##### 



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, 2005
 or
 o
    
    Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
 For the transition period from to
 Commission File number: 0-22260
 CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
  Delaware
    
    52-1823554(State of Organization)
    
    (IRS Employer Identification Number)
 Baltimore, Maryland 21204
 (410) 296-3301
  þ o
  o þ
 29




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##### 



PagePART I  FINANCIAL INFORMATIONItem 1.Financial StatementsStatements of Financial Condition as of June 30, 2005 (Unaudited)
and December 31, 2004 (Audited)
    
    
    3Condensed Schedules of Investments as of June 30, 2005 (Unaudited)
and December 31, 2004 (Audited)
    
    
    4-5Statements of Operations for the Three Months and Six Months
Ended June 30, 2005 and 2004 (Unaudited)
    
    
    6Statements of Cash Flows for the Six Months Ended
June 30, 2005 and 2004 (Unaudited)
    
    
    7Statements of Changes in Partners Capital (Net Asset Value)
for the Six Months Ended June 30, 2005 and 2004 (Unaudited)
    
    
    8Notes to Financial Statements (Unaudited)
    
    
    9-15Item 2.Managements Discussion and Analysis of Financial Condition and
Results of Operations
    
    
    16-21Item 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
 -2-




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##### 



CAMPBELL
STRATEGIC ALLOCATION FUND, L.P.
 STATEMENTS OF FINANCIAL CONDITION
 
 June 30,
    
    December 31,2005
    
    2004ASSETSEquity in broker trading accountsCash
    
    $
    270,730,385
    
    
    $
    201,083,246United States government securities
    
    
    2,103,616,001
    
    
    
    1,871,364,160Unrealized gain on open futures contracts
    
    
    138,303,531
    
    
    
    59,986,708Deposits with broker
    
    
    2,512,649,917
    
    
    
    2,132,434,114Cash and cash equivalents
    
    
    479,906,550
    
    
    
    738,065,681United States government securities
    
    
    1,496,665,756
    
    
    
    1,299,373,618Unrealized gain (loss) on open forward currency contracts
    
    
    150,603,873
    
    
    
    (70,137,402
    )Total assets
    
    $
    4,639,826,096
    
    
    $
    4,099,736,011LIABILITIESAccounts payable
    
    $

    530,865
    
    
    $
    855,905Brokerage fee
    
    
    26,737,628
    
    
    
    23,425,887Commissions and other trading fees
on open contracts
    
    
    822,119
    
    
    
    914,080Offering costs payable
    
    
    753,013
    
    
    
    2,230,619Redemptions payable
    
    
    55,534,827
    
    
    
    24,163,399Total liabilities
    
    
    84,378,452
    
    
    
    51,589,890PARTNERS CAPITAL (Net Asset Value)General Partner  15,495.003 and 15,051.729
units outstanding at June 30, 2005 and
December 31, 2004
    
    
    46,014,736
    
    
    
    41,327,984Limited Partners  1,518,508.274 and 1,459,291.150
units outstanding at June 30, 2005 and
December 31, 2004
    
    
    4,509,432,908
    
    
    
    4,006,818,137Total partners capital
(Net Asset Value)
    
    
    4,555,447,644
    
    
    
    4,048,146,121$
    4,639,826,096
    
    
    $
    4,099,736,011
  -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$
    1,265,000,000
    
    
    
    08/04/2005
    
    
    U.S. Treasury Bills
    
    
    1,261,675,454
    
    
    
    27.70
    %$
    975,000,000
    
    
    
    07/07/2005
    
    
    U.S. Treasury Bills
    
    
    974,563,687
    
    
    
    21.39
    %$
    800,000,000
    
    
    
    09/15/2005
    
    
    U.S. Treasury Bills
    
    
    795,110,667
    
    
    
    17.45
    %$
    350,000,000
    
    
    
    07/14/2005
    
    
    U.S. Treasury Bills
    
    
    349,659,382
    
    
    
    7.68
    %$
    220,000,000
    
    
    Various
    
    U.S. Treasury Bills
    
    
    219,272,567
    
    
    
