##### 



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 June 30, 2006
 or
 o
    
    Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
 For the transition period from  to
 Commission File number: 0-22260
 CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
  Delaware
    
    52-1823554(State of Organization)
    
    (IRS Employer Identification Number)
 Baltimore, Maryland 21204
  (410) 296-3301
   þ o
  o o þ
  þ o




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##### 



PagePART I  FINANCIAL INFORMATIONItem 1. Financial StatementsStatements of Financial Condition as of June 30, 2006 (Unaudited) and December 31, 2005
    
    3Condensed Schedules of Investments as of June 30, 2006 (Unaudited) and December 31, 2005
    
    4-5Statements of Operations for the Three Months and Six Months Ended June 30, 2006 and 2005 (Unaudited)
    
    6Statements of Cash Flows for the Six Months Ended June 30, 2006 and 2005 (Unaudited)
    
    7Statements of Changes in Partners Capital (Net Asset Value) for the Six Months Ended June 30, 2006 and 2005 (Unaudited)
    
    8Notes to Financial Statements (Unaudited)
    
    9-15Item 2. Managements Discussion and Analysis of Financial Condition and Results of Operations
    
    16-21Item 3. Quantitative and Qualitative Disclosure About Market Risk
    
    21-27Item 4. Controls and Procedures
    
    27PART II  OTHER INFORMATION
    
    28Item 6. Exhibits and Reports on Form 8-K
    
    28SIGNATURESCERTIFICATIONS




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
 June 30,
    
    
    December 31,2006
    
    
    2005ASSETSEquity in broker trading accountsCash
    
    $
    761,462,510
    
    
    $
    383,060,317United States government securities
    
    
    3,086,320,222
    
    
    
    2,445,977,400Unrealized gain on open futures contracts
    
    
    60,162,765
    
    
    
    1,086,731Total equity in broker trading accounts
    
    
    3,907,945,497
    
    
    
    2,830,124,448Cash and cash equivalents
    
    
    208,562,593
    
    
    
    1,026,080,370United States government securities
    
    
    1,645,514,118
    
    
    
    1,545,690,406Net unrealized (loss) on open forward currency contracts
    
    
    (49,015,849
    )
    
    
    (168,831,491
    )Total assets
    
    $
    5,713,006,359
    
    
    $
    5,233,063,733LIABILITIESAccounts payable
    
    $
    479,097
    
    
    $
    859,255Brokerage fee
    
    
    33,160,409
    
    
    
    29,451,059Options written, at fair value (premiums received $1,552,006)
    
    
    2,114,532
    
    
    
    0Accrued commissions and other trading fees
on open contracts
    
    
    988,126
    
    
    
    970,539Offering costs payable
    
    
    66,885
    
    
    
    1,464,278Subscription deposits
    
    
    0
    
    
    
    150,000Redemptions payable
    
    
    40,539,607
    
    
    
    24,469,943Total liabilities
    
    
    77,348,656
    
    
    
    57,365,074PARTNERS CAPITAL (Net Asset Value)General Partner  19,222.982 and 17,240.171 units
outstanding at June 30, 2006 and December 31, 2005
    
    
    56,610,529
    
    
    
    51,848,435Limited Partners  1,894,451.914 and 1,703,733.918 units
outstanding at June 30, 2006 and December 31, 2005
    
    
    5,579,047,174
    
    
    
    5,123,850,224Total partners capital (Net Asset Value)
    
    
    5,635,657,703
    
    
    
    5,175,698,659Total liabilities and partners capital (Net Asset Value)
    
    $
    5,713,006,359
    
    
    $
    5,233,063,733
  - 3 -




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
 UNITED STATES GOVERNMENT SECURITIES*
 % of NetFace Value
    
    Maturity Date
    
    Description
    
    Value
    
    
    Asset Value$1,900,000,000
    
    07/06/2006
    
    U.S. Treasury Bills
    
    $
    1,898,807,847
    
    
    
    33.70
    %1,050,000,000
    
    08/03/2006
    
    U.S. Treasury Bills
    
    
    1,045,516,812
    
    
    
    18.55
    %900,000,000
    
    09/14/2006
    
    U.S. Treasury Bills
    
    
    891,168,750
    
    
    
