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EX-31.1 - EXHIBIT 31.01 - CAMPBELL STRATEGIC ALLOCATION FUND LPcsafexhibit31_01.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

FORM 10-Q

Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the quarterly period ended September 30, 2018
or

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: 000-22260

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 ☑ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive data File required to be submitted 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 such files).  Yes ☑ No ☐

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

 Large accelerated filer ☐
Accelerated filer
Non-accelerated filer ☑
Smaller reporting company
   
 
Emerging growth company ☐
   

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Securities Act.

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).  Yes ☐ No ☑



TABLE OF CONTENTS

 
Page
PART I — FINANCIAL INFORMATION
 
       
 
Item 1.
Financial Statements.
 
       
   
1-4
       
   

Statements of Financial Condition as of September 30, 2018 and December 31, 2017 (Unaudited)

5
       
   
6
       
   
7
       
   
8
       
   
9
       
   
10-19
       
 
Item 2.
20-27
       
 
Item 3.
28-31
       
 
Item 4.
31
       
PART II — OTHER INFORMATION
 
       
 
Item 1.
32
       
 
Item 1A.
32
       
 
Item 2.
32
       
 
Item 3.
32
       
 
Item 4.
32
       
 
Item 5.
32
       
 
Item 6.
33-34
       
35

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018 (Unaudited)
 
FIXED INCOME SECURITIES
 
 
Maturity
Face Value
 
Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
     
Asset Backed Securities
           
     
United States
           
     
Auto Loans
 
$
9,234,444
     
4.46
%
     
Credit Cards
   
4,011,519
     
1.94
%
     
Total Asset Backed Securities (cost $13,288,231)
   
13,245,963
     
6.40
%
     
 
               
     
Bank Deposits
               
     
United States
               
     
Financials
   
2,889,252
     
1.40
%
     
Total Bank Deposits (cost $2,889,949)
   
2,889,252
     
1.40
%
     
 
               
     
Commercial Paper
               
     
United Kingdom
               
     
Financials (cost $1,833,161)
   
1,832,842
     
0.89
%
     
United States
               
     
Communications
   
11,378,404
     
5.50
%
     
Consumer Discretionary
   
12,182,972
     
5.89
%
     
Consumer Staples
   
5,555,258
     
2.68
%
     
Energy
   
6,020,984
     
2.91
%
     
Financials
   
13,490,301
     
6.52
%
     
Industrials
   
3,189,227
     
1.54
%
     
Utilities
   
11,689,092
     
5.65
%
     
Total United States (cost $63,519,355)
   
63,506,238
     
30.69
%
     
Total Commercial Paper (cost $65,352,516)
   
65,339,080
     
31.58
%
     
 
               
     
Corporate Bonds
               
     
Australia
               
     
Financials (cost $364,949)
   
364,689
     
0.18
%
     
Canada
               
     
Financials (cost $6,288,257)
   
6,279,757
     
3.04
%
     
Ireland
               
     
Financials (cost $1,445,236)
   
1,444,076
     
0.70
%
     
Japan
               
     
Financials (cost $1,298,271)
   
1,291,037
     
0.62
%
     
United Kingdom
               
     
Energy
   
1,197,635
     
0.58
%
     
Financials
   
4,348,463
     
2.10
%
     
Total United Kingdom (cost $5,538,793)
   
5,546,098
     
2.68
%
     
United States
               
     
Communications
   
6,195,377
     
2.99
%
     
Consumer Discretionary
   
4,144,026
     
2.00
%
     
Consumer Staples
   
4,749,154
     
2.30
%
     
Energy
   
1,323,354
     
0.64
%
     
Financials
   
22,050,870
     
10.66
%
     
Industrials
   
2,821,842
     
1.36
%
     
Technology
   
4,024,024
     
1.94
%
     
Utilities
   
476,182
     
0.23
%
     
Total United States (cost $45,786,904)
   
45,784,829
     
22.12
%
     
Total Corporate Bonds (cost $60,722,410)
   
60,710,486
     
29.34
%
     
 
               
     
Government and Agency Obligations
               
     
United States
               
     
U.S. Treasury Bills
     
       
 
$
4,235,000
 
U.S. Treasury Bills * Due 10/25/2018
   
4,229,149
     
2.04
%
$
15,595,000
 
U.S. Treasury Bills * Due 11/23/2018
   
15,546,699
     
7.52
%
$
14,407,500
 
U.S. Treasury Bills * Due 12/20/2018
   
14,339,545
     
6.93
%
     
Total Government And Agency Obligations (cost $34,117,147)
   
34,115,393
     
16.49
%
     
Total Fixed Income Securities ** (cost $176,370,253)
 
$
176,300,174
     
85.21
%

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018 (Unaudited)

SHORT TERM INVESTMENTS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Money Market Funds
           
United States
           
Money Market Funds (cost $1,179,772)
 
$
1,179,772
     
0.57
%
Total Short Term Investments (cost $1,179,772)
 
$
1,179,772
     
0.57
%

LONG FUTURES CONTRACTS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Agriculture
 
$
(36,548
)
   
(0.02
)%
Energy
   
1,913,678
     
0.92
%
Metals
   
534,723
     
0.26
%
Stock indices
   
2,076,395
     
1.00
%
Short-term interest rates
   
(21,607
)
   
(0.01
)%
Long-term interest rates
   
(504,662
)
   
(0.24
)%
Net unrealized gain (loss) on long futures contracts
   
3,961,979
     
1.91
%

SHORT FUTURES CONTRACTS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Agriculture
   
1,320,685
     
0.64
%
Energy
   
(162,488
)
   
(0.08
)%
Metals
   
(221,282
)
   
(0.11
)%
Stock indices
   
(15,894
)
   
(0.01
)%
Short-term interest rates
   
906,565
     
0.44
%
Long-term interest rates
   
837,805
     
0.41
%
Net unrealized gain (loss) on short futures contracts
   
2,665,391
     
1.29
%
Net unrealized gain (loss) on open futures contracts
 
$
6,627,370
     
3.20
%

FORWARD CURRENCY CONTRACTS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Various long forward currency contracts
 
$
156,752
     
0.07
%
Various short forward currency contracts
   
(2,675,197
)
   
(1.29
)%
Net unrealized gain (loss) on open forward currency contracts
 
$
(2,518,445
)
   
(1.22
)%


*
Pledged as collateral for the trading of futures and forward positions.
**
Included in fixed income securities are U.S. Treasury Bills with a fair value of $27,803,527 deposited with the futures brokers and $6,311,866 deposited with the interbank market makers.

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2017 (Unaudited)
 
FIXED INCOME SECURITIES
  
 
Maturity
Face Value
 
Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
     
Asset Backed Securities
           
     
United States
           
     
Auto Loans
 
$
12,261,344
     
4.52
%
     
Credit Cards
   
6,169,797
     
2.28
%
     
Equipment Loans
   
150,539
     
0.06
%
     
Total Asset Backed Securities (cost $18,620,611)
   
18,581,680
     
6.86
%
     
 
               
     
Bank Deposits
               
     
Canada
               
     
Financials (cost $1,259,918)
   
1,259,553
     
0.46
%
     
United States
               
     
Financials (cost $3,571,839)
   
3,571,811
     
1.32
%
     
Total Bank Deposits (cost $4,831,757)
   
4,831,364
     
1.78
%
     
 
               
     
Commercial Paper
               
     
Japan
               
     
Financials (cost $3,873,247)
   
3,872,670
     
1.43
%
     
Switzerland
               
     
Financials (cost $1,442,613)
   
1,441,739
     
0.53
%
     
United States
               
     
Communications
   
3,462,175
     
1.28
%
     
Consumer Discretionary
   
9,188,026
     
3.39
%
     
Consumer Staples
   
7,466,892
     
2.76
%
     
Energy
   
5,473,542
     
2.02
%
     
Financials
   
19,389,778
     
7.16
%
     
Industrials
   
14,765,234
     
5.45
%
     
Utilities
   
24,115,891
     
8.90
%
     
Total United States (cost $83,874,489)
   
83,861,538
     
30.96
%
     
Total Commercial Paper (cost $89,190,349)
   
89,175,947
     
32.92
%
     
 
               
     
Corporate Bonds
               
     
Canada
               
     
Financials (cost $1,184,446)
   
1,175,657
     
0.43
%
     
United Kingdom
               
     
Energy
   
2,254,371
     
0.83
%
     
Financials
   
1,248,599
     
0.46
%
     
Total United Kingdom (cost $3,508,126)
   
3,502,970
     
1.29
%
     
United States
               
     
Communications
   
16,668,168
     
6.15
%
     
Consumer Discretionary
   
12,486,862
     
4.61
%
     
Consumer Staples
   
3,447,171
     
1.27
%
     
Energy
   
1,324,944
     
0.49
%
     
Financials
   
33,614,909
     
12.42
%
     
Industrials
   
4,171,249
     
1.54
%
     
Technology
   
2,573,693
     
0.95
%
     
Utilities
   
728,006
     
0.27
%
     
Total United States (cost $75,005,167)
   
75,015,002
     
27.70
%
     
Total Corporate Bonds (cost $79,697,739)
   
79,693,629
     
29.42
%
     
 
               
     
Government and Agency Obligations
               
     
United States
               
     
U.S. Treasury Bills
               
$
20,192,500
 
U.S. Treasury Bills * Due 02/22/2018
   
20,156,456
     
7.44
%
$
26,182,500
 
U.S. Treasury Bills * Due 03/29/2018
   
26,097,201
     
9.63
%
$
7,800,000
 
U.S. Treasury Bills * Due 04/26/2018
   
7,766,346
     
2.87
%
     
Total Government And Agency Obligations (cost $54,044,709)
   
54,020,003
     
19.94
%
     
Total Fixed Income Securities ** (cost $246,385,165)
 
$
246,302,623
     
90.92
%

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2017 (Unaudited)

SHORT TERM INVESTMENTS


Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Money Market Funds
           
United States
           
Money Market Funds (cost $7,756)
 
$
7,756
     
0.00
%
Total Short Term Investments (cost $7,756)
 
$
7,756
     
0.00
%

LONG FUTURES CONTRACTS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Agriculture
 
