##### Table of Contents



UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
 WASHINGTON, D.C. 20549
 FORM 10-Q
 þ
    
    Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
 For the quarterly period ended September 30, 2010
 or
 o
    
    Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
 For the transition period from  to
 Commission File number: 0-22260
 CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
  Delaware
    
    52-1823554(State of Organization)
    
    (IRS Employer Identification Number)
 
 
  þ o
  þ o
  Large accelerated filer o
Accelerated filer o
Non-accelerated filer o(Do not check if a smaller reporting company)
Smaller reporting company þ  o þ




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##### 



PagePART I  FINANCIAL INFORMATIONItem 1.
    
    Financial StatementsCondensed Schedules of Investments as of September 30, 2010
and December 31, 2009 (Unaudited)
    
    
    3-6Statements of Financial Condition as of September 30, 2010
and December 31, 2009 (Unaudited)
    
    
    7Statements of Operations for the Three Months and Nine Months Ended
September 30, 2010 and 2009 (Unaudited)
    
    
    8Statements of Cash Flows for the Nine Months Ended
September 30, 2010 and 2009 (Unaudited)
    
    
    9Statements of Changes in Partners Capital (Net Asset Value)
for the Nine Months Ended September 30, 2010 and 2009 (Unaudited)
    
    
    10Financial Highlights for the Three Months and Nine Months Ended
September 30, 2010 and 2009 (Unaudited)
    
    
    11Notes to Financial Statements (Unaudited)
    
    
    12-18Item 2.
    
    Managements Discussion and Analysis of Financial Condition and
Results of Operations
    
    
    19-27Item 3.
    
    Quantitative and Qualitative Disclosure About Market Risk
    
    
    27-33Item 4.
    
    Controls and Procedures
    
    
    33-34PART II  OTHER INFORMATIONItem 6.
    
    Exhibits and Reports on Form 8-K
    
    
    35SIGNATURES
    
    
    
    
    
    36CERTIFICATIONSEX-31.01EX-31.02EX-32.01EX-32.02




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##### Table of Contents



FIXED INCOME SECURITIES
 Maturity
    
    
    
    
    
    
    
    
    % of NetFace Value
    
    
    Description
    
    Values ($)
    
    
    Asset ValueCommercial PaperNetherlandsFinancials
(cost $20,470,176)
    
    $
    20,526,175
    
    
    
    1.49
    %United StatesConsumer Discretionary
    
    $
    110,768,808
    
    
    
    8.03
    %Consumer Staples
    
    $
    151,149,930
    
    
    
    10.96
    %Financials
    
    $
    104,355,625
    
    
    
    7.57
    %Industrials
    
    $
    6,270,543
    
    
    
    0.45
    %Materials
    
    $
    59,058,576
    
    
    
    4.28
    %Utilities
    
    $
    115,372,578
    
    
    
    8.36
    %Total United States (cost $546,949,789)
    
    $
    546,976,060
    
    
    
    39.65
    %Total Commercial Paper
(cost $567,419,965)
    
    $
    567,502,235
    
    
    
    41.14
    %Corporate BondsUnited StatesFinancials
    
    $
    89,933,681
    
    
    
    6.52
    %Telecommunications
    
    $
    5,353,010
    
    
    
    0.39
    %Total
United States(cost $95,117,893)
    
    $
    95,286,691
    
    
    
    6.91
    %Government And Agency ObligationsUnited StatesU.S. Government Agency$
    17,000,000
    
    
    Federal Home Loan Bank 0.65%
Due 05/19/2011
    
    $
    17,005,270
    
    
    
    1.23
    %$
    30,000,000
    
    
    Federal Home Loan Bank 0.70%
Due 04/18/2011
    
    $
    30,069,090
    
    
    
    2.18
    %$
    44,320,000
    
    
    Federal Home Loan Bank BD 1.00%
Due 02/28/2011
    
    $
    44,389,139
    
    
    
    3.22
    %Other U.S. Government Agency Obligation
    
    $
    90,635,067
    
    
    
    6.57
    %$
    75,000,000
    
    
    U.S. Treasury Bills *
Due 10/28/2010
    
    $
    74,993,531
    
    
    
    5.44
    %$
    30,000,000
    
    
    U.S. Treasury Bills *
Due 10/07/2010
    
    $
    29,999,700
    
    
    
    2.17
    %$
    75,000,000
    
    
    U.S. Treasury Bills *
Due 10/14/2010
    
    $
    74,997,292
    
    
    
    5.44
    %Total United States (cost $361,889,301)
    
    $
    362,089,089
    
    
    
    26.25
    %Short Term Investment FundsUnited StatesShort Term Investment Funds
(cost $1,478)
    
    $
    1,478
    
    
    
    0.00
    %Total Fixed Income Securities
(cost $1,024,428,637)
    
    $
    1,024,879,493
    
    
    
    74.30
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueAgricultural
    
    $
    10,483,821
    
    
    
    0.76
    %Energy
    
    $
    2,267,453
    
    
    
    0.16
    %Metals
    
    $
    30,959,063
    
    
    
    2.24
    %Stock indices
    
    $
    2,279,271
    
    
    
    0.17
    %Short-term interest rates
    
    $
    5,640,314
    
    
    
    0.41
    %Long-term interest rates
    
    $
    12,699,758
    
    
    
    0.92
    %Total long futures contracts
    
    $
    64,329,680
    
    
    
    4.66
    %
 See Accompanying Notes to Financial Statements.
 3




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##### Table of Contents



SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueEnergy
    
    $
    (2,877,390
    )
    
    
    (0.21
    )%Metals
    
    $
    (3,119,427
    )
    
    
    (0.23
    )%Stock indices
    
    $
    (1,679
    )
    
    
    0.00
    %Short-term interest rates
    
    $
    (92,857
    )
    
    
    (0.01
    )%Total short futures contracts
    
    $
    (6,091,353
    )
    
    
    (0.45
    )%Total futures contracts
    
    $
    58,238,327
    
    
    
    4.21
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    198,176,507
    
    
    
    14.37
    %Various short forward currency contracts
    
    $
    (176,832,497
    )
    
    
    (12.82
    )%Total forward currency contracts
    
    $
    21,344,010
    
    
    
    1.55
    %
 PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValuePurchased options on forward currency contracts
(premiums paid  $971,006)
    
    $
    976,832
    
    
    
    0.07
    %
 WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueWritten options on forward currency contracts
(premiums received  $1,381,312)
    
    $
    (1,090,632
    )
    
    
    (0.08
    )%
 
 *
    
    Pledged as collateral for the trading of futures, forward and option positions. See Accompanying Notes to Financial Statements.
 4




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##### Table of Contents



FIXED
INCOME SECURITIES
 Maturity
    
    
    
    
    
    
    
    
    % of NetFace Value
    
    
    Description
    
    Values ($)
    
    
    Asset ValueBank DepositsUnited StatesFinancials
(cost $65,590,000)
    
