##### 



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, 2005 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)
 Court Towers Building
210 West Pennsylvania Avenue,
Baltimore, Maryland 21204 
  (410) 296-3301 
  Indicate by check mark whether the registrant (1) has filed all reports required to be filed by
Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months, and (2)
has been subject to such filing requirements for the past
90 days.
Yes þ    No o Indicate by check mark whether the registrant is an accelerated filer (as defined in Exchange
Act Rule 12b-2)
Yes o    No þ




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##### 



PagePART I  FINANCIAL INFORMATIONItem 1. Financial StatementsStatements of Financial Condition as of March 31, 2005 (Unaudited)
and December 31, 2004 (Audited)
    
    
    3Condensed Schedules of Investments as of March 31, 2005 (Unaudited)
and December 31, 2004 (Audited)
    
    
    4-5Statements of Operations for the Three Months Ended
March 31, 2005 and 2004 (Unaudited)
    
    
    6Statements of Cash Flows for the Three Months Ended
March 31, 2005 and 2004 (Unaudited)
    
    
    7Statements of Changes in Partners Capital (Net Asset Value)
for the Three Months Ended March 31, 2005 and 2004 (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
 -2-




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
March 31, 2005 (Unaudited) and December 31, 2004 (Audited)    March 31,
    
    
    December 31,2005
    
    
    2004ASSETSEquity in broker trading accountsCash
    
    $
    154,453,535
    
    
    $
    201,083,246United States government securities
    
    
    1,970,001,757
    
    
    
    1,871,364,160Unrealized gain on open futures contracts
    
    
    80,347,582
    
    
    
    59,986,708Deposits with broker
    
    
    2,204,802,874
    
    
    
    2,132,434,114Cash and cash equivalents
    
    
    370,142,662
    
    
    
    738,065,681United States government securities
    
    
    1,599,017,450
    
    
    
    1,299,373,618Unrealized (loss) on open forward currency contracts
    
    
    (39,584,890
    )
    
    
    (70,137,402
    )Total assets
    
    $
    4,134,378,096
    
    
    $
    4,099,736,011LIABILITIESAccounts payable
    
    $
    402,944
    
    
    $
    855,905Brokerage fee
    
    
    23,665,968
    
    
    
    23,425,887Commissions and other trading fees
on open contracts
    
    
    879,666
    
    
    
    914,080Offering costs payable
    
    
    1,018,151
    
    
    
    2,230,619Redemptions payable
    
    
    41,640,656
    
    
    
    24,163,399Total liabilities
    
    
    67,607,385
    
    
    
    51,589,890PARTNERS CAPITAL (Net Asset Value)General Partner  15,457.382 and 15,051.729 units
outstanding at March 31, 2005 and
December 31, 2004
    
    
    40,923,264
    
    
    
    41,327,984Limited Partners  1,520,625.684 and 1,459,291.150
units outstanding at March 31, 2005 and
December 31, 2004
    
    
    4,025,847,447
    
    
    
    4,006,818,137Total partners capital
(Net Asset Value)
    
    
    4,066,770,711
    
    
    
    4,048,146,121$
    4,134,378,096
    
    
    $
    4,099,736,011
 See accompanying notes. -3-




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
March 31, 2005
(Unaudited)    UNITED STATES
GOVERNMENT SECURITIES % of NetFace Value
    
    Maturity Date
    
    Description
    
    Value
    
    
    Asset Value$2,065,000,000
    
    4/07/2005
    
    U.S. Treasury Bills
    
    $
    2,064,221,179
    
    
    
    50.76
    %$   625,000,000
    
    6/16/2005
    
    U.S. Treasury Bills
    
    
    621,437,500
    
    
    
    15.28
    %$   350,000,000
    
    4/14/2005
    
    U.S. Treasury Bills
    
    
    349,711,833
    
    
    
    8.60
    %$   200,000,000
    
    5/19/2005
    
    U.S. Treasury Bills
    
    
    199,330,667
    
    
    
    4.90
    %$   175,000,000
    
    5/05/2005
    
    U.S. Treasury Bills
    
    
    174,600,028
    
    
    
    4.29
    %$   160,000,000
    
    4/28/2005
    
    U.S. Treasury Bills
    
    
    159,718,000
    
    
    
    3.93
    %Total United States government
securities (cost, including accrued interest, 
$3,569,019,207)
    
    $
    3,569,019,207
    
    
    
    87.76
    %
 LONG FUTURES
CONTRACTS % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    18,286,775
    
    
    
    0.45
    %Metals
    
    
    1,632,472
    
    
    
    0.04
    %Stock index
    
    
    (11,742,493
    )
    
    
    (0.29
    )%Short-term interest rates
    
    
    8,321,069
    
    
    
    0.20
    %Long-term interest rates
    
    
    47,072,238
    
    
    
    1.16
    %Total long futures contracts
    
    $
    63,570,061
    
    
    
    1.56
    %
 SHORT FUTURES
CONTRACTS % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (1,945,200
    )
    
    
    (0.05
    )%Metals
    
    
    (66,831
    )
    
    
    0.00
    %Stock index
    
    
    (160,420
    )
    
