CAMPBELL STRATEGIC ALLOCATION FUND LP - FORM 10-Q

CAMPBELL STRATEGIC ALLOCATION FUND LP - FORM 10-Q - November 14, 2011

Attached files

Attached files

CAMPBELL STRATEGIC ALLOCATION FUND LP Reports

file	filename
EX-32.01 - EX-32.01 - CAMPBELL STRATEGIC ALLOCATION FUND LP	ex32_01csaf.htm
EX-32.02 - EX-32.02 - CAMPBELL STRATEGIC ALLOCATION FUND LP	ex32_02csaf.htm
EX-31.02 - EX-31.02 - CAMPBELL STRATEGIC ALLOCATION FUND LP	ex31_02csaf.htm
EXCEL - IDEA: XBRL DOCUMENT - CAMPBELL STRATEGIC ALLOCATION FUND LP	Financial_Report.xls
EX-31.01 - EX-31.01 - CAMPBELL STRATEGIC ALLOCATION FUND LP	ex31_01csaf.htm

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, 2011


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.

(Exact name of Registrant as specified in charter)



Delaware		52-1823554
(State or other jurisdiction of incorporation or organization)		(IRS Employer Identification Number)

	2850 Quarry Lake Drive
	Baltimore, Maryland 21209
	(Address of principal executive offices, including zip code)

	(410) 413-2600
	(Registrant's telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes þ No o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive data File required to be submitted and posted pursuant to Rule 405 of regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes þ No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.


Large accelerated filer o	Accelerated filer o	Non-accelerated filer o	Smaller reporting company þ
		(Do not check if a smaller reporting company)

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes o No þ

			Page
PART I — FINANCIAL INFORMATION

	Item 1.	Financial Statements

		Condensed Schedules of Investments as of September 30, 2011 and December 31, 2010 (Unaudited)	3-6

		Statements of Financial Condition as of September 30, 2011 and December 31, 2010 (Unaudited)	7

		Statements of Operations for the Three Months and Nine Months Ended September 30, 2011 and 2010 (Unaudited)	8

		Statements of Cash Flows for the Nine Months Ended September 30, 2011 and 2010 (Unaudited)	9

		Statements of Changes in Partners’ Capital (Net Asset Value) for the Nine Months Ended September 30, 2011 and 2010 (Unaudited)	10

		Financial Highlights for the Three Months and Nine Months Ended September 30, 2011 and 2010 (Unaudited)	11

		Notes to Financial Statements (Unaudited)	12-18

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	19-25

	Item 3.	Quantitative and Qualitative Disclosure About Market Risk	26-31

	Item 4.	Controls and Procedures	32

PART II — OTHER INFORMATION

	Item 1.	Legal Proceedings	33

	Item 1A.	Risk Factors	33

	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	33

	Item 3.	Defaults Upon Senior Securities	33

	Item 4.	(Removed and Reserved)	33

	Item 5.	Other Information	33

	Item 6.	Exhibits	33

SIGNATURES			34

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2011 (Unaudited)


FIXED INCOME SECURITIES

Maturity Face Value	Description	Values ($)	% of Net Asset Value
	Bank Deposits
	Canada
	Financials	$81,279,455	7.28 %
	(cost $81,188,170)
	Netherlands
	Financials	$14,983,416	1.34 %
	(cost $14,993,515)
	Sweden
	Financials	$42,203,975	3.78 %
	(cost $42,200,000)
	Total Bank Deposits (cost $138,381,685)	$138,466,846	12.40 %

	Commercial Paper
	United States
	Consumer Discretionary	$46,000,000	4.12 %
	Consumer Staples	$39,033,000	3.50 %
	Financials ING America Insurance Holdings, Inc CP 0.00% 10/13/2011	$29,992,227	2.69 %
	ING America Insurance Holdings, Inc CP 0.00% 10/3/2011	$47,997,158	4.30 %
	Other	$24,949,150	2.23 %
	Health Care	$31,496,872	2.82 %
	Materials	$73,496,504	6.58 %
	Services	$58,996,465	5.28 %
	Total United States (cost $351,963,744)	$351,961,377	31.52 %

	Corporate Bonds
	United States
	Financials	$105,599,134	9.46 %
	Health Care	$38,181,033	3.42 %
	Technology	$22,906,876	2.05 %
	Total United States (cost $166,621,835)	$166,687,043	14.93 %

	Government And Agency Obligations
	United States
$35,000,000	U.S. Government Agency FHLMC 0.55% Due 09/09/2013	$34,944,490	3.13 %
$27,050,000	FHLMC 0.60% Due 08/22/2013	$27,030,524	2.42 %
$10,360,000	FHLMC Step Up Tranche #TR 00399 0.40% Due 07/26/2013	$10,352,230	0.93 %
$42,000,000	FHLMC Step Up Tranche #TR 00424 0.45% Due 07/26/2013	$41,955,900	3.76 %
$32,281,000	FHLMC Tranche #TR 00299 0.65% Due 07/05/2013	$32,289,070	2.89 %
	Other	$24,179,639	2.17 %
$152,000,000	U.S. Treasury Bills * Due 10/06/2011	$151,999,942	13.62 %
$55,000,000	U.S. Treasury Bills * Due 10/13/2011	$54,999,656	4.93 %
	Total United States (cost $377,884,771)	$377,751,451	33.85 %

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2011 (Unaudited)


	Short Term Investment Funds
	United States
	Short Term Investment Funds	$782	0.00 %
	(cost $ 782)
	Total Fixed Income Securities (cost $1,034,852,817)	$1,034,867,499	92.70 %

LONG FUTURES CONTRACTS
Description		Values ($)	% of Net Asset Value
Agricultural		$(2,105,507)	(0.19)%
Energy		$(3,629,327)	(0.33)%
Metals		$(20,025,676)	(1.79)%
Stock indices		$(1,200,833)	(0.11)%
Short-term interest rates		$(2,805,342)	(0.25)%
Long-term interest rates		$(4,698,693)	(0.42)%
Total long futures contracts		$(34,465,378)	(3.09)%


SHORT FUTURES CONTRACTS
Description		Values ($)	% of Net Asset Value
Agricultural		$3,988,750	0.36 %
Energy		$3,195,010	0.29 %
Metals		$32,616,610	2.92 %
Stock indices		$266,049	0.02 %
Total short futures contracts		$40,066,419	3.59 %

Total futures contracts		$5,601,041	0.50 %


FORWARD CURRENCY CONTRACTS
Description		Values ($)	% of Net Asset Value
Various long forward currency contracts		$(117,871,199)	(10.56)%
Various short forward currency contracts		$82,007,811	7.35 %
Total forward currency contracts		$(35,863,388)	(3.21)%


*	Pledged as collateral for the trading of futures and forward positions.

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2010 (Unaudited)


FIXED INCOME SECURITIES

Maturity Face Value	Description	Values ($)	% of Net Asset Value
	Bank Deposits
	Canada
	Financials	$14,557,945	1.03 %
	(cost $14,545,000)
	United States
	Financials	$33,009,535	2.33 %
	(cost $33,000,000)
	Total Bank Deposits (cost $47,545,000)	$47,567,480	3.36 %

	Commercial Paper
	Australia
	Financials	$13,816,616	0.97 %
	(cost $13,810,957)
	Netherlands
	Industrial	$20,554,351	1.45 %
	(cost $20,508,143)
	Panama
	Consumer Discretionary	$32,994,307	2.33 %
	(cost $32,994,474)
	United Kingdom
	Consumer Staples	$11,532,293	0.81 %
	(cost $11,531,551)
	United States
	Consumer Discretionary	$115,527,505	8.15 %
	Consumer Staples	$6,683,703	0.47 %
	Energy	$43,103,277	3.04 %
	Financials	$42,144,129	2.97 %
	Health Care	$56,326,259	3.97 %
	Industrial	$22,132,270	1.56 %
	Municipal	$5,277,272	0.37 %
	Services	$19,997,604	1.41 %
	Utilities	$89,945,673	6.34 %
	Total United States (cost $401,123,948)	$401,137,692	28.28 %

	Total Commercial Paper (cost $479,969,073)	$480,035,259	33.84 %

	Corporate Bonds
	United States
	Financials	$104,048,295	7.34 %
	(cost $103,844,282)
	Government And Agency Obligations
	United States
$19,400,000	U.S. Government Agency Federal Home Loan Bank 0.625% Due 10/18/2012	$19,363,140	1.37 %
$30,000,000	Federal Home Loan Bank 0.70% Due 04/18/2011	$30,041,550	2.12 %
$25,000,000	Federal Home Loan Bank BD 0.40% Due 12/09/2011	$24,988,175	1.76 %
$44,320,000	Federal Home Loan Bank BD 1.00% Due 02/28/2011	$44,348,055	3.13 %
	Other	$94,000,068	6.63 %