    $
    65,689,065
    
    
    
    3.84
    %Commercial PaperGermanyMaterials
(cost $17,252,376)
    
    $
    17,259,598
    
    
    
    1.01
    %NetherlandsConsumer Discretionary 
(cost $23,481,034)
    
    $
    23,481,191
    
    
    
    1.37
    %United StatesConsumer Discretionary
    
    $
    143,576,225
    
    
    
    8.40
    %Consumer Staples
    
    $
    80,742,190
    
    
    
    4.73
    %Energy
    
    $
    72,767,525
    
    
    
    4.26
    %Financials
    
    $
    231,111,026
    
    
    
    13.53
    %Industrials
    
    $
    79,892,248
    
    
    
    4.68
    %Municipal
    
    $
    169,945,539
    
    
    
    9.95
    %Telecommunications
    
    $
    4,409,848
    
    
    
    0.26
    %Utilities
    
    $
    29,998,000
    
    
    
    1.76
    %Total United States (cost $812,299,397)
    
    $
    812,442,601
    
    
    
    47.57
    %Total Commercial Paper
(cost $853,032,807)
    
    $
    853,183,390
    
    
    
    49.95
    %Corporate BondsUnited StatesFinancials
(cost $106,198,611)
    
    $
    106,210,199
    
    
    
    6.22
    %Government And Agency ObligationsUnited StatesU.S. Government Agency
    
    $
    311,649,912
    
    
    
    18.24
    %U.S. Treasury Bills$
    30,000,000
    
    
    U.S. Treasury Bills *
Due 01/14/2010
    
    $
    29,999,973
    
    
    
    1.76
    %$
    100,000,000
    
    
    U.S. Treasury Bills *
Due 01/28/2010
    
    $
    99,998,667
    
    
    
    5.85
    %$
    37,000,000
    
    
    U.S. Treasury Bills *
Due 03/25/2010
    
    $
    36,994,882
    
    
    
    2.17
    %$
    100,000,000
    
    
    U.S. Treasury Bills *
Due 04/01/2010
    
    $
    99,988,750
    
    
    
    5.85
    %Total United States (cost $579,049,811)
    
    $
    578,632,184
    
    
    
    33.87
    %Short Term Investment FundsUnited StatesShort Term Investment Funds
(cost $2,531,880)
    
    $
    2,531,880
    
    
    
    0.15
    %Total Fixed Income Securities
(cost $1,606,403,109)
    
    $
    1,606,246,718
    
    
    
    94.03
    %
 See Accompanying Notes to Financial Statements.
 5




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##### Table of Contents



LONG FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueAgricultural
    
    $
    (59,783
    )
    
    
    0.00
    %Energy
    
    $
    798,745
    
    
    
    0.05
    %Metals
    
    $
    4,011,004
    
    
    
    0.23
    %Stock indices
    
    $
    12,654,145
    
    
    
    0.74
    %Short-term interest rates
    
    $
    (5,342,338
    )
    
    
    (0.31
    )%Long-term interest rates
    
    $
    (14,825,155
    )
    
    
    (0.87
    )%Total long futures contracts
    
    $
    (2,763,382
    )
    
    
    (0.16
    )%
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueAgricultural
    
    $
    50,561
    
    
    
    0.00
    %Metals
    
    $
    (2,581,534
    )
    
    
    (0.15
    )%Long-term interest rates
    
    $
    717,238
    
    
    
    0.04
    %Total short futures contracts
    
    $
    (1,813,735
    )
    
    
    (0.11
    )%Total futures contracts
    
    $
    (4,577,117
    )
    
    
    (0.27
    )%
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (64,092,290
    )
    
    
    (3.75
    )%Various short forward currency contracts
    
    $
    49,010,012
    
    
    
    2.87
    %Total forward currency contracts
    
    $
    (15,082,278
    )
    
    
    (0.88
    )%
 PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValuePurchased options on forward currency contracts
(premiums paid  $4,023,342)
    
    $
    4,062,722
    
    
    
    0.24
    %
 WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueWritten options on forward currency contracts
(premiums received  $1,254,708)
    
    $
    (1,094,738
    )
    
    
    (0.06
    )%
 
 *
    
    Pledged as collateral for the trading of futures, forward and option positions. See Accompanying Notes to Financial Statements.
 6




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##### Table of Contents



September 30,
    
    
    December 31,2010
    
    
    2009ASSETSEquity in broker trading accountsCash
    
    $
    190,647,291
    
    
    $
    224,803,378Fixed income securities
(cost $149,990,823 and $199,987,417, respectively)
    
    
    149,990,823
    
    
    
    199,987,417Net unrealized gain (loss) on open futures contracts
    
    
    58,238,327
    
    
    
    (4,577,117
    )Total equity in broker trading accounts
    
    
    398,876,441
    
    
    
    420,213,678Cash and cash equivalents
    
    
    113,955,913
    
    
    
    41,337,614Restricted cash deposits with forwards broker
    
    
    9,297,465
    
    
    
    0Fixed income securities
(cost $874,437,814 and $1,406,415,692, respectively)
    
    
    874,888,670
    
    
    
    1,406,259,301Options purchased, at fair value
(premiums paid  $971,006 and $4,023,342, respectively)
    
    
    976,832
    
    
    
    4,062,722Net unrealized gain (loss) on open forward currency contracts
    
    
    21,344,010
    
    
    
    (15,082,278
    )Interest receivable
    
    
    1,010,496
    
    
    
    2,064,955Total assets
    
    $
    1,420,349,827
    
    
    $
    1,858,855,992LIABILITIESAccounts payable
    
    $
    557,788
    
    
    $
    642,518Brokerage fee
    
    
    8,273,507
    
    
    
    10,246,641Options written, at fair value
(premiums received  $1,381,312 and $1,254,708, respectively)
    
    
    1,090,632
    
    
    
    1,094,738Payable for securities purchased
    
    
    0
    
    
    
    99,998,667Accrued commissions and other trading fees on open contracts
    
    
    201,987
    
    
    
    206,347Offering costs payable
    
    
    183,877
    
    
    
    346,751Redemptions payable
    
    
    30,665,109
    
    
    
    37,828,712Total liabilities
    
    
    40,972,900
    
    
    
    150,364,374PARTNERS CAPITAL (Net Asset Value)General
Partner  6,623.161 and 6,637.982 redeemable units
outstanding at September 30, 2010 and December 31, 2009
    
    
    16,144,485
    
    
    
    15,893,851Limited Partners - 559,257.306 and 706,905.488 redeemable units
outstanding at September 30, 2010 and December 31, 2009
    
    
    1,363,232,442
    
    
    
    1,692,597,767Total partners capital (Net Asset Value)
    
    
    1,379,376,927
    
    
    
    1,708,491,618Total liabilities and partners capital (Net Asset Value)
    