    4.81
    %Total United States government securities
(cost, including accrued interest,  $3,600,281,757)
    
    $
    3,600,281,757
    
    
    
    79.03
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    Asset ValueEnergy
    
    $
    13,924,846
    
    
    
    0.30
    %Metals
    
    
    2,663,863
    
    
    
    0.06
    %Stock index
    
    
    (1,720,121
    )
    
    
    (0.04
    )%Short-term interest rates
    
    
    49,934,587
    
    
    
    1.10
    %Long-term interest rates
    
    
    73,276,916
    
    
    
    1.61
    %Total long futures contracts
    
    $
    138,080,091
    
    
    
    3.03
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    Asset ValueEnergy
    
    $
    125,140
    
    
    
    0.01
    %Metals
    
    
    98,300
    
    
    
    0.00
    %Total short futures contracts
    
    $
    223,440
    
    
    
    0.01
    %Total futures contracts
    
    $
    138,303,531
    
    
    
    3.04
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    Asset ValueVarious long forward currency contracts
    
    $
    (10,186,597
    )
    
    
    (0.22
    )%Various short forward currency contracts
    
    
    160,790,470
    
    
    
    3.53
    %Total forward currency contracts
    
    $
    150,603,873
    
    
    
    3.31
    %
  -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$
    1,675,000,000
    
    
    
    01/06/05
    
    
    U.S. Treasury Bills
    
    $
    1,674,618,108
    
    
    
    41.37
    %$
    575,000,000
    
    
    
    03/17/05
    
    
    U.S. Treasury Bills
    
    
    572,424,479
    
    
    
    14.14
    %$
    350,000,000
    
    
    
    01/13/05
    
    
    U.S. Treasury Bills
    
    
    349,808,667
    
    
    
    8.64
    %$
    200,000,000
    
    
    
    01/27/05
    
    
    U.S. Treasury Bills
    
    
    199,734,222
    
    
    
    4.93
    %$
    200,000,000
    
    
    
    02/17/05
    
    
    U.S. Treasury Bills
    
    
    199,459,500
    
    
    
    4.93
    %$
    175,000,000
    
    
    
    02/03/05
    
    
    U.S. Treasury Bills
    
    
    174,692,802
    
    
    
    4.32
    %Total United States government securities
(cost, including accrued interest,  $3,170,737,778)
    
    $
    3,170,737,778
    
    
    
    78.33
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    Asset ValueEnergy
    
    $
    (7,304,068
    )
    
    
    (0.18
    )%Metals
    
    
    2,572,720
    
    
    
    0.06
    %Stock index
    
    
    35,075,316
    
    
    
    0.87
    %Short-term interest rates
    
    
    (3,149,439
    )
    
    
    (0.08
    )%Long-term interest rates
    
    
    31,917,409
    
    
    
    0.79
    %Total long futures contracts
    
    $
    59,111,938
    
    
    
    1.46
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    Asset ValueMetals
    
    $
    (4,000,591
    )
    
    
    (0.10
    )%Short-term interest rates
    
    
    4,890,991
    
    
    
    0.12
    %Long-term interest rates
    
    
    (15,630
    )
    
    
    0.00
    %Total short futures contracts
    
    $
    874,770
    
    
    
    0.02
    %Total futures contracts
    
    $
    59,986,708
    
    
    
    1.48
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    Asset ValueVarious long forward currency contracts
    
    $
    121,005,028
    
    
    
    2.99
    %Various short forward currency contracts
    
    
    (191,142,430
    )
    
    
    (4.72
    )%Total forward currency contracts
    
    $
    (70,137,402
    )
    
    
    (1.73
    )%
  -5-




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
 STATEMENTS OF OPERATIONS
 
 Three Months Ended
    
    Six Months EndedJune 30,
    
    June 30,2005
    
    2004
    
    2005
    
    2004TRADING GAINS (LOSSES)Futures trading gains (losses)Realized
    
    $
    172,824,034
    
    
    $
    (74,141,124
    )
    
    $
    215,071,218
    
    
    $
    250,502,782Change in unrealized
    
    
    57,955,949
    
    
    