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2010 (Unaudited)


$75,000,000	U.S. Treasury Bills * Due 01/06/2011	$74,998,646	5.29 %
$30,000,000	U.S. Treasury Bills * Due 01/06/2011	$29,999,528	2.12 %
$75,000,000	U.S. Treasury Bills * Due 01/13/2011	$74,997,625	5.29 %
	Total United States (cost $392,776,938)	$392,736,787	27.71 %

	Short Term Investment Funds
	United States
	Short Term Investment Funds	$841	0.00 %
	(cost $ 841)
	Total Fixed Income Securities (cost $1,024,136,134)	$1,024,388,662	72.25 %

LONG FUTURES CONTRACTS
Description		Values ($)	% of Net Asset Value
Agricultural		$9,251,944	0.65 %
Energy		$3,035,710	0.21 %
Metals		$10,794,183	0.76 %
Stock indices		$(306,791)	(0.02)%
Short-term interest rates		$1,605,624	0.11 %
Long-term interest rates		$192,278	0.01 %
Total long futures contracts		$24,572,948	1.72 %


SHORT FUTURES CONTRACTS
Description		Values ($)	% of Net Asset Value
Agricultural		$(72,440)	(0.01)%
Energy		$(1,087,850)	(0.08)%
Metals		$(2,444,287)	(0.17)%
Stock indices		$243,953	0.02 %
Short-term interest rates		$(33,297)	0.00 %
Long-term interest rates		$(2,828,749)	(0.20)%
Total short futures contracts		$(6,222,670)	(0.44)%

Total futures contracts		$18,350,278	1.28 %


FORWARD CURRENCY CONTRACTS
Description		Values ($)	% of Net Asset Value
Various long forward currency contracts		$114,487,860	8.07 %
Various short forward currency contracts		$(92,306,224)	(6.51)%
Total forward currency contracts		$22,181,636	1.56 %


PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
Description		Values ($)	% of Net Asset Value
Purchased options on forward currency contracts (premiums paid - $4,537,333)		$6,243,013	0.44 %


WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
Description		Values ($)	% of Net Asset Value
Written options on forward currency contracts (premiums received - $988,402)		$(2,884,114)	(0.20)%


*	Pledged as collateral for the trading of futures, forward and option positions.

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF FINANCIAL CONDITION

September 30, 2011 and December 31, 2010 (Unaudited)

	September 30, 2011	December 31, 2010
ASSETS
Equity in broker trading accounts
Cash	$160,429,507	$294,040,862
Restricted cash	35,607,753	0
Fixed income securities (cost $100,000,000 and $149,996,271, respectively)	100,000,000	149,996,271
Net unrealized gain (loss) on open futures contracts	5,601,041	18,350,278
Total equity in broker trading accounts	301,638,301	462,387,411

Cash and cash equivalents	23,314,803	78,868,811
Restricted cash deposits with forwards broker	0	4,324,051
Fixed income securities (cost $934,852,817 and $874,139,862, respectively)	934,867,499	874,392,391
Options purchased, at fair value (premiums paid - $0 and $4,537,333, respectively)	0	6,243,013
Net unrealized gain (loss) on open forward currency contracts	(35,863,388)	22,181,636
Interest receivable	1,640,232	2,445,265
Other receivables	4,175	0
Total assets	$1,225,601,622	$1,450,842,578

LIABILITIES
Accounts payable	$489,476	$729,337
Brokerage fee	7,144,140	8,438,643
Options written, at fair value (premiums received - $0 and $988,402, respectively)	0	2,884,114
Accrued commissions and other trading fees on open contracts	115,340	197,479
Offering costs payable	287,107	407,181
Redemptions payable	101,249,856	20,340,196
Total liabilities	109,285,919	32,996,950

PARTNERS' CAPITAL (Net Asset Value)
General Partner - 4,330.602 and 6,602.933 redeemable units outstanding at September 30, 2011 and December 31, 2010	10,856,256	17,239,400
Limited Partners - 440,971.297 and 536,451.595 redeemable units outstanding at September 30, 2011 and December 31, 2010	1,105,459,447	1,400,606,228
Total partners' capital (Net Asset Value)	1,116,315,703	1,417,845,628

Total liabilities and partners' capital (Net Asset Value)	$1,225,601,622	$1,450,842,578

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF OPERATIONS

For the Three Months and Nine Months Ended September 30, 2011 and 2010 (Unaudited)

	Three Months Ended September 30,		Nine Months Ended September 30,
	2011	2010	2011	2010
TRADING GAINS (LOSSES)
Futures trading gains (losses)
Realized	$81,282,011	$62,265,579	$69,169,223	$16,858,737
Change in unrealized	30,002,636	40,973,253	(12,749,237)	62,815,444
Brokerage commissions	(1,065,300)	(1,057,322)	(3,147,721)	(3,150,756)
Net gain (loss) from futures trading	110,219,347	102,181,510	53,272,265	76,523,425

Forward currency and options on forward
currency trading gains (losses)
Realized	(14,762,763)	(14,158,295)	22,854,265	(26,530,018)
Change in unrealized	(34,962,778)	37,640,217	(57,854,992)	36,523,447
Brokerage commissions	(111,079)	(101,423)	(438,646)	(301,039)
Net gain (loss) from forward currency and options on forward currency trading	(49,836,620)	23,380,499	(35,439,373)	9,692,390

Total net trading gain (loss)	60,382,727	125,562,009	17,832,892	86,215,815

NET INVESTMENT INCOME (LOSS)
Investment income
Interest income	902,505	1,857,255	3,178,747	4,774,525
Realized gain (loss) on fixed income securities	4,728	112,892	12,107	225,484
Change in unrealized gain (loss) on fixed income securities	(414,097)	294,629	(237,847)	607,247
Total investment income	493,136	2,264,776	2,953,007	5,607,256

Expenses
Brokerage fee	22,577,895	24,339,823	69,814,633	78,051,063
Operating expenses	482,450	545,766	1,518,548	1,934,883

Total expenses	23,060,345	24,885,589	71,333,181	79,985,946

Net investment income (loss)	(22,567,209)	(22,620,813)	(68,380,174)	(74,378,690)

NET INCOME (LOSS)	$37,815,518	$102,941,196	$(50,547,282)	$11,837,125


NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT
(based on weighted average number of units outstanding during the period)	$76.91	$173.36	$(98.22)	$18.35

INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT	$70.75	$175.83	$(104.00)	$43.20

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF CASH FLOWS

For the Nine Months Ended September 30, 2011 and 2010 (Unaudited)

	Nine Months Ended September 30,
	2011	2010
Cash flows from (for) operating activities
Net income (loss)	$(50,547,282)	$11,837,125
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
Net change in unrealized	70,842,076	(99,946,139)
(Increase) decrease in restricted cash	(31,283,702)	(9,297,465)
(Increase) decrease in option premiums paid	4,537,333	3,052,336
Increase (decrease) in option premiums received	(988,402)	126,604
Increase (decrease) in payable for securities purchased	0	(99,998,667)
(Increase) decrease in interest receivable	805,033	1,054,459
(Increase) decrease in other assets	(4,175)	0
Increase (decrease) in accounts payable and accrued expenses	(1,616,503)	(2,062,224)
Purchases of investments in fixed income securities	(36,928,152,095)	(9,676,545,954)
Sales/maturities of investments in fixed income securities	36,917,435,411	10,258,520,430

Net cash from (for) operating activities	(18,972,306)	386,740,505

Cash flows from (for) financing activities
Redemption of units	(167,683,362)	(346,338,145)
Offering costs paid	(2,509,695)	(1,940,148)
Net cash from (for) financing activities	(170,193,057)	(348,278,293)

Net increase (decrease) in cash and cash equivalents	(189,165,363)	38,462,212

Unrestricted Cash
Beginning of period	372,909,673	266,140,992

End of period	$183,744,310	$304,603,204

End of period cash and cash equivalents consists of:
Cash in broker trading accounts	$160,429,507	$190,647,291
Cash and cash equivalents	23,314,803	113,955,913

Total end of period cash and cash equivalents	$183,744,310	$304,603,204

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)

For the Nine Months Ended September 30, 2011 and 2010 (Unaudited)

	Partners' Capital
	General Partner		Limited Partners		Total
	Units	Amount	Units	Amount	Units	Amount
Nine Months Ended September 30, 2011

Balances at December 31, 2010	6,602.933	$17,239,400	536,451.595	$1,400,606,228	543,054.528	$1,417,845,628


Net income (loss) for the nine months ended September 30, 2011		(361,018)		(50,186,264)		(50,547,282)
Redemptions	(2,272.331)	(6,000,000)	(95,480.298)	(242,593,022)	(97,752.629)	(248,593,022)
Offering costs		(22,126)		(2,367,495)		(2,389,621)
Balances at September 30, 2011	4,330.602	$10,856,256	440,971.297	$1,105,459,447	445,301.899	$1,116,315,703

Nine Months Ended September 30, 2010

Balances at December 31, 2009	6,637.982	$15,893,851	706,905.488	$1,692,597,767	713,543.470	$1,708,491,618


Net income (loss) for the nine months ended September 30, 2010		303,744		11,533,381		11,837,125
Redemptions	(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	$1,379,376,927

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

FINANCIAL HIGHLIGHTS

For the Three Months and Nine Months Ended September 30, 2011 and 2010 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for the three months and nine months ended September 30, 2011 and 2010. This information has been derived from information presented in the unaudited financial statements.