    $
    1,420,349,827
    
    
    $
    1,858,855,992
 See Accompanying Notes to Financial Statements.
 7




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##### Table of Contents



Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2010
    
    
    2009
    
    
    2010
    
    
    2009TRADING GAINS (LOSSES)Futures trading gains (losses)Realized
    
    $
    62,265,579
    
    
    $
    10,450,421
    
    
    $
    16,858,737
    
    
    $
    (98,941,018
    )Change in unrealized
    
    
    40,973,253
    
    
    
    7,628,026
    
    
    
    62,815,444
    
    
    
    4,466,414Brokerage commissions
    
    
    (1,057,322
    )
    
    
    (631,027
    )
    
    
    (3,150,756
    )
    
    
    (1,893,725
    )Net gain (loss) from futures trading
    
    
    102,181,510
    
    
    
    17,447,420
    
    
    
    76,523,425
    
    
    
    (96,368,329
    )Forward currency and options on forward
currency trading gains (losses)Realized
    
    
    (14,158,295
    )
    
    
    (4,788,900
    )
    
    
    (26,530,018
    )
    
    
    (10,585,535
    )Change in unrealized
    
    
    37,640,217
    
    
    
    66,584,403
    
    
    
    36,523,447
    
    
    
    57,325,202Brokerage commissions
    
    
    (101,423
    )
    
    
    (90,967
    )
    
    
    (301,039
    )
    
    
    (233,887
    )Net gain (loss) from forward currency
and options on forward currency trading
    
    
    23,380,499
    
    
    
    61,704,536
    
    
    
    9,692,390
    
    
    
    46,505,780Total net trading gain (loss)
    
    
    125,562,009
    
    
    
    79,151,956
    
    
    
    86,215,815
    
    
    
    (49,862,549
    )NET INVESTMENT INCOME (LOSS)Investment incomeInterest income
    
    
    1,857,255
    
    
    
    862,133
    
    
    
    4,774,525
    
    
    
    1,301,843Realized gain (loss)
on fixed income securities
    
    
    112,892
    
    
    
    0
    
    
    
    225,484
    
    
    
    0Change in unrealized gain (loss)
on fixed income securities
    
    
    294,629
    
    
    
    472,625
    
    
    
    607,247
    
    
    
    472,625Total investment income
    
    
    2,264,776
    
    
    
    1,334,758
    
    
    
    5,607,256
    
    
    
    1,774,468ExpensesBrokerage fee
    
    
    24,339,823
    
    
    
    33,841,330
    
    
    
    78,051,063
    
    
    
    112,819,855Operating expenses
    
    
    545,766
    
    
    
    586,057
    
    
    
    1,934,883
    
    
    
    1,333,933Total expenses
    
    
    24,885,589
    
    
    
    34,427,387
    
    
    
    79,985,946
    
    
    
    114,153,788Net investment income (loss)
    
    
    (22,620,813
    )
    
    
    (33,092,629
    )
    
    
    (74,378,690
    )
    
    
    (112,379,320
    )NET INCOME (LOSS)
    
    $
    102,941,196
    
    
    $
    46,059,327
    
    
    $
    11,837,125
    
    
    $
    (162,241,869
    )NET INCOME (LOSS) PER GENERAL
AND LIMITED PARTNER UNIT
(based on weighted average number
of units outstanding during the period)
    
    $
    173.36
    
    
    $
    57.43
    
    
    $
    18.35
    
    
    $
    (189.08
    )INCREASE (DECREASE) IN NET ASSET VALUE
PER GENERAL AND LIMITED PARTNER UNIT
    
    $
    175.83
    
    
    $
    58.93
    
    
    $
    43.20
    
    
    $
    (183.16
    )
 See Accompanying Notes to Financial Statements.
 8




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##### Table of Contents



Nine Months EndedSeptember 30,2010
    
    
    2009Cash flows from (for) operating activitiesNet income (loss)
    
    $
    11,837,125
    
    
    $
    (162,241,869
    )Adjustments to reconcile net income (loss) to net cash from (for) operating activitiesNet change in unrealized
    
    
    (99,946,139
    )
    
    
    (62,264,241
    )(Increase) decrease in restricted cash
    
    
    (9,297,465
    )
    
    
    83,927,379(Increase) decrease in option premiums paid
    
    
    3,052,336
    
    
    
    (1,364,465
    )Increase (decrease) in option premiums received
    
    
    126,604
    
    
    
    (2,071,498
    )Increase (decrease) in payable for securities purchased
    
    
    (99,998,667
    )
    
    
    0(Increase) decrease in interest receivable
    
    
    1,054,459
    
    
    
    (708,517
    )(Increase) decrease in other assets
    
    
    0
    
    
    
    (20,688
    )Increase (decrease) in accounts payable and accrued expenses
    
    
    (2,062,224
    )
    
    
    (3,504,313
    )Purchases of investments in fixed income securities
    
    
    (9,676,545,954
    )
    
    
    (15,723,374,775
    )Sales/maturities of investments in fixed income securities
    
    
    10,258,520,430
    
    
    
    15,159,796,279Net cash from (for) operating activities
    
    
    386,740,505
    
    
    
    (711,826,708
    )Cash flows from (for) financing activitiesRedemption of units
    
    
    (346,338,145
    )
    
    
    (442,861,293
    )Offering costs paid
    
    
    (1,940,148
    )
    
    
    (2,243,119
    )Net cash from (for) financing activities
    
    
    (348,278,293
    )
    
    
    (445,104,412
    )Net increase (decrease) in cash and cash equivalents
    
    
    38,462,212
    
    
    
    (1,156,931,120
    )Cash and cash equivalentsBeginning of period



    
    
    266,140,992
    
    
    
    1,309,258,625End of period
    
    $
    304,603,204
    
    
    $
    152,327,505End of period cash and cash equivalents consists of:Cash in broker trading accounts
    
    $
    190,647,291
    
    
    $
    138,228,442Cash and cash equivalents
    
    
    113,955,913
    
    
    
    14,099,063Total end of period cash and cash equivalents
    
    $
    304,603,204
    
    
    $
    152,327,505
 See Accompanying Notes to Financial Statements.
 9




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##### Table of Contents



Partners CapitalGeneral Partner
    
    
    Limited Partners
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountNine Months Ended September 30, 2010Balances at December 31, 2009
    
    
    6,637.982
    
    
    $
    15,893,851
    
    
    
    706,905.488
    
    
    $
    1,692,597,767
    
    
    
    713,543.470
    
    
    $
    1,708,491,618Net income (loss) for the nine months ended
September 30, 2010
    
    
    
    
    
    
    303,744
    
    
    
    
    
    
    
    11,533,381
    
    
    
    
    
    
    
    11,837,125Redemptions
    
    
    (14.821
    )
    
    
    (34,815
    )
    
    
    (147,648.182
    )
    
    
    (339,139,727
    )
    
    
    (147,663.003
    )
    
    
    (339,174,542
    )Offering costs
    
    
    