    15.81
    %500,000,000
    
    08/17/2006
    
    U.S. Treasury Bills
    
    
    496,948,264
    
    
    
    8.81
    %400,000,000
    
    07/13/2006
    
    U.S. Treasury Bills
    
    
    399,392,667
    
    
    
    7.09
    %Total United States government securities (cost, including accrued interest,  $4,731,834,340)
    
    $
    4,731,834,340
    
    
    
    83.96
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    17,436,169
    
    
    
    0.31
    %Metals
    
    
    (863,789
    )
    
    
    (0.02
    )%Stock index
    
    
    9,978,099
    
    
    
    0.18
    %Short-term interest rates
    
    
    (198,684
    )
    
    
    (0.01
    )%Long-term interest rates
    
    
    (8,667,709
    )
    
    
    (0.15
    )%Total long futures contracts
    
    $
    17,684,086
    
    
    
    0.31
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    2,262,700
    
    
    
    0.04
    %Metals
    
    
    (2,972,656
    )
    
    
    (0.05
    )%Stock index
    
    
    (6,339,097
    )
    
    
    (0.11
    )%Short-term interest rates
    
    
    34,524,679
    
    
    
    0.61
    %Long-term interest rates
    
    
    15,003,053
    
    
    
    0.27
    %Total short futures contracts
    
    $
    42,478,679
    
    
    
    0.76
    %Total futures contracts
    
    $
    60,162,765
    
    
    
    1.07
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (38,220,298
    )
    
    
    (0.68
    )%Various short forward currency contracts
    
    
    (10,795,551
    )
    
    
    (0.19
    )%Total forward currency contracts
    
    $
    (49,015,849
    )
    
    
    (0.87
    )%
 WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueWritten options on forward currency contracts (premiums received  $1,552,006)
    
    $
    (2,114,532
    )
    
    
    (0.04
    )%
 
 *
    
    - Pledged as collateral for the trading of futures, forward and options contracts.  - 4 -




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
 UNITED STATES GOVERNMENT SECURITIES*
 % of NetFace Value
    
    Maturity Date
    
    Description
    
    Value
    
    
    Asset Value$1,265,000,000
    
    02/02/06
    
    U.S. Treasury Bills
    
    $
    1,260,694,934
    
    
    
    24.35
    %1,200,000,000
    
    01/05/06
    
    U.S. Treasury Bills
    
    
    1,199,539,333
    
    
    
    23.18
    %920,000,000
    
    03/16/06
    
    U.S. Treasury Bills
    
    
    912,832,689
    
    
    
    17.64
    %400,000,000
    
    01/12/06
    
    U.S. Treasury Bills
    
    
    399,560,000
    
    
    
    7.72
    %220,000,000
    
    Various
    
    U.S. Treasury Bills
    
    
    219,040,850
    
    
    
    4.23
    %Total United States government securities (cost, including accrued interest,  $3,991,667,806)
    
    $
    3,991,667,806
    
    
    
    77.12
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (52,245,803
    )
    
    
    (1.01
    )%Metals
    
    
    3,008,025
    
    
    
    0.06
    %Stock index
    
    
    (160,226
    )
    
    
    (0.00
    )%Long-term interest rates
    
    
    1,586,847
    
    
    
    0.03
    %Total long futures contracts
    
    $
    (47,811,157
    )
    
    
    (0.92
    )%
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueMetals
    
    $
    (86,285
    )
    
    
    (0.00
    )%Stock index
    
    
    (1,176,505
    )
    
    
    (0.03
    )%Short-term interest rates
    
    
    55,439,109
    
    
    
    1.07
    %Long-term interest rates
    
    
    (5,278,431
    )
    
    
    (0.10
    )%Total short futures contracts
    
    $
    48,897,888
    
    
    
    0.94
    %Total futures contracts
    
    $
    1,086,731
    
    
    
    0.02
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (126,676,006
    )
    
    
    (2.45
    )%Various short forward currency contracts
    
    
    (42,155,485
    )
    
    
    (0.81
    )%Total forward currency contracts
    
    $
    (168,831,491
    )
    
    
    (3.26
    )%
 WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueWritten options on forward currency contracts (premiums received  $940,196)
    
    $
    (439,200
    )
    
    
    (0.01
    )%
 
 *
    
    - Pledged as collateral for the trading of futures, forward and options contracts.  - 5 -