	Three Months Ended September 30,		Nine Months Ended September 30,
	2011	2010	2011	2010
Per Unit Performance
(for a unit outstanding throughout the entire period)

Net asset value per unit at beginning of period	$2,436.12	$2,261.75	$2,610.87	$2,394.38

Income (loss) from operations:
Total net trading gains (losses) (1)	118.45	214.80	33.52	161.28
Net investment income (loss) (1)	(45.90)	(38.09)	(132.88)	(115.32)

Total net income (loss) from operations	72.55	176.71	(99.36)	45.96

Offering costs (1)	(1.80)	(0.88)	(4.64)	(2.76)

Net asset value per unit at end of period	$2,506.87	$2,437.58	$2,506.87	$2,437.58

Total Return (3)	2.90 %	7.77 %	(3.98)%	1.80 %

Supplemental Data

Ratios to average net asset value:
Expenses prior to performance fee (4)	7.34 %	7.30 %	7.22 %	7.25 %
Performance fee (3)	0.00 %	0.00 %	0.00 %	0.00 %

Total expenses	7.34 %	7.30 %	7.22 %	7.25 %

Net investment income (loss) (2),(4)	(7.18)%	(6.63)%	(6.92)%	(6.75)%

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.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

SEPTEMBER 30, 2011 (Unaudited)

Note 1.	ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
	A. General Description of the Fund
	Campbell 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 and forward currency contracts. Prior to September 2011, the Fund also traded options on forward currency contracts.

	B. Regulation
	As 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 Reporting
	The 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 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 follows the provisions of ASC 820, "Fair Value Measurements and Disclosures". 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.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

SEPTEMBER 30, 2011 (Unaudited)

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.

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, 2011, 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 were adopted as of January 1, 2011. The adoption of the remaining provisions has not had a material impact on the Fund's financial statement disclosures.

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, 2011 and December 31, 2010.

	Fair Value at September 30, 2011
Description	Level 1		Level 2			Level 3		Total
Investments
Fixed income securities	$	0	$	1,034,867,499		$	0	$	1,034,867,499
Other Financial Instruments
Exchange-traded futures contracts		5,601,041		0			0		5,601,041
Forward currency contracts		0		(35,863,388	)		0		(35,863,388	)
Total	$	5,601,041	$	999,004,111		$	0	$	1,004,605,152

	Fair Value at December 31, 2010
Description	Level 1		Level 2			Level 3		Total
Investments
Fixed income securities	$	0	$	1,024,388,662		$	0	$	1,024,388,662
Other Financial Instruments
Exchange-traded futures contracts		18,350,278		0			0		18,350,278
Forward currency contracts		0		22,181,636			0		22,181,636
Options purchased		0		6,243,013			0		6,243,013
Options written		0		(2,884,114	)		0		(2,884,114	)
Total	$	18,350,278	$	1,049,929,197		$	0	$	1,068,279,475

The gross presentation of the fair value of the Fund's derivatives by instrument type is shown in Note 7. See Condensed Schedule of Investments for additional detail categorization.

	D. Cash and Cash Equivalents
	Cash and cash equivalents includes cash and overnight money market investments at financial institutions.

	E. Income Taxes
	The 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.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

SEPTEMBER 30, 2011 (Unaudited)

	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 2007 through 2010 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

	F. Offering Costs
	Campbell & 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, 2011, and December 31, 2010, the Fund reflects a liability in the statement of financial condition for offering costs payable to Campbell & Company of $287,107 and $407,181, 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, 2011 and December 31, 2010, the amount of unreimbursed offering costs incurred by Campbell & Company is $294,916 and $414,245, respectively.

G. Foreign Currency Transactions

The 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. Recently Issued Accounting Pronouncements
	In May 2011, the FASB issued Accounting Standards Update No. 2011-04 ("ASU 2011-04") to achieve common fair value measurement and disclosure requirements in U.S. GAAP and International Finanicial Reporting Standards. ASC 2011-04 explains how to measure fair value. It does not require additional fair value measurements and is not intended to establish valuation standards or affect valuation practices outside of financial reporting. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after December 15, 2011. The impact of this guidance on the Fund's financial statements and disclosures, if any, is currently being assessed.

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.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

SEPTEMBER 30, 2011 (Unaudited)

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.

	In December 2010, the Fund terminated the Non-Custody Investment Advisory Agreement with Wilmington Trust Invesment Management LLC as cash manager.

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.

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, 2011 and 2010.

Note 6.	SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
	Investments in the Fund were made by subscription agreement, subject to acceptance by Campbell & Company. The Fund is open only to existing investors. 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 requests in good order for 2,544.357 units were received by Campbell & Company subsequent to the September 30, 2011 cut off for redemption processing, but prior to month end. These units were redeemed as of October 31, 2011. 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, 2011 and 2010, Campbell & Company received redemption fees of $0 and $0 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, 2011 and December 31, 2010 was $206,999,598 and $179,995,799, respectively, which equals 19% and 13% of Net Asset Value, respectively. The cash deposited with interbank market makers at September 30, 2011 and December 31, 2010 was $21,951,110 and $83,046,799, respectively, which equals 2% and 6% of Net Asset Value, respectively. Included in cash deposits with the broker and interbank market maker at September 30, 2011 and December 31, 2010 was restricted cash for margin requirements of $35,607,753 and $4,324,051 respectively, which equals 3% and 0% of Net Asset Value respectively.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

SEPTEMBER 30, 2011 (Unaudited)

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 Fund adopted ASC 815 "Derivatives and Hedging" ("ASC 815"). 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, 2011 and December 31, 2010 is as follows:

Type of Instrument*	Statement of Financial Condition Location	Asset Derivatives at September 30, 2011 Fair Value		Liability Derivatives at September 30, 2011 Fair Value			Net
Agricultural Contracts	Equity in broker trading accounts	$	5,872,412	$	(3,989,169	)	$	1,883,243
Energy Contracts	Equity in broker trading accounts		3,199,682		(3,633,999	)		(434,317	)
Metal Contracts	Equity in broker trading accounts		32,622,350		(20,031,416	)		12,590,934
Stock Indices Contracts	Equity in broker trading accounts		1,561,769		(2,496,553	)		(934,784	)
Short-Term Interest Rate Contracts	Equity in broker trading accounts		124,538		(2,929,880	)		(2,805,342	)
Long-Term Interest Rate Contracts	Equity in broker trading accounts		1,547,150		(6,245,843	)		(4,698,693	)
Forward Currency Contracts	Net unrealized gain (loss) on forward currency contracts		87,139,240		(123,002,628	)		(35,863,388	)
Totals		$	132,067,141	$	(162,329,488	)	$	(30,262,347	)
* Derivatives not designated as hedging instruments under ASC 815