    
    
    
    (18,295
    )
    
    
    
    
    
    
    (1,758,979
    )
    
    
    
    
    
    
    (1,777,274
    )Balances at September 30, 2010
    
    
    6,623.161
    
    
    $
    16,144,485
    
    
    
    559,257.306
    
    
    $
    1,363,232,442
    
    
    
    565,880.467
    
    
    $
    1,379,376,927Nine Months Ended September 30, 2009Balances at December 31, 2008
    
    
    10,367.982
    
    
    $
    27,266,756
    
    
    
    923,465.791
    
    
    $
    2,428,627,136
    
    
    
    933,833.773
    
    
    $
    2,455,893,892Net income (loss) for the nine months ended September 30, 2009
    
    
    
    
    
    
    (2,096,089
    )
    
    
    
    
    
    
    (160,145,780
    )
    
    
    
    
    
    
    (162,241,869
    )Redemptions
    
    
    (3,730.000
    )
    
    
    (8,906,531
    )
    
    
    (164,891.666
    )
    
    
    (410,362,183
    )
    
    
    (168,621.666
    )
    
    
    (419,268,714
    )Offering costs
    
    
    
    
    
    
    (22,720
    )
    
    
    
    
    
    
    (2,088,781
    )
    
    
    
    
    
    
    (2,111,501
    )Balances at September 30, 2009
    
    
    6,637.982
    
    
    $
    16,241,416
    
    
    
    758,574.125
    
    
    $
    1,856,030,392
    
    
    
    765,212.107
    
    
    $
    1,872,271,808
 Net Asset Value per General and Limited Partner UnitSeptember 30, 2010
    
    
    December 31, 2009
    
    
    September 30, 2009
    
    
    December 31, 2008$
    2,437.58
    
    
    $
    2,394.38
    
    
    $
    2,446.74
    
    
    $
    2,629.90
 See Accompanying Notes to Financial Statements.
 10




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##### Table of Contents



Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2010
    
    
    2009
    
    
    2010
    
    
    2009Per Unit Performance(for a unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    2,261.75
    
    
    $
    2,387.81
    
    
    $
    2,394.38
    
    
    $
    2,629.90Income (loss) from operations:Total net trading gains (losses) (1)
    
    
    214.80
    
    
    
    100.82
    
    
    
    161.28
    
    
    
    (49.73
    )Net investment income (loss) (1)
    
    
    (38.09
    )
    
    
    (41.26
    )
    
    
    (115.32
    )
    
    
    (130.97
    )Total net income (loss) from operations
    
    
    176.71
    
    
    
    59.56
    
    
    
    45.96
    
    
    
    (180.70
    )Offering costs (1)
    
    
    (0.88
    )
    
    
    (0.63
    )
    
    
    (2.76
    )
    
    
    (2.46
    )Net asset value per unit at end of period
    
    $
    2,437.58
    
    
    $
    2,446.74
    
    
    $
    2,437.58
    
    
    $
    2,446.74Total Return(3)
    
    
    7.77
    %
    
    
    2.47
    %
    
    
    1.80
    %
    
    
    (6.96
    )%Supplemental DataRatios to average net asset value:Expenses prior to performance fee (4)
    
    
    7.30
    %
    
    
    7.21
    %
    
    
    7.25
    %
    
    
    7.14
    %Performance fee (3)
    
    
    0.00
    %
    
    
    0.00
    %
    
    
    0.00
    %
    
    
    0.00
    %Total expenses
    
    
    7.30
    %
    
    
    7.21
    %
    
    
    7.25
    %
    
    
    7.14
    %Net investment income (loss) (2),(4)
    
    
    (6.63
    )%
    
    
    (6.93
    )%
    
    
    (6.75
    )%
    
    
    (7.03
    )%
 Total returns are calculated based on the change in value of a unit during the period. An
individual partners total returns and ratios may vary from the above total returns and ratios
based on the timing of additions and redemptions.
 
 (1)
    
    Net investment income (loss) per unit and offering costs per unit are calculated by
dividing the net investment income (loss) and offering costs by the average number of units
outstanding during the period. Total net trading gains (losses) is a balancing amount
necessary to reconcile the change in net asset value per unit with the other per unit
information.(2)
    
    Excludes performance fee.(3)
    
    Not annualized(4)
    
    Annualized See Accompanying Notes to Financial Statements.
 11




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##### Table of Contents



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 options on forward currency contracts.On July 16, 2010, a registration statement was filed with the Securities and Exchange
Commission to reopen the Fund to existing investors. On August 6, 2010, the registration
became effective.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 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 (FASB) Accounting Standards
Codification (ASC) 210-20, Offsetting  Balance Sheet. The fair value of futures
(exchange-traded) contracts is determined by the various futures exchanges, and reflects the
settlement price for each contract as of the close on the last business day of the reporting
period. The fair value of forward currency (non-exchange traded) contracts was extrapolated
on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) on the last business
day of the reporting period.The fair value of option (non-exchange traded) contracts is calculated by applying an
industry-standard adaptation of the Black-Scholes options valuation model to foreign
currency options, using as inputs the spot prices, interest rates and option implied
volatilities quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period.
Any change in net unrealized gain or loss from the preceding period is reported in the
statement of operations.When the Fund writes an option, an amount equal to the premium received by the Fund is
reflected as an asset and an equivalent liability. The amount of the liability is
subsequently marked to market to reflect the current fair value of option written.
Brokerage commissions include other trading fees and are charged to expense when contracts
are opened.The fixed income investments, other than U.S. Treasury bills, are held at the custodian and
marked to market on the last business day of the reporting period by the custodian who
utilizes a third party vendor hierarchy of pricing providers who specialize in such markets.
The prices furnished by the providers consider the yield or price of bonds of comparable
quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in
such securities. U.S. Treasury bills are held at the brokers or interbank market makers and
are stated at cost plus accrued interest, which approximates fair value. Premiums and
discounts on fixed income securities are amortized at cost for financial reporting purposes.For purposes of both financial reporting and calculation of redemption value, Net Asset
Value per unit is calculated by dividing Net Asset Value by the number of outstanding
units.The Fund adopted the provisions of ASC 820, Fair Value Measurements and Disclosures as of
January 1, 2008. ASC 820 provides guidance for determining fair value and requires increased
disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820
defines fair value as the price that would be received to sell an asset or paid to transfer
a liability in an orderly transaction between market participants at the measurement date.ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation
techniques used to measure fair value into three broad levels. The fair value hierarchy
gives the highest priority to quoted prices (unadjusted) in active markets for identical
assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or
liabilities that the Fund has the ability to access at the measurement date. An active
market for the asset or liability is a market in which transactions for the asset or
liability occur with sufficient frequency and volume to provide pricing information on an
ongoing basis. The value of the Funds exchange-traded futures contracts fall into this
category.Level 2 inputs are inputs other than quoted prices included in Level 1 that are
observable for the asset or liability, either directly or indirectly. This category includes
forward currency contracts and options on forward currency contracts that the Fund values
using models or other valuation methodologies derived from observable market data. This
category also includes fixed income investments.
 12