    
    0.00
    %Short-term interest rates
    
    
    4,081,974
    
    
    
    0.10
    %Long-term interest rates
    
    
    14,867,998
    
    
    
    0.37
    %Total short futures contracts
    
    $
    16,777,521
    
    
    
    0.42
    %Total futures contracts
    
    $
    80,347,582
    
    
    
    1.98
    %
 FORWARD CURRENCY
CONTRACTS % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (125,217,377
    )
    
    
    (3.08
    )%Various short forward currency contracts
    
    
    85,632,487
    
    
    
    2.11
    %Total forward currency contracts
    
    $
    (39,584,890
    )
    
    
    (0.97
    )%
 See accompanying notes. -4-




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2004    UNITED STATES
GOVERNMENT SECURITIES % of NetFace Value
    
    Maturity Date
    
    Description
    
    Value
    
    
    Asset Value$1,675,000,000
    
    1/06/05
    
    U.S. Treasury Bills
    
    $
    1,674,618,108
    
    
    
    41.37
    %$   575,000,000
    
    3/17/05
    
    U.S. Treasury Bills
    
    
    572,424,479
    
    
    
    14.14
    %$   350,000,000
    
    1/13/05
    
    U.S. Treasury Bills
    
    
    349,808,667
    
    
    
    8.64
    %$   200,000,000
    
    1/27/05
    
    U.S. Treasury Bills
    
    
    199,734,222
    
    
    
    4.93
    %$   200,000,000
    
    2/17/05
    
    U.S. Treasury Bills
    
    
    199,459,500
    
    
    
    4.93
    %$   175,000,000
    
    2/03/05
    
    U.S. Treasury Bills
    
    
    174,692,802
    
    
    
    4.32
    %Total United States government
securities (cost, including accrued interest, 
$3,170,737,778)
    
    $
    3,170,737,778
    
    
    
    78.33
    %
 LONG FUTURES
CONTRACTS % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (7,304,068
    )
    
    
    (0.18
    )%Metals
    
    
    2,572,720
    
    
    
    0.06
    %Stock index
    
    
    35,075,316
    
    
    
    0.87
    %Short-term interest rates
    
    
    (3,149,439
    )
    
    
    (0.08
    )%Long-term interest rates
    
    
    31,917,409
    
    
    
    0.79
    %Total long futures contracts
    
    $
    59,111,938
    
    
    
    1.46
    %
 SHORT FUTURES
CONTRACTS % of NetDescription
    
    Value
    
    
    Asset ValueMetals
    
    $
    (4,000,591
    )
    
    
    (0.10
    )%Short-term interest rates
    
    
    4,890,991
    
    
    
    0.12
    %Long-term interest rates
    
    
    (15,630
    )
    
    
    0.00
    %Total short futures contracts
    
    $
    874,770
    
    
    
    0.02
    %Total futures contracts
    
    $
    59,986,708
    
    
    
    1.48
    %
 FORWARD CURRENCY
CONTRACTS % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    121,005,028
    
    
    
    2.99
    %Various short forward currency contracts
    
    
    (191,142,430
    )
    
    
    (4.72
    )%Total forward currency contracts
    
    $
    (70,137,402
    )
    
    
    (1.73
    )%
 See accompanying notes. -5-




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
For the Three Months Ended March 31, 2005 and 2004
(Unaudited)    2005
    
    
    2004TRADING GAINSFutures trading gains (losses)Realized
    
    $
    42,247,184
    
    
    $
    324,643,906Change in unrealized
    
    
    20,360,874
    
    
    
    47,473,403Brokerage commissions
    
    
    (2,393,373
    )
    
    
    (1,986,910
    )Gain from futures trading
    
    
    60,214,685
    
    
    
    370,130,399Forward currency and swap trading gains (losses)Realized
    
    
    (186,236,580
    )
    
    
    293,833,723Change in unrealized
    
    
    30,552,512
    
    
    
    (106,819,881
    )Brokerage commissions
    
    
    (361,993
    )
    
    
    (208,369
    )Gain (loss) from forward currency and swap trading
    
    
    (156,046,061
    )
    
    
    186,805,473Total trading gains (losses)
    
    
    (95,831,376
    )
    
    
    556,935,872EXPENSES NET OF INTEREST INCOMEIncomeInterest income
    
    
    23,575,237
    
    
    
    6,948,362ExpensesBrokerage fee
    
    
    70,188,958
    
    
    
    57,810,040Performance fee
    
    
    0
    
    
    
    102,769,447Operating expenses
    
    
    744,084
    
    
    
    652,403Total expenses
    
    
    70,933,042
    
    
    
    161,231,890Expenses net of interest income
    
    
    (47,357,805
    )
    
    
    (154,283,528
    )NET INCOME (LOSS)
    
    $
    (143,189,181
    )
    
    $
    402,652,344NET INCOME (LOSS) PER GENERAL AND
LIMITED PARTNER UNIT(based on weighted average number of
units outstanding during the period)
    
    $
    (95.53
    )
    
    $
    360.96INCREASE (DECREASE) IN NET ASSET VALUE
PER GENERAL AND LIMITED PARTNER UNIT
    
    $
    (98.24
    )
    