$
458,120
     
0.17
%
Energy
   
2,106,079
     
0.77
%
Metals
   
3,278,710
     
1.21
%
Stock indices
   
1,995,154
     
0.74
%
Short-term interest rates
   
(120,526
)
   
(0.04
)%
Long-term interest rates
   
(2,543,785
)
   
(0.94
)%
Net unrealized gain (loss) on long futures contracts
   
5,173,752
     
1.91
%

SHORT FUTURES CONTRACTS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Agriculture
   
1,210,948
     
0.45
%
Energy
   
(1,004,550
)
   
(0.37
)%
Metals
   
(1,305,307
)
   
(0.49
)%
Stock indices
   
(57,380
)
   
(0.02
)%
Short-term interest rates
   
137,411
     
0.05
%
Long-term interest rates
   
182,369
     
0.07
%
Net unrealized gain (loss) on short futures contracts
   
(836,509
)
   
(0.31
)%
Net unrealized gain (loss) on open futures contracts
 
$
4,337,243
     
1.60
%

FORWARD CURRENCY CONTRACTS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Various long forward currency contracts
 
$
7,702,899
     
2.84
%
Various short forward currency contracts
   
(6,151,386
)
   
(2.27
)%
Net unrealized gain (loss) on open forward currency contracts
 
$
1,551,513
     
0.57
%


*
Pledged as collateral for the trading of futures and forward positions.
**
Included in fixed income securities are U.S. Treasury Bills with a fair value of $33,898,317 deposited with the futures brokers and  $20,121,686 deposited with the interbank market makers.

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
SEPTEMBER 30, 2018 AND DECEMBER 31, 2017 (Unaudited)

     
September 30, 2018
   
December 31, 2017
 
ASSETS
             
Equity in futures brokers trading accounts
             
Cash
 
$
14,488,208
   
$
24,706,781
 
Restricted cash
   
0
     
409,892
 
Fixed income securities (cost $27,805,160 and $33,911,899, respectively)
   
27,803,527
     
33,898,317
 
Net unrealized gain (loss) on open futures contracts
   
6,627,370
     
4,337,243
 
Total equity in futures brokers trading accounts
   
48,919,105
     
63,352,233
 
                 
Cash and cash equivalents
   
6,898,604
     
678,957
 
Restricted cash at interbank market makers
   
10,412,043
     
0
 
Short term investments (cost $1,179,772 and $7,756, respectively)
   
1,179,772
     
7,756
 
Fixed income securities (cost $148,565,093 and $212,473,266, respectively)
   
148,496,647
     
212,404,306
 
Net unrealized gain (loss) on open forward currency contracts
   
(2,518,445
)
   
1,551,513
 
Interest receivable
   
358,501
     
548,273
 
Total assets
 
$
213,746,227
   
$
278,543,038
 
                 
LIABILITIES
               
Accounts payable
 
$
222,557
   
$
241,165
 
Brokerage fee payable
   
1,244,964
     
1,622,811
 
Accrued commissions and other trading fees on open contracts
   
34,670
     
40,176
 
Offering costs payable
   
66,681
     
65,550
 
Redemptions payable
   
5,283,885
     
5,669,232
 
Total liabilities
   
6,852,757
     
7,638,934
 
PARTNERS' CAPITAL (Net Asset Value)
               
General Partner - 0.000 and 0.000 redeemable units outstanding at September 30, 2018 and December 31, 2017
   
0
     
0
 
Limited Partners - 95,277.407 and 113,775.724 redeemable units outstanding at September 30, 2018 and December 31, 2017
   
206,893,470
     
270,904,104
 
Total partners' capital (Net Asset Value)
   
206,893,470
     
270,904,104
 
Total liabilities and partners' capital (Net Asset Value)
 
$
213,746,227
   
$
278,543,038
 

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, 2018 AND 2017 (Unaudited)
 
   
Three Months Ended September 30,
   
Nine Months Ended September 30,
 
TRADING GAINS (LOSSES)
 
2018
   
2017
   
2018
   
2017
 
Futures trading gains (losses)
                       
Realized
 
$
(6,187,583
)
 
$
(17,556,792
)
 
$
(15,799,244
)
 
$
6,265,250
 
Change in unrealized
   
4,577,996
     
20,045,798
     
2,290,127
     
3,843,144
 
Brokerage commissions
   
(218,559
)
   
(289,361
)
   
(650,692
)
   
(1,121,570
)
Net gain (loss) from futures trading
   
(1,828,146
)
   
2,199,645
     
(14,159,809
)
   
8,986,824
 
                                 
Forward currency trading gains (losses)
                               
Realized
   
9,222,552
     
7,160,865
     
5,841,619
     
(6,286,358
)
Change in unrealized
   
(8,126,623
)
   
(2,898,452
)
   
(4,069,958
)
   
(6,796,265
)
Brokerage commissions
   
(18,166
)
   
(14,803
)
   
(52,000
)
   
(47,610
)
Net gain (loss) from forward currency trading
   
1,077,763
     
4,247,610
     
1,719,661
     
(13,130,233
)
Total net trading gain (loss)
   
(750,383
)
   
6,447,255
     
(12,440,148
)
   
(4,143,409
)
                                 
NET INVESTMENT INCOME (LOSS)
                               
Investment income
                               
Interest income
   
1,183,481
     
906,020
     
3,467,498
     
2,670,339
 
Realized gain (loss) on fixed income securities
   
354
     
15,825
     
(23,745
)
   
25,691
 
Change in unrealized gain (loss) on fixed income securities
   
102,129
     
(10,290
)
   
12,463
     
87,145
 
Total investment income
   
1,285,964
     
911,555
     
3,456,216
     
2,783,175
 
                                 
Expenses
                               
Brokerage fee
   
3,811,671
     
5,132,981
     
12,545,982
     
17,104,244
 
Operating expenses
   
200,777
     
208,238
     
567,196
     
687,468
 
Total expenses
   
4,012,448
     
5,341,219
     
13,113,178
     
17,791,712
 
Net investment income (loss)
   
(2,726,484
)
   
(4,429,664
)
   
(9,656,962
)
   
(15,008,537
)
NET INCOME (LOSS)
 
$
(3,476,867
)
 
$
2,017,591
   
$
(22,097,110
)
 
$
(19,151,946
)
                                 
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT
                               
(based on weighted average number of units outstanding during the period)
 
$
(34.75
)
 
$
15.69
   
$
(208.48
)
 
$
(137.20
)

                               
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT
 
$
(35.90
)
 
$
11.63
   
$
(209.55
)
 
$
(144.75
)
                                 
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
   
100,050.235
     
128,596.893
     
105,993.435
     
139,596.361
 

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018 AND 2017 (Unaudited)

             
   
Nine Months Ended September 30,
 
   
2018
   
2017
 
Cash flows from (for) operating activities
           
Net income (loss)
 
$
(22,097,110
)
 
$
(19,151,946
)
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
               
Net change in unrealized on futures, forwards and investments
   
1,767,368
     
2,865,976
 
Increase (decrease) in payable for securities purchased
   
0
     
3,044,400
 
(Increase) decrease in interest receivable
   
189,772
     
243,833
 
Increase (decrease) in accounts payable and accrued expenses
   
(401,961
)
   
(712,388
)
Purchases of investments
   
(2,168,191,210
)
   
(2,662,067,711
)
Sales/maturities of investments
   
2,237,034,106
     
2,781,033,059
 
Net cash from (for) operating activities
   
48,300,965
     
105,255,223
 
                 
Cash flows from (for) financing activities
               
Redemption of units
   
(41,660,404
)
   
(95,034,769
)
Offering costs paid
   
(637,336
)
   
(742,857
)
Net cash from (for) financing activities
   
(42,297,740
)
   
(95,777,626
)
                 
Net increase (decrease) in cash, cash equivalents and restricted cash
   
6,003,225
     
9,477,597
 
                 
Cash, cash equivalents and restricted cash at beginning of period
   
25,795,630
     
23,415,962
 
Cash, cash equivalents and restricted cash at end of period
 
$
31,798,855
   
$
32,893,559
 

The following table provides a reconciliation of cash, cash equivalents and restricted cash reported within the Statements of Financial Condition that sum to the total of the same such amounts shown in the Statements of Cash Flows.

   
September 30, 2018
   
December 31, 2017
 
Cash, cash equivalents and restricted cash at end of period consists of:                
Cash in futures brokers trading accounts
 
$
14,488,208
   
$
24,706,781
 
Restricted cash in futures brokers trading accounts
   
0
     
409,892
 
Cash and cash equivalents
   
6,898,604
     
678,957
 
Restricted cash at interbank market makers
   
10,412,043
     
0
 
Total cash, cash equivalents and restricted cash at end of period
 
$
31,798,855
   
$
25,795,630
 

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, 2018 AND 2017 (Unaudited)

   
Partners' Capital
 
   
General Partner
   
Limited Partners
   
Total
 
   
Units
   
Amount
   
Units
   
Amount
   
Units
   
Amount
 
Nine Months Ended September 30, 2018
                                   
                                     
Balances at December 31, 2017
   
0.000
   
$
0
     
113,775.724
   
$
270,904,104
     
113,775.724
    $
270,904,104
 
Net income (loss)  for the nine months ended September 30, 2018
           
0
             
(22,097,110
)
           
(22,097,110
)
Redemptions
   
0.000
     
0
     
(18,498.317
)
   
(41,275,057
)
   
(18,498.317
)
   
(41,275,057
)
Offering costs
           
0
             
(638,467
)
           
(638,467
)
Balances at September 30, 2018
   
0.000
   
$
0
     
95,277.407
   
$
206,893,470
     
95,277.407
    $
 206,893,470
 
                                                 
Nine Months Ended September 30, 2017
                                               
                                                 
Balances at December 31, 2016
   
234.340
   
$
559,798
     
157,435.256
   
$
376,086,646
     
157,669.596
    $
376,646,444
 
Net income (loss)  for the nine months ended September 30, 2017
           
(32,694
)
           
(19,119,252
)
           
(19,151,946
)
Redemptions
   
0.000
     
0
     
(35,786.903
)
   
(83,253,390
)
   
(35,786.903
)
   
(83,253,390
)
Offering costs
           
(1,226
)
           
(725,715
)
           
(726,941
)
Balances at September 30, 2017
   
234.340
   
$
525,878
     
121,648.353
   
$
272,988,289
     
121,882.693
   
273,514,167
 

Net Asset Value per General and Limited Partner Unit
 
 
September 30, 2018
     
December 31, 2017
     
September 30, 2017
     
December 31, 2016
 
$
2,171.49
   
$
2,381.04
   
$
2,244.08
   
$
2,388.83
 

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
FINANCIAL HIGHLIGHTS
FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2018 AND 2017 (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, 2018 and 2017. This information has been derived from information presented in the financial statements.