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##### Table of Contents



Level 3 inputs are unobservable inputs for an asset or liability (including the Funds
own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that
observable inputs are not available, thereby allowing for situations in which there is
little, if any, market activity for the asset or liability at the measurement date. As of
and for the period ended September 30, 2010, the Fund did not have any Level 3 assets or
liabilities.In January 2010, the FASB issued Accounting Standards update No. 2010-06 (ASU 2010-06)
for improving disclosure about fair value measurements. ASU 2010-06 adds new disclosure
requirements about transfers into and out of Levels 1 and 2 and separate disclosures about
purchases, sales, issuances and settlements in the reconciliation for fair value
measurements using significant unobservable inputs (Level 3). It also clarifies existing
disclosure requirements relating to the levels of disaggregation for fair value measurement
and inputs and valuation techniques used to measure fair value. As of January 1, 2010, the
Fund adopted the provisions of ASC 2010-06 except for disclosures about purchases, sales,
issuances and settlements in the rollforward of activity in Level 3 fair value measurements,
which are effective for fiscal years beginning after December 15, 2010 and for interim
periods within those fiscal years. The adoption of this guidance did
not have a material impact on the Funds financial
statements.The following tables set forth by level within the fair value hierarchy the Funds
investments accounted for at fair value on a recurring basis as of September 30, 2010 and
December 31, 2009.
 Fair Value at September 30, 2010Description
    
    Level 1
    
    
    Level 2
    
    
    Level 3
    
    
    TotalInvestmentsFixed income securities
    
    $
    0
    
    
    $
    1,024,879,493
    
    
    $
    0
    
    
    $
    1,024,879,493Other Financial InstrumentsExchange-traded futures contracts
    
    
    58,238,327
    
    
    
    0
    
    
    
    0
    
    
    
    58,238,327Forward currency contracts
    
    
    0
    
    
    
    21,344,010
    
    
    
    0
    
    
    
    21,344,010Options purchased
    
    
    0
    
    
    
    976,832
    
    
    
    0
    
    
    
    976,832Options written
    
    
    0
    
    
    
    (1,090,632
    )
    
    
    0
    
    
    
    (1,090,632
    )Total
    
    $
    58,238,327
    
    
    $
    1,046,109,703
    
    
    $
    0
    
    
    $
    1,104,348,030
 Fair Value at December 31, 2009Description
    
    Level 1
    
    
    Level 2
    
    
    Level 3
    
    
    TotalInvestmentsFixed income securities
    
    $
    0
    
    
    $
    1,606,246,718
    
    
    $
    0
    
    
    $
    1,606,246,718Other Financial InstrumentsExchange-traded futures contracts
    
    
    (4,577,117
    )
    
    
    0
    
    
    
    0
    
    
    
    (4,577,117
    )Forward currency contracts
    
    
    0
    
    
    
    (15,082,278
    )
    
    
    0
    
    
    
    (15,082,278
    )Options purchased
    
    
    0
    
    
    
    4,062,722
    
    
    
    0
    
    
    
    4,062,722Options written
    
    
    0
    
    
    
    (1,094,738
    )
    
    
    0
    
    
    
    (1,094,738
    )Total
    
    $
    (4,577,117
    )
    
    $
    1,594,132,424
    
    
    $
    0
    
    
    $
    1,589,555,307
 D.
    
    Cash and Cash EquivalentsCash and cash equivalents includes cash and overnight money market investments at financial
institutions.E.
    
    Income TaxesThe Fund prepares calendar year U.S. federal and applicable state information tax returns
and reports to the partners their allocable shares of the Funds income, expenses and
trading gains or losses. No provision for income taxes has been made in the accompanying
financial statements as each partner is individually responsible for reporting income or
loss based on such partners respective share of the Funds income and expenses as reported
for income tax purposes.Management has continued to evaluate the application of ASC 740, Income Taxes, to the
Fund, and has determined that no reserves for uncertain tax positions were required. There
are no tax positions for which it is reasonably possible that the total amounts of
unrecognized tax benefits will significantly increase or decrease within twelve months. The
Fund files federal and state tax returns. The 2006 through 2009 tax years generally remain subject to examination by the U.S. federal and most state tax
authorities.
 13




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##### Table of Contents



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). In addition,
Campbell & Company continues to compensate wholesalers for services rendered to Limited
Partners. The Funds liability for offering costs is limited to the maximum of total
offering costs incurred by Campbell & Company or 2.5% of the aggregate subscriptions
accepted during the initial and continuous offerings. The Fund is only liable for payment of
offering costs on a monthly basis as calculated based on the limitations stated above. At
September 30, 2010, and December 31, 2009, the Fund reflects a liability in the statement of
financial condition for offering costs payable to Campbell & Company of $183,877 and
$346,751, 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 September 30, 2010 and
December 31, 2009, the amount of unreimbursed offering costs incurred by Campbell & Company
is $186,117 and $529,166, 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 2009 amounts in the Statement of Cash Flows were reclassified to conform with
the 2010 presentation. Specifically, purchases and sales/maturities of fixed income
securities are presented on a gross basis as components of cash flow from (for) operating
activities.
 Note 2. GENERAL PARTNER AND COMMODITY TRADING ADVISOR
 The general partner of the Fund is Campbell & Company, which conducts and manages the
business of the Fund. Campbell & Company is also the commodity trading advisor of the Fund.
The Amended Agreement of Limited Partnership provides that Campbell & Company may make
withdrawals of its units, provided that such withdrawals do not reduce Campbell & Companys
aggregate percentage interest in the Fund to less than 1% of the net aggregate
contributions.Campbell & Company is required by the Amended Agreement of Limited Partnership to maintain a
net worth equal to at least 5% of the capital contributed by all the limited partnerships for
which it acts as general partner, including the Fund. The minimum net worth shall in no case
be less than $50,000 nor shall net worth in excess of $1,000,000 be required.The Fund pays a monthly brokerage fee equal to 1/12 of 7% (7% annualized) of month-end net
assets to Campbell & Company and approximately $4 per round turn to the broker for
execution and clearing costs. From the 7% fee, a portion (4%) is used to compensate selling
agents for ongoing services rendered and a portion (3%) is retained by Campbell & Company
for trading and management services rendered. The amount paid to the broker and interbank
market makers for execution and clearing costs is limited to 1/12 of 1% (1% annualized) of
month-end net assets.Campbell & Company is also paid a quarterly performance fee of 20% of the Funds
aggregate cumulative appreciation in the Net Asset Value per unit, exclusive of
appreciation attributable to interest income. More specifically, the performance fee is
paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest
previous cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark)
adjusting for investment income. In determining the brokerage and performance fees (the
fees), adjustments shall be made for capital additions and withdrawals and Net Assets
shall not be reduced by the fees being calculated for such current period. The performance
fee is not subject to any clawback provisions. The fees are typically paid in the month
following the month in which they are earned. The fees are paid from the available cash at
the Funds bank, broker or cash management accounts.
 Note 3. CASH MANAGER AND CUSTODIAN
 In July 2009, the Fund appointed Wilmington Trust Investment Management LLC, a wholly
owned subsidiary of Wilmington Trust Corporation, and Horizon Cash Management LLC as cash
managers under the Non-Custody Investment Advisory Agreements to manage and control the
liquid assets of the Fund. Each cash manager is registered as an investment adviser with
the Securities and Exchange Commission of the United States under the Investment Advisers
Act of 1940.The Fund opened custodial accounts at The Northern Trust Company (the custodian) and has
granted the cash managers authority to make certain investments on behalf of the Fund
provided such investments are consistent with the investment guidelines created by the
general partner. All securities purchased by the cash managers on behalf of the Fund will
be held in the Funds custody accounts at the custodian. The cash managers will have no
beneficial or other interest in the securities and cash in such custody accounts. The cash
managers began trading on behalf of the Fund in August 2009.
 Note 4. DEPOSITS WITH BROKERS
 The Fund deposits assets with brokers subject to Commodity Futures Trading Commission
regulations and various exchange and broker requirements. Margin requirements are satisfied
by the deposit of U.S. Treasury bills and cash with such brokers. The Fund typically earns
interest income on its assets deposited with the brokers.
 14