Type of Instrument*	Statement of Financial Condition Location	Asset Derivatives at December 31, 2010 Fair Value		Liability Derivatives at December 31, 2010 Fair Value			Net
Agricultural Contracts	Equity in broker trading accounts	$	9,610,969	$	(431,465	)	$	9,179,504
Energy Contracts	Equity in broker trading accounts		4,023,972		(2,076,112	)		1,947,860
Metal Contracts	Equity in broker trading accounts		10,873,440		(2,523,544	)		8,349,896
Stock Indices Contracts	Equity in broker trading accounts		3,772,491		(3,835,329	)		(62,838	)
Short-Term Interest Rate Contracts	Equity in broker trading accounts		1,682,213		(109,886	)		1,572,327
Long Term Interest Rate Contracts	Equity in broker trading accounts		433,641		(3,070,112	)		(2,636,471	)
Forward Currency Contracts	Net unrealized gain (loss) on forward currency contracts		119,656,649		(97,475,013	)		22,181,636
Purchased Options on Forward Currency Contracts	Options purchased, at fair value		6,243,013		0			6,243,013
Written Options on Forward Currency Contracts	Options written, at fair value		0		(2,884,114	)		(2,884,114	)
Totals		$	156,296,388	$	(112,405,575	)	$	43,890,813
* Derivatives not designated as hedging instruments under ASC 815

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

SEPTEMBER 30, 2011 (Unaudited)

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 periods ended September 30, 2011 and 2010 is as follows:

Type of Instrument	Trading Revenue for the Three Months Ended September 30, 2011			Trading Revenue for the Three Months Ended September 30, 2010
Agricultural Contracts	$	(28,793,406	)	$	41,575,421
Energy Contracts		(15,536,139	)		(22,267,880	)
Metal Contracts		10,975,508			19,341,441
Stock Indices Contracts		(21,796,785	)		9,582,962
Short-Term Interest Rate Contracts		36,544,811			9,076,204
Long Term Interest Rate Contracts		129,619,470			46,129,110
Forward Currency Contracts		(49,375,831	)		25,509,446
Purchased Options on Forward Currency Contracts		(7,840,430	)		(9,111,524	)
Written Options on Forward Currency Contracts		7,490,720			7,084,000
Total	$	61,287,918		$	126,919,180

Type of Instrument	Trading Revenue for the Nine Months Ended September 30, 2011			Trading Revenue for the Nine Months Ended September 30, 2010
Agricultural Contracts	$	(44,417,355	)	$	39,039,673
Energy Contracts		(9,775,663	)		(81,649,254	)
Metal Contracts		(3,701,220	)		(4,065,375	)
Stock Indices Contracts		(64,706,610	)		(88,065,009	)
Short-Term Interest Rate Contracts		5,381,822			103,083,225
Long Term Interest Rate Contracts		173,467,506			111,618,645
Forward Currency Contracts		(14,335,734	)		20,560,069
Purchased Options on Forward Currency Contracts		(44,236,552	)		(38,562,740	)
Written Options on Forward Currency Contracts		23,571,559			27,996,100
Total	$	21,247,753		$	89,955,334

Line Item in the Statement of Operations	Trading Revenue for the Three Months Ended September 30, 2011			Trading Revenue for the Three Months Ended September 30, 2010
Futures trading gains (losses):
Realized	$	81,010,823		$	62,464,005
Change in unrealized		30,002,636			40,973,253
Forward currency and options on forward currency trading gains (losses):
Realized		(14,762,763	)		(14,158,295	)
Change in unrealized		(34,962,778	)		37,640,217
Total	$	61,287,918		$	126,919,180

Line Item in the Statement of Operations	Trading Revenue for the Nine Months Ended September 30, 2011			Trading Revenue for the Nine Months Ended September 30, 2010
Futures trading gains (losses):
Realized	$	68,997,717		$	17,146,461
Change in unrealized		(12,749,237	)		62,815,444
Forward currency and options on forward currency trading gains (losses):
Realized		22,854,265			(26,530,018	)
Change in unrealized		(57,854,992	)		36,523,447
Total	$	21,247,753		$	89,955,334

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

SEPTEMBER 30, 2011 (Unaudited)

	For the three months ended September 30, 2011 and 2010, the monthly average of futures contracts bought and sold was approximately 95,200 and 95,100 respectively, and the monthly average of notional value of forward currency and options on forward currency contracts was $9,945,900,000 and $10,344,100,000 respectively. For the nine months ended September 30, 2011 and 2010, the monthly average of futures contracts bought and sold was approximately 88,100 and 91,900 respectively, and the monthly average of notional value of forward currency and options on forward currency contracts was $12,013,700,000 and $10,774,600,000 respectively. Open contracts generally mature within twelve months; as of September 30, 2011, the latest maturity date for open futures contracts is September 2013, the latest maturity date for open forward currency contracts is December 2011. There are no open options on forward currency contracts at September 30, 2011. 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, 2011 and December 31, 2010, the statements of operations and financial highlights for the three months and nine months ended September 30, 2011 and 2010, and the statements of cash flows and changes in partners' capital (Net Asset Value) for the nine months ended September 30, 2011 and 2010 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, 2011, and the results of operations and financial highlights for the three months and nine months ended September 30, 2011 and 2010, and cash flows and changes in partners' capital (Net Asset Value) for the nine months ended September 30, 2011 and 2010.

Note 10.	SUBSEQUENT EVENTS
	Management of the Fund has evaluated subsequent events through the date the financial statements were filed. During October 2011, the Fund had redemptions of 40,498.282 units totaling $96,657,248 and equaling 9% of the September 30, 2011 net asset value. The majority of the redemptions resulted from one of the Fund's selling firms recommending liquidation of their accounts. As of October 31, 2011, the selling firm had 17,012.366 units remaining in the Fund which management expects to be redeemed by the end of the year. There are no additional subsequent events to disclose or record.

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Introduction

The offering of Campbell Strategic Allocation Fund L.P.’s (the “Fund”) Units of Limited Partnership Interest commenced on January 12, 1994. The initial offering terminated on April 15, 1994 with proceeds of $9,692,439, and the Fund commenced operations on April 18, 1994. The continuing offering period commenced immediately after the termination of the initial offering period; additional subscriptions totaling $6,068,918,915 have been accepted during the continuing offering period. Redemptions through September 30, 2011 total $5,420,190,854.

Critical Accounting Policies

The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates utilized in preparing the financial statements are reasonable and prudent; however, actual results could differ from those estimates. The Fund’s significant accounting policies are described in detail in Note 1 of the Financial Statements.

The Fund records all investments at fair value in its financial statements, with changes in fair value reported as a component of realized and change in unrealized trading gain (loss) in the Statements of Operations. Generally, fair values are based on market prices; however, in certain circumstances, estimates are involved in determining fair value in the absence of an active market closing price (e.g. option and forward contracts which are traded in the inter-bank market).

Capital Resources

The Fund will raise additional capital only through the sale of units offered pursuant to the continuing offering, and does not intend to raise any capital through borrowing. Due to the nature of the Fund’s business, it will make no capital expenditures and will have no capital assets, which are not operating capital or assets. The Fund is being offered only to existing investors during the continuing offering.

The Fund maintains 40-80% of its net asset value in cash, cash equivalents or other liquid positions in its cash management program over and above that needed to post as collateral for trading. These funds are available to meet redemptions each month. After redemptions are taken into account each month, the trade level of the Fund is adjusted and positions in the instruments the Fund trades are liquidated, if necessary, on a pro-rata basis to meet those increases or decreases in trade levels.

Liquidity

Most United States commodity exchanges limit fluctuations in the prices of futures contracts during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” During a single trading day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has reached the daily limit for that day, positions in that contract can neither be taken nor liquidated. Futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Fund from promptly liquidating unfavorable positions and subject the Fund to substantial losses which could exceed the margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Fund may not be able to execute futures trades at favorable prices, if little trading in such contracts is taking place. Other than these limitations on liquidity, which are inherent in the Fund’s futures trading operations, the Fund’s assets are expected to be highly liquid.

The entire offering proceeds, without deductions, were credited to the Fund’s bank, brokerage and/or cash management accounts. The Fund meets margin requirements for its trading activities by depositing cash or U.S. government securities with the futures brokers and the over-the-counter counterparties. This does not reduce the risk of loss from trading futures, forward and option contracts. The Fund receives all interest earned on its assets. No other person shall receive any interest or other economic benefits from the deposit of Fund assets.

Approximately 10% to 30% of the Fund’s assets normally are committed as required margin for futures contracts and held by the futures brokers, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. Treasury bills in segregated accounts with the futures brokers pursuant to the Commodity Exchange Act and regulations there under. Approximately 10% to 30% of the Fund’s assets are deposited with over-the-counter counterparties in order to initiate and maintain forward and options on forward contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparties.