    $
    358.82
 See accompanying notes. -6-




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
For the Three Months Ended March 31, 2005 and 2004
(Unaudited)    2005
    
    
    2004Cash flows from (for) operating activitiesNet income (loss)
    
    $
    (143,189,181
    )
    
    $
    402,652,344Adjustments to reconcile net income (loss) to net
cash (for) operating activitiesNet change in unrealized
    
    
    (50,913,386
    )
    
    
    59,346,478Increase (decrease) in accounts payable and
accrued expenses
    
    
    (247,294
    )
    
    
    90,336,024Net (purchases) of investments in United States
government securities
    
    
    (398,281,429
    )
    
    
    (873,933,346
    )Net cash (for) operating activities
    
    
    (592,631,290
    )
    
    
    (321,598,500
    )Cash flows from (for) financing activitiesAddition of units
    
    
    243,811,679
    
    
    
    513,870,635Increase in subscription deposits
    
    
    0
    
    
    
    226,374Redemption of units
    
    
    (79,401,472
    )
    
    
    (51,792,177
    )Increase in redemptions payable
    
    
    17,477,257
    
    
    
    9,671,156Offering costs charged
    
    
    (2,596,436
    )
    
    
    (4,582,278
    )Increase (decrease) in offering costs payable
    
    
    (1,212,468
    )
    
    
    139,488Net cash from financing activities
    
    
    178,078,560
    
    
    
    467,533,198Net increase (decrease) in cash and cash equivalents
    
    
    (414,552,730
    )
    
    
    145,934,698Cash and cash equivalentsBeginning of period
    
    
    939,148,927
    
    
    
    816,650,904End of period
    
    $
    524,596,197
    
    
    $
    962,585,602End of period cash and cash equivalents consists of:Cash in broker trading accounts
    
    $
    154,453,535
    
    
    $
    94,176,640Cash and cash equivalents
    
    
    370,142,662
    
    
    
    868,408,962Total end of period cash and cash equivalents
    
    $
    524,596,197
    
    
    $
    962,585,602
 See accompanying notes. -7-




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS CAPITAL (NET ASSET VALUE)
For the Three Months Ended March 31, 2005 and 2004
(Unaudited)    Partners CapitalGeneral
    
    
    Limited
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountThree 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
    
    
    $
    4,066,770,711Three Months Ended March 31, 2004Balances at December 31, 2003
    
    
    10,815.994
    
    
    $
    28,460,882
    
    
    
    1,063,947.539
    
    
    $
    2,799,639,743
    
    
    
    1,074,763.533
    
    
    $
    2,828,100,625Net income for the three months
ended March 31, 2004
    
    
    
    
    
    
    4,053,127
    
    
    
    
    
    
    
    398,599,217
    
    
    
    
    
    
    
    402,652,344Additions
    
    
    1,611.939
    
    
    
    4,694,000
    
    
    
    174,986.985
    
    
    
    509,176,635
    
    
    
    176,598.924
    
    
    
    513,870,635Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (17,914.364
    )
    
    
    (51,792,177
    )
    
    
    (17,914.364
    )
    
    
    (51,792,177
    )Offering costs
    
    
    
    
    
    
    (46,128
    )
    
    
    
    
    
    
    (4,536,150
    )
    
    
    
    
    
    
    (4,582,278
    )Balances at
March 31, 2004
    
    
    12,427.933
    
    
    $
    37,161,881
    
    
    
    1,221,020.160
    
    
    $
    3,651,087,268
    
    
    
    1,233,448.093
    
    
    $
    3,688,249,149
 Net Asset Value Per General and Limited Partner UnitMarch 31,

    
    
    December 31,
    
    
    March 31,
    
    
    December 31,2005
    
    
    2004
    
    
    2004
    
    
    2003$
    2,647.49
    
    
    $
    2,745.73
    
    
    $
    2,990.19
    
    
    $
    2,631.37
 See accompanying notes. -8-




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)    Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES  A.
    General Description of the FundCampbell Strategic Allocation Fund, L.P. (the Fund) is a Delaware limited partnership
which operates as a commodity investment pool. The Fund engages in the speculative
trading of futures contracts, forward currency contracts and swap contracts.B.
    RegulationAs a registrant with the Securities and Exchange Commission, the Fund is subject to
the regulatory requirements under the Securities Act of 1933 and the Securities
Exchange Act of 1934. As a commodity investment pool, the Fund is subject to the
regulations of the Commodity Futures Trading Commission, an agency of the United
States (U.S.) government which regulates most aspects of the commodity futures
industry; rules of the National Futures Association, an industry self-regulatory
organization; and the requirements of the various commodity exchanges where the Fund
executes transactions. Additionally, the Fund is subject to the requirements of
futures commission merchants (brokers) and interbank and other market makers through
which the Fund trades.C.
    Method of ReportingThe Funds financial statements are presented in accordance with U.S. generally
accepted accounting principles, which require the use of certain estimates made by
the Funds management. Investment transactions are accounted for on the trade date.
Gains or losses are realized when contracts are liquidated. Unrealized gains and
losses on open contracts (the difference between contract trade price and market
price) are reported in the statement of financial condition as a net gain or loss, as
there exists a right of offset of unrealized gains or losses in accordance with
Financial Accounting Standards Board Interpretation No. 39  Offsetting of Amounts
Related to Certain Contracts. The market value of futures (exchange-traded)
contracts is determined by the various futures exchanges, and reflects the settlement
price for each contract as of the close of the last business day of the reporting
period. The market value of swap and forward currency (non-exchange traded)
contracts is extrapolated on a forward basis from the spot prices quoted as of 5:00
P.M. (E.T.) of the last business day of the reporting period or based on the market
value of its exchange-traded equivalent. Any change in net unrealized gain or loss
from the preceding period is reported in the statement of operations. Brokerage
commissions include other trading fees and are charged to expense when contracts are
opened. United States government securities are stated at cost plus accrued
interest, which approximates market value.For purposes of both financial reporting and calculation of redemption value, Net
Asset Value per unit is calculated by dividing Net Asset Value by the number of
outstanding units. -9-