    (115,507,954
    )
    
    
    78,316,823
    
    
    
    (68,034,551
    )Brokerage commissions
    
    
    (3,336,329
    )
    
    
    (1,298,051
    )
    
    
    (5,729,702
    )
    
    
    (3,284,961
    )Gain (loss) from futures trading
    
    
    227,443,654
    
    
    
    (190,947,129
    )
    
    
    287,658,339
    
    
    
    179,183,270Forward and swap trading gains (losses)Realized
    
    
    129,026,292
    
    
    
    (104,112,141
    )
    
    
    (57,210,288
    )
    
    
    189,721,582Change in unrealized
    
    
    190,188,763
    
    
    
    (39,628,474
    )
    
    
    220,741,275
    
    
    
    (146,448,355
    )Brokerage commissions
    
    
    (252,306
    )
    
    
    (173,885
    )
    
    
    (614,299
    )
    
    
    (382,254
    )Gain (loss) from forward and
swap trading
    
    
    318,962,749
    
    
    
    (143,914,500
    )
    
    
    162,916,688
    
    
    
    42,890,973Total trading gains (losses)
    
    
    546,406,403
    
    
    
    (334,861,629
    )
    
    
    450,575,027
    
    
    
    222,074,243EXPENSES NET OF INTEREST
INCOMEIncomeInterest income
    
    
    28,314,026
    
    
    
    8,561,334
    
    
    
    51,889,263
    
    
    
    15,509,696ExpensesBrokerage fee
    
    
    75,927,298
    
    
    
    61,761,775
    
    
    
    146,116,256
    
    
    
    119,571,815Performance fee
    
    
    0
    
    
    
    0
    
    
    
    0
    
    
    
    102,769,447Operating expenses
    
    
    753,420
    
    
    
    691,306
    
    
    
    1,497,504
    
    
    
    1,343,709Total expenses
    
    
    76,680,718
    
    
    
    62,453,081
    
    
    
    147,613,760
    
    
    
    223,684,971Expenses net of interest income
    
    
    (48,366,692
    )
    
    
    (53,891,747
    )
    
    
    (95,724,497
    )
    
    
    (208,175,275
    )NET INCOME (LOSS)
    
    $
    498,039,711
    
    
    $
    (388,753,376
    )
    
    $
    354,850,530
    
    
    $
    13,898,968NET INCOME (LOSS) PER GENERAL
AND LIMITED PARTNER UNIT(based on weighted average number of
units outstanding during the period)
    
    $
    323.87
    
    
    $
    (303.89
    )
    
    $
    233.71
    
    
    $
    11.61INCREASE (DECREASE) IN NET
ASSET VALUE PER GENERAL
AND LIMITED PARTNER UNIT
    
    $
    322.16
    
    
    $
    (313.09
    )
    
    $
    223.92
    
    
    $
    45.73
  -6-




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
 STATEMENTS OF CASH FLOWS
 
 2005
    
    2004Cash flows from (for) operating activitiesNet income
    
    $
    354,850,530
    
    
    $
    13,898,968Adjustments to reconcile net income to net cash from
(for) operating activitiesNet change in unrealized
    
    
    (299,058,098
    )
    
    
    214,482,906Increase (decrease) in accounts payable and
accrued expenses
    
    
    2,894,740
    
    
    
    (12,527,212
    )Net (purchases) of investments in United States
government securities
    
    
    (429,543,979
    )
    
    
    (1,098,181,775
    )Net cash (for) operating activities
    
    
    (370,856,807
    )
    
    
    (882,327,113
    )Cash flows from (for) financing activitiesAddition of units
    
    
    408,421,751
    
    
    
    889,580,194Increase in subscription deposits
    
    
    0
    
    
    
    206,000Redemption of units
    
    
    (250,763,139
    )
    
    
    (114,762,090
    )Increase in redemptions payable
    
    
    31,371,428
    
    
    
    5,889,722Offering costs charged
    
    
    (5,207,619
    )
    
    
    (10,314,174
    )Increase (decrease) in offering costs payable
    
    
    (1,477,606
    )
    
