED PARTNER UNIT
    
    $
    135.08
    
    
    $
    (98.24
    )
  - 6 -




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
 Three Months EndedMarch 31,2006
    
    
    2005Cash flows from (for) operating activitiesNet income (loss)
    
    $
    250,825,459
    
    
    $
    (143,189,181
    )Adjustments to reconcile net income (loss) to net
cash (for) operating activitiesNet change in unrealized
    
    
    (389,097,177
    )
    
    
    (50,913,386
    )Net change in options written
    
    
    940,196
    
    
    
    0Increase (decrease) in accounts payable and
accrued expenses
    
    
    8,650,820
    
    
    
    (247,294
    )Net (purchases) of investments in United States
government securities
    
    
    (954,697,430
    )
    
    
    (398,281,429
    )Net cash (for) operating activities
    
    
    (1,083,378,132
    )
    
    
    (592,631,290
    )Cash flows from (for) financing activitiesAddition of units
    
    
    675,902,125
    
    
    
    243,811,679Increase in subscription deposits
    
    
    371,140
    
    
    
    0Redemption of units
    
    
    (76,298,347
    )
    
    
    (61,924,215
    )Offering costs paid
    
    
    (5,693,016
    )
    
    
    (3,808,904
    )Net cash from financing activities
    
    
    594,281,902
    
    
    
    178,078,560Net (decrease) in cash and cash equivalents
    
    
    (489,096,230
    )
    
    
    (414,552,730
    )Cash and cash equivalentsBeginning of period
    
    
    1,409,140,687
    
    
    
    939,148,927End of period
    
    $
    920,044,457
    
    
    $
    524,596,197End of period cash and cash equivalents consists of:Cash in broker trading accounts
    
    $
    461,046,992
    
    
    $
    154,453,535Cash and cash equivalents
    
    
    458,997,465
    
    
    
    370,142,662Total end of period cash and cash equivalents
    
    $
    920,044,457
    
    
    $
    524,596,197
  - 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
    
    
    AmountThree Months Ended March 31, 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 income
for the three months ended March 31, 2006
    
    
    
    
    
    
    2,511,976
    
    
    
    
    
    
    
    248,313,483
    
    
    
    
    
    
    
    250,825,459Additions
    
    
    1,915.272
    
    
    
    5,900,000
    
    
    
    217,556.081
    
    
    
    670,002,125
    
    
    
    219,471.353
    
    
    
    675,902,125Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (30,423.019
    )
    
    
    (93,750,396
    )
    
    
    (30,423.019
    )
    
    
    (93,750,396
    )Offering costs
    
    
    
    
    
    
    (64,432
    )
    
    
    
    
    
    
    (6,368,265
    )
    
    
    
    
    
    
    (6,432,697
    )Balances at
March 31, 2006
    
    
    19,155.443
    
    
    $
    60,195,979
    
    
    
    1,890,866.980
    
    
    $
    5,942,047,171
    
    
    
    1,910,022.423
    
    
    $
    6,002,243,150Three Months Ended March 31, 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 (loss) for the three months
ended March 31, 2005
    
    
    
    
    
    
    (1,458,337
    )
    
    
    
    
    
    
    (141,730,844
    )
    
    
    
    
    
    
    (143,189,181
    )Additions
    
    
    405.653
    
    
    
    1,080,000
    
    
    
    91,225.997
    
    
    
    242,731,679
    
    
    
    91,631.650
    
    
    
    243,811,679Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (29,891.463
    )
    
    
    (79,401,472
    )
    
    
    (29,891.463
    )
    
    
    (79,401,472
    )Offering costs
    
    
    
    
    
    
    (26,383
    )
    
    
    
    
    
    
    (2,570,053
    )
    
    
    
    
    
    
    (2,596,436
    )Balances at
March 31, 2005
    
    
    15,457.382
    
    
    $
    40,923,264
    
    
    
    1,520,625.684
    
    
    $
    4,025,847,447
    
    
    
    1,536,083.066
    
    
    $
    4,066,770,711
 Net Asset Value per General and Limited Partner UnitMarch 31,
    
    December 31,
    
    
    March 31,
    
    
    December 31,2006
    
    2005
    
    
    2005
    
    
    2004$3,142.50
    
    $
    3,007.42
    
    
    $
    2,647.49
    
    
    $
    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 FundCampbell Strategic Allocation Fund, L.P. (the Fund) is a Delaware limited partnership
which operates as a commodity investment pool. The Fund engages in the speculative
trading of futures contracts, forward currency contracts and swap contracts.B.
    