   
Three Months Ended September 30,
   
Nine Months Ended September 30,
 
   
2018
   
2017
   
2018
   
2017
 
Per Unit Performance
                       
(for a unit outstanding throughout the entire period)
                       
Net asset value per unit at beginning of period
 
$
2,207.39
   
$
2,232.45
   
$
2,381.04
   
$
2,388.83
 
                                 
Income (loss) from operations:
                               
Total net trading gains (losses) (1)
   
(6.54
)
   
47.83
     
(112.42
)
   
(32.03
)
Net investment income (loss) (1)
   
(27.25
)
   
(34.45
)
   
(91.11
)
   
(107.51
)
Total net income (loss) from operations
   
(33.79
)
   
13.38
     
(203.53
)
   
(139.54
)
Offering costs (1)
   
(2.11
)
   
(1.75
)
   
(6.02
)
   
(5.21
)
Net asset value per unit at end of period
 
$
2,171.49
   
$
2,244.08
   
$
2,171.49
   
$
2,244.08
 
Total Return (4)
   
(1.63
)%
   
0.52
%
   
(8.80
)%
   
(6.06
)%
Supplemental Data
                               
Ratios to average net asset value:
                               
Expenses prior to performance fee (3)
   
7.42
%
   
7.41
%
   
7.37
%
   
7.38
%
Performance fee (4)
   
0.00
%
   
0.00
%
   
0.00
%
   
0.00
%
Total expenses
   
7.42
%
   
7.41
%
   
7.37
%
   
7.38
%
Net investment income (loss) (2),(3)
   
(5.04
)%
   
(6.15
)%
   
(5.43
)%
   
(6.22
)%

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 transfers 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)
Annualized.
(4)
Not Annualized.

See Accompanying Notes to Financial Statements.

9

Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
SEPTEMBER 30, 2018 (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.

Effective January 6, 2012, Units in the Fund were no longer offered for sale. For existing investors in the Fund, business has been and will be conducted as usual. There was no change in trading, operations, or monthly statements, etc., and redemptions will continue to be offered on a monthly basis.

B. Regulation

As a registrant with the Securities and Exchange Commission (the "SEC"), the Fund is subject to the regulatory requirements under the Securities Exchange Act of 1934. Prior to January 6, 2012, the Fund was also subject to the regulatory requirements under the Securities Act of 1933.  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 (the "futures 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.

These financial statements should be read in conjunction with the financial statements and notes thereto included in the Fund’s Annual Report on Form 10-K filed with the SEC for the year ended December 31, 2017. All adjustments of a normal recurring nature considered necessary for a fair presentation have been included herein.

The Fund meets the definition of an investment company according to the provisions of Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") 946-10, Financial Services – Investment Companies.

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 value and fair value) are reported in the Statements of Financial Condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with ASC 210-20, Offsetting - Balance Sheet. The fair value of futures (exchange-traded) contracts is based on 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 fixed income investments are marked to market on the last business day of the reporting period using 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. Premiums and discounts on fixed income securities are amortized and accreted for financial reporting purposes.

The short term investments represent cash held at the custodian and invested overnight in a money market fund.

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.

10

Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
SEPTEMBER 30, 2018 (Unaudited)
D. Fair Value

The Fund follows the provisions of ASC 820, Fair Value Measurements and Disclosures ("ASC 820"). 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 and short term investments fall into this category.

Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes forward currency contracts 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 September 30, 2018 and December 31, 2017, and for the periods ended September 30, 2018 and 2017, the Fund did not have any Level 3 assets or liabilities.

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, 2018 and December 31, 2017.

   
Fair Value at September 30, 2018
 
Description
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Investments
                       
Short term investments
 
$
1,179,772
   
$
0
   
$
0
   
$
1,179,772
 
Fixed income securities
   
0
     
176,300,174
     
0
     
176,300,174
 
Other Financial Instruments
                               
Exchange-traded futures contracts
   
6,627,370
     
0
     
0
     
6,627,370
 
Forward currency contracts
   
0
     
(2,518,445
)
   
0
     
(2,518,445
)
Total
 
$
7,807,142
   
$
173,781,729
   
$
0
   
$
181,588,871
 

   
Fair Value at December 31, 2017
 
Description
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Investments
                       
Short term investments
 
$
7,756
   
$
0
   
$
0
   
$
7,756
 
Fixed income securities
   
0
     
246,302,623
     
0
     
246,302,623
 
Other Financial Instruments
                               
Exchange-traded futures contracts
   
4,337,243
     
0
     
0
     
4,337,243
 
Forward currency contracts
   
0
     
1,551,513
     
0
     
1,551,513
 
Total
 
$
4,344,999
   
$
247,854,136
   
$
0
   
$
252,199,135
 

There were no transfers to or from Level 1 to Level 2 for the period ended September 30, 2018 or the year ended December 31, 2017.

The gross presentation of the fair value of the Fund's derivatives by instrument type is shown in Note 9. See Condensed Schedules of Investments for additional detail categorization.

E. Cash and Cash Equivalents

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

F. Income Taxes

The Fund prepares calendar year U.S. federal and applicable state tax returns and reports to the partners their allocable shares of the Fund's income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as each partner is individually responsible for reporting income or loss based on such partner's respective share of the Fund's income and expenses as reported for income tax purposes.

Management has continued to evaluate the application of ASC 740, Income Taxes, to the Fund, and has determined that no reserves for uncertain tax positions were required. There are no tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly increase or decrease within twelve months. The Fund files federal and state tax returns. The 2014 through 2017 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

11

Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
SEPTEMBER 30, 2018 (Unaudited)
G. Offering Costs

Campbell & Company, LP ("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, not to exceed 2.5% of the aggregate subscriptions accepted during the initial and continuous offerings. As of September 30, 2018 and December 31, 2017, the Fund has the potential remaining reimbursement amount of approximately $35.8 million and $36.4 million, respectively. 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.

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, 2018 and December 31, 2017, the amount of unreimbursed offering costs incurred by Campbell & Company is $66,681 and $65,550, respectively. At September 30, 2018 and December 31, 2017, the Fund reflects a liability in the Statements of Financial Condition for offering costs payable to Campbell & Company of $66,681 and $65,550, respectively. The amount of monthly reimbursement due to Campbell & Company is charged directly to partners' capital.

H. 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 Statements 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.

I. Recently Issued Accounting Pronouncements

In November 2016, the FASB issued Accounting Standards Update ("ASU") 2016-18, Statement of Cash Flows (Topic 230): Restricted Cash, which aims to reduce diversity in the presentation of restricted cash and restricted cash equivalents in the statement. The amendment is effective for the interim and annual reporting periods beginning after December 15, 2017. Campbell & Company has adopted the new guidance, and management has determined that its adoption has no material impact on the Fund's financial statement disclosures.

In August 2018, the FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Campbell & Company has adopted the new guidance, and management has determined its adoption has no material impact on the Fund’s financial statement disclosures.

J. Reclassification

Certain 2017 amounts in the Statements of Cash Flows were reclassified to conform with the adoption of ASU 2016-18 in the 2018 presentation. Specifically, restricted cash is no longer included as a cash flow from (for) operating activities; and a reconciliation of cash, cash equivalents, and restricted cash to amounts on the Statements of Financial Condition is presented on a gross basis.

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 futures brokers 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 futures brokers 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, futures brokers or cash management accounts.

12

Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
SEPTEMBER 30, 2018 (Unaudited)
Note 3. ADMINISTRATOR

Northern Trust Hedge Fund Services LLC serves as the Administrator of the Fund. The Administrator receives fees at rates agreed upon between the Fund and the Administrator and is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties. The Administrator's primary responsibilities are portfolio accounting and fund accounting services.

Note 4. CASH MANAGER AND CUSTODIAN

PNC Capital Advisors, LLC serves as the cash manager under the Investment Advisory Agreement to manage and control the liquid assets of the Fund. PNC Capital Advisors, LLC is registered as investment advisers with the SEC of the United States under the Investment Advisers Act of 1940.

The Fund opened a custodial account at the Northern Trust Company (the "custodian") and has granted the cash manager 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 manager on behalf of the Fund will be held in the Fund's custody account at the custodian. The cash manager will have no beneficial or other interest in the securities and cash in such custody account.

Note 5. DEPOSITS WITH FUTURES BROKERS

The Fund deposits assets with UBS Securities LLC and Goldman, Sachs & Co. subject to Commodity Futures Trading Commission regulations and various exchange and futures broker requirements. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with such futures brokers. The Fund typically earns interest income on its assets deposited with the futures brokers.

Note 6. DEPOSITS WITH INTERBANK MARKET MAKERS

The Fund's counterparties with regard to its forward currency transactions are NatWest Markets PLC ("NatWest"), formerly The Royal Bank of Scotland, and UBS AG ("UBS"). The Fund has entered into an International Swap and Derivatives Association, Inc. agreement ("ISDA Agreement") with NatWest and UBS which governs these transactions. The credit ratings reported by the three major rating agencies for NatWest and UBS were considered investment grade as of September 30, 2018. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with NatWest and UBS. The Fund typically earns interest income on its assets deposited with NatWest and UBS.

Note 7. 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 nine months ended September 30, 2018 and 2017.

Note 8. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

Investments in the Fund were made by subscription agreement, subject to acceptance by Campbell & Company.

The Fund is not required to make distributions, but may do so at the sole discretion of Campbell & Company. A limited partner may request and receive redemption of units owned, subject to restrictions in the Amended Agreement of Limited Partnership. Units are transferable, but no market exists for their sale and none is expected to develop. Monthly redemptions are permitted upon ten (10) business days advance written notice to Campbell & Company.