    
    522,694Net cash from financing activities
    
    
    182,344,815
    
    
    
    771,122,346Net (decrease) in cash and cash equivalents
    
    
    (188,511,992
    )
    
    
    (111,204,767
    )Cash and cash equivalentsBeginning of period
    
    
    939,148,927
    
    
    
    816,650,904End of period
    
    $
    750,636,935
    
    
    $
    705,446,137End of period cash and cash equivalents consists of:Cash in broker trading accounts
    
    $
    270,730,385
    
    
    $
    112,196,567Cash and cash equivalents
    
    
    479,906,550
    
    
    
    593,249,570Total end of period cash and cash equivalents
    
    $
    750,636,935
    
    
    $
    705,446,137
  -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, 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
    
    
    $
    4,555,447,644Six Months Ended June 30, 2004Balances at
December 31, 2003
    
    
    10,815.994
    
    
    $
    28,460,882
    
    
    
    1,063,947.539
    
    
    $
    2,799,639,743
    
    
    
    1,074,763.533
    
    
    $
    2,828,100,625Net income for the six months
ended June 30, 2004
    
    
    
    
    
    
    118,014
    
    
    
    
    
    
    
    13,780,954
    
    
    
    
    
    
    
    13,898,968Additions
    
    
    2,925.930
    
    
    
    8,314,000
    
    
    
    310,347.299
    
    
    
    881,266,194
    
    
    
    313,273.229
    
    
    
    889,580,194Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (40,868.707
    )
    
    
    (114,762,090
    )
    
    
    (40,868.707
    )
    
    
    (114,762,090
    )Offering costs
    
    
    
    
    
    
    (104,391
    )
    
    
    
    
    
    
    (10,209,783
    )
    
    
    
    
    
    
    (10,314,174
    )Balances at
June 30, 2004
    
    
    13,741.924
    
    
    $
    36,788,505
    
    
    
    1,333,426.131
    
    
    $
    3,569,715,018
    
    
    
    1,347,168.055
    
    
    $
    3,606,503,523
 Net Asset Value Per General and Limited Partner UnitJune 30,
    
    December 31,
    
    June 30,
    
    December 31,2005
    
    2004
    
    2004
    
    2003$
    2,969.65
    
    
    $
    2,745.73
    
    
    $
    2,677.10
    
    
    $
    2,631.37
  -8-




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##### 



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




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
 NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 Note 1.
    
    ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(CONTINUED)
 D.
    
    Cash and Cash EquivalentsCash and cash equivalents includes cash and short-term time deposits held at
financial institutions.E.
    
    Income TaxesThe Fund prepares calendar year U.S. and applicable state information tax returns and
reports to the partners their allocable shares of the Funds income, expenses and
trading gains or losses.F.
    
    Offering CostsCampbell & Company, Inc. (Campbell & Company) has incurred all costs in
connection with the initial and continuous offering of units of the Fund (offering
costs). The Funds liability for offering costs is limited to the maximum of total
offering costs incurred by Campbell & Company or 2.5% of the aggregate subscriptions
accepted during the initial and continuous offerings; this maximum is further limited
by 30 month pay-out schedules. The Fund is only liable for payment of offering costs
on a monthly basis as calculated based on the limitations stated above. At June 30,
2005, the Fund reflects a liability in the statement of financial condition for
offering costs payable to Campbell & Company of $753,013. 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, 2005, the amount of unreimbursed offering costs incurred by Campbell &
Company is $753,013.G.
    
    Foreign Currency TransactionsThe Funds functional currency is the U.S. dollar; however, it transacts business in
currencies other than the U.S. dollar. Assets and liabilities denominated in
currencies other than the U.S. dollar are translated into U.S. dollars at the rates
in effect at the date of the statement of financial condition. Income and expense
items denominated in currencies other than the U.S. dollar are translated into U.S.
dollars at the rates in effect during the period. Gains and losses resulting from
the translation to U.S. dollars are reported in income currently.
 -10-




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##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
 NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 Note 2.
    