    RegulationAs a registrant with the Securities and Exchange Commission, the Fund is subject to
the regulatory requirements under the Securities Act of 1933 and the Securities
Exchange Act of 1934. As a commodity investment pool, the Fund is subject to the
regulations of the Commodity Futures Trading Commission, an agency of the United
States (U.S.) government which regulates most aspects of the commodity futures
industry; rules of the National Futures Association, an industry self-regulatory
organization; and the requirements of the various commodity exchanges where the Fund
executes transactions. Additionally, the Fund is subject to the requirements of
futures commission merchants (brokers) and interbank and other market makers through
which the Fund trades.C.
    
    Method of ReportingThe Funds financial statements are presented in accordance with accounting
principles generally accepted in the United States of America, which may require the use of
certain estimates made by the Funds management. Actual results may differ from
these estimates. Investment transactions are accounted for on the trade date. Gains
or losses are realized when contracts are liquidated. Unrealized gains and losses on
open contracts (the difference between contract trade price and market price) are
reported in the statement of financial condition as a net gain or loss, as there
exists a right of offset of unrealized gains or losses in accordance with Financial
Accounting Standards Board Interpretation No. 39  Offsetting of Amounts Related to
Certain Contracts. The market value of futures (exchange-traded) contracts is
determined by the various futures exchanges, and reflects the settlement price for
each contract as of the close of the last business day of the reporting period. The
market value of swap and forward currency (non-exchange traded) contracts is
extrapolated on a forward basis from the spot prices quoted as of 5:00 P.M. (E.T.) of
the last business day of the reporting period or based on the market value of its
exchange-traded equivalent. The market value of option (non-exchange traded)
contracts is calculated by applying an industry-standard adaptation of the
Black-Scholes options valuation model to foreign currency options, using as input the
spot prices, interest rates and option implied volatilities quoted as of 3:00 P.M.
(E.T.) on the last business day of the reporting period. Any change in net unrealized
gain or loss from the preceding period is reported in the statement of operations.
Brokerage commissions include other trading fees and are charged to expense when
contracts are opened. United States government securities are stated at cost plus
accrued interest, which approximates market value.For purposes of both financial reporting and calculation of redemption value, Net
Asset Value per unit is calculated by dividing Net Asset Value by the number of
outstanding units.
 - 9 -




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 D.
    
    Cash and Cash EquivalentsCash and cash equivalents includes cash and short-term time deposits held at financial
institutions.E.
    
    Income TaxesThe Fund prepares calendar year U.S. and applicable state information tax returns and
reports to the partners their allocable shares of the Funds income, expenses and
trading gains or losses. No provision for income taxes has been made in the
accompanying financial statements as each partner is individually responsible for
reporting income or loss based on such partners respective share of the Funds
income and expenses as reported for income tax purposes.F.
    
    Offering CostsCampbell & Company, Inc. (Campbell & Company) has incurred all costs in
connection with the initial and continuous offering of units of the Fund (offering
costs). The Funds liability for offering costs is limited to the maximum of total
offering costs incurred by Campbell & Company or 2.5% of the aggregate subscriptions
accepted during the initial and continuous offerings; this maximum is further limited
by 30 month pay-out schedules. The Fund is only liable for payment of offering costs
on a monthly basis as calculated based on the limitations stated above. At March 31,
2006 and December 31, 2005, the Fund reflects a liability in the statement of
financial condition for offering costs payable to Campbell & Company of $2,203,959
and $1,464,278, respectively. The amount of monthly reimbursement due to Campbell &
Company is charged directly to partners capital.If the Fund terminates prior to completion of payment of the calculated amounts to
Campbell & Company, Campbell & Company will not be entitled to any additional
payments, and the Fund will have no further obligation to Campbell & Company. At
March 31, 2006 and December 31, 2005, the amount of unreimbursed offering costs
incurred by Campbell & Company was $2,203,959 and $3,561,403, respectively.G.
    
    Foreign Currency TransactionsThe Funds functional currency is the U.S. dollar; however, it transacts business in
currencies other than the U.S. dollar. Assets and liabilities denominated in
currencies other than the U.S. dollar are translated into U.S. dollars at the rates
in effect at the date of the statement of financial condition. Income and expense
items denominated in currencies other than the U.S. dollar are translated into U.S.
dollars at the rates in effect during the period. Gains and losses resulting from
the translation to U.S. dollars are reported in income.H.
    
    ReclassificationCertain amounts in the 2005 financial statements were reclassified to conform with
the 2006 presentation.
 - 10 -




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 2.
    