Note 9. TRADING ACTIVITIES AND RELATED RISKS

The Fund engages in the speculative trading of U.S. and foreign futures contracts and forward currency contracts (collectively, "derivatives"). Specifically, the Fund trades a portfolio focused on futures and forward contracts, which are instruments designed to hedge changes in interest rates, currency exchange rates, stock index values, metals, energy and agriculture values. The Fund is exposed to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract.

13

Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
SEPTEMBER 30, 2018 (Unaudited)
Market Risk

For derivatives, risks arise from changes in the fair value of the contracts. Market movements result in frequent changes in the fair 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 fair 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. 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. 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 the provisions of 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 Statements of Financial Condition, as of September 30, 2018 and December 31, 2017 is as follows:

Type of Instrument *
Statements of Financial Condition Location
 
Asset
Derivatives at
September 30, 2018
Fair Value
   
Liability
Derivatives at
September 30, 2018
Fair Value
   
Net
 
Agriculture Contracts
Net unrealized gain (loss) on open futures contracts
 
$
1,809,760
   
$
(525,623
)
 
$
1,284,137
 
Energy Contracts
Net unrealized gain (loss) on open futures contracts
   
1,921,608
     
(170,418
)
   
1,751,190
 
Metal Contracts
Net unrealized gain (loss) on open futures contracts
   
2,558,400
     
(2,244,959
)
   
313,441
 
Stock Indices Contracts
Net unrealized gain (loss) on open futures contracts
   
2,698,812
     
(638,311
)
   
2,060,501
 
Short-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
   
950,063
     
(65,105
)
   
884,958
 
Long-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
   
1,095,003
     
(761,860
)
   
333,143
 
Forward Currency Contracts
Net unrealized gain (loss) on open forward currency contracts
   
3,889,028
     
(6,407,473
)
   
(2,518,445
)
Totals
   
$
14,922,674
   
$
(10,813,749
)
 
$
4,108,925
 

*
Derivatives not designated as hedging instruments under ASC 815

Type of Instrument *
Statements of Financial Condition Location
 
Asset
Derivatives at
December 31, 2017
Fair Value
   
Liability
Derivatives at
December 31,2017
Fair Value
   
Net
 
Agriculture Contracts
Net unrealized gain (loss) on open futures contracts
 
$
1,818,426
   
$
(149,358
)
 
$
1,669,068
 
Energy Contracts
Net unrealized gain (loss) on open futures contracts
   
2,109,057
     
(1,007,528
)
   
1,101,529
 
Metal Contracts
Net unrealized gain (loss) on open futures contracts
   
3,286,448
     
(1,313,045
)
   
1,973,403
 
Stock Indices Contracts
Net unrealized gain (loss) on open futures contracts
   
3,234,375
     
(1,296,601
)
   
1,937,774
 
Short-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
   
262,561
     
(245,676
)
   
16,885
 
Long-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
   
432,750
     
(2,794,166
)
   
(2,361,416
)
Forward Currency Contracts
Net unrealized gain (loss) on open forward currency contracts
   
8,539,995
     
(6,988,482
)
   
1,551,513
 
Totals
   
$
19,683,612
   
$
(13,794,856
)
 
$
5,888,756
 

*
Derivatives not designated as hedging instruments under ASC 815

14

Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
SEPTEMBER 30, 2018 (Unaudited)
The trading gains and losses of the Fund's derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the three months and nine months ended September 30, 2018 and 2017 is as follows:

Type of Instrument
 
Trading Gains/(Losses) for
the Three Months Ended
September 30, 2018
   
Trading Gains/(Losses) for
the Three Months Ended
September 30, 2017
 
Agriculture Contracts
 
$
129,363
   
$
(6,720,312
)
Energy Contracts
   
(642,339
)
   
16,234
 
Metal Contracts
   
(520,290
)
   
(2,244,300
)
Stock Indices Contracts
   
1,688,238
     
11,181,962
 
Short-Term Interest Rate Contracts
   
1,376,582
     
(562,516
)
Long-Term Interest Rate Contracts
   
(3,638,051
)
   
896,667
 
Forward Currency Contracts
   
1,095,929
     
4,262,413
 
Total
 
$
(510,568
)
 
$
6,830,148
 

Type of Instrument
 
Trading Gains/(Losses) for
the Nine Months Ended
September 30, 2018
   
Trading Gains/(Losses) for
the Nine Months Ended
September 30, 2017
 
Agriculture Contracts
 
$
(3,998,190
)
 
$
(12,459,572
)
Energy Contracts
   
5,783,262
     
(12,132,786
)
Metal Contracts
   
(5,570,398
)
   
(756,629
)
Stock Indices Contracts
   
(11,912,923
)
   
49,481,874
 
Short-Term Interest Rate Contracts
   
4,277,366
     
(2,521,985
)
Long-Term Interest Rate Contracts
   
(2,065,494
)
   
(11,507,883
)
Forward Currency Contracts
   
1,771,661
     
(13,082,623
)
Total
 
$
(11,714,716
)
 
$
(2,979,604
)

Line Item in the Statements of Operations
 
Trading Gains/(Losses) for
the Three Months Ended
September 30, 2018
   
Trading Gains/(Losses) for
the Three Months Ended
September 30, 2017
 
Futures trading gains (losses):
           
Realized**
 
$
(6,184,493
)
 
$
(17,478,063
)
Change in unrealized
   
4,577,996
     
20,045,798
 
Forward currency trading gains (losses):
               
Realized
   
9,222,552
     
7,160,865
 
Change in unrealized
   
(8,126,623
)
   
(2,898,452
)
Total
 
$
(510,568
)
 
$
6,830,148
 

Line Item in the Statements of Operations
 
Trading Gains/(Losses) for
the Nine Months Ended
September 30, 2018
   
Trading Gains/(Losses) for
the Nine Months Ended
September 30, 2017
 
Futures trading gains (losses):
           
Realized**
 
$
(15,776,504
)
 
$
6,259,875
 
Change in unrealized
   
2,290,127
     
3,843,144
 
Forward currency trading gains (losses):
               
Realized
   
5,841,619
     
(6,286,358
)
Change in unrealized
   
(4,069,958
)
   
(6,796,265
)
Total
 
$
(11,714,716
)
 
$
(2,979,604
)

**
Amounts differ from the amounts on the Statements of Operations as the amounts above do not include gains and losses on foreign currency cash balances at the futures brokers.

15

Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
SEPTEMBER 30, 2018 (Unaudited)
For the three months ended September 30, 2018 and 2017, the monthly average of futures contracts bought and sold was approximately 19,300 and 25,000, respectively, and the monthly average of notional value of forward currency contracts was $1,019,000,000 and $1,152,000,000, respectively.

For the nine months ended September 30, 2018 and 2017, the monthly average of futures contracts bought and sold was approximately 20,300 and 31,400, respectively, and the monthly average of notional value of forward currency contracts was $1,039,300,000 and $1,292,000,000, respectively.

Open contracts generally mature within three months; as of September 30, 2018, the latest maturity date for open futures contracts is December 2019 and the latest maturity date for open forward currency contracts is December 2018. However, the Fund intends to close all futures and offset all forward currency contracts prior to maturity.

Credit Risk

The Fund trades futures contracts on exchanges that require margin deposits with the futures brokers. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a futures broker to segregate all customer transactions and assets from such futures broker's proprietary activities. A customer's cash and other property (for example, U.S. Treasury Bills) deposited with a futures broker are considered commingled with all other customer funds subject to the futures broker's segregation requirements. In the event of a futures 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 Fund trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with forward 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 contracts typically involves delayed cash settlement.

The Fund has a portion of its assets on deposit with PNC Bank. In the event of a financial institution's insolvency, recovery of the Fund's assets on deposit may be limited to account insurance or other protection afforded such deposits.

The Fund has entered into ISDA Agreements with UBS AG and NatWest. Under the terms of each ISDA Agreement, upon the designation of an Event of Default, as defined in each ISDA Agreement, the non-defaulting party may set-off any sum or obligation owed by the defaulting party to the non-defaulting party against any sum or obligation owed by the non-defaulting party to the defaulting party. If any sum or obligation is unascertained, the non-defaulting party may in good faith estimate that sum or obligation and set-off in respect to that estimate, accounting to the other party when such sum or obligation is ascertained.

Under the terms of each master netting agreement with UBS Securities and Goldman, upon occurrence of a default by the Fund, as defined in respective account documents, UBS Securities and Goldman have the right to close out any or all open contracts held in the Fund's account; sell any or all of the securities held; and borrow or buy any securities, contracts or other property for the Fund's account. The Fund would be liable for any deficiency in its account resulting from such transactions.

The amount of required margin and good faith deposits with the futures brokers and interbank market makers usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at September 30, 2018 and December 31, 2017 was $34,115,393 and $54,020,003, respectively, which equals approximately 16% and 20% of Net Asset Value, respectively. The cash deposited with the interbank market makers at September 30, 2018 and December 31, 2017 was $16,573,821 and $186,271, respectively, which equals approximately 8% and 0% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents. Included in cash deposits with the broker and interbank market makers at September 30, 2018 and December 31, 2017 was restricted cash for margin requirements of $10,412,043 and $409,892, respectively, which equals approximately 5% and 0% of Net Asset Value, respectively.

Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for offset in the Statements of Financial Condition and instruments and transactions that are subject to a master netting agreement as well as amounts related to financial collateral (including U.S. Treasury Bills and cash collateral) held at clearing brokers and counterparties. Margin reflected in the collateral tables is limited to the net amount of unrealized loss at each counterparty. Actual margin amounts required at each counterparty are based on the notional amounts or the number of contracts outstanding and may exceed the margin presented in the collateral tables.