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
 Three Months Ended
    
    
    Six Months EndedJune 30,
    
    
    June 30,2006
    
    
    2005
    
    
    2006
    
    
    2005TRADING GAINS (LOSSES)Futures trading gains (losses)Realized
    
    $
    215,653,741
    
    
    $
    172,824,034
    
    
    $
    305,424,317
    
    
    $
    215,071,218Change in unrealized
    
    
    (100,824,402
    )
    
    
    57,955,949
    
    
    
    59,076,034
    
    
    
    78,316,823Brokerage commissions
    
    
    (2,183,792
    )
    
    
    (3,336,329
    )
    
    
    (5,003,383
    )
    
    
    (5,729,702
    )Net gain from futures trading
    
    
    112,645,547
    
    
    
    227,443,654
    
    
    
    359,496,968
    
    
    
    287,658,339Forward currency and options on forward
currency trading gains (losses)Realized
    
    
    (343,619,547
    )
    
    
    129,026,292
    
    
    
    (523,492,998
    )
    
    
    (57,210,288
    )Change in unrealized
    
    
    (109,943,625
    )
    
    
    190,188,763
    
    
    
    119,253,116
    
    
    
    220,741,275Brokerage commissions
    
    
    (818,243
    )
    
    
    (252,306
    )
    
    
    (1,288,208
    )
    
    
    (614,299
    )Net gain (loss) from forward
currency and options on forward
currency trading
    
    
    (454,381,415
    )
    
    
    318,962,749
    
    
    
    (405,528,090
    )
    
    
    162,916,688Total net trading gains (losses)
    
    
    (341,735,868
    )
    
    
    546,406,403
    
    
    
    (46,031,122
    )
    
    
    450,575,027EXPENSES NET OF INTEREST
INCOMEIncomeInterest income
    
    
    68,209,234
    
    
    
    28,314,026
    
    
    
    124,789,517
    
    
    
    51,889,263ExpensesBrokerage fee
    
    
    100,575,184
    
    
    
    75,927,298
    
    
    
    196,693,823
    
    
    
    146,116,256Performance fee
    
    
    0
    
    
    
    0
    
    
    
    4,818,187
    
    
    
    0Operating expenses
    
    
    592,644
    
    
    
    753,420
    
    
    
    1,115,386
    
    
    
    1,497,504Total expenses
    
    
    101,167,828
    
    
    
    76,680,718
    
    
    
    202,627,396
    
    
    
    147,613,760Expenses net of interest income
    
    
    (32,958,594
    )
    
    
    (48,366,692
    )
    
    
    (77,837,879
    )
    
    
    (95,724,497
    )NET INCOME (LOSS)
    
    $
    (374,694,462
    )
    
    $
    498,039,711
    
    
    $
    (123,869,001
    )
    
    $
    354,850,530NET INCOME (LOSS) PER GENERAL
AND LIMITED PARTNER UNIT(based on weighted average number of
units outstanding during the period)
    
    $
    (195.77
    )
    
    $
    323.87
    
    
    $
    (67.14
    )
    
    $
    233.71INCREASE (DECREASE) IN NET
ASSET VALUE PER GENERAL
AND LIMITED PARTNER UNIT
    
    $
    (197.56
    )
    
    $
    322.16
    
    
    $
    (62.48
    )
    
    $
    223.92
  - 6 -




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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
 Six Months EndedJune 30,2006
    
    
    2005Cash flows from (for) operating activitiesNet income (loss)
    
    $
    (123,869,001
    )
    
    $
    354,850,530Adjustments to reconcile net income (loss) to net
cash from (for) operating activitiesNet change in unrealized
    
    
    (178,329,150
    )
    
    
    (299,058,098
    )Options premium received
    
    
    1,552,006
    
    
    
    0Increase in accounts payable and
accrued expenses
    
    
    3,346,779
    
    
    
    2,894,740Net (purchases) of investments in United States
government securities
    
    
    (740,166,534
    )
    
    
    (429,543,979
    )Net cash (for) operating activities
    
    
    (1,037,465,900
    )
    
    
    (370,856,807
    )Cash flows from (for) financing activitiesAddition of units
    
    
    789,392,357
    
    
    