    GENERAL PARTNER AND COMMODITY TRADING ADVISORThe 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 $6 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.Note 3.
    
    DEPOSITS WITH BROKERThe Fund deposits assets with a broker 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 broker. The
Fund earns interest income on its assets deposited with the
broker.Note 4.
    
    OPERATING EXPENSESOperating 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, 2006 and 2005.Note 5.
    
    SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONSInvestments in the Fund are made by subscription agreement,
subject to acceptance by Campbell & Company.
 - 11 -




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 Note 5.
    
    SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS (CONTINUED)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. Redemption fees 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.Note 6.
    
    TRADING ACTIVITIES AND RELATED RISKSThe Fund engages in the speculative trading of U.S. and
foreign futures contracts, forward currency contracts,
options on forward currency contracts and swap contracts
(collectively, derivatives). The Fund is exposed to both
market risk, the risk arising from changes in the market
value of the contracts, and credit risk, the risk of failure
by another party to perform according to the terms of a
contract.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 and other market makers usually
range from 10% to 30% of Net Asset Value. The market value
of securities held to satisfy such requirements at March 31,
2006 and December 31, 2005 was $4,946,365,236 and
$3,991,667,806, respectively, which equals 82% and 77% of Net
Asset Value, respectively. The cash deposited with interbank
and other market makers at March 31, 2006 and December 31,
2005 was $173,179,259 and $842,829,676, respectively, which
equals 3% and 16% of Net Asset Value, respectively. These
amounts are included in cash and cash equivalents.The Fund trades forward currency, options on forward currency
and swap contracts in unregulated markets between principals
and assumes the risk of loss from counterparty
nonperformance. Accordingly, the risks associated with
forward currency, option on forward currency and swap
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, options on forward currency and swap 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.
 - 12 -




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 Note 6.
    
    TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)For derivatives, risks arise from changes in the market value of the contracts. Theoretically, the Fund is exposed to
a market risk equal to the notional contract value of futures, forward currency and swap contracts purchased and
unlimited liability on such contracts sold short. As a seller of options, the Fund 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.The unrealized gain (loss) on open futures, forward currency, options on forward currency and swap contracts is
comprised of the following:
 Futures Contracts
    
    
    Forward Currency and Options on Forward(exchange traded)
    
    
    Currency Contracts (non-exchange traded)March 31,
    
    
    December 31,
    
    
    March 31,
    
    
    December 31,2006
    
    
    2005
    
    
    2006
    
    
    2005Gross unrealized gains
    
    $
    176,317,097
    
    
    $
    82,188,360
    
    
    $
    274,731,095
    
    
    $
    127,868,014Gross unrealized losses
    
    
    (15,329,930
    )
    
    
    (81,101,629
    )
    
    
    (214,365,846
    )
    
    
    (296,699,505
    )Net unrealized gain (loss)
    
    $
    160,987,167
    
    
    $
    1,086,731
    
    
    $
    60,365,249
    
    
    $
    (168,831,491
    )
 Open contracts generally mature within three months; as of March 31, 2006, the latest
maturity date for open futures contracts is December 2006, and the latest maturity or
expiry date for open forward currency and options on forward currency contracts is June
2006. However, the Fund intends to close all 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 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 creditworthy. The limited partners
bear the risk of loss only to the extent of the market value of their respective
investments and, in certain specific circumstances, distributions and redemptions received.Note 7.
    
    INDEMNIFICATIONSIn the normal course of business, the Fund enters into contracts
and agreements that contain a variety of representations and
warranties and 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.
 - 13 -




---



##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 8.
    
    INTERIM FINANCIAL STATEMENTSThe statement of financial condition, including the condensed
schedule of investments, as of March 31, 2006, and the
statements of operations, cash flows and changes in partners
capital (Net Asset Value) for the three months ended March
31, 2006 and 2005 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, 2006, and the results of operations and cash flows
for the three months ended March 31, 2006 and 2005.
 - 14 -




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 9.
    