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##### Table of Contents



Note 5. OPERATING EXPENSES
 Operating expenses of the Fund are limited by the Amended Agreement of Limited Partnership
to 0.5% per year of the average month-end Net Asset Value of the Fund. Actual operating
expenses were less than 0.5% (annualized) of average month-end Net Asset Value for the
three months and nine months ended September 30, 2010 and 2009.
 Note 6. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
 Investments in the Fund were made by subscription agreement, subject to acceptance by
Campbell & Company.The Fund is not required to make distributions, but may do so at the sole discretion of
Campbell & Company. A limited partner may request and receive redemption of units owned,
subject to restrictions in the Amended Agreement of Limited Partnership. Units are
transferable, but no market exists for their sale and none is expected to develop. Monthly
redemptions are permitted upon ten (10) business days advance written notice to Campbell &
Company.Redemption fees, which are paid to Campbell & Company, apply through the first twelve
month-ends following purchase as follows: 4% of Net Asset Value per unit redeemed through
the third month-end, 3% of Net Asset Value per unit redeemed through the sixth month-end, 2%
of Net Asset Value per unit redeemed through the ninth month-end and 1% of Net Asset Value
per unit redeemed through the twelfth month end. After the twelfth month-end following
purchase of a unit, no redemption fees apply. For the nine months ended September 30, 2010
and 2009, Campbell & Company received redemption fees of $0 and $11,966 respectively.
 Note 7. TRADING ACTIVITIES AND RELATED RISKS
 The Fund engages in the speculative trading of U.S. and foreign futures contracts,
forward currency contracts and options on forward currency contracts (collectively,
derivatives). Specifically, the Fund trades a portfolio primarily focused on financial
futures, which are instruments designed to hedge or speculate on changes in interest rates,
currency exchange rates or stock index values. A secondary emphasis is on metals, energy
and agriculture values. The Fund is exposed to both market risk, the risk arising from
changes in the 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
market makers usually range from 10% to 30% of Net Asset Value. The market value of
securities held to satisfy such requirements at September 30, 2010 and December 31, 2009 was
$179,990,523 and $266,982,272, respectively, which equals 13% and 16% of Net Asset Value,
respectively. The cash deposited with interbank market makers at September 30, 2010 and
December 31, 2009 was $123,076,244 and $41,140,268, respectively, which equals 9% and 2% of
Net Asset Value, respectively. These amounts are included in cash and cash equivalents.
Included in cash deposits with interbank market makers at September 30, 2010 was restricted
cash for margin requirements of $9,297,465 which equals 1% of Net Asset Value. There was no
restricted cash at December 31, 2009.The Fund trades forward currency and options on forward currency contracts in
unregulated markets between principals and assumes the risk of loss from counterparty
nonperformance. Accordingly, the risks associated with forward currency and options on
foreign currency contracts are generally greater than those associated with exchange
traded contracts because of the greater risk of counterparty default.Additionally, the trading of forward currency and options on forward currency contracts
typically involves delayed cash settlement.The Fund has a substantial portion of its assets on deposit with financial institutions.
In the event of a financial institutions insolvency, recovery of Fund assets on deposit
may be limited to account insurance or other protection afforded such deposits.For derivatives, risks arise from changes in the market value of the contracts.
Theoretically, the Fund is exposed to a market risk equal to the notional contract value of
futures and forward currency contracts purchased and unlimited liability on such contracts
sold short. As both a buyer and seller of options, the Fund pays or receives a premium at the
outset and then bears the risk of unfavorable changes in the price of the contract underlying
the option. Written options expose the Fund to potentially unlimited liability, and purchased
options expose the Fund to a risk of loss limited to the premiums paid. See Note 1. C. for an
explanation of how the Fund determines its valuation for derivatives as well as the netting
of derivatives.The unrealized gain (loss) on open futures, forward currency and options on forward
currency contracts is comprised of the following:
 Forward Currency andOptions on ForwardFutures Contracts
    
    
    Currency Contracts(exchange traded)
    
    
    (non-exchange traded)September 30, 2010
    
    
    December 31, 2009
    
    
    September 30, 2010
    
    
    December 31, 2009Gross unrealized gains
    
    $
    75,279,778
    
    
    $
    25,016,239
    
    
    $
    202,531,922
    
    
    $
    68,424,483Gross unrealized losses
    
    
    (17,041,451
    )
    
    
    (29,593,356
    )
    
    
    (180,891,406
    )
    
    
    (83,307,411
    )Net unrealized gain (loss)
    
    $
    58,238,327
    
    
    $
    (4,577,117
    )
    
    $
    21,640,516
    
    
    $
    (14,882,928
    )
 15




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##### Table of Contents



The Fund adopted ASC 815 Derivatives and Hedging as of January 1, 2009. ASC 815 provides
enhanced disclosures about how and why an entity uses derivative instruments, how derivative
instruments are accounted for, and how derivative instruments affect an entitys financial
position, financial performance and cash flows.The following tables summarize quantitative information required by ASC 815.The fair value of the Funds derivatives by instrument type, as well as the location of
those instruments on the Statement of Financial Condition, as of September 30, 2010 and
December 31, 2009 is as follows:
 Asset
    
    
    LiabilityDerivatives at
    
    
    Derivatives atStatement of Financial
    
    September 30, 2010
    
    
    September 30, 2010Type of Instrument *
    
    Condition Location
    
    Fair Value
    
    
    Fair Value
    
    
    NetAgricultural Contracts
    
    Equity in broker trading accounts
    
    $
    14,655,284
    
    
    $
    (4,171,463
    )
    