The general partner deposits the majority of those assets of the Fund that are not required to be deposited as margin with the futures brokers and over-the-counter counterparties in custodial accounts with Northern Trust Company. The assets deposited in the custodial accounts with Northern Trust Company are segregated. Such custodial accounts constitute approximately 40% to 80% of the Fund’s assets and are invested directly by Horizon Cash Management LLC (“Horizon”). Horizon is registered with the Securities and Exchange Commission as investment advisers under the Investment Advisers Act of 1940. Horizon does not guarantee any interest or profits will accrue on the Fund’s assets in the custodial account. Horizon will invest according to agreed upon investment guidelines that are modeled after those investments allowed by the futures broker as defined under The Commodity Exchange Act, Title 17, Part 1, § 1.25 Investment of customer funds. Investments can include, but are not limited to, (i) U.S. Government Securities, Government Agency Securities, Municipal Securities, banker acceptances and certificates of deposits; (ii) commercial paper; and (iii) short-term investment grade corporate debt.

The Fund occasionally receives margin calls (requests to post more collateral) from its futures brokers or over-the-counter counterparties, which are met by moving the required portion of the assets held in the custody accounts at Northern Trust to the margin accounts. In the past three years, the Fund has not needed to liquidate any position as a result of a margin call.

The Fund’s assets are not and will not be, directly or indirectly, commingled with the property of any other person in violation of law or invested in or loaned to Campbell & Company or any affiliated entities.

Off-Balance Sheet Risk

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Fund trades in futures, forward and options contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Fund, market risk, that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Fund at the same time, and if the Fund’s trading advisor was unable to offset futures interests positions of the Fund, the Fund could lose all of its assets and the Limited Partners would realize a 100% loss. Campbell & Company, Inc., the general partner (who also acts as trading advisor), minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%.

In addition to market risk, in entering into futures, forward and option contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts traded in the United States and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.

In the case of forward and option contracts, which are traded on the interbank market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a group of financial institutions; thus there may be a greater counterparty credit risk. Campbell & Company trades for the Fund only with those counterparties which it believes to be creditworthy. All positions of the Fund are valued each day at fair value. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund.

Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts Accounted for at Fair Value

The Fund invests in futures and forward currency contracts. Prior to September 2011, the Fund also invested in options on forward currency contracts. 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 of the last business day of the reporting period. The fair value of forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) of 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.

Results of Operations

The returns for the nine months ending September 30, 2011 and 2010 were (3.98)% and 1.80%, respectively. During the nine months ended September 30, 2011 and 2010, the Fund accrued brokerage fees in the amount of $69,814,633 and $78,051,063, respectively, and paid brokerage fees in the amount of $71,109,136 and $80,024,197, respectively. No performance fees were accrued or paid during this period.

2011 (For the Nine Months Ended September 30)

Of the (3.98)% year to date return, approximately 1.67% was due to trading gains (before commissions) and approximately 0.22% was due to investment income, offset by approximately (5.87)% due to brokerage fees, operating expenses and offering costs borne by the Fund. An analysis of the 1.67% trading gain by sector is as follows:


Sector	% Gain (Loss)
Commodities		(2.66	)%
Currencies		(4.70	)
Interest Rates		14.18
Stock Indices		(5.15	)

		1.67	%

2011 started with global equities trending higher, fueled by improving U.S. labor market conditions, a “pro-business” move toward the center by President Obama, stronger corporate earnings and a general rotation from fixed income into stocks. The Fund’s long equity positions made the sector the best performer for the month, in the face of such a rising global equity environment. Commodity trading also produced gains for the month from the Fund’s long positions in agricultural and energy contracts. Most energy contracts exploded to 24 month highs on strong global demand due to cold weather in the U.S. / U.K. and civil unrest in the Middle East. Cotton started 2011 up over 16% for the month of January on surging demand from the world’s biggest consumer, China. Currency trading on the month proved difficult as the Fund’s short position in the U.S. Dollar generated losses as emerging market risk aversion was prompted by the Egyptian anti-government protests. Additional losses were recorded in the fixed income markets from the Fund’s long position in short-term European rates. The bond market was choppy during the first part of January until concerns were raised about Euro-zone inflation, causing a sell-off in short-term rates as market participants began pricing in future rate hikes.

In February, Geo-political concerns, centering on the growing Middle East/North African (MENA) populist uprising, overwhelmed commodity markets. This regional tension generated significant price movements in the energy sector fueling gains for the Fund. Precious Metals, including gold and silver, were also strong contributors, along with soft commodities such as cotton (+17% during February) and coffee as they continued their upward trends. Despite the MENA unrest, additional gains were recorded in equity trading on improving macroeconomic data supporting the global recovery theme. Currency trading took its cue from the energy complex during the month, as investors grew cautious about global monetary policy. While some of the major currencies rallied during the month, others like the New Zealand Dollar fell dramatically on the devastation of a massive earthquake in the Christchurch region. In the aggregate, currency trading was marginally positive on the month for the Fund. Fixed Income trading finished slightly negative as price action was choppy across the globe, mainly from better economic data in the early part of the month followed by risk aversion in the second half of February.

The “V–shaped” behavior in most sectors during March can be widely attributed to global stock market volatility compounded by the devastating earthquake and resulting tsunami in Japan, followed by upside surprises to manufacturing data and other economic activity as the month came to a close. Global stock markets were extremely volatile as the Middle East/North Africa (MENA) unrest and Europe’s sovereign debt crisis both worsened prior to the crisis in Japan that concluded with threats of a nuclear reactor emergency. While the Nikkei finished down approximately 8% for March, the U.S. stock market was relatively unchanged despite large mid-month swings. The Fund’s models adjusted to the abrupt price swings by reducing long equity exposure over 50% (region specific) by mid-month across the U.S., Europe and Asia. Stock indices trading was the worst performing sector for March. Commodities took their cue from the Equity markets in reacting to the “twin shocks,” with particular impact on base metal prices. Risk-aversion-based gains from long positions in energies and precious metals were not enough to overcome losses in nickel, copper and corn. Currency trading also proved challenging as Central Banks intervened, in a resolute way, in response to excess volatility and disorderly movements in exchange rates that were perceived as having adverse implications for economic and financial stability. In particular, the Fund’s short position in the Japanese Yen suffered as a result of the repatriation of Yen back to Japan. While risk exposures were light in fixed income trading, small losses were incurred in both short-term and long-term rates due to choppy market price action.

While March’s tumultuous markets were highlighted by the tragic events in Japan, April’s theme revolved around a persistently weaker U.S. Dollar coupled with a strong “risk on” appetite in global stock markets. Irrespective of the continued unrest in the Middle East/North Africa, Goldman Sachs’ warning that the commodities boom may be running out of steam and oil at multi-year highs, the bulls prevailed on strong M&A activity, a strong start to the earnings season, and the U.S. Federal Reserve’s continued pledge to keep interest rates low for an “extended period.” The U.S. Dollar Index experienced its largest monthly decline since September of last year as Bernanke maintained an accommodative stance in the U.S., while the European Central Bank raised rates to fight inflation. Additional downward pressure came in the form of an S&P downgrade, mid-month, to the U.S. long-term credit outlook. The Fund recorded solid gains in the currency sector, particularly against the Swiss Franc and commodity-linked currencies such as the Australian Dollar and the New Zealand Dollar. Commodity trading also produced substantial gains as geopolitics contributed to a strong rally in the petroleum complex. Precious metals were also solid performers as Silver came close to its all-time high when the infamous Hunt brothers attempted to corner the market in 1980. In stock indices, the Fund generally increased its net long exposure as bullish trends reasserted themselves following a chaotic March, while only maintaining a marginal short exposure in Japan. Trading in fixed income yielded flat results as gains in long positions were offset by losses from short positions.

In many ways, the commodity markets took center stage in May. The petroleum complex sold off substantially on May 5th, despite the lack of any oil-related fundamental data. In addition, precious metals saw a significant decline with the price of silver dropping 24%, giving back the entire April rally. While the Fund suffered losses in these sectors, our models significantly reduced long commodity exposure on the abrupt reversal in price action and spike in volatility throughout the month. Trading in global equities also generated losses on softer economic data, Wall Street lowering U.S. growth forecasts, and renewed European sovereign debt concerns mainly focused on Greece. While positions have been reduced in this sector, regional risk was rotated out of Europe and back to the U.S. Losses were also recorded in currency trading as the U.S. Dollar rallied against most major currencies. The Fund's long Euro position produced the biggest currency loss, as the European Central Bank disappointed expectations of rate hikes at its May policy meeting. Fixed income trading produced strong positive results, helping to mitigate losses in riskier assets as the flight-to-quality theme was dominant in May.