    408,421,751Decrease in subscription deposits
    
    
    (150,000
    )
    
    
    0Redemption of units
    
    
    (180,034,510
    )
    
    
    (219,391,711
    )Offering costs paid
    
    
    (10,857,531
    )
    
    
    (6,685,225
    )Net cash from financing activities
    
    
    598,350,316
    
    
    
    182,344,815Net (decrease) in cash and cash equivalents
    
    
    (439,115,584
    )
    
    
    (188,511,992
    )Cash and cash equivalentsBeginning of period
    
    
    1,409,140,687
    
    
    
    939,148,927End of period
    
    $
    970,025,103
    
    
    $
    750,636,935End of period cash and cash equivalents consists of:Cash in broker trading accounts
    
    $
    761,462,510
    
    
    $
    270,730,385Cash and cash equivalents
    
    
    208,562,593
    
    
    
    479,906,550Total end of period cash and cash equivalents
    
    $
    970,025,103
    
    
    $
    750,636,935
  - 7 -




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS CAPITAL (NET ASSET VALUE)
 Partners CapitalGeneral
    
    
    Limited
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountSix Months Ended June 30, 2006Balances at
December 31, 2005
    
    
    17,240.171
    
    
    $
    51,848,435
    
    
    
    1,703,733.918
    
    
    $
    5,123,850,224
    
    
    
    1,720,974.089
    
    
    $
    5,175,698,659Net (loss) for the six months
ended June 30, 2006
    
    
    
    
    
    
    (1,243,115
    )
    
    
    
    
    
    
    (122,625,886
    )
    
    
    
    
    
    
    (123,869,001
    )Additions
    
    
    1,982.811
    
    
    
    6,100,000
    
    
    
    255,478.547
    
    
    
    783,292,357
    
    
    
    257,461.358
    
    
    
    789,392,357Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (64,760.551
    )
    
    
    (196,104,174
    )
    
    
    (64,760.551
    )
    
    
    (196,104,174
    )Offering costs
    
    
    
    
    
    
    (94,791
    )
    
    
    
    
    
    
    (9,365,347
    )
    
    
    
    
    
    
    (9,460,138
    )Balances at
June 30, 2006
    
    
    19,222.982
    
    
    $
    56,610,529
    
    
    
    1,894,451.914
    
    
    $
    5,579,047,174
    
    
    
    1,913,674.896
    
    
    $
    5,635,657,703Six Months Ended June 30, 2005Balances at
December 31, 2004
    
    
    15,051.729
    
    
    $
    41,327,984
    
    
    
    1,459,291.150
    
    
    $
    4,006,818,137
    
    
    
    1,474,342.879
    
    
    $
    4,048,146,121Net income for the six months
ended June 30, 2005
    
    
    
    
    
    
    3,559,420
    
    
    
    
    
    
    
    351,291,110
    
    
    
    
    
    
    
    354,850,530Additions
    
    
    443.274
    
    
    
    1,180,000
    
    
    
    150,194.511
    
    
    
    407,241,751
    
    
    
    150,637.785
    
    
    
    408,421,751Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (90,977.387
    )
    
    
    (250,763,139
    )
    
    
    (90,977.387
    )
    
    
    (250,763,139
    )Offering costs
    
    
    
    
    
    
    (52,668
    )
    
    
    
    
    
    
    (5,154,951
    )
    
    
    
    
    
    
    (5,207,619
    )Balances at
June 30, 2005
    
    
    15,495.003
    
    
    $
    46,014,736
    
    
    
    1,518,508.274
    
    
    $
    4,509,432,908
    
    
    
    1,534,003.277
    
    
    $
    4,555,447,644Net Asset Value per General and Limited Partner UnitJune 30,
    
    
    December 31,
    
    
    June 30,
    
    
    December 31,2006
    
    
    2005
    
    
    2005
    
    
    2004$2,944.94
    
    
    $
    3,007.42
    
    
    $
    2,969.65
    
    
    $
    2,745.73
  - 8 -




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
 A.
    
    General Description of the 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, options on forward currency
contracts and swap contracts.B.
    