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)     Note 1.
    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.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,
2005, the Fund reflects a liability in the statement of financial condition for
offering costs payable to Campbell & Company of $1,018,151. 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, 2005, the amount of unreimbursed offering costs incurred by Campbell &
Company is $1,018,151.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 currently. -10-




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)    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 $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 BROKER  The 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 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, 2005 and 2004.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)
(Unaudited)    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 RISKS  The Fund engages in the speculative trading of U.S. and
foreign futures contracts, 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,
2005 and December 31, 2004 was $3,569,019,207 and
$3,170,737,778, respectively, which equals 88% and 78% of Net
Asset Value, respectively. The cash deposited with interbank
and other market makers at March 31, 2005 and December 31,
2004 was $293,247,911 and $656,506,665, respectively, which
equals 7% and 16% of Net Asset Value, respectively. These
amounts are included in cash and cash equivalents.
The Fund trades 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 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 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)
(Unaudited)    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.The unrealized gain (loss) on open futures, forward currency and swap contracts is comprised of the following: Futures Contracts
    
    Forward Currency and Swap Contracts(exchange traded)
    
    (non-exchange traded)March 31,
    
    
    December 31,
    
    
    March 31,
    
    
    December 31,2005
    
    
    2004
    
    
    2005
    
    
    2004Gross unrealized gains
    
    $
    104,576,156
    
    
    $
    80,577,521
    
    
    $
    136,804,651
    
    
    $
    160,643,120Gross unrealized losses
    
    
    (24,228,574
    )
    
    
    (20,590,813
    )
    
    
    (176,389,541
    )
    
    
    (230,780,522
    )Net unrealized gain (loss)
    
    $
    80,347,582
    
    
    $
    59,986,708
    
    
    $
    (39,584,890
    )
    
    $
    (70,137,402
    )
  Open contracts generally mature within three months; as of March 31, 2005, the latest
maturity date for open futures contracts is December 2005, and the latest maturity date
for open forward currency contracts is June 2005. 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. GUARANTEES  In 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 -




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)    Note 8. INTERIM FINANCIAL STATEMENTS  The statement of financial condition, including the condensed
schedule of investments, as of March 31, 2005, and the
statements of operations, cash flows and changes in partners
capital (Net Asset Value) for the three months ended March
31, 2005 and 2004 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, 2005, and the results of operations and cash flows
for the three months ended March 31, 2005 and 2004. - 14 -




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)    Note 9. FINANCIAL HIGHLIGHTS  The following information presents per unit operating performance data and other
supplemental financial data for the three months ended March 31, 2005 and 2004. This
information has been derived from information presented in the financial statements. Three months endedMarch 31,2005
    
    
    2004(Unaudited)
    
    
    (Unaudited)Per Unit Performance(for a
unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    2,745.73
    
    
    $
    2,631.37Income (loss) from operations:Total trading gains (losses) (1)
    
    
    (64.91
    )
    
    
    501.24Expenses net of interest income (1)
    
    
    (31.60
    )
    
    
    (138.31
    )Total income (loss) from operations
    
    
    (96.51
    )
    
    
    362.93Offering costs (1)
    
    
    (1.73
    )
    
    
    (4.11
    )Net asset value per unit at end of period
    
    $
    2,647.49
    
    
    $
    2,990.19Total Return(3)
    
    
    (3.58
    )%
    
    
    13.64
    %Supplemental DataRatios to average net asset value:Expenses prior to performance fee (4)
    
    
    (7.03
    )%
    
    
    (7.35
    )%Performance fee (3)
    
    
    0.00
    %
    
    
    (3.23
    )%Total expenses
    
    
    (7.03
    )%
    
    
    (10.58
    )%Expenses net of interest income (2), (4)
    