Offsetting of Derivative Assets
 
As of September 30, 2018
                   
Type of Instrument
Counterparty
 
Gross
Amounts of
Recognized Assets
   
Gross
Amounts
Offset in the
Statements of
Financial Condition
   
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
 
Futures contracts
UBS Securities LLC
 
$
5,499,694
   
$
(2,184,685
)
 
$
3,315,009
 
Futures contracts
Goldman Sachs
   
5,533,952
     
(2,221,591
)
   
3,312,361
 
Total futures contracts
     
11,033,646
     
(4,406,276
)
   
6,627,370
 
Forward currency contracts
UBS AG
   
1,944,514
     
(1,944,514
)
   
0
 
Forward currency contracts
NatWest Markets PLC
   
1,944,514
     
(1,944,514
)
   
0
 
Total forward currency contracts
     
3,889,028
     
(3,889,028
)
   
0
 
Total derivatives
   
$
14,922,674
   
$
(8,295,304
)
 
$
6,627,370
 

16

Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
SEPTEMBER 30, 2018 (Unaudited)
Derivative Assets and Collateral Received by Counterparty
 
As of September 30, 2018
                 
     
Net Amounts of
Unrealized Gain
in the Statements
of Financial Condition
   
Gross Amounts Not Offset in the
Statements of Financial Condition
       
Counterparty
     
Financial
Instruments
   
Cash Collateral
Received
   
Net Amount
 
UBS Securities LLC
 
$
3,315,009
   
$
0
   
$
0
   
$
3,315,009
 
Goldman Sachs
   
3,312,361
     
0
     
0
     
3,312,361
 
UBS AG
   
0
     
0
     
0
     
0
 
NatWest Markets PLC
   
0
     
0
     
0
     
0
 
Total
 
$
6,627,370
   
$
0
   
$
0
   
$
6,627,370
 

Offsetting of Derivative Liabilities
 
As of September 30, 2018
                   
Type of Instrument
Counterparty
 
Gross
Amounts of
Recognized Liabilities
   
Gross
Amounts
Offset in the
Statements of
Financial Condition
   
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
 
Futures contracts
UBS Securities LLC
 
$
2,184,685
   
$
(2,184,685
)
 
$
0
 
Futures contracts
Goldman Sachs
   
2,221,591
     
(2,221,591
)
   
0
 
Total futures contracts
     
4,406,276
     
(4,406,276
)
   
0
 
Forward currency contracts
UBS AG
   
3,203,736
     
(1,944,514
)
   
1,259,222
 
Forward currency contracts
NatWest Markets PLC
   
3,203,737
     
(1,944,514
)
   
1,259,223
 
Total forward currency contracts
   
6,407,473
     
(3,889,028
)
   
2,518,445
 
Total derivatives
   
$
10,813,749
   
$
(8,295,304
)
 
$
2,518,445
 

Derivative Liabilities and Collateral Pledged by Counterparty
 
As of September 30, 2018
                 
     
Net Amounts of
Unrealized Loss
in the Statements
of Financial Condition
   
Gross Amounts Not Offset in the
Statements of Financial Condition
       
Counterparty
     
Financial
Instruments
   
Cash Collateral
Pledged
   
Net Amount
 
UBS Securities LLC
 
$
0
   
$
0
   
$
0
   
$
0
 
Goldman Sachs
   
0
     
0
     
0
     
0
 
UBS AG


1,259,222



(1,259,222
)*


0



0
 
NatWest Markets PLC
   
1,259,223
     
0
     
(1,259,223
)
   
0
 
Total
 
$
2,518,445
   
$
(1,259,222
)
 
$
(1,259,223
)
 
$
0
 

*
Represents a portion of the $6,311,866 fair value in U.S. Treasury Bills held at the interbank market makers.

17

Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
SEPTEMBER 30, 2018 (Unaudited)
Offsetting of Derivative Assets
 
As of December 31, 2017
                   
Type of Instrument
Counterparty
 
Gross
Amounts of
Recognized Assets
   
Gross
Amounts
Offset in the
Statements of
Financial Condition
   
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
 
Futures contracts
UBS Securities LLC
 
$
5,564,291
   
$
(3,407,630
)
 
$
2,156,661
 
Futures contracts
Goldman Sachs
   
5,579,326
     
(3,398,744
)
   
2,180,582
 
Total futures contracts
     
11,143,617
     
(6,806,374
)
   
4,337,243
 
Forward currency contracts
UBS AG
   
4,269,997
     
(3,494,241
)
   
775,756
 
Forward currency contracts
NatWest Markets PLC
   
4,269,998
     
(3,494,241
)
   
775,757
 
Total forward currency contracts
   
8,539,995
     
(6,988,482
)
   
1,551,513
 
Total derivatives
   
$
19,683,612
   
$
(13,794,856
)
 
$
5,888,756
 

Derivative Assets and Collateral Received by Counterparty
 
As of December 31, 2017
                 
     
Net Amounts of
Unrealized Gain
in the Statements
of Financial Condition
   
Gross Amounts Not Offset in the
Statements of Financial Condition
       
Counterparty
     
Financial
Instruments
   
Cash Collateral
Received
   
Net Amount
 
UBS Securities LLC
 
$
2,156,661
   
$
0
   
$
0
   
$
2,156,661
 
Goldman Sachs
   
2,180,582
     
0
     
0
     
2,180,582
 
UBS AG
   
775,756
     
0
     
0
     
775,756
 
NatWest Markets PLC
   
775,757
     
0
     
0
     
775,757
 
Total
 
$
5,888,756
   
$
0
   
$
0
   
$
5,888,756
 

Offsetting of Derivative Liabilities
 
As of December 31, 2017
                   
Type of Instrument
Counterparty
 
Gross
Amounts of
Recognized Liabilities
   
Gross
Amounts
Offset in the
Statements of
Financial Condition
   
Net Amounts of
Unrealized Loss
Presented in the
Statements of
FinancialCondition
 
Futures contracts
UBS Securities LLC
 
$
3,407,630
   
$
(3,407,630
)
 
$
0
 
Futures contracts
Goldman Sachs
   
3,398,744
     
(3,398,744
)
   
0
 
Total futures contracts
     
6,806,374
     
(6,806,374
)
   
0
 
Forward currency contracts
UBS AG
   
3,494,241
     
(3,494,241
)
   
0
 
Forward currency contracts
NatWest Markets PLC
   
3,494,241
     
(3,494,241
)
   
0
 
Total forward currency contracts
   
6,988,482
     
(6,988,482
)
   
0
 
Total derivatives
   
$
13,794,856
   
$
(13,794,856
)
 
$
0
 

18

Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
SEPTEMBER 30, 2018 (Unaudited)
Derivative Liabilities and Collateral Pledged by Counterparty
 
As of December 31, 2017
                 
     
Net Amounts of
Unrealized Loss
in the Statements
of Financial Condition
   
Gross Amounts Not Offset in the
Statements of Financial Condition
       
Counterparty
     
Financial
Instruments
   
Cash Collateral
Pledged
   
Net Amount
 
UBS Securities LLC
 
$
0
   
$
0
   
$
0
   
$
0
 
Goldman Sachs
   
0
     
0
     
0
     
0
 
UBS AG
   
0
     
0
     
0
     
0
 
NatWest Markets PLC
   
0
     
0
     
0
     
0
 
Total
 
$
0
   
$
0
   
$
0
   
$
0
 

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 reducing position sizes dynamically in response to trading losses. Campbell & Company controls the risk of the Fund'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 bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.

Note 10. 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 11. INTERIM FINANCIAL STATEMENTS

The Statements of Financial Condition, including the Condensed Schedules of Investments, as of September 30, 2018 and December 31, 2017, the Statements of Operations and Financial Highlights for the three months and nine months ended September 30, 2018 and 2017, and the Statements of Cash Flows and Changes in Partners’ Capital (Net Asset Value) for the nine months ended September 30, 2018 and 2017 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, 2018 and December 31, 2017, the results of operations and financial highlights for the three months and nine months ended September 30, 2018 and 2017, and cash flows and changes in partners’ capital (Net Asset Value) for the nine months ended September 30, 2018 and 2017.

Note 12. SUBSEQUENT EVENTS

Management of the Fund has evaluated subsequent events through the date the financial statements were filed. There are no subsequent events to disclose or record.

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

The offering of its Units of Limited Partnership Interest commenced on January 12, 1994. The initial offering terminated on April 15, 1994 and the Fund commenced operations on April 18, 1994. The continuing offering period commenced at the termination of the initial offering period and terminated on January 6, 2012.

Critical Accounting Policies

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America 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 gains (losses) 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 (i.e., forward contracts which are traded in the inter-bank market).

Capital Resources

Effective January 6, 2012, units in the Fund were no longer offered for sale. For existing investors in the Fund, business has been and will be conducted as usual. There will be no change in trading, operations or monthly statements, etc., and redemptions will continue to be offered on a monthly basis.

The Fund 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 generally maintains 60% to 75% 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, custodial 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 and forward 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 thereunder. Approximately 5% to 15% of the Fund's assets are deposited with over-the-counter counterparties in order to initiate and maintain 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 a custodial account with Northern Trust Company. The assets deposited in the custodial account with Northern Trust Company are segregated. Such custodial account constitutes approximately 60% to 75% of the Fund's assets and are invested directly by PNC Capital Advisors, LLC ("PNC"). PNC is registered with the SEC as an investment adviser under the Investment Advisers Act of 1940. PNC does not guarantee any interest or profits will accrue on the Fund's assets in the custodial account. PNC invests the assets according to agreed upon investment guidelines that first preserve capital, second allow for sufficient liquidity, and third provide a yield beyond the risk-free rate. Investments can include, but are not limited to, (i) U.S. government, agency, or municipal securities; (ii) banker acceptances or certificates of deposits; (iii) commercial paper or money market securities; (iv) short-term, investment-grade corporate debt securities; or (v) investment-grade, asset backed securities.

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 and forward 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, 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% however, these precautions may not be effective in limiting the risk of loss.

In addition to market risk, in entering into futures and forward 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 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. 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.

Results of Operations

The returns for the nine months ended September 30, 2018 and 2017 were (8.80)% and (6.06)%, respectively. During the nine months ended September 30, 2018 and 2017, the Fund accrued brokerage fees in the amount of $12,545,982 and $17,104,244, respectively, and paid brokerage fees in the amount of $12,923,829 and $17,778,507, respectively. No performance fees were accrued or paid during these periods.