    RegulationAs a registrant with the Securities and Exchange Commission, the Fund is subject to
the regulatory requirements under the Securities Act of 1933 and the Securities
Exchange Act of 1934. As a commodity investment pool, the Fund is subject to the
regulations of the Commodity Futures Trading Commission, an agency of the United
States (U.S.) government which regulates most aspects of the commodity futures
industry; rules of the National Futures Association, an industry self-regulatory
organization; and the requirements of the various commodity exchanges where the Fund
executes transactions. Additionally, the Fund is subject to the requirements of
futures commission merchants (brokers) and interbank and other market makers through
which the Fund trades.C.
    
    Method of ReportingThe Funds financial statements are presented in accordance with accounting
principles generally accepted in the United States of America, which may require the
use of certain estimates made by the Funds management. Actual results may differ
from these estimates. Investment transactions are accounted for on the trade date.
Gains or losses are realized when contracts are liquidated. Unrealized gains and
losses on open contracts (the difference between contract trade price and market
price) are reported in the statement of financial condition as a net gain or loss, as
there exists a right of offset of unrealized gains or losses in accordance with
Financial Accounting Standards Board Interpretation No. 39  Offsetting of Amounts
Related to Certain Contracts. The market value of futures (exchange-traded)
contracts is determined by the various futures exchanges, and reflects the settlement
price for each contract as of the close of the last business day of the reporting
period. The market value of swap and forward currency (non-exchange traded)
contracts is extrapolated on a forward basis from the spot prices quoted as of 5:00
P.M. (E.T.) of the last business day of the reporting period or based on the market
value of its exchange-traded equivalent. The market value of option (non-exchange
traded) contracts is calculated by applying an industry-standard adaptation of the
Black-Scholes options valuation model to foreign currency options, using as input,
the spot prices, interest rates and option implied volatilities quoted as of 3:00
P.M. (E.T.) on the last business day of the reporting period. Any change in net
unrealized gain or loss from the preceding period is reported in the statement of
operations. Brokerage commissions include other trading fees and are charged to
expense when contracts are opened. United States government securities are stated at
cost plus accrued interest, which approximates market value.For purposes of both financial reporting and calculation of redemption value, Net
Asset Value per unit is calculated by dividing Net Asset Value by the number of
outstanding units.
 - 9 -




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 D.
    
    Cash and Cash EquivalentsCash and cash equivalents includes cash and short-term time deposits held at
financial institutions.E.
    
    Income TaxesThe Fund prepares calendar year U.S. and applicable state information tax returns and
reports to the partners their allocable shares of the Funds income, expenses and
trading gains or losses. No provision for income taxes has been made in the
accompanying financial statements as each partner is individually responsible for
reporting income or loss based on such partners respective share of the Funds
income and expenses as reported for income tax purposes.F.
    
    Offering CostsCampbell & Company, Inc. (Campbell & Company) has incurred all costs in
connection with the initial and continuous offering of units of the Fund (offering
costs). The Funds liability for offering costs is limited to the maximum of total
offering costs incurred by Campbell & Company or 2.5% of the aggregate subscriptions
accepted during the initial and continuous offerings; this maximum is further limited
by 30 month pay-out schedules. The Fund is only liable for payment of offering costs
on a monthly basis as calculated based on the limitations stated above. At June 30,
2006 and December 31, 2005, the Fund reflects a liability in the statement of
financial condition for offering costs payable to Campbell & Company of $66,885 and
$1,464,278, respectively. The amount of monthly reimbursement due to Campbell &
Company is charged directly to partners capital.If the Fund terminates prior to completion of payment of the calculated amounts to
Campbell & Company, Campbell & Company will not be entitled to any additional
payments, and the Fund will have no further obligation to Campbell & Company. At
June 30, 2006 and December 31, 2005, the amount of unreimbursed offering costs
incurred by Campbell & Company is $66,885 and $3,561,403, respectively.G.
    
    Foreign Currency TransactionsThe Funds functional currency is the U.S. dollar; however, it transacts business in
currencies other than the U.S. dollar. Assets and liabilities denominated in
currencies other than the U.S. dollar are translated into U.S. dollars at the rates
in effect at the date of the statement of financial condition. Income and expense
items denominated in currencies other than the U.S. dollar are translated into U.S.
dollars at the rates in effect during the period. Gains and losses resulting from
the translation to U.S. dollars are reported in income.
 - 10 -




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 H.
    