    
    (4.69
    )%
    
    
    (6.48
    )%
  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 Introduction The offering of Campbell Strategic Allocation Fund L.P.s (the Fund) Units of Limited
Partnership Interest commenced on January 12, 1994, and the initial offering terminated on
April 15, 1994 with proceeds of $9,692,439. The continuing offering period commenced
immediately after the termination of the initial offering period; additional subscriptions
totaling $4,214,578,266 have been accepted during the continuing offering period as of March
31, 2005. Redemptions over the same time period total $781,877,646. The Fund commenced
operations on April 18, 1994. Critical Accounting Policies The preparation of financial statements in conformity with accounting principles generally
accepted in the United States requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosures of contingent assets and
liabilities at the date of the financial statements and the reported amounts of income and
expense during the reporting period. Management believes that the estimates utilized in
preparing the financial statements are reasonable and prudent; however, actual results could
differ from those estimates. The Funds significant accounting policies are described in
detail in Note 1 of the Financial Statements. The Fund records all investments at fair value in its financial statements, with changes in
fair value reported as a component of realized and change in unrealized trading gain (loss) in
the Statements of Operations. Generally, fair values are based on market prices; however, in
certain circumstances, estimates are involved in determining fair value in the absence of an
active market closing price (e.g. swap and forward contracts which are traded in the
inter-bank market). Capital Resources The Fund will raise additional capital only through the sale of Units offered pursuant to the
continuing offering, and does not intend to raise any capital through borrowing. Due to the
nature of the Funds business, it will make no capital expenditures and will have no capital
assets, which are not operating capital or assets. Liquidity Most United States commodity exchanges limit fluctuations in commodity futures contracts
prices during a single day by regulations referred to as daily price fluctuation limits or
daily limits. During a single trading day, no trades may be executed at prices beyond the
daily limit. Once the price of a futures contract has reached the daily limit for that day,
positions in that contract can neither be taken nor liquidated. Commodity futures prices have
occasionally moved to the daily limit for several consecutive days with little or no trading.
Similar occurrences could prevent the Fund from promptly liquidating unfavorable positions and
subject the Fund to substantial losses which could exceed the margin initially committed to
such trades. In addition, even if commodity futures prices - 16 -




---



##### 



have not moved the daily limit, the Fund may not be able to execute futures trades at
favorable prices, if little trading in such contracts is taking place. Other than these
limitations on liquidity, which are inherent in the Funds commodity futures trading
operations, the Funds assets are expected to be highly liquid. The entire offering proceeds, without deductions, will be credited to the Funds bank and
brokerage accounts to engage in trading activities and as reserves for that trading. The Fund
meets its margin requirements by depositing U.S. government securities with the futures broker
and the over-the-counter counterparties. In this way, substantially all (i.e., 95% or more) of
the Funds assets, whether used as margin for trading purposes or as reserves for such
trading, can be invested in U.S. government securities and time deposits with U.S. banks.
Investors should note that maintenance of the Funds assets in U.S. government securities and
banks does not reduce the risk of loss from trading futures, forward and swap contracts. The
Fund receives all interest earned on its assets. No other person shall receive any interest
or other economic benefits from the deposit of Fund assets. Approximately 10% to 30% of the Funds assets normally are committed as required margin for
futures contracts and held by the futures broker, although the amount committed may vary
significantly. Such assets are maintained in the form of cash or U.S. Treasury bills in
segregated accounts with the futures broker pursuant to the Commodity Exchange Act and
regulations thereunder. Approximately 10% to 30% of the Funds assets are deposited with
over-the-counter counterparties in order to initiate and maintain forward and swap contracts.
Such assets are not held in segregation or otherwise regulated under the Commodity Exchange
Act, unless such over-the-counter counterparty is registered as a futures commission merchant.
These assets are held either in U.S. government securities or short-term time deposits with
U.S.-regulated bank affiliates of the over-the-counter counterparties. The remaining 40% to
80% of the Funds assets will normally be invested in cash equivalents, such as U.S. Treasury
bills, and held by the futures broker or the over-the-counter counterparties. The Funds assets are not and will not be, directly or indirectly, commingled with the
property of any other person in violation of law or invested with or loaned to Campbell &
Company or any affiliated entities. Results of Operations The returns for the three months ending March 31, 2005 and 2004 were (3.58)% and 13.64%,
respectively. 2005 For the 2005 year-to-date decrease of 3.58%, approximately 2.27% was due to trading losses
(before commissions) and approximately 0.58% was due to interest income, offset by
approximately 1.89% due to brokerage fees, and operating and offering costs borne by the Fund.
An analysis of the 2.27% trading losses by sector is as follows: - 17 -