    GENERAL PARTNER AND COMMODITY TRADING ADVISORThe general partner of the Fund is Campbell & Company, which conducts and manages the
business of the Fund. Campbell & Company is also the commodity trading advisor of the
Fund. The Amended Agreement of Limited Partnership provides that Campbell & Company may
make withdrawals of its units, provided that such withdrawals do not reduce Campbell &
Companys aggregate percentage interest in the Fund to less than 1% of the net aggregate
contributions.Campbell & Company is required by the Amended Agreement of Limited Partnership to maintain
a net worth equal to at least 5% of the capital contributed by all the limited
partnerships for which it acts as general partner, including the Fund. The minimum net
worth shall in no case be less than $50,000 nor shall net worth in excess of $1,000,000 be
required.The Fund pays a monthly brokerage fee equal to 1/12 of 7% (7% annualized) of month-end net
assets to Campbell & Company and approximately $6 per round turn to the broker for
execution and clearing costs. From the 7% fee, a portion (4%) is used to compensate selling
agents for ongoing services rendered and a portion (3%) is retained by Campbell & Company
for trading and management services rendered. The amount paid to the broker and interbank
market makers for execution and clearing costs is limited to 1/12 of 1% (1% annualized) of
month-end net assets.Campbell & Company is also paid a quarterly performance fee of 20% of the Funds aggregate
cumulative appreciation in the Net Asset Value per unit, exclusive of appreciation
attributable to interest income.Note 3.
    
    DEPOSITS WITH BROKERThe Fund deposits assets with a broker subject to Commodity
Futures Trading Commission regulations and various exchange and
broker requirements. Margin requirements are satisfied by the
deposit of U.S. Treasury bills and cash with such broker. The
Fund earns interest income on its assets deposited with the
broker.Note 4.
    
    OPERATING EXPENSESOperating expenses of the Fund are limited by the Amended
Agreement of Limited Partnership to 0.5% per year of the average
month-end Net Asset Value of the Fund. Actual operating expenses
were less than 0.5% of average month-end Net Asset Value for the
three months and six months ended June 30, 2005 and 2004.Note 5.
    
    SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONSInvestments in the Fund are made by subscription agreement,
subject to acceptance by Campbell & Company.
 -11-




---



##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
 NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 Note 5.
    
    SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS (CONTINUED)The Fund is not required to make distributions, but may do so
at the sole discretion of Campbell & Company. A limited
partner may request and receive redemption of units owned,
subject to restrictions in the Amended Agreement of Limited
Partnership. Redemption fees apply through the first twelve
month-ends following purchase as follows: 4% of Net Asset
Value per unit redeemed through the third month-end, 3% of
Net Asset Value per unit redeemed through the sixth
month-end, 2% of Net Asset Value per unit redeemed through
the ninth month-end and 1% of Net Asset Value per unit
redeemed through the twelfth month-end. After the twelfth
month-end following purchase of a unit, no redemption fees
apply.Note 6.
    
    TRADING ACTIVITIES AND RELATED RISKSThe Fund engages in the speculative trading of U.S. and
foreign futures contracts, forward currency contracts 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,
2005 and December 31, 2004 was $3,600,281,757 and
$3,170,737,778, respectively, which equals 79% and 78% of Net
Asset Value, respectively. The cash deposited with interbank
and other market makers at June 30, 2005 and December 31,
2004 was $424,724,841 and $656,506,665, respectively, which
equals 9% and 16% of Net Asset Value, respectively. These
amounts are included in cash and cash equivalents.The Fund trades forward currency and swap contracts in
unregulated markets between principals and assumes the risk
of loss from counterparty nonperformance. Accordingly, the
risks associated with forward currency and swap contracts are
generally greater than those associated with exchange traded
contracts because of the greater risk of counterparty
default. Additionally, the trading of forward currency and
swap contracts typically involves delayed cash settlement.
 -12-




---



##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
 NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 Note 6.
    