    ReclassificationCertain amounts in the 2005 financial statements were reclassified to conform with
the 2006 presentation.
 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.
 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.
 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% of average month-end Net Asset Value for the
three months and six months ended June 30, 2006 and 2005.
 - 11 -




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
 Investments in the Fund are 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. 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.
 TRADING ACTIVITIES AND RELATED RISKS
 The Fund engages in the speculative trading of U.S. and
foreign futures contracts, forward currency contracts,
options on forward currency contracts and swap contracts
(collectively, derivatives). The Fund is exposed to both
market risk, the risk arising from changes in the market
value of the contracts, and credit risk, the risk of failure
by another party to perform according to the terms of a
contract.Purchase and sale of futures contracts requires margin
deposits with the broker. Additional deposits may be
necessary for any loss on contract value. The Commodity
Exchange Act requires a broker to segregate all customer
transactions and assets from such brokers proprietary
activities. A customers cash and other property (for
example, U.S. Treasury bills) deposited with a broker are
considered commingled with all other customer funds subject
to the brokers segregation requirements. In the event of a
brokers insolvency, recovery may be limited to a pro rata
share of segregated funds available. It is possible that the
recovered amount could be less than total cash and other
property deposited.The amount of required margin and good faith deposits with
the broker and interbank and other market makers usually
range from 10% to 30% of Net Asset Value. The market value
of securities held to satisfy such requirements at June 30,
2006 and December 31, 2005 was $4,731,834,340 and
$3,991,667,806, respectively, which equals approximately 84%
and 77% of Net Asset Value, respectively. The cash deposited
with interbank and other market makers at June 30, 2006 and
December 31, 2005 was $181,650,180 and $842,829,676,
respectively, which equals 3% and 16% of Net Asset Value,
respectively. These amounts are included in cash and cash
equivalents.The Fund trades forward currency, options on forward currency
and swap contracts in unregulated markets between principals
and assumes the risk of loss from counterparty
nonperformance. Accordingly, the risks associated with
forward currency, option on forward currency and swap
contracts are generally greater than those associated with
exchange traded contracts because of the greater risk of
counterparty default. Additionally, the trading of forward
currency, options on forward currency and swap contracts
typically involves delayed cash settlement.
 - 12 -




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
 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, forward currency and swap contracts purchased and unlimited liability on such
contracts sold short. As a seller of options, the Trust 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 Trust to potentially unlimited liabilityThe unrealized gain (loss) on open futures, forward currency, options on forward currency
and swap contracts is comprised of the following:
 Futures Contracts
    
    
    Forward Currency and Options on Forward(exchange traded)
    
    
    Currency Contracts (non-exchange traded)June 30,
    
    
    December 31,
    
    
    June 30,
    
    
    December 31,2006
    
    
    2005
    
    
    2006
    
    
    2005Gross unrealized gains
    
    $
    92,193,866
    
    
    $
    82,188,360
    
    
    $
    206,987,539
    
    
    $
    127,868,014Gross unrealized losses
    
    
    (32,031,101
    )
    
    
    (81,101,629
    )
    
    
    (256,565,914
    )
    
    
    (296,699,505
    )Net unrealized gain (loss)
    
    $
    60,162,765
    
    
    $
    1,086,731
    
    
    $
    (49,578,375
    )
    
    $
    (168,831,491
    )
 Open contracts generally mature within three months; as of June 30, 2006, the latest
maturity date for open futures contracts is March 2007, and the latest maturity date for
open forward currency contracts is September 2006. However, the Fund intends to close all
contracts prior to maturity.Campbell & Company has established procedures to actively monitor market risk and minimize
credit risk, although there can be no assurance that it will, in fact, succeed in doing
so. Campbell & Companys basic market risk control procedures consist of continuously
monitoring open positions, diversification of the portfolio and maintenance of a
margin-to-equity ratio that rarely exceeds 30%. Campbell & Company seeks to minimize
credit risk primarily by depositing and maintaining the Funds assets at financial
institutions and brokers which Campbell & Company believes to be creditworthy. The
limited partners bear the risk of loss only to the extent of the market value of their
respective investments and, in certain specific circumstances, distributions and
redemptions received.
 INDEMNIFICATIONS
 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)
 INTERIM FINANCIAL STATEMENTS
 The statement of financial condition, including the condensed
schedule of investments, as of June 30, 2006, the statements
of operations for the three months and six months ended June
30, 2006 and 2005, and the statements of cash flows and
changes in partners capital (Net Asset Value) for the six
months ended June 30, 2006 and 2005 are unaudited. In the
opinion of management, such financial statements reflect all
adjustments, which were of a normal and recurring nature,
necessary for a fair presentation of financial position as of
June 30, 2006, and the results of operations for the three
months and six months ended June 30, 2006 and 2005, and cash
flows for the six months ended June 30, 2006 and 2005.
 - 14 -