---



##### 



Sector
    
    % Gain (Loss)Energy
    
    
    1.87
    %Interest Rates
    
    
    0.56Metals
    
    
    0.25Stock Indices
    
    
    (1.13
    )Currencies
    
    
    (3.82
    )(2.27
    )%
 The late December reversal of the major trends in currencies and equities persisted into
January leaving the Fund with negative performance for the month. The U.S. Dollar rallied
sharply in the first week of the month and held its new levels, which produced losses in the
currency sector. The post-election rally in equities gave way to selling in January, which
also produced losses for the Fund. The energy sector was positive as crude oil approached $50
per barrel. The interest rate sector was also positive. The rally in the U.S. Dollar failed early in February and the Dollar ended the month lower.
However, the small gains on the Funds U.S. Dollar short positions were offset by losses in
its non-Dollar currency pairs, resulting in losses in the currency sector overall. This was a
difficult interest rate environment with different pressures observable at different points
along the yield curve. Consequently, the Funds short-term interest rate positions were
positive, but not profitable enough to offset the losses in long-term interest rates. The
stock index sector was the best performing sector for the month as the equity markets reversed
again and traded higher reclaiming a portion of the losses in January. Crude oils continued
rally also contributed profits for the month. The Fund had a small trading profit in the month of March. The gains for the month were in
the interest rate sector, as both short-term and long-term positions were profitable, and in
the energy sector where crude oil made a new high. The U.S. Dollar closed higher for the
month, reversing a long downtrend, which caused losses for the Fund. In addition, the Fund
incurred losses in its non-Dollar currency positions in March making the currency sector the
worst performing sector for the first quarter. The equity index markets also reversed and
ended the month lower which caused losses for the Fund. 2004 For the 2004 year-to-date increase of 13.64%, approximately 18.70% was due to trading gains
(before commissions) and approximately 0.22% was due to interest income, offset by
approximately 5.28% due to brokerage fees, performance fees, and operating and offering costs
borne by the Fund. An analysis of the 18.70% trading gains by sector is as follows: - 18 -




---



##### 



Sector
    
    % Gain (Loss)Interest Rates
    
    
    11.38
    %Currencies
    
    
    6.56Energy
    
    
    1.34Metals
    
    
    (0.14
    )Stock Indices
    
    
    (0.44
    )18.70
    %
 The year began with the Fund posting a positive return in January despite significant
volatility throughout the month. The weak U.S. Dollar continued to drive most global markets,
including many that had no apparent or direct connection to the Dollar, and in circumstances
such as this, subtle shifts in perception can have a disproportionate impact on prices. The
Dollar traded lower throughout the month, which was profitable for the Funds currency
positions. Much of the gain reversed late in the month when markets reacted violently when
the Federal Open Market Committee (FOMC) slightly restated its short-term interest rate bias.
The interest rate sector was slightly positive despite also having suffered a reversal of
earlier gains following the FOMC announcement. The stock index and metals sectors had small
losses for the month. The Fund had a strong positive return in February as the trends that were in place at the end
of January persisted. The continued concern over the record U.S. budget deficit and current
account imbalance kept downward pressure on the U.S. Dollar and resulted in strong gains in
the currency sector. The weak Dollar in return reinforced several related trends, including
the continued rise in energy prices, resulting in positive returns in the energy sector. The
interest rates sector was also profitable for the month as European interest rate instruments
traded higher. All of the gain for the month of March came from the interest rate sector as U.S. Treasuries
continued to trade higher, while a weakening U.S. Dollar also contributed solid returns. The
energy sector was moderately positive, while the equity index sector was moderately negative. Off-Balance Sheet Risk The term off-balance sheet risk refers to an unrecorded potential liability that, even
though it does not appear on the balance sheet, may result in future obligation or loss.
The Fund trades in futures, forward and swap contracts and is therefore a party to financial
instruments with elements of off-balance sheet market and credit risk. In entering into these
contracts there exists a risk to the Fund, market risk, that such contracts may be
significantly influenced by market conditions, such as interest rate volatility, resulting in
such contracts being less valuable. If the markets should move against all of the futures
interests positions of the Fund at the same time, and if the Funds trading advisor was unable
to offset futures interests positions of the Fund, the Fund could lose all of its assets and
the Limited Partners would realize a 100% loss. Campbell & Company, Inc., the General Partner
(who also acts as trading advisor), minimizes market risk through real-time - 19 -




---



##### 



monitoring of open positions, diversification of the portfolio and maintenance of a
margin-to-equity ratio that rarely exceeds 30%. In addition to market risk, in entering into futures, forward and swap contracts there is a
credit risk that a counterparty will not be able to meet its obligations to the Fund. The
counterparty for futures contracts traded in the United States and on most foreign exchanges
is the clearinghouse associated with such exchange. In general, clearinghouses are backed by
the corporate members of the clearinghouse who are required to share any financial burden
resulting from the non-performance by one of their members and, as such, should significantly
reduce this credit risk. In cases where the clearinghouse is not backed by the clearing
members, like some foreign exchanges, it is normally backed by a consortium of banks or other
financial institutions. In the case of forward and swap contracts, which are traded on the interbank market rather
than on exchanges, the counterparty is generally a single bank or other financial institution,
rather than a group of financial institutions; thus there may be a greater counterparty credit
risk. Campbell & Company trades for the Fund only with those counterparties which it believes
to be creditworthy. All positions of the Fund are valued each day on a mark-to-market basis.
There can be no assurance that any clearing member, clearinghouse or other counterparty will
be able to meet its obligations to the Fund. Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts
Accounted for at Fair Value The Fund invests in futures, swap and forward currency 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 (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. Item 3. Quantitative and Qualitative Disclosures About Market Risk Introduction Past Results Not Necessarily Indicative of Future Performance The Fund is a speculative commodity pool. The market sensitive instruments held by it
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. Market movements result in frequent changes in the fair market 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 - 20 -