The Greek debt crisis continued to dominate price movement in June, leading to the eventual passage of an austerity plan at month-end. In addition, the U.S. Federal Reserve, which continues to expect that economic conditions are likely to warrant exceptionally low interest rates for an extended period, gave no hint of a new “QE3” program. Commodity trading was difficult in June, particularly in the energy complex, as prices continued to fall from late April/early May highs. Concerns about the European sovereign debt crisis, discord with OPEC, and an unexpected and controversial use of U.S. and European strategic petroleum reserves by the IEA (International Energy Agency) and the DOE (Department of Energy) weighed heavy on prices. Additional losses were recorded in precious and base metals. Trading in global equities also produced negative results as stock markets around the world declined on Greek debt concerns and weak economic data. While the Fund’s models generally reduced overall long stock index exposure throughout the month, concentrations remained in the U.S. and Europe with mixed positioning in Asia. Risky assets rallied and bond prices fell across the globe during the last few days of the month after the austerity package in Greece was finally passed. Small losses were recorded in fixed income trading, particularly on the short-end of the curve. Foreign exchange markets were largely unchanged in June, despite a rollercoaster of headlines that caused the currency markets to fluctuate intra-month. The Fund continued to maintain a short U.S. Dollar exposure versus most major currencies.

During the month of July, the markets were fixated on the ongoing sovereign debt crisis in both Europe and the U.S. As risky assets suffered, bond prices were driven higher from investors flocking to the safety of fixed income, yielding strong gains for the Fund’s global long position. While U.S. Treasuries finished the month up over 2%, U.K. Gilts finished up 4%, German Bunds were up 3.5%, Japanese Bonds closed up 5% and Canadian Bonds increased by 2.5%. Additional gains were recorded in foreign exchange trading as the U.S. Dollar continued its downward trend against most major currencies. The U.S. Dollar, in particular, fell to new all-time lows against the Swiss Franc and the New Zealand Dollar, some of the best performing markets for the Fund in July. Commodity trading was also strongly positive in July, particularly from precious metals, as safe-haven buying supported prices in gold and silver. Additional profits came from soft commodities as sugar continued its upward trend, gaining 12% in July, on signs that Brazil’s production would not match expectations. The base metals and energy sector yielded small gains, while grains yielded small losses. The stock index sector was the only losing sector during the month as European sovereign debt remained a concern, economic data was mixed to weaker–than-expected, and the U.S. debt-ceiling and deficit-reduction debate took center stage. While the Fund reduced net long exposure in Europe, position exposure increased in the Pacific Rim and in North America.

Volatility was extremely elevated in August stemming mainly from the S&P downgrade of the United States Triple-A credit rating after weeks of contentious political debate. Strong gains in fixed income were recorded during the month as risk appetite diminished sending yields in both the U.S. and European fixed income markets lower. However, the reduction in risk appetite was a primary driver for losses in currency trading, stock indices and commodities. As a consequence of market volatility, European Union regulators implemented restrictions on short selling in various stock indices. The Fund’s trading is also subject to these restrictions and appropriate action was taken to be in compliance. While the Fund was still able to short certain stock index contracts in Europe, others have been temporarily removed from the portfolio. The Fund continued to take advantage of stock market volatility (indirectly) through trading in currencies, bonds and commodities.

The markets were in risk aversion mode in September as the pressure of implementing fiscal austerity in the Eurozone continued. Negative sentiment in macroeconomic growth stoked fears of recessions and overwhelmed some tentative signs of optimism. The Fund was able to benefit from the flight out of risky assets as bond prices pushed higher. Equity Indices also yielded gains in the Fund, primarily from short positions in Europe and Asia as stocks globally finished lower. These gains were not enough to offset losses experienced in the other sectors. Risk assets struggled during the month, and the recipient of the need for perceived safety was the U.S. Dollar which was up nearly 6% for the month. The Fund, having been positioned with the prevailing trend of a weaker U.S. Dollar, recorded its largest losses in the Foreign Exchange sector as a result of the Greenback’s rally. The Fund’s models adjusted positioning in response to the dramatic move; however, the losses in this sector were difficult to offset. Commodities amplified the theme of bearish global macroeconomic conditions resulting in overall losses in the sector for the Fund. Precious metals reversed significantly, with nearly a 28% decline in silver and 11% in gold, perhaps implying deflation was on the horizon. Base metal positions helped dampen losses from energy trading, despite some well positioned shorts during the month. Uncertainty continues to plague the market which can prove challenging for a portfolio that has trend-following at its core.

2010 (For the Nine Months Ended September 30)

Of the 1.80% year to date return, approximately 7.23% was due to trading gains (before commissions) and approximately 0.38% was due to investment income, offset by approximately (5.81)% due to brokerage fees, operating expenses and offering costs borne by the Fund. An analysis of the 7.23% trading gain by sector is as follows:


Sector	% Gain (Loss)
Commodities		14.94	%
Currencies		0.85
Interest Rates		(2.81	)
Stock Indices		(5.75	)

		7.23	%

The New Year began with an equity sell-off in the second half of the month as global confidence in a steady recovery, again, began to waver, resulting in trading losses for the Fund’s net long equity indices positions. Primary drivers were related to: (1) China’s efforts to manage growth; (2) questionable stability of the European Union as Greece potentially defaults on sovereign debt; and (3) the potential heavy-handed regulation of the U.S. banking system. As the global risk trade unwound, the Fund’s commodity positions also produced losses, largely in the energy complex and in base metals. The global negative news detracted from a relative positive earnings season and signs of improved economic data. Further losses were recorded in currency trading as the U.S. Dollar was, once again, seen as a safe haven as the economic health of several nations was called into question. Marginal gains were recorded in fixed income as we were able to benefit from the steepening of the yield curve as a result of short-term interest rates being kept at extremely low levels by global central banks.

The first half of February was somewhat subdued as the market digested mixed U.S. employment numbers versus the unemployment rate. By mid-month, the U.S. Federal Reserve surprised the markets by deciding to hike the discount rate, in a clear sign that the pace of their exit strategy may be more aggressive than originally anticipated. The Fund’s long positions in short-term rates, both in the U.S. and Europe, fueled strong gains in the sector for the remainder of the month. Gains were also recorded in currency trading as the Euro currency weakened against most majors on accelerated sovereign fears evidenced by the record high cost of insuring Greek and Portuguese debt. Global equity indices trading produced small losses for the Fund as a result of dealing with diverse global macroeconomic challenges (weakening Euro, China central bank intervention and U.S. employment and earnings season results). While the market finished generally negative in Europe and Asia, the U.S. managed to record a gain on largely upbeat fourth quarter earnings announcements with many S&P constituents beating consensus expectations. Commodity trading resulted in generally negative results as the structural imbalances in Europe, and the strong relative performance of the U.S. economy versus the Eurozone helped “de-link” Europe from the risk trade, keeping commodities in alignment with U.S. stocks. While energy prices rallied for most of the month, precious metals sold off early only to turn positive as the market used gold as a safe haven against Eurozone turmoil.

March proved to be a very strong month for trends as the Fund’s long positions in energies and base metals benefited from prices moving higher on climbing global economic growth prospects. Global equity indices also provided gains for the Fund’s long positions as prices surged on renewed merger and acquisition activity, positive news centered on economic releases, and subdued fears regarding Greece’s finances. Marginal gains were recorded in the foreign exchange markets as the return of the carry trade pushed commodity linked currencies higher. Almost all central banks have acknowledged that the worst has passed; however, the lack of flexibility to induce fresh fiscal or monetary stimulus has forced a lower for longer interest rate policy globally. The Fund’s net gains were partially offset by losses in the fixed income markets from our long positions in U.S. Treasury futures as prices fell during the month. In the U.S. fixed income market, heavy supply put pressure on bond prices, and U.S. Treasury yields were higher than swap yields for the first time on record.

April performance was led by strong gains in the fixed income markets from long positions in Europe and from U.S. Bond prices that moved higher during the month as the Greece sovereign debt concerns and fears of contagion played center stage in global markets. Currency trading also benefited from the sovereign debt fears and from perceived signs of positive economic growth beginning to materialize. Further gains were recorded in energy and precious metals, as energy markets continued its high correlation to the S&P and investor demand for precious metals continued to grow. Marginal losses were incurred in base metals trading as these markets moved lower on U.S. dollar strength. Global equity indices trading produced flat performance, with net longs across the board producing positive results in the U.S., negative results in Europe, and flat performance in Asia.