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 FINANCIAL HIGHLIGHTS
 The following information presents per unit operating performance data and other
supplemental financial data for the three months and six months ended June 30, 2006 and
2005. This information has been derived from information presented in the financial
statements.
 Three months ended
    
    
    Six months endedPer Unit Performance
    
    June 30,
    
    
    June 30,(for a unit outstanding throughout the entire period)
    
    2006
    
    
    2005
    
    
    2006
    
    
    2005Net asset value per unit at beginning of period
    
    $
    3,142.50
    
    
    $
    2,647.49
    
    
    $
    3,007.42
    
    
    $
    2,745.73Income (loss) from operations:Total net trading gains (losses) (1)
    
    
    (178.76
    )
    
    
    355.30
    
    
    
    (15.16
    )
    
    
    290.40Expenses net of interest income (1)
    
    
    (17.22
    )
    
    
    (31.45
    )
    
    
    (42.19
    )
    
    
    (63.05
    )Total net income (loss) from operations
    
    
    (195.98
    )
    
    
    323.85
    
    
    
    (57.35
    )
    
    
    227.35Offering costs (1)
    
    
    (1.58
    )
    
    
    (1.69
    )
    
    
    (5.13
    )
    
    
    (3.43
    )Net asset value per unit at end of period
    
    $
    2,944.94
    
    
    $
    2,969.65
    
    
    $
    2,944.94
    
    
    $
    2,969.65Total Return(3)
    
    
    (6.29
    )%
    
    
    12.17
    %
    
    
    (2.08
    )%
    
    
    8.16
    %Supplemental DataRatios to average net asset value:Expenses prior to performance fee (4)
    
    
    6.99
    %
    
    
    7.22
    %
    
    
    7.05
    %
    
    
    7.10
    %Performance fee (3)
    
    
    0.00
    %
    
    
    0.00
    %
    
    
    0.09
    %
    
    
    0.00
    %Total expenses
    
    
    6.99
    %
    
    
    7.22
    %
    
    
    7.14
    %
    
    
    7.10
    %Expenses net of interest income (2), (4)
    
    
    2.28
    %
    
    
    4.55
    %
    
    
    2.60
    %
    
    
    4.60
    %
 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
          i.e.
 - 16 -




---



##### 



2006
  Sector
    
    % Gain (Loss)Interest Rates
    
    
    2.60
    %Metals
    
    
    2.15Energy
    
    
    0.91Stock Indices
    
    
    0.75Currencies
    
    
    (6.82
    )(0.41
    )%
 - 17 -




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##### 



- 18 -




---



##### 



2005
  Sector
    
    % Gain (Loss)Interest Rates
    
    
    8.84
    %Currencies
    
    
    3.81Energy
    
    
    1.60Metals
    
    
    0.19Stock Indices
    
    
    (3.70
    )10.74
    %
   - 19 -




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##### 



- 20 -




---



##### 



Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts
Accounted for at Fair Value
  Item 3. Quantitative and Qualitative Disclosures About Market Risk
 Introduction
 Past Results Not Necessarily Indicative of Future Performance
  - 21 -




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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).
  - 22 -




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##### 



The Funds Trading Value at Risk in Different Market Sectors
  June 30, 2006TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    0.80
    %
    
    
    (6.82
    )%Long Interest Rates
    
    
    0.64
    %
    
    
    (0.71
    )%Short Interest Rates
    
    
    0.42
    %
    
    
    3.31
    %Metals
    
    
    0.36
    %
    
    
    2.15
    %Stock Indices
    
    
    0.31
    %
    
    
    0.75
    %Energy
    
    
    0.26
    %
    
    
    0.91
    %Aggregate/Total
    
    
    1.62
    %
    
    
    (0.41
    )%
 
 *
    
    -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 six months ended June 30, 2006, approximately 0.41% was due to
trading losses (before commissions) and approximately 2.22% due to interest income, offset by
approximately 3.89% due to brokerage fees, performance fees and operating and offering costs
borne by the Fund giving a net return of (2.08)%. - 23 -