2018 (For the Nine Months Ended September 30)

Of the (8.80)% year to date return, approximately (4.17)% was due to trading losses (before commissions) and approximately (6.09)% due to brokerage fees, operating expenses and offering costs borne by the Fund, offset by approximately 1.46% due to investment income. An analysis of the (4.17)% trading losses by sector is as follows:

Sector
 
% Gain (Loss)
 
Commodities
   
(1.20
)%
Currencies
   
0.82
%
Interest Rates
   
0.60
%
Stock Indices
   
(4.39
)%
     
(4.17
)%

The Fund showed a profit in January as gains came from foreign exchange, stock index, and interest rate holdings.  Commodity positions showed some losses. Foreign exchange positioning, in both developed and emerging FX markets, generated gains during January.  The Fund was predominately positioned short the US dollar against other traded currencies and benefitted from a weaker greenback during the month.  The weakness can be attributed to a few different themes, including expected hawkish central bank policy shifts outside the US as growth exceeds expectations, trade tensions, and US deficit concerns.  The best gains came from long positioning on the British pound, Norwegian krone, and euro all versus short the US dollar. Long positioning on global stock indices also drove profits for the Fund.  Most global stock indices welcomed 2018 with robust gains driven by a variety of factors.  A synchronized upswing of global economic growth, stronger than expected corporate earnings results, and a major tailwind from the recently passed tax reform in the US all drove equities higher.  The so-called “fear of missing out” dynamic only intensified the demand for equity exposure.  The best profits were generated in the United States and across Asia, specifically in Hong Kong and Taiwan. Interest rate positions, from long-dated and short-dated bond markets, created additional gains for the Fund.  Short positioning on US markets, specifically the 10-year and 5-year notes along with 90-day Eurodollar and 2-year notes, drove a bulk of the profits in the sector.  US yields marched higher throughout the month as bond prices dropped amid expectations that the US Federal Reserve will continue its gradual interest rate policy tightening, as US inflation expectations continue to firm against a positive economic backdrop. Commodity holdings produced losses during the month.  Profits from long positioning on precious and industrial metals and energy markets were overwhelmed by losses from short grain holdings.  The weaker US dollar and stronger economic environment helped the metal and energy longs while strong export sales data hurt the grain shorts.

The Fund declined in February due to losses from stock index, commodity, and foreign exchange holdings.  Fixed income positions showed partially offsetting gains. Long positioning on global stock indices drove losses for the Fund.  After extending the long-term rally to start 2018, global equity markets spiked lower in the first half of the month.  The sell-off was led by US stocks as markets experienced a sharp increase in volatility.  While crowded equity positions sold off on profit-taking, the VIX (a measure of volatility on the S&P 500) had its largest ever daily climb on February 5th.  The largest Fund loss came out of the US, specifically on the short VIX contract. Commodity holdings produced additional losses.  The biggest commodity sub-sector losses were found within the energy markets as long positioning across the complex suffered on the back of increasing US supplies.  Additionally, short grain positions generated losses as those markets rallied on strong export sales activity and weather concerns in key growing regions.  Long precious metal positions also produced losses amid the stronger US dollar, firmer inflation, and quicker Fed tightening expectations.  Foreign exchange positioning, in both developed and emerging FX markets, generated losses during February.  After the recent trend of a weakening US dollar, the Fund was positioned short the USD against all of our traded currencies and suffered from a broad correction in the greenback during the month.  The reaction from the FX markets to the equity sell-off early in the month was relatively muted, and the market instead focused on higher US yields and heightened inflation expectations. Interest rate positions created some offsetting gains for the Fund.  Short positioning on US markets drove the bulk of the profits in the sector.  After global fixed income markets rallied on the risk-off trade early in February, Treasuries saw a greater correction than other government bond markets.  US yields ultimately moved higher on the month amid expectations that the Federal Reserve will continue its path of tightening, while inflation expectations continue to firm against a positive economic backdrop.

March for the Fund was comprised of gains coming from commodity holdings while stock index and foreign exchange positions showed partially offsetting losses.  Interest rate positions had little impact on the Fund during the month. Commodity holdings produced the best gains during March.  Long positioning on the crude complex within the energy sub-sector generated profits.  Geopolitical concerns around the US potentially pulling out of the Iran nuclear deal, bullish inventory data, and speculation that Organization of Petroleum Exporting Countries (“OPEC”) might extend existing production cuts all combined to push energy prices higher during the month.  Mixed positioning across the softs sub-sector proved profitable in March as well.  A short sugar position gained amid ongoing global surplus concerns while a long cocoa holding also experienced profits as output worries from the Ivory Coast lifted prices. Long positioning on global stock indices produced some losses for the Fund.  Holdings in Australia, Singapore, Hong Kong, Japan, and the US contributed to some of the worst performance within the sector.  Fear over a potential global trade war, tightening financial conditions after the US Federal Reserve raised interest rates, and concern over additional turnover among senior members of President Trump’s inner circle all put pressure on global equity markets during the month. Foreign exchange positioning on developed FX markets drove the sector’s losses during March.  A late month rally in the US dollar produced losses from short dollar positions.  The largest loss came from short US dollar versus a long euro holding.  Dampening of concerns around a global trade war and quarter-end flows into the greenback both helped to boost the currency in the waning days of the month.  Positioning on emerging market currencies produced almost no P&L effect for the Fund during March. Interest rate positions contributed a negligible P&L impact for the Fund.  Gains from long-term markets were offset by losses in short-term markets leaving the sector nearly unchanged for the month.

Losses in April came from foreign exchange and commodity positions while fixed income and stock index holdings produced some partially offsetting gains for the Fund. Foreign exchange positioning, in both developed and emerging FX markets, generated losses in April.  After the recent trend of a weakening US dollar, the Fund was positioned short the US dollar against most of our traded currencies and suffered from a broad correction in the greenback.  Early in the month, FX markets focused more on trade frictions and geopolitical tension but as those concerns eased, the market instead looked to higher US interest rates and heightened inflation expectations, causing a US dollar rally. Commodity holdings produced additional losses during April.  The biggest sub-sector detractor was found within the industrial metals complex.  Short positioning on aluminum suffered when the commodity pushed higher on supply worries following Russian sanctions by the White House.  Energy and soft commodity holdings produced partially offsetting gains.  Long positioning across the crude complex generated profits as the sub-sector rose to multi-year highs on supply disruptions. Interest rate positions, from long-dated and short-dated bond markets, created gains for the Fund.  Short positioning on US markets, specifically the 10-year and 5-year notes along with Eurodollar and 2-year notes, drove profits in the sector.  US bond prices fell and yields trended higher with the 10-year note yield piercing the widely scrutinized 3% level intra-month.  Firming inflation expectations and the rebound in the US dollar provided support to yields.    Long positioning on several stock indices produced additional gains as global stock markets rose in April.  Reduced tariff tensions, strong US earnings, and eased geopolitical concerns on the Korean peninsula provided a tailwind for equities during the month.  Additionally, European stocks were supported after the European Central Bank (“ECB”) steered away from any surprises during their April meeting.

The Fund showed a decline in May from all four asset classes traded  – Interest Rates, FX, Commodities, and Stock Indices. Interest rate positions generated some of the largest losses for the Fund during May.  Long positioning on the Italian 10-year note suffered amid a sharp sell-off due to political turmoil in the country which sparked speculation that Italy might leave the European Union.  That same turmoil sent US interest rate markets higher due to safe-haven buying which hurt the Fund as it was positioned short across the entire US interest rate curve in anticipation of further FOMC rate hikes later this year. Foreign exchange positioning, in both developed and emerging FX markets, also generated losses during the month.  A long position on the British pound (versus short US dollar) declined in value as the ongoing BREXIT impasse, weaker UK economic data, and fading Bank of England rate-hike expectations all conspired to push the currency lower.  A long position on the Turkish lira added to sector losses as economic and political woes in that country sent the EM currency to record lows against the dollar. Commodity holdings produced additional losses as well.  A short sugar position suffered as the soft commodity advanced as Brazilian supply concerns boosted prices amid a trucker strike in the country.  Other sub-sector losses were experienced in the grains, meats, and precious metals.  The energy sub-sector, however, provided some partially offsetting gains.  Long positioning across the crude complex benefitted as prices generally stayed in the uptrend that began almost one year ago. Long positioning on a variety of global stock indices produced some good profits for the Fund early in the month as most world indices experienced gains.  Unfortunately, later in May, the political concerns that flared in Italy and renewed trade tensions between the US and China trigged a sharp reversal in prices, especially in Europe and Asia, which resulted in losses for some of the holdings.  A long position on the Italian stock index was one of the worst performing markets for the sector.

Gains in June came from all four asset classes traded by the Fund – FX, Interest Rates, Commodities, and Stock Indices. Foreign exchange positioning generated some of the strongest gains during the month.  While the positive returns were dominated by our short developed market positions (versus long the USD), we also saw gains across various emerging market currencies as well.  The US dollar saw choppy trading early in June but ultimately continued the uptrend from the first two months of the second quarter.  The DXY dollar index hit fresh 2018 highs and the greenback finished the month stronger versus the majority of our tradeable currencies.  The back and forth headlines on a potential global trade war, coupled with dovish policies outside of the US, proved to be the major macro themes driving foreign exchange markets during the month. Interest rate positions generated additional gains for the Fund during June.  Short positioning in US markets, specifically the 90-day Eurodollar and 2-year notes, created the bulk of fixed income gains as yields rose (prices fell) on the back of a 25 basis point FOMC rate hike, hawkish US Fed commentary, and a higher-than-expected projection for two additional US rate hikes this year.  Policy divergence between the Fed and other central banks, such as the ECB and the Bank of Japan, benefitted our positioning. Commodity holdings produced small additional profits as well.  A short corn position experienced strong profits as the grain fell to multi-month lows amid above-average crop progress and on concerns that trade tensions between the US and China could hurt US exports.  Long energy positions produced profits after a larger-than-expected reduction in US oil inventories. Long positioning on a variety of global stock indices added slightly to the positive monthly result.  Stock index returns ebbed and flowed on the numerous headlines surrounding trade tensions between the US and her trading partners.  Some of the best monthly stock index gains were found in Australia, Canada, and the United States.