    $
    10,483,821Energy Contracts
    
    Equity in broker trading accounts
    
    
    2,304,853
    
    
    
    (2,914,790
    )
    
    
    (609,937
    )Metal Contracts
    
    Equity in broker trading accounts
    
    
    31,074,851
    
    
    
    (3,235,215
    )
    
    
    27,839,636Stock Indices Contracts
    
    Equity in broker trading accounts
    
    
    4,977,346
    
    
    
    (2,699,754
    )
    
    
    2,277,592Short-Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    7,298,693
    
    
    
    (1,751,236
    )
    
    
    5,547,457Long Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    14,968,751
    
    
    
    (2,268,993
    )
    
    
    12,699,758Forward Currency Contracts
    
    Net unrealized gain (loss) on
forward currency contracts
    
    
    201,476,769
    
    
    
    (180,132,759
    )
    
    
    21,344,010Purchased Options on Forward Currency Contracts
    
    Options purchased, at fair value
    
    
    976,832
    
    
    
    0
    
    
    
    976,832Written Options on Forward Currency Contracts
    
    Options written, at fair value
    
    
    0
    
    
    
    (1,090,632
    )
    
    
    (1,090,632
    )Totals
    
    
    
    $
    277,733,379
    
    
    $
    (198,264,842
    )
    
    $
    79,468,537
 
 *
    
    Derivatives not designated as hedging instruments under
ASC 815 Asset
    
    
    LiabilityDerivatives at
    
    
    Derivatives atStatement of Financial
    
    
    December 31, 2009
    
    
    December 31, 2009Type of Instrument *
    
    Condition Location

    
    Fair Value
    
    
    Fair Value
    
    
    NetAgricultural Contracts
    
    Equity in broker trading accounts
    
    $
    616,716
    
    
    $
    (625,938
    )
    
    $
    (9,222
    )Energy Contracts
    
    Equity in broker trading accounts
    
    
    999,217
    
    
    
    (200,472
    )
    
    
    798,745Metal Contracts
    
    Equity in broker trading accounts
    
    
    7,483,987
    
    
    
    (6,054,517
    )
    
    
    1,429,470Stock Indices Contracts
    
    Equity in broker trading accounts
    
    
    13,693,321
    
    
    
    (1,039,176
    )
    
    
    12,654,145Short-Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    276,225
    
    
    
    (5,618,563
    )
    
    
    (5,342,338
    )Long Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    1,946,773
    
    
    
    (16,054,690
    )
    
    
    (14,107,917
    )Forward Currency Contracts
    
    Net unrealized gain (loss)
on forward currency contracts
    
    
    66,727,508
    
    
    
    (81,809,786
    )
    
    
    (15,082,278
    )Purchased
Options on Forward Currency Contracts
    
    Options purchased, at fair value
    
    
    4,062,722
    
    
    
    0
    
    
    
    4,062,722Written
Options on Forward Currency Contracts
    
    Options written, at fair value
    
    
    0
    
    
    
    (1,094,738
    )
    
    
    (1,094,738
    )Totals
    
    
    
    
    
    $
    95,806,469
    
    
    $
    (112,497,880
    )
    
    $
    (16,691,411
    )
 
 *
    
    Derivatives not designated as hedging instruments under ASC 815 16




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##### Table of Contents



The trading revenue of the Funds derivatives by instrument type, as well as the location of
those gains and losses on the Statement of Operations, for the three
months and nine months periods ended September 30, 2010 and
2009 is as follows:
 Trading Revenue for
    
    
    Trading Revenue forthe Three Months Ended
    
    
    the Three Months EndedType of Instrument
    
    September 30, 2010
    
    
    September 30, 2009Agricultural Contracts
    
    $
    41,575,421
    
    
    $
    (2,712,614
    )Energy Contracts
    
    
    (22,267,880
    )
    
    
    (21,928,205
    )Metal Contracts
    
    
    19,341,441
    
    
    
    20,544,888Stock Indices Contracts
    
    
    9,582,962
    
    
    
    39,637,152Short-Term Interest Rate Contracts
    
    
    9,076,204
    
    
    
    3,106,421Long Term Interest Rate Contracts
    
    
    46,129,110
    
    
    
    (20,583,409
    )Forward Currency Contracts
    
    
    25,509,446
    
    
    
    60,372,823Purchased Options on Forward Currency Contracts
    
    
    (9,111,524
    )
    
    
    (12,173,990
    )Written Options on Forward Currency Contracts
    
    
    7,084,000
    
    
    
    13,596,671Total
    
    $
    126,919,180
    
    
    $
    79,859,737
 Trading Revenue for
    
    
    Trading Revenue forthe Nine Months Ended
    
    
    the Nine Months EndedType of Instrument
    
    September 30, 2010
    
    
    September 30, 2009Agricultural Contracts
    
    $
    39,039,673
    
    
    $
    (2,712,614
    )Energy Contracts
    
    
    (81,649,254
    )
    
    
    (17,492,421
    )Metal Contracts
    
    
    (4,065,375
    )
    
    
    475,116Stock Indices Contracts
    
    
    (88,065,009
    )
    
    
    (25,898,450
    )Short-Term Interest Rate Contracts
    
    
    103,083,225
    
    
    
    (10,650,946
    )Long Term Interest Rate Contracts
    
    
    111,618,645
    
    
    
    (38,988,767
    )Forward Currency Contracts
    
    
    20,560,069
    
    
    
    15,885,429Purchased Options on Forward Currency Contracts
    
    
    (38,562,740
    )
    
    
    (23,724,057
    )Written Options on Forward Currency Contracts
    
    
    27,996,100
    
    
    
    54,578,296Total
    
    $
    89,955,334
    
    
    $
    (48,528,414
    )
 Trading Revenue for
    
    
    Trading Revenue forthe Three Months Ended
    
    
    the Three Months EndedLine Item in the Statement of Operations
    
    September 30, 2010
    
    
    September 30, 2009Futures trading gains (losses):Realized
    
    $
    62,464,005
    
    
    $
    10,436,208Change in unrealized
    
    
    40,973,253
    
    
    
    7,628,026Forward currency and options on forward
currency trading gains (losses):Realized
    
    
    (14,158,295
    )
    
    
    (4,788,900
    )Change in unrealized
    
    
    37,640,217
    
    
    
    66,584,403Total
    
    $
    126,919,180
    
    
    $
    79,859,737
 Trading Revenue for
    
    
    Trading Revenue forthe Nine Months Ended
    
    
    the Nine Months EndedLine Item in the Statement of Operations
    
    September 30, 2010
    
    
    September 30, 2009Futures trading gains (losses):Realized
    
    $
    17,146,461
    
    
    $
    (99,734,495
    )Change in unrealized
    
    
    62,815,444
    
    
    