---



##### 



December 31, 2005TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    1.45
    %
    
    
    5.98
    %Long Interest Rates
    
    
    0.80
    %
    
    
    1.80
    %Energy
    
    
    0.63
    %
    
    
    3.34
    %Short Interest Rates
    
    
    0.62
    %
    
    
    4.85
    %Stock Indices
    
    
    0.38
    %
    
    
    (2.82
    )%Metals
    
    
    0.06
    %
    
    
    1.16
    %Aggregate/Total
    
    
    2.45
    %
    
    
    14.31
    %
 
 *
    
    -The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The aggregate VaR represents the VaR of the Funds open
positions across all market sectors, and is less than the sum of the VaRs for all such market
sectors due to the diversification benefit across asset classes.**
    
    -Of the return for the year ended December 31, 2005, approximately 14.31% was due to
trading gains (before commissions) and approximately 2.92% due to interest income, offset by
approximately 7.70% due to brokerage fees, performance fees and operating and offering costs
borne by the Fund giving a net return of 9.53%. Material Limitations of Value at Risk as an Assessment of Market Risk
 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; 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.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.
 - 24 -




---



##### 



Non-Trading Risk
  Qualitative Disclosures Regarding Primary Trading Risk Exposures
 The following qualitative disclosures regarding the Funds market risk exposures 
except for (i) those disclosures that are statements of historical fact and (ii) the
descriptions of how the Fund manages its primary market risk exposures  constitute
forward-looking statements within the meaning of Section 27A of the Securities Act and Section
21E of the Securities Exchange Act. The Funds primary market risk exposures as well as the
strategies used and to be used by Campbell & Company for managing such exposures are subject
to numerous uncertainties, contingencies and risks, any one of which could cause the actual
results of the Funds risk controls to differ materially from the objectives of such
strategies. Government interventions, defaults and expropriations, illiquid markets, the
emergence of dominant fundamental factors, political upheavals, changes in historical price
relationships, an influx of new market participants, increased regulation and many other
factors could result in material losses as well as in material changes to the risk exposures
and the risk management strategies of the Fund. There can be no assurance that the Funds
current market exposure and/or risk management strategies will not change materially or that
any such strategies will be effective in either the short- or long-term. Investors must be
prepared to lose all or substantially all of their investment in the Fund.
  Currencies
 i.e.,
 - 25 -




---



##### 



Interest Rates
  Stock Indices
  Energy
  Metals
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
  - 26 -




---



##### 



Treasury Bill Positions
  Qualitative Disclosures Regarding Means of Managing Risk Exposure
   General
  Item 4. Controls and Procedures
  - 27 -




---



##### 



PART II-OTHER INFORMATION
 Item 1. Legal Proceedings.
  Item 2. Changes in Securities and Use of Proceeds
  Item 3. Defaults Upon Senior Securities
  Item 4. Submissions of Matters to a vote of Security Holders.
  Item 5. Other Information
  Item 6. Exhibits and Reports on Form 8-K.
  ExhibitNumber
    
    Description of Document31.01
    
    Certification of Bruce L. Cleland, Chief Executive Officer, pursuant to
Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.31.02
    
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.32.01
    
    Certification of Bruce L. Cleland, Chief Executive Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.32.02
    
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.
 - 28 -




---



##### 



SIGNATURES
 th
 CAMPBELL STRATEGIC ALLOCATION FUND, L.P.(Registrant)By:
    
    Campbell & Company, Inc.
General PartnerBy:
    
    /s/ Theresa D. Becks

Theresa D. BecksChief Financial Officer/Treasurer/Director
 - 29 -




---



##### 



EXHIBIT INDEX
 Exhibit Number
    
    Description of Document
    
    Page Number31.01
    
    Certification by Chief Executive Officer
    
    E 231.02
    
    Certification by Chief Financial Officer
    
    E 332.01
    
    Certification by Chief Executive Officer
    
    E 432.02
    
    Certification by Chief Financial Officer
    
    E 5