---



##### 



price levels, the market 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. The Fund rapidly acquires and liquidates both long and short positions in a wide range of
different markets. Consequently, it is not possible to predict how a particular future market
scenario will affect performance, and the Funds past performance is not necessarily
indicative of its future results. Standard of Materiality Materiality as used in this section, Quantitative and Qualitative Disclosures About
Market Risk, is based on an assessment of reasonably possible market movements and the
potential losses caused by such movements, taking into account the leverage, and multiplier
features of the Funds market sensitive instruments. 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). The Funds risk exposure in the various market sectors traded is estimated in terms of
Value at Risk (VaR). The Fund estimates VaR using a model based upon historical simulation
(with a confidence level of 97.5%) which involves constructing a distribution of hypothetical
daily changes in the value of a trading portfolio. The VaR model takes into account linear
exposures to risks, including equity and commodity prices, interest rates, foreign exchange
rates, and correlation among these variables. The hypothetical changes in portfolio value are
based on daily percentage changes observed in key market indices or other market factors to
which the portfolio is sensitive. The one day 97.5% confidence level of the Funds VaR
corresponds to the negative change in portfolio value that, based on observed market risk
factors, would have been exceeded once in 40 trading days or one day in 40. VaR typically
does not represent the worst case outcome. The Fund uses approximately one year of daily market data and revalues its portfolio for
each of the historical market moves that occurred over this time period. This generates a
probability distribution of daily simulated profit and loss outcomes. The VaR is the 2.5
percentile of this distribution. 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 - 21 -




---



##### 



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. The Funds VaR computations are based on the risk representation of the underlying
benchmark for each instrument or contract and does not distinguish between exchange and
non-exchange dealer-based instruments. It is also not based on exchange and/or dealer-based
maintenance margin requirements. VaR models, including the Funds, are continually evolving as trading portfolios become
more diverse and modeling techniques and systems capabilities improve. Please note that the
VaR model is used to numerically quantify market risk for historic reporting purposes only and
is not utilized by the Fund in its daily risk management activities. Please further note that
VaR as described above may not be comparable to similarly titled measures used by other
entities. Because the business of the Fund is the speculative trading of futures, forwards and
options, the composition of the Funds trading portfolio can change significantly over any
given time period, or even within a single trading day, which could positively or negatively
materially impact market risk as measured by VaR. The Funds Trading Value at Risk in Different Market Sectors The following tables indicate the trading Value at Risk associated with the Funds open
positions by market category as of March 31, 2005 and December 31, 2004 and the trading
gains/losses by market category for the three months ended March 31, 2005 and the year ended
December 31, 2004. March 31, 2005TradingMarket Sector
    
    Value at Risk*
    
    
    Gain/(Loss)**Currencies
    
    
    0.91
    %
    
    
    (3.82
    )%Long Interest Rates
    
    
    0.51
    %
    
    
    (0.74
    )%Short Interest Rates
    
    
    0.21
    %
    
    
    1.30
    %Stock Indices
    
    
    0.55
    %
    
    
    (1.13
    )%Energy
    
    
    0.24
    %
    
    
    1.87
    %Metals
    
    
    0.07
    %
    
    
    0.25
    %Aggregate/Total
    
    
    1.32
    %
    
    
    (2.27
    )%
   *

    -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, 2005, approximately 2.27% was due to
trading losses (before commissions) and approximately 0.58% due to interest income, offset by
approximately 1.89% due to brokerage fees and operating and offering costs borne by the Fund giving a net
return of (3.58)%. - 22 -




---



##### 



December 31, 2004TradingMarket Sector
    
    Value at Risk*
    
    
    Gain/(Loss)**Currencies
    
    
    1.15
    %
    
    
    2.20
    %Long Interest Rates
    
    
    0.83
    %
    
    
    10.03
    %Short Interest Rates
    
    
    0.26
    %
    
    
    2.57
    %Stock Indices
    
    
    0.60
    %
    
    
    (1.98
    )%Energy
    
    
    0.18
    %
    
    
    1.78
    %Metals
    
    
    0.11
    %
    
    
    (0.61
    )%Aggregate/Total
    
    
    1.84
    %
    
    
    13.99
    %
   *
    
    -The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The aggregate VaR represents the VaR of the Funds open
positions across all market sectors, and is less than the sum of the VaRs for all such market
sectors due to the diversification benefit across asset classes.**
    
    -Of the return for the year ended December 31, 2004, approximately 13.99% was due to
trading gains (before commissions) and approximately 1.23% was due to interest income, offset
by approximately 10.87% due to brokerage fees, performance fees and operating and offering
costs borne by the Fund giving a net return of 4.35%. Material Limitations of Value at Risk as an Assessment of Market Risk The following limitations of VaR as an assessment of market risk should be noted:  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. VaR is not necessarily representative of historic risk nor should it be used to predict
the Funds future financial performance or its ability to manage and monitor risk. There can
be no assurance that the Funds actual losses on a particular day will not exceed the VaR
amounts indicated or that such losses will not occur more than once in 40 trading days. - 23 -