As European sovereign debt concerns persist and China tightened credit in an attempt to cool overheating in its property sector, the decline in equity markets by the end of May was wide-spread across the U.S., Europe and Asia. The “flash crash” in the U.S. equities markets on May 6th added to the unsettling nature of equity market price behavior throughout the month. While the Fund experienced losses in equity indices, gains in fixed income help offset the flight from risky assets in favor of government debt. Commodity trading was difficult for the Fund, particularly in the Energy sector, as the complex fell in tandem with the equity markets until a late month bounce. While British Petroleum’s spill in the Gulf continued to flow uncontrollably, the disaster has not significantly affected the supply of oil into the U.S. to date. Along with the scare in Greece, the Euro came under pressure against the U.S. Dollar as comments from Federal Reserve Chairman Bernanke raised concerns over the Euro zone’s bank funding. The U.S. Dollar was, once again, viewed as a safe position trade as risk aversion, volatility and liquidity dominated currency markets contributing to gains in the Foreign Exchange sector for the Fund.

In June, another month of the “risk off” trade gave government bonds a bid, which produced healthy gains from long global fixed income positions. Unfortunately, these gains were offset by losses in equity indices, foreign exchange and commodities. Long equity positions suffered from an equity sell off, which primarily stemmed from weaker than expected U.S. and Chinese economic data, negative corporate news and interbank funding concerns in the European region. Foreign exchange trading generated losses primarily from the Fund’s short Swiss Franc position as the currency rallied 7% vs. the U.S. Dollar based on Swiss National Bank comments softening its intervention language. Commodity trading produced minimal losses, largely from our trading in natural gas futures which ended up 3.6% after finally breaking out of a three month range. The oil spill in the Gulf of Mexico had not been a significant factor on short-term price movements but most analysts agree that the real impact will be long-term as the cost of production is almost sure to go higher on the back of tighter regulation.

Catalysts for the equity rally in July hinged on strong economic data out of Europe, positive results from European bank stress tests and an increase in positive sentiment out of China. The S&P 500 and Dow Jones recorded gains of approximately 7% in July, adding another twist to their rollercoaster paths. Small gains were recorded in the European and U.S. equity markets from long positions in stock index futures as over-sold conditions paved the way for a reversal higher. Stocks rallied on better-than-expected second quarter earnings, increased M&A activity, higher dividends and additional buybacks. The Fund experienced losses in commodities, primarily from short positions in crude oil and long positions in precious metals. The correlation between equities and energies remained high and the rally in global equities sparked profit taking, reducing investor demand for gold as a safe haven. The Fund had additional losses in foreign exchange from short positions in the Euro/Yen cross, as the Euro showed renewed signs of life, appreciating more than 4% against the Yen. Losses were offset by gains in equities trading and in short-term fixed income markets from long positions in Eurodollar interest rate futures. Weaker-than-expected U.S. economic data led the market to believe that the Federal Reserve will need to keep interest rates low for an extended period.

The release of the August U.S. Federal Reserve meeting minutes resulted in yet another sell-off of “risk assets,” which helped contribute to the rise in fixed income prices. Yields reached multi-year lows in the U.S., Europe and U.K., resulting in gains from the Trust’s long fixed income positions, especially on the long end of the curve. Smaller gains were realized in the commodity markets, primarily in precious metals. Gold fully retraced July’s corrective sell-off, with its August month-end market value closing several ticks higher than the June close. The Fund’s long gold position benefitted from gold’s safe-haven status, as well as from news out of China, the world’s largest consumer and producer of gold, that they will allow greater access to trading of the metal. The Fund’s long silver position also produced favorable results due to its lock-step trading with gold. Long global equity indices holdings resulted in losses for the month. Weak labor and housing data releases, coupled with the FOMC’s downgrade of its assessment of the U.S. economic outlook, contributed to the poor performance of U.S. market indices. Japanese equities fared worse, as the stubbornly strong Japanese Yen weighs on Japanese exporters. By month-end, the Euro Stoxx 50 lost nearly 4.5%, the S&P 500 fell about 4.75%, and the Japanese Nikkei lost almost 7.5%. Additional losses were recorded in the foreign exchange markets from short positions in the Euro/Yen cross as the Euro appreciated more than 4% against the Japanese Yen. The Euro moved higher against most currencies as investors covered short positions as the Euro showed renewed signs of life.

Asset prices during the month of September were driven by FOMC hinting that the Federal Reserve is ready and willing to undergo a second round of quantitative easing. While the U.S. Dollar and interest rates fell, equities and commodities rose significantly. Commodity trading was the dominant contributor to positive performance for the month, particularly in precious and base metals, grains and soft commodities. Gold prices reached all-time highs, while silver rallied 12% to levels not seen since the early 1980s. Aluminum and nickel prices also posted double-digit increases during the month. Elevated demand and weather-related supply concerns pushed sugar, cotton and corn prices up over 22%, 17% and 10%, respectively. While commodity trading was a strong driver, foreign exchange was also a material contributor to performance, particularly from commodity-linked currencies. The month brought U.S. dollar weakness against all major currencies as investors bet the Federal Reserve would implement a fresh round of asset purchases to jump-start the slowing U.S. economy. Smaller gains were recorded in the equity markets as prices surged higher on fewer concerns of a “double-dip” U.S. recession and a continued increase in M&A activity. Stocks in Asia took the lead, followed by the U.S. and Europe, which lagged due to ongoing sovereign debt level concerns. A portion of the Fund’s gains were offset by losses in fixed income markets as bond prices were extremely volatile during September.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Introduction

Past Results Not Necessarily Indicative of Future Performance

The Fund is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or a substantial amount of the Fund’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Fund’s main line of business.

Market movements result in frequent changes in the fair market value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades.

The Fund rapidly acquires and liquidates both long and short positions in a wide range of difference markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Fund’s past performance is not necessarily indicative of its futures results.

Standard of Materiality

Materiality as used in this section, “Quantitative and Qualitative Disclosures About Market Risk,” is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage and multiplier features of the Fund’s market sensitive instruments.

Quantifying the Fund’s Trading Value at Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the Fund’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact (such as the dollar amount of maintenance margin required for market risk sensitive instruments held at the end of the reporting period).

The Fund’s risk exposure in the various market sectors traded is estimated in terms of Value at Risk (VaR). The Fund estimates VaR using a model based upon historical simulation (with a confidence level of 97.5%) which involves constructing a distribution of hypothetical daily changes in the value of a trading portfolio. The VaR model takes into account linear exposures to risks, including equity and commodity prices, interest rates, foreign exchange rates, and correlation among these variables. The hypothetical changes in portfolio value are based on daily percentage changes observed in key market indices or other market factors to which the portfolio is sensitive. The Fund’s VaR at a one day 97.5% confidence level of the Fund’s VaR corresponds to the negative change in portfolio value that, based on observed market risk factors, would have been exceeded once in 40 trading days or one day in 40. VaR typically does not represent the worst case outcome.

The Fund uses approximately one quarter of daily market data and revalues its portfolio for each of the historical market moves that occurred over this time period. This generates a probability distribution of daily “simulated profit and loss” outcomes. The VaR is the 2.5 percentile of this distribution.

The VaR for a sector represents the one day downside risk for the aggregate exposures associated with this sector. The current methodology used to calculate 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.

The Fund’s VaR computations are based on the risk representation of the underlying benchmark for each instrument or contract and does not distinguish between exchange and non-exchange dealer-based instruments. It is also not based on exchange and/or dealer-based maintenance margin requirements.

VaR models, including the Fund’s, are continually evolving as trading portfolios become more diverse and modeling techniques and systems capabilities improve. Please note that the VaR model is used to numerically quantify market risk for historic reporting purposes only and is not utilized by the Fund in its daily risk management activities. Please further note that VaR as described above may not be comparable to similarly titled measures used by other entities.

Because the business of the Fund is the speculative trading of futures, forwards and options, the composition of the Fund’s trading portfolio can change significantly over any given time period, or even within a single trading day, which could positively or negatively materially impact market risk as measured by VaR.

The Fund’s Trading Value at Risk in Different Market Sectors

The following tables indicate the trading Value at Risk associated with the Fund’s open positions by market category as of September 30, 2011 and December 31, 2010 and the trading gains/losses by market category for the nine months ended September 30, 2011 and the year ended December 31, 2010.

September 30, 2011


				Trading
Market Sector	Value at Risk*			Gain/(Loss)**
Commodities		0.72	%		(2.66	)%
Currencies		0.94	%		(4.70	)%
Interest Rates		1.28	%		14.18	%
Stock Indices		0.59	%		(5.15	)%

Aggregate/Total		1.61	%		1.67	%

*	— 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 (3.98)% return for the nine months ended September 30, 2011, approximately 1.67% was due to trading gains (before commissions) and approximately 0.22% was due to investment income, offset by approximately (5.87)% due to brokerage fees, operating expenses and offering costs borne by the Fund.