    4,466,414Forward currency and options on forward currency trading gains (losses):Realized
    
    
    (26,530,018
    )
    
    
    (10,585,535
    )Change in unrealized
    
    
    36,523,447
    
    
    
    57,325,202Total
    
    $
    89,955,334
    
    
    $
    (48,528,414
    )
 17




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##### Table of Contents



For the three months ended September 30, 2010 and 2009, the monthly average of futures
contracts bought and sold was approximately 95,100 and 90,600 respectively, and the monthly
average of notional value of forward currency and options on forward currency contracts was
$10,344,100,000 and $11,087,400,000 respectively.For the nine months ended September 30, 2010 and 2009, the monthly average of futures
contracts bought and sold was approximately 91,900 and 81,800 respectively, and the monthly
average of notional value of forward currency and options on forward currency contracts was
$10,774,600,000 and $9,548,200,000 respectively.Open contracts generally mature within twelve months; as of September 30, 2010, the
latest maturity date for open futures contracts is December 2011, the latest maturity date
for open forward currency contracts is December 2010, and the latest expiry date for options
on forward currency contracts is October 2010. However, the Fund intends to close all
futures and foreign currency contracts prior to maturity.Campbell & Company has established procedures to actively monitor market risk and
minimize credit risk, although there can be no assurance that it will, in fact, succeed in
doing so. Campbell & Companys basic market risk control procedures consist of continuously
monitoring open positions, diversification of the portfolio and maintenance of a
margin-to-equity ratio that rarely exceeds 30%. Campbell & Companys attempt to manage the
risk of the Funds open positions is essentially the same in all market categories traded.
Campbell & Company applies risk management policies to its trading which generally limit the
total exposure that may be taken per risk unit of assets under management. In addition,
Campbell & Company follows diversification guidelines (often formulated in terms of the
balanced volatility between markets and correlated groups), as well as precalculating
stop-loss points at which systems will signal to close open positions. Campbell & Company
controls the risk of the Trusts non-trading fixed income instruments by limiting the
duration of such instruments and requiring a minimum credit quality of the issuers of those
instruments.Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the
Funds assets at financial institutions and brokers which Campbell & Company believes to be
credit worthy. The limited partners bears the risk of loss only to the extent of the market
value of their respective investments and, in certain specific circumstances, distributions
and redemptions received.
 Note 8. INDEMNIFICATIONS
 In the normal course of business, the Fund enters into contracts and agreements that contain
a variety of representations and warranties which provide general indemnifications. The
Funds maximum exposure under these arrangements is unknown, as this would involve future
claims that may be made against the Fund that have not yet occurred. The Fund expects the
risk of any future obligation under these indemnifications to be remote.
 Note 9. INTERIM FINANCIAL STATEMENTS
 The statements of financial condition, including the condensed schedules of
investments, as of September 30, 2010 and December 31, 2009, the statements of operations
and financial highlights for the three months and nine months ended September 30, 2010 and
2009, and the statements of cash flows and changes in partners capital (Net Asset Value)
for the nine months ended September 30, 2010 and 2009 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 September
30, 2010, and the results of operations and financial highlights for the three months and
nine months ended September 30, 2010 and 2009, and cash flows and changes in partners
capital (Net Asset Value) for the nine months ended September 30, 2010 and 2009.
 Note 10. SUBSEQUENT EVENTS
 Management of the Fund has evaluated subsequent events through the date the financial
statements were filed. Other than the following, there are no subsequent events to
disclose or record.
 18




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




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Liquidity
      20




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




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Results of Operations
  2010
  Sector
    
    % Gain (Loss)Interest Rates
    
    
    14.94
    %Currencies
    
    
    0.85Commodities
    
    
    (2.81
    )Stock Indices
    
    
    (5.75
    )7.23
    %
   22




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23




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24




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##### Table of Contents



2009
  Sector
    
    % Gain (Loss)Currencies
    
    
    2.70
    %Stock Indices
    
    
    (0.86
    )Commodities
    
    
    (0.87
    )Interest Rates
    
    
    (2.45
    )(1.48
    )%
  25




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26




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Item 3. Quantitative and Qualitative Disclosures About Market Risk
 Introduction
 Past Results Not Necessarily Indicative of Future Performance
  27




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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).
   28




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The Funds Trading Value at Risk in Different Market Sectors
  September 30, 2010
 TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Interest Rates
    
    
    1.31
    %
    
    
    14.94
    %Commodities
    
    
    0.64
    %
    
    
    (2.81
    )%Stock Indices
    
    
    0.55
    %
    
    
    (5.75
    )%Currencies
    
    
    0.46
    %
    
    
    0.85
    %Aggregate/Total
    
    
    1.68
    %
    
    
    7.23
    %
 
 *
    
    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 1.80% return for the nine months ended September 30, 2010, approximately 7.23% was
due to trading gains (before commissions) and approximately 0.38% due
to investment income offset by approximately 5.81% due to brokerage fees, operating expenses and offering costs
borne by the Fund. 29




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December 31, 2009
 TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    0.90
    %
    
    
    3.70
    %Interest Rates
    
    
    0.68
    %
    
    
    (4.66
    )%Stock Indices
    
    
    0.45
    %
    
    
    (0.46
    )%Commodities
    
    
    0.41
    %
    
    
    (0.24
    )%Aggregate/Total
    
    
    1.62
    %
    
    
    (1.66
    )%
 
 *
    
    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 (8.96)% return for the year ended December 31, 2009, approximately 1.66% was due
to trading losses (before commissions) and approximately 7.44% due to brokerage fees,
operating costs and offering costs borne by the Fund offset by approximately 0.14% due to
investment income. 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.
  Non-Trading Risk
  30




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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
  31




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Stock Indices
  Energy
  Metals
  Agricultural
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
  Fixed Income Securities
  32




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Treasury Bill Positions Held for Margin Purposes
  Qualitative Disclosures Regarding Means of Managing Risk Exposure
   General
  
 Item 4. Controls and Procedures
  33




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34




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##### Table of Contents



PART II-OTHER INFORMATION
 Item 1. Legal Proceedings.
  Item 1A. Risk Factors.
  Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
  Item 3. Defaults Upon Senior Securities.
  Item 4. (Removed and Reserved).
 Item 5. Other Information.
  
 Item 6. Exhibits and Reports on Form 8-K.
  ExhibitNumber
    
    Description of Document31.01
    
    Certification of Theresa D. Becks, Chief Executive Officer, pursuant to
Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.31.02
    
    Certification of Gregory T. Donovan, Chief Financial Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.32.01
    
    Certification of Theresa D. Becks, Chief Executive Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.32.02
    
    Certification of Gregory T. Donovan, Chief Financial Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.
  None.
 35




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SIGNATURES
  CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Registrant)By:
    Campbell & Company, Inc.General PartnerDate:  November 15, 2010
    By:
    /s/  Theresa D. BecksTheresa D. BecksChief Executive Officer 36




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##### Table of Contents



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