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Non-Trading Risk The Fund has non-trading market risk on its foreign cash balances not needed for margin.
However, these balances (as well as the market risk they represent) are immaterial. The Fund
also has non-trading market risk as a result of investing a substantial portion of its
available assets in U.S. Treasury Bills. The market risk represented by these investments is
immaterial. 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. The following were the primary trading risk exposures of the Fund as of March 31, 2005,
by market sector. Currencies Exchange rate risk is the principal market exposure of the Fund. The Funds currency
exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical
pricing relationships between different currencies and currency pairs. These fluctuations are
influenced by interest rate changes as well as political and general economic conditions. The
Fund trades in a large number of currencies, including cross-rates  i.e.,positions between
two currencies other than the U.S. Dollar. Campbell & Company does not anticipate that the
risk profile of the Funds currency sector will change significantly in the future. Interest Rates Interest rate risk is a significant market exposure of the Fund. Interest rate movements
directly affect the price of the sovereign bond positions held by the Fund and indirectly the
value of its stock index and currency positions. Interest rate movements in one country as
well as relative interest rate movements between countries materially impact the Funds
profitability. The Funds primary interest rate exposure is to interest rate fluctuations in
the United States and the other G-7 countries. Additionally, the Fund takes positions in the
government debt of Switzerland. Campbell & Company anticipates that G-7 interest rates will
remain the primary market exposure - 24 -




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of the Fund for the foreseeable future. The changes in interest rates which have the
most effect on the Fund are changes in long-term, as opposed to short-term rates. Most of the
speculative positions held by the Fund are in medium- to long-term instruments. Consequently,
even a material change in short-term rates would have little effect on the Fund were the
medium- to long-term rates to remain steady. Stock Indices The Funds primary equity exposure is to equity price risk in the G-7 countries and
several other countries (Hong Kong, Spain and Taiwan). The stock index futures traded by the
Fund are by law limited to futures on broadly based indices. The Fund is primarily exposed to
the risk of adverse price trends or static markets in the major U.S., European and Japanese
indices. (Static markets would not cause major market changes but would make it difficult for
the Fund to avoid being whipsawed into numerous small losses.) Energy The Funds primary energy market exposure is to gas and oil price movements, often
resulting from political developments and ongoing conflicts in the Middle East. Oil and gas
prices can be volatile and substantial profits and losses have been and are expected to
continue to be experienced in this market. Metals The Funds metals market exposure is to fluctuations in the price of copper, nickel and
zinc. Qualitative Disclosures Regarding Non-Trading Risk Exposure The following were the only non-trading risk exposures of the Fund as of March 31, 2005. Foreign Currency Balances The Funds primary foreign currency balances are in Japanese Yen, British Pounds and
Euros. The Fund controls the non-trading risk of these balances by regularly converting these
balances back into dollars (no less frequently than twice a month, and more frequently if a
particular foreign currency balance becomes unusually large). Treasury Bill Positions The Funds only market exposure in instruments held other than for trading is in its
Treasury Bill portfolio. The Fund holds Treasury Bills (interest bearing and credit
risk-free) with durations no longer than six months. Violent fluctuations in prevailing
interest rates could cause immaterial mark-to-market losses on the Funds Treasury Bills,
although substantially all of these short-term investments are held to maturity. - 25 -




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Qualitative Disclosures Regarding Means of Managing Risk Exposure The means by which Campbell & Company attempts 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 imposing stop-loss points at which open positions
must be closed out. Campbell & Company controls the risk of the Funds non-trading instruments (Treasury
Bills held for cash management purposes) by limiting the duration of such instruments to no
more than six months. General The Fund is unaware of any (i) anticipated known demands, commitments or capital
expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or
(iii) trends or uncertainties that will have a material effect on operations. From time to
time, certain regulatory agencies have proposed increased margin requirements on futures
contracts. Because the Fund generally will use a small percentage of assets as margin, the
Fund does not believe that any increase in margin requirements, as proposed, will have a
material effect on the Funds operations. Item 4. Controls and Procedures Campbell & Company, Inc., the general partner of the Fund, with the participation
of the general partners chief executive officer and chief financial officer, has evaluated
the effectiveness of the design and operation of its disclosure controls and procedures (as
defined in the Securities Exchange Act of 1934 Rules 13a-15(e) or 15d-15(e)) with respect to
the Fund as of the end of the period covered by this quarterly report. Based on their
evaluation, the chief executive officer and chief financial officer have concluded that these
disclosure controls and procedures are effective. There were no changes in the general
partners internal control over financial reporting applicable to the Fund identified in
connection with the evaluation required by paragraph (d) of Exchange Act Rules 13a-15 or
15d-15 that occurred during the last fiscal quarter that have materially affected, or is
reasonably likely to materially affect, internal control over financial reporting applicable
to the Fund. - 26 -




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PART II-OTHER INFORMATION Item 1. Legal Proceedings. None Item 2. Changes in Securities and Use of Proceeds None Item 3. Defaults Upon Senior Securities Not applicable. Item 4. Submissions of Matters to a vote of Security Holders. None Item 5. Other Information None 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 Securties Exchange Act of 1934.31.02
    
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securties 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 None. - 27 -




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SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused
this report to be signed on its behalf by the undersigned, thereunto duly authorized, on the
13th day of May 2005. CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Registrant)By:
    
    Campbell & Company, Inc.General PartnerBy:
    
    /s/ Theresa D. BecksTheresa D. BecksChief Financial Officer/Treasurer/Director
 - 28 -




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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
 - E 1 -