December 31, 2010


				Trading
Market Sector	Value at Risk*			Gain/(Loss)**
Commodities		0.83	%		3.30	%
Currencies		0.46	%		3.10	%
Interest Rates		0.45	%		12.22	%
Stock Indices		0.48	%		(2.31	)%

Aggregate/Total		1.72	%		16.31	%


*	— 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 9.04% return for the twelve months ended December 31, 2010, approximately 16.31% was due to trading gains (before commissions) and approximately 0.46% was due to investment income, offset by approximately (7.73%) due to brokerage fees, operating expenses and offering costs borne by the Fund.

Material Limitations of Value at Risk as an Assessment of Market Risk

The following limitations of VaR as an assessment of market risk should be noted:

1)		Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;

2)		Changes in portfolio value caused by market movements may differ from those of the VaR model;

3)		VaR results reflect past trading positions while future risk depends on future positions;

4)		VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and

5)		The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.

VaR is not necessarily representative of historic risk nor should it be used to predict the Fund’s future financial performance or its ability to manage and monitor risk. There can be no assurance that the Fund’s actual losses on a particular day will not exceed the VaR amounts indicated or that such losses will not occur more than once in 40 trading days.

Non-Trading Risk

The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Fund also has non-trading market risk as a result of investing a substantial portion of its available assets in U.S. Treasury Bills held at the broker and over-the-counter counterparty. The market risk represented by these investments is minimal. Finally, the Fund has non-trading market risk on fixed income securities held as part of its cash management program. The cash managers will use their best endeavors in the management of the assets of the Fund but provide no guarantee that any profit or interest will accrue to the Fund as a result of such management.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

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

The following were the primary trading risk exposures of the Fund as of September 30, 2011, by market sector.

Currencies

The Fund’s currency exposure is to foreign exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Fund trades in a large number of currencies, including cross-rates — i.e., positions between two currencies other than the U.S. Dollar. Campbell & Company does not anticipate that the risk profile of the Fund’s currency sector will change significantly in the future.

Interest Rates

Interest rate movements directly affect the price of the sovereign bond positions held by the Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Fund’s profitability. The Fund’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. Campbell & Company anticipates that G-7 interest rates will remain the primary rate exposure of the Fund for the foreseeable future. Changes in the interest rate environment will have the most impact on longer dated fixed income positions, at points of time throughout the year the majority of the speculative positions held by the Fund may be held in medium to long-term fixed income positions.

Stock Indices

The Fund’s primary equity exposure is to equity price risk in the G-7 countries and several other countries or regions (Australia, Hong Kong, Singapore, Spain, Taiwan and the Netherlands). The stock index futures traded by the Fund are by law limited to futures on broadly based indices. The Fund is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices. Markets that trade in a narrow range could result in the Fund’s positions being “whipsawed” into numerous small losses.

Energy

The Fund’s primary energy market exposure is to natural gas, crude oil and derivative product price movements, often resulting from international political developments and ongoing conflicts in the Middle East and the perceived outcome. Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

Metals

The Fund’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, nickel, silver and zinc.

Agricultural

The Fund’s agricultural exposure is to the fluctuations of the price of cattle, coffee, corn, cotton, hogs, soy, sugar and wheat.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the primary non-trading risk exposures of the Fund as of September 30, 2011.

Foreign Currency Balances

The Fund’s primary foreign currency balances are in Australian Dollar, Japanese Yen, British Pounds and Euros. The Fund controls the non-trading risk of these balances by regularly converting these balances back into dollars (no less frequently than twice a month, and more frequently if a particular foreign currency balance becomes unusually large).

Fixed Income Securities

The Fund’s primary market exposure in instruments (other than treasury positions described in the subsequent section) held other than for trading is in its fixed income portfolio. The cash manager, Horizon, has authority to make certain investments on behalf of the Fund. All securities purchased by the cash manager on behalf of the Fund will be held in the Fund’s custody account at the custodian. The cash manager will use its best endeavors in the management of the assets of the Fund but provide no guarantee that any profit or interest will accrue to the Fund as a result of such management.

Treasury Bill Positions Held for Margin Purposes

The Fund also has market exposure in its Treasury Bill portfolio. The Fund holds Treasury Bills (interest bearing and credit risk-free) with maturities no longer than six months. Violent fluctuations in prevailing interest rates could cause minimal mark-to-market losses on the Fund’s Treasury Bills, although substantially all of these short-term investments are held to maturity.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

The means by which the Fund and Campbell & Company, severally, 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 reducing position sizes dynamically in response to trading losses.

Campbell & Company manages the risk of the Fund’s non-trading instruments of Treasury Bills held for margin purposes by limiting the duration of such instruments to no more than six months. Campbell & Company manages the risk of the Fund’s fixed income securities held for cash management purposes by restricting the cash managers to investing in securities that are modeled after those investments allowed by the futures broker as defined under The Commodity Exchange Act, Title 17, Part 1, § 1.25 Investment of customer funds. Investments can include, but are not limited to, (i) U.S. Government Securities, Government Agency Securities, Municipal Securities, banker acceptances and certificates of deposits; (ii) commercial paper; and (iii) short-term investment grade corporate debt.

General

The Fund is unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or uncertainties that will have a material effect on operations. From time to time, certain regulatory agencies have proposed increased margin requirements on futures contracts. Because the Fund generally will use a small percentage of assets as margin, the Fund does not believe that any increase in margin requirements, as proposed, will have a material effect on the Fund’s operations.

Item 4. Controls and Procedures

Campbell & Company, Inc., the general partner of the Fund, with the participation of the general partner’s Chief Executive Officer and Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in the Securities Exchange Act of 1934 Rules 13a-15(e) or 15d-15(e)) with respect to the Fund as of the end of the period covered by this quarterly report. Based on their evaluation, the Chief Executive Officer and Chief Financial Officer have concluded that these disclosure controls and procedures are effective. There were no changes in the general partner’s internal control over financial reporting applicable to the Fund identified in connection with the evaluation required by paragraph (d) of Exchange Act Rules 13a-15 or 15d-15 that occurred during the last fiscal quarter that have materially affected, or is reasonably likely to materially affect, internal control over financial reporting applicable to the Fund.

PART II-OTHER INFORMATION

Item 1. Legal Proceedings.

None

Item 1A. Risk Factors.

None

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

None

Item 3. Defaults Upon Senior Securities.

Not applicable.

Item 4. (Removed and Reserved).

Item 5. Other Information.

None

Item 6. Exhibits.


Exhibit
Number		Description of Document

31.01		Certification of Stephen C. Roussin, 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 Stephen C. Roussin, 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.

101.01		The following financial statements from the Fund's Quarterly Report on Form 10-Q for the quarter ended September 30, 2011 formatted in XBRL (eXtensible Business Reporting Language); (i) Condensed Schedule of Investments; (ii) Statements of Financial Condition; (iii) Statements of Operations; (iv) Statements of Cash Flows; (v) Statements of Changes in Partners’ Capital (Net Asset Value); and (vi) Notes to Financial Statements.*

In accordance with Rule 406T of Regulation S-T, the XBRL related information in Exhibit 101.01 shall not be deemed to be “filed” for purposes of Section 11 and Section 12 of the Securities Act of 1933 and Section 18 of the Securities Exchange Act of 1934, or otherwise subject to liability under those sections.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.


	CAMPBELL STRATEGIC ALLOCATION FUND, L.P. (Registrant)
	By:	Campbell & Company, Inc.
		General Partner



Date: November 14, 2011	By:	/s/ Stephen C. Roussin
		Stephen C. Roussin
		Chief Executive Officer

EXHIBIT INDEX

31.01		Certification of Stephen C. Roussin, 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 Stephen C. Roussin, 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.


101.01		The following financial statements from the Fund's Quarterly Report on Form 10-Q for the quarter ended September 30, 2011 formatted in XBRL (eXtensible Business Reporting Language); (i) Condensed Schedule of Investments; (ii) Statements of Financial Condition; (iii) Statements of Operations; (iv) Statements of Cash Flows; (v) Statements of Changes in Partners’ Capital (Net Asset Value); and (vi) Notes to Financial Statements.*

Net Asset Value per General and Limited Partner Unit

September 30, 2011

December 31, 2010

September 30, 2010

December 31, 2009