    FINANCIAL HIGHLIGHTSThe following information presents per unit operating performance data and other
supplemental financial data for the three months ended March 31, 2006 and 2005. This
information has been derived from information presented in the financial statements.
 Three months endedMarch 31,Per Unit Performance
    
    2006
    
    
    2005(for a unit outstanding throughout the entire period)
    
    (Unaudited)
    
    
    (Unaudited)Net asset value per unit at beginning of period
    
    $
    3,007.42
    
    
    $
    2,745.73Income (loss) from operations:Total net trading gains (losses) (1)
    
    
    163.97
    
    
    
    (64.91
    )Expenses net of interest income (1)
    
    
    (25.27
    )
    
    
    (31.60
    )Total net income (loss) from operations
    
    
    138.70
    
    
    
    (96.51
    )Offering costs (1)
    
    
    (3.62
    )
    
    
    (1.73
    )Net asset value per unit at end of period
    
    $
    3,142.50
    
    
    $
    2,647.49Total Return(3)
    
    
    4.49
    %
    
    
    (3.58
    )%Supplemental DataRatios to average net asset value:Expenses prior to performance fee (4)
    
    
    7.06
    %
    
    
    7.03
    %Performance fee (3)
    
    
    0.09
    %
    
    
    0.00
    %Total expenses
    
    
    7.15
    %
    
    
    7.03
    %Expenses net of interest income (2), (4)
    
    
    2.93
    %
    
    
    4.69
    %
 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 - 15 -




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##### 



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




---



##### 



i.e.
     2006
  - 17 -




---



##### 



Sector
    
    % Gain (Loss)Stock Indices
    
    
    2.77
    %Metals
    
    
    0.97Interest Rates
    
    
    0.78Currencies
    
    
    0.75Energy
    
    
    0.225.49
    %
    2005
  - 18 -




---



##### 



Sector
    
    % Gain (Loss)Energy
    
    
    1.87
    %Interest Rates
    
    
    0.56Metals
    
    
    0.25Stock Indices
    
    
    (1.13
    )Currencies
    
    
    (3.82
    )(2.27
    )%
      - 19 -




---



##### 



Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts
Accounted for at Fair Value
  Item 3. Quantitative and Qualitative Disclosures About Market Risk
 Introduction
 Past Results Not Necessarily Indicative of Future Performance
  - 20 -




---



##### 



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).
    - 21 -




---



##### 



The Funds Trading Value at Risk in Different Market Sectors
  March 31, 2006TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    1.22
    %
    
    
    0.75
    %Energy
    
    
    0.74
    %
    
    
    0.22
    %Stock Indices
    
    
    0.54
    %
    
    
    2.77
    %Short Interest Rates
    
    
    0.39
    %
    
    
    1.68
    %Long Interest Rates
    
    
    0.17
    %
    
    
    (0.90
    )%Metals
    
    
    0.14
    %
    
    
    0.97
    %Aggregate/Total
    
    
    1.69
    %
    
    
    5.49
    %
 
 *
    
    -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 three months ended March 31, 2006, approximately 5.49% was due to
trading gains (before commissions) and approximately 1.03% due to interest income, offset by
approximately 2.03% due to brokerage fees, performance fees and operating and offering costs
borne by the Fund giving a net return of 4.49%. - 22 -




---



##### 



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
  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.
  - 23 -




---



##### 



Non-Trading Risk
  Qualitative Disclosures Regarding Primary Trading Risk Exposures
 The following qualitative disclosures regarding the Funds market risk exposures  except
for (i) those disclosures that are statements of historical fact and (ii) the descriptions of
how the Fund manages its primary market risk exposures  constitute forward-looking statements
within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange
Act. The Funds primary market risk exposures as well as the strategies used and to be used
by Campbell & Company for managing such exposures are subject to numerous uncertainties,
contingencies and risks, any one of which could cause the actual results of the Funds risk
controls to differ materially from the objectives of such strategies. Government
interventions, defaults and expropriations, illiquid markets, the emergence of dominant
fundamental factors, political upheavals, changes in historical price relationships, an influx
of new market participants, increased regulation and many other factors could result in
material losses as well as in material changes to the risk exposures and the risk management
strategies of the Fund. There can be no assurance that the Funds current market exposure
and/or risk management strategies will not change materially or that any such strategies will
be effective in either the short- or long-term. Investors must be prepared to lose all or
substantially all of their investment in the Fund.
  Currencies
 i.e.,
 Interest Rates
  - 24 -




---



##### 



Stock Indices
  Energy
  Metals
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
  Treasury Bill Positions
  Qualitative Disclosures Regarding Means of Managing Risk Exposure
  - 25 -




---



##### 



General
  Item 4. Controls and Procedures
  - 26 -




---



##### 



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
  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.
   - 27 -




---



##### 



SIGNATURES
 th
 CAMPBELL STRATEGIC ALLOCATION FUND, L.P.(Registrant)By:
    
    Campbell & Company, Inc.General PartnerBy:
    
    /s/ Theresa D. BecksTheresa D. BecksChief Financial Officer/Treasurer/Director
 - 28 -




---



##### 



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
 -E 1-