    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.The unrealized gain (loss) on open futures, forward currency and swap contracts is comprised of the following:
 Futures Contracts
    
    Forward Currency and Swap Contracts(exchange traded)
    
    (non-exchange traded)June 30,
    
    December 31,
    
    June 30,
    
    December 31,2005
    
    2004
    
    2005
    
    2004Gross unrealized gains
    
    $
    153,810,623
    
    
    $
    80,577,521
    
    
    $
    219,909,104
    
    
    $
    160,643,120Gross unrealized losses
    
    
    (15,507,092
    )
    
    
    (20,590,813
    )
    
    
    (69,305,231
    )
    
    
    (230,780,522
    )Net unrealized gain (loss)
    
    $
    138,303,531
    
    
    $
    59,986,708
    
    
    $
    150,603,873
    
    
    $
    (70,137,402
    )
 Open contracts generally mature within three months; as of June 30, 2005, the latest
maturity date for open futures contracts is March 2006, and the latest maturity date for
open forward currency contracts is September 2005. However, the Fund intends to close all
contracts prior to maturity.Campbell & Company has established procedures to actively monitor market risk and minimize
credit risk, although there can be no assurance that it will, in fact, succeed in doing so.
Campbell & Companys basic market risk control procedures consist of continuously
monitoring open positions, diversification of the portfolio and maintenance of a
margin-to-equity ratio that rarely exceeds 30%. Campbell & Company seeks to minimize
credit risk primarily by depositing and maintaining the Funds assets at financial
institutions and brokers which Campbell & Company believes to be creditworthy. The limited
partners bear the risk of loss only to the extent of the market value of their respective
investments and, in certain specific circumstances, distributions and redemptions received.
 -13-




---



##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
 NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 Note 7.
    
    GUARANTEESIn 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.Note 8.
    
    INTERIM FINANCIAL STATEMENTSThe statement of financial condition, including the condensed
schedule of investments, as of June 30, 2005, the
statements of operations for the three months and six months
ended June 30, 2005 and 2004, and the statements of cash
flows and changes in partners capital (Net Asset Value) for
the six months ended June 30, 2005 and 2004 are unaudited.
In the opinion of management, such financial statements
reflect all adjustments, which were of a normal and recurring
nature, necessary for a fair presentation of financial
position as of June 30, 2005, and the results of operations
for the three months and six months ended June 30, 2005 and
2004, and cash flows for the six months ended June 30, 2005
and 2004.
 -14-




---



##### 



CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
 NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 Note 9.
    
    FINANCIAL HIGHLIGHTSThe following information presents per unit operating performance data and other
supplemental financial data for the three months and six months ended June 30, 2005 and
2004. This information has been derived from information presented in the financial
statements.
 Three months ended
    
    Six months endedJune 30,
    
    June 30,2005
    
    2004
    
    2005
    
    2004(Unaudited)
    
    (Unaudited)
    
    (Unaudited)
    
    (Unaudited)Per Unit Performance
(for a unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    2,647.49
    
    
    $
    2,990.19
    
    
    $
    2,745.73
    
    
    $
    2,631.37Income (loss) from operations:Total trading gains (losses) (1)
    
    
    355.30
    
    
    
    (266.48
    )
    
    
    290.40
    
    
    
    228.20Expenses net of interest income (1)
    
    
    (31.45
    )
    
    
    (42.13
    )
    
    
    (63.05
    )
    
    
    (173.86
    )Total income (loss) from operations
    
    
    323.85
    
    
    
    (308.61
    )
    
    
    227.35
    
    
    
    54.34Offering costs (1)
    
    
    (1.69
    )
    
    
    (4.48
    )
    
    
    (3.43
    )
    
    
    (8.61
    )Net asset value per unit at end of period
    
    $
    2,969.65
    
    
    $
    2,677.10
    
    
    $
    2,969.65
    
    
    $
    2,677.10Total Return(3)
    
    
    12.17
    %
    
    
    (10.47
    )%
    
    
    8.16
    %
    
    
    1.74
    %Supplemental DataRatios to average net asset value:Expenses prior to performance fee (4)
    
    
    (7.22
    )%
    
    
    (6.92
    )%
    
    
    (7.10
    )%
    
    
    (7.15
    )%Performance fee (3)
    