Losses in July came from commodities, FX and interest rates, while stock indices provided some partially offsetting gains. Commodity holdings produced some of the largest monthly losses for the Fund.  Long energy positions declined as the complex fell from multi-year highs amid a myriad of bearish developments including global trade tensions and climbing output from OPEC.  Short grain positions suffered as the agricultural complex rallied sharply sparking a short squeeze amid supply concerns.  Long positioning on the industrial metals also created losses due to a sell-off created by fears over a global trade war and related concerns about future demand from China. Foreign exchange positioning generated additional losses during the month.  Short commodity currency holdings (versus long US dollar) produced losses for the Fund as those markets rose as trade war fears dampened somewhat in the second half of the month.  Short European foreign exchange positioning (versus long US dollar) also experienced losses, most notably from the Swedish krona which rallied after the Riksbank (Sweden’s central bank) turned more hawkish amid stronger economic data in that country during the month. Interest rate positions were also a drag on the Fund during July.  Long positioning in Europe and the APAC region suffered as bond investors grew more concerned that global central banks are beginning to slowly withdraw stimulus with an eye towards higher interest rates in the future.  Short positioning across much of the US interest rate curve provided some partially offsetting gains as US fixed income prices fell with other global bond markets. Long positioning on a variety of global stock indices added some partially offsetting gains to the Fund during the month.  Most stock indices enjoyed a bullish tailwind from a stronger-than-expected second quarter earnings season which eclipsed the uncertainty caused by on-again, off-again international trade tensions.

Profits in August came from commodities and FX while interest rates and stock indices provided some partially offsetting losses during the month. Commodity holdings produced some of the largest monthly gains for the Fund.  Short grain positions profited as the sub-sector sold off amid trade turmoil, beneficial weather, and higher yield estimates.  Long energy holdings across the crude complex experienced gains as looming US sanctions on Iran, which are expected to cripple the nation’s oil exports, as well as larger than expected US inventory draws, fueled prices higher.  The soft commodity sub-sector also added gains to the bottom-line, led by a short coffee holding.  Coffee prices were pressured to a 12-year low amid a weaker Brazilian real and record harvest forecasts in Brazil. Foreign exchange positioning generated additional profits during the month.  Long US dollar positions, against both developed and emerging market currencies, generated the gains.  A short New Zealand dollar holding (versus long US dollar) experienced some of the greatest gains as weaker economic data and a dovish central bank caused the kiwi to sell-off.  In emerging markets, a short holding on the South African rand (versus long US dollar) provided profits as expectations for further increases in US interest rates continued to put pressure on emerging market currencies. Interest rate positions were a drag on the Fund during August.  Short positioning on US and United Kingdom fixed income markets suffered amid flight-to-safety buying and short-covering.  Mounting concerns over the stability of emerging markets, especially in countries such as Argentina and Turkey, fueled demand for the relative safety of fixed income instruments as potential contagion fears spread. Long positioning on a variety of global stock indices also detracted from the monthly gains of the Fund.  European and Asia long holdings generated most of the losses.  Ongoing global trade tensions linked with uncertainty over BREXIT negotiations in the UK, and weaker than expected tech earnings, in Asia pressured those regions lower.

The Fund declined in September due to losses from FX and stock index positions, while commodity and fixed income holdings produced offsetting gains for the Fund. Foreign exchange positioning, in both developed and emerging markets, generated losses in September.  After the recent trend of a strengthening US dollar and emerging market weakness, the Fund was positioned long the US dollar against most of our traded currencies and suffered from a correction in the greenback.  Early in the month, FX markets focused more on trade frictions and geopolitical tension but those concerns gradually eased and emerging market currencies saw their first monthly gain since March. Stock index holdings produced additional losses for the Fund.  Long positioning on a variety of indices suffered from choppy markets that were whipsawed by global trade concerns between the US and her major economic partners.  Balancing losses were gains seen from the Nikkei, which posted its best month in a year.  Japanese shares were helped by a weaker yen which acted as a tailwind to exporters and a government which may be willing to make a trade deal. Interest rate positions from short US fixed income markets created gains for the Fund during the month.  US bond markets fell and yields rose due to firming inflation data, a hike by the US Federal Reserve, and the decreasing risk of emerging market contagion.  Providing smaller offsetting losses were our long positions on the long-dated European bond markets. Commodity holdings produced additional offsetting gains for the Fund during the month.  The largest sub-sector gains were found in energies as long WTI and Brent oil positions profited.  Oil prices rose on the potential for refinery disruptions from tropical storms and fears of a supply crunch from looming US-lead sanctions on Iran, outweighing the bearish effects of escalating disputes over global trade.

2017 (For the Nine Months Ended September 30)

Of the (6.06)% year to date return, approximately (0.81)% was due to trading losses (before commissions) and approximately (6.12)% due to brokerage fees, operating expenses and offering costs borne by the Fund, offset by approximately 0.87% due to investment income. An analysis of the (0.81)% trading losses by sector is as follows:

Sector
 
% Gain (Loss)
 
Commodities
   
(7.87
)%
Currencies
   
(3.55
)%
Interest Rates
   
(4.20
)%
Stock Indices
   
14.81
%
     
(0.81
)%

FX and commodity losses offset gains in stock indices led to a down January as losses came from foreign exchange, commodity, and interest rate positions while stock index holdings produced some partially offsetting gains. Foreign exchange (FX) produced some of the largest losses during the month.  Positioning within FX was broadly long the US dollar versus most other major currencies.  Following the election of Donald Trump, the US dollar strengthened and our trading systems generally aligned positioning with that momentum.  However, January saw a reversal of this trend as investors pared back their bullish bets on the greenback amid worries that President Trump was focusing more on protectionism than on pro-growth economic policies.  Our FX holdings suffered as a result of this broad reversal in the US dollar. Commodity holdings added to the January losses.  Within the energy sub-sector, long positioning on gasoline produced losses amid bearish inventory data.  Short soybean holdings, part of the grains sub-sector, experienced losses due to a weakening US dollar and flood conditions in Argentina.  In the softs sub-sector, a short on coffee saw losses due to a stronger Brazilian real and a downgrade to Brazil’s output forecast.  Some partially offsetting gains came from the industrial metals sub-sector.  Long positioning on zinc, copper, and aluminum all saw gains amid a combination of bullish fundamentals, especially from China, and some supply disruptions. Interest rate holdings also produced losses.  Long holdings on the German 10-year note saw declines as bond prices fell amid rising inflation in the Eurozone.  Inflation reached a 4-year high and approached the ECB’s stated 2% target. Stock index holdings contributed some offsetting gains.  Long holdings across our universe of global stock indices benefited from a continuation of the rally that started with the election of Trump and his expected reflationary policies.  Concerns over President Trump’s Executive Order limiting some immigration into the US capped gains late in the month as some investors became unnerved by the action.

Gains in stock indices, FX, and interest rates led to a profitable February as profits came from stock indices, foreign exchange, and interest rate positions while commodity holdings produced some partially offsetting losses for the Fund. Stock index holdings contributed some of the strongest gains to the Fund.  Long holdings across the Fund’s universe of global stock indices benefited from generally better than expected economic data.  The Bloomberg US indicator of economic surprises reached its strongest level since 2012.  Solid fourth quarter 2016 corporate earnings reports also helped to fuel the rally, along with a steadily improving US labor market.  Stock markets continued to look past the new Trump administration’s lack of policy implementation details and focused more on the potential benefits that tax reform, deregulation, and infrastructure spending might provide to global economies. Foreign exchange (FX) produced some additional gains as the Fund's models took advantage of the mixed performance among the developed and emerging FX markets.  Long positioning on higher-yielding currencies, such as the South African rand which rallied over 3% in February, proved profitable.  A short position on the euro also showed a gain when it weakened on the back of French election concerns in the EU. Interest rate holdings also produced profits.  Long positioning on longer-dated instruments within Germany provided some of the best gains.  German 5-year and 10-year notes both rallied on a flight to quality move as investors grew more concerned about the spring French Presidential election.  Marine Le Pen, the head of the far-right French Front National Party who has threatened to try to pull France out of the EU if elected, rose in the polls during the month. Commodity holdings modestly detracted from the February gains for the Fund.  Profits from precious metals (mostly from silver) and industrial metals (mostly from aluminum) were more than offset by losses in the other sub-sectors.  Grains were one of the worst performing sub-sectors as a short position on wheat suffered as the market rose to a 7-month high amid tight global ending stock projections.

Mixed performance across the asset classes traded led to a down March as losses came from interest rate, foreign exchange, and commodity positions while stock index holdings produced some partially offsetting gains. Interest rate holdings produced some of the largest losses during the month.  Long positioning on instruments within Germany sold off on higher EU inflation readings and as investors grew more comfortable that anti-EU political populism in France and the Netherlands was stalling.  Short positioning within the US was hurt when fixed income instruments reversed the recent downtrend mid-month amid a less hawkish FOMC message communicated after their decision to hike interest rates on March 15th. Foreign exchange produced some additional losses as our models failed to successfully navigate a choppy month of price action for the US dollar.  For example, long positioning on the New Zealand dollar (kiwi) suffered early in the month as that currency weakened against the US dollar leading up to the mid-month FOMC meeting which was widely expected to be hawkish.  Our models then flipped to short the kiwi only to see the currency begin to strengthen when the US dollar sold off on the more dovish than expected message delivered by the Federal Reserve. Commodity holdings modestly detracted from the Fund during March.  Some of the largest monthly losses came from the energy, precious metal, industrial metal, and meat sub-sectors.  Partially offsetting gains were found in the soft commodity and grain sub-sectors, with some of the best profits coming from sugar and wheat.  Stock index holdings contributed the strongest profits to the Fund during the month.  Some of the best gains were found via long positions on European stock indices which benefited from the ongoing global reflation trade and dampening concerns around anti-EU political populism in the region.  Our models also saw success in Asia as long positioning within Australia, Hong Kong, and Taiwan proved profitable as ongoing improvements in the Chinese economy, linked with enduring hopes for US tax reform and infrastructure spending, supported shares around the globe.