    
    0.00
    %
    
    
    0.00
    %
    
    
    0.00
    %
    
    
    (3.04
    )%Total expenses
    
    
    (7.22
    )%
    
    
    (6.92)
    %
    
    
    (7.10
    )%
    
    
    (10.19
    )%Expenses net of interest income (2), (4)
    
    
    (4.55
    )%
    
    
    (5.97
    )%
    
    
    (4.60
    )%
    
    
    (6.23
    )%
 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-




---



##### 



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




---



##### 



i.e.
     2005
  -17-




---



##### 



Sector
    
    % Gain (Loss)Interest Rates
    
    
    8.84
    %Currencies
    
    
    3.81Energy
    
    
    1.60Metals
    
    
    0.19Stock Indices
    
    
    (3.70
    )10.74
    %
     -18-




---



##### 



2004
  Sector
    
    % Gain (Loss)Interest Rates
    
    
    6.59
    %Currencies
    
    
    2.25Energy
    
    
    1.79Metals
    
    
    (0.19
    )Stock Indices
    
    
    (2.14
    )8.30
    %
  -19-




---



##### 



-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-




---



##### 



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-




---



##### 



The Funds Trading Value at Risk in Different Market Sectors
  June 30, 2005
 TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    1.30
    %
    
    
    3.81
    %Long Interest Rates
    
    
    0.94
    %
    
    
    5.22
    %Energy
    
    
    0.48
    %
    
    
    1.60
    %Short Interest Rates
    
    
    0.39
    %
    
    
    3.62
    %Stock Indices
    
    
    0.39
    %
    
    
    (3.70
    )%Metals
    
    
    0.05
    %
    
    
    0.19
    %Aggregate/Total
    
    
    1.93
    %
    
    
    10.74
    %
 
 *-
    
    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, 2005, approximately 10.74% was due to
trading gains (before commissions) and approximately 1.25% due to interest income, offset by
approximately 3.83% due to brokerage fees and operating and offering costs borne by the Fund
giving a net return of 8.16%. -23-




---



##### 



December 31, 2004
 TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    1.15
    %
    
    
    2.20
    %Long Interest Rates
    
    
    0.83
    %
    
    
    10.03
    %Short Interest Rates
    
    
    0.26
    %
    
    
    2.57
    %Stock Indices
    
    
    0.60
    %
    
    
    (1.98
    )%Energy
    
    
    0.18
    %
    
    
    1.78
    %Metals
    
    
    0.11
    %
    
    
    (0.61
    )%Aggregate/Total
    
    
    1.84
    %
    
    
    13.99
    %
 
 *-
    
    The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The aggregate VaR represents the VaR of the Funds open
positions across all market sectors, and is less than the sum of the VaRs for all such market
sectors due to the diversification benefit across asset classes.**-
    
    Of the return for the year ended December 31, 2004, approximately 13.99% was due to
trading gains (before commissions) and approximately 1.23% was due to interest income, offset
by approximately 10.87% due to brokerage fees, performance fees and operating and offering
costs borne by the Fund giving a net return of 4.35%. Material Limitations of Value at Risk as an Assessment of Market Risk
  1)
    
    Past changes in market risk factors will not always result in accurate predictions of
the distributions and correlations of future market movements;
 2)
    
    Changes in portfolio value caused by market movements may differ from those of the VaR
model;
 3)
    
    VaR results reflect past trading positions while future risk depends on future
positions;
 4)
    
    VaR using a one day time horizon does not fully capture the market risk of positions
that cannot be liquidated or hedged within one day; and
 5)
    
    The historical market risk factor data for VaR estimation may provide only limited
insight into losses that could be incurred under certain unusual market movements.
  Non-Trading Risk
 -24-




---



##### 



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
  -25-




---



##### 



Stock Indices
  Energy
  Metals
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
  Treasury Bill Positions
  -26-




---



##### 



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




---



##### 



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




---



##### 



SIGNATURES
 th
 CAMPBELL STRATEGIC ALLOCATION FUND, L.P.(Registrant)By:
    
    Campbell & Company, Inc.
General PartnerBy:
    
    /s/ Theresa D. BecksTheresa D. BecksChief Financial Officer/Treasurer/Director
 -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
 -E 1-