April gains came from stock index, foreign exchange, and interest rate holdings while commodities produced some partially offsetting losses for the Fund. Stock index holdings contributed the strongest profits to the Fund during the month.  Global stock markets generally shook off new tensions with North Korea and a US cruise-missile strike on targets in Syria.  A market-friendly French election outcome, above-trend US earnings growth, and movement on a number of policies by the White House all provided a positive offset to the worrisome news.  Long positioning on global stock indices benefitted from the gains shown by equities during the month with some of the best profits coming from the United States and Hong Kong. Foreign exchange holdings added to the Fund gains during April.  A short position on the Canadian dollar (versus the US dollar) benefitted as the loonie fell in value after President Trump announced a planned tariff on softwood lumber imports from Canada and also threatened to withdraw from the North American Free Trade Agreement (NAFTA).  Some partially offsetting losses were seen from a short on the euro (versus the US dollar) when currency markets cheered the French election outcome and sent the euro sharply higher late in the month. Interest rate positions produced some additional profits.  Long positioning on 10-year notes in Canada and Japan saw some of the best monthly gains within the sector as yields fell in those countries which sent bond prices higher. Commodity holdings produced losses during the month.  Long positioning on crude suffered when that market saw a price drop as record US crude stockpiles began to raise doubts about OPEC’s ability to curtail a global supply glut.  Long holdings on the industrial metals showed losses when an unwind of the global reflation trade pushed commodity prices lower.  Some gains were found in long positioning on live cattle which saw sharp price gains amid supply concerns following declines in slaughter estimates and a drop in cold storage inventories.

May shows losses caused by foreign exchange and commodity positions, while stock index and interest rate holdings produced partially offsetting gains for the Fund. Foreign exchange holdings produced some of the largest losses during May.  Long positioning on the US dollar against most developed currencies drove the decline.  An ongoing unwind of the Trump-induced reflation-trade, linked with some mixed US economic data and generally stronger European data, conspired to send the greenback lower during the month.  The political turmoil that gripped Washington DC added to the US dollar angst while a soothing of political tensions in Europe, due to the election of Emmanuel Macron in France, helped support European currencies. Commodity holdings also produced losses during the month.  Long positioning on natural gas suffered when that market saw a price drop as mild weather in the US reduced demand and as a new trade agreement with China is expected to encourage US drillers to produce more of the commodity.  A short cocoa position suffered amid flood conditions and unrest in the Ivory Coast which sent prices higher.  The grains produced some partially offsetting gains as a short soybean position profited from a sell-off in that market due to continued concerns surrounding increased South American planting expectations and steady US planting progress. Long holdings on global stock indices contributed some of the strongest profits to the Fund.  Some of the best gains were seen in Hong Kong and the US as technology stocks performed particularly well.  Improving global growth, linked with still-accommodative central banks and ongoing hope the Trump administration will ultimately get tax reform and infrastructure spending passed, kept the buy-the-dip mentality firmly in place.  Interest rate positions produced additional profits.  Long positioning on 10-year notes in Canada, Australia, and Germany produced gains as central banks in those regions indicated they planned to remain patient with their accommodative policies.

The Fund showed a loss in June led by down interest rate holdings as losses came from interest rate, commodities and foreign exchange positions, while stock index holdings had little impact on the Fund’s profit & loss (P&L) during the month. Interest rate positions produced the largest losses for the Fund during June.  Long positioning on European, Australian, United Kingdom, and Canadian interest rate notes were some of the worst performing markets within the sector for the Fund.  Late in the month, Mario Draghi, President of the ECB, gave a speech at the opening of the ECB's Forum on Central Banking which heightened expectations for monetary policy tapering in Europe.  In subsequent days, several other major central banks, such as the Bank of England (BOE) and the Bank of Canada (BOC), also delivered more hawkish messages.  The US has already embarked on a series of interest rate hikes and the Federal Open Market Committee (FOMC) has indicated that more hikes are likely to come.  The specter of an end to ultra-loose monetary policy on both sides of the Atlantic triggered a widespread sell-off in global fixed income markets which sent global yields higher and had a detrimental impact on the Fund. Commodity holdings produced additional losses during June. Some of the worst losses came from short positioning on wheat which rose amid declines in crop conditions, strong export sales, and a weaker US dollar. Partially-offsetting gains were found in short energy positions as the crude complex saw a broad-based sell-off. Short soft commodity holdings benefitted from a decline fueled by ample supply expectations. Foreign exchange markets also contributed to losses this month.  Long holdings on the US dollar against the Canadian dollar was one of the worst performing FX positions.  The loonie appreciated about 4% versus the US dollar as the BOC kick-started the theme of policy normalization which led to losses. Long holdings on global stock indices ended the month showing little impact on the Fund.  Early month gains were given back late in June as investors were unnerved by the global rise in rates which pushed many markets down from recent highs.

The Fund showed a gain in July led by foreign exchange and stock index positions, while commodity and interest rate holdings produced partially offsetting losses during the month. Foreign exchange positions produced some of the strongest monthly gains for the Fund. Broad-based US dollar weakness during July was the result of expectations that the US Federal Reserve would have to pause their recent path of higher interest rates due to weaker inflation readings for the US economy. In addition, the unpredictability of the Trump administration and the general inability of the US Congress to make progress on any substantive policy priorities weighed on the US currency. Some of the best gains were found in long positioning on the Australian dollar, euro, Canadian dollar, and Norwegian krone (all versus short US dollars). Long holdings on global stock indexes also contributed to profits. Some of the best returns were found in Hong Kong, the United States, India, and the Netherlands. Second quarter earnings reports were generally stronger than expected and a less hawkish US Federal Reserve both provided a tailwind for stocks. Equities saw a period of unusually low volatility with the S&P VIX index touching an all-time low during July. Commodity holdings produced some of the largest losses during July. A short soybean holding drove losses in the grains sub-sector as the market rallied amid lowered crop conditions. A short position on silver was hurt amid higher demand and a weaker US dollar which conspired to send the price of the precious metal higher. In the softs sub-sector, a coffee short suffered as that market advanced to a 3-month high amid the weaker dollar and falling expectations for the Brazilian crop. Small offsetting gains were found in the energy sub-sector where a long on gasoline benefited from higher prices as crude inventories showed a contraction during the month. Interest rate positions produced some smaller losses for the Fund. Choppy price action was difficult for the trading systems to navigate as rate markets grappled with changing central bank messaging and a consolidation of the sharp sell-off seen in June.

The Fund showed a gain in August led by interest rate and commodity holdings, while foreign exchange and stock index positions produced some partially offsetting losses during the month. Interest rate positions produced the best gains for the Fund. Long positioning on German and Japanese long-term interest rate notes contributed some of the best sector gains. Early in the month, a spike in demand for safe-haven assets drove bond prices higher amid new threats by North Korea to launch missiles at the US territory of Guam. Later in the month, bonds benefitted again when North Korea launched a missile that flew over Japan, triggering a new round of safety-seeking trades. Commodity holdings produced some additional profits during August. Long positioning on copper and zinc experienced gains on the back of strengthening Chinese demand and improving macro conditions. Short wheat positions also produced profits as those markets sold-off amid steady harvest progress and improved crop ratings. The Fund experienced some partially offsetting losses in the energies, precious metals, and meats sub-sectors. Foreign exchange positions produced losses for the Fund, as long positioning on the New Zealand dollar (versus the US dollar) suffered when that country’s central bank took a more dovish tone in the monetary policy statement they issued early in August. The head of their central bank, Graeme Wheeler, then continued to jawbone down the currency in speeches later in the month. Long positioning on the British pound (versus the US dollar) also caused losses when that currency fell in value as UK economic data lagged Europe and prospects for higher UK interest rates diminished. Global stock indexes also contributed to losses during the month. Short positioning on the S&P 500 Volatility Index (also known as the VIX) produced losses for the Fund as that index shot up more than 30% amid the North Korean missile threats early in August. Some partially offsetting gains were found in a long holding on the Hang Seng Index in Hong Kong which continued its strong year-to-date uptrend.

September losses came from foreign exchange, commodity, and interest rate holdings, while stock index positions produced some partially offsetting gains during the month. Foreign exchange positions produced losses for the Fund. Short US dollar positioning against a variety of developed market and emerging market currencies drove the Fund declines. The US dollar began to strengthen post the September 20th Federal Open Market Committee (FOMC) interest rate meeting. On balance, the FOMC communication was more hawkish than expected. Later in the month, several FOMC members reinforced the hawkish rhetoric which cemented expectations for one more interest rate hike in 2017 which fueled the US dollar higher, hurting the Fund. Commodity holdings produced additional losses during September. The biggest sub-sector losses were found within the industrial metals complex. Long positioning on copper and nickel suffered due to the stronger US dollar and amid several bearish developments in China. Long positioning on gasoline also led to losses when that market sold-off as the impact from Hurricane Harvey on the Gulf Coast refinery infrastructure was less severe than originally expected. Interest rate positions created further losses for the Fund. Long positioning on German government notes produced some of the largest losses within the sector. German notes fell in tandem with US notes as a reflation trade fueled by President Trump’s tax overhaul plan generally pushed global yields higher. Global stock indexes contributed some partially offsetting gains for the Fund. Long positioning in Japan, the United States, and continental Europe produced some of the best gains. A weaker yen helped boost shares in Japan. In the US, shares traded higher as prospects for tax reform trumped two major hurricanes and threats from North Korea. A still accommodative European central bank and the reelection of Chancellor Angela Merkel in Germany kept a strong tailwind behind stocks in that region.

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 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 different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Fund's past performance is not necessarily indicative of its future results.

Standard of Materiality

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

Quantifying the Fund's Trading Value at Risk

Quantitative Forward-Looking Statements

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

The Fund's risk exposure in the various market sectors traded is estimated in terms of Value at Risk (VaR). The Fund estimates VaR using a model based upon historical simulation (with a confidence level of 97.5%) which involves constructing a distribution of hypothetical daily changes in the value of a trading portfolio. The VaR model takes into account linear exposures to risks, including equity and commodity prices, interest rates, foreign exchange rates, and correlation among these variables. The hypothetical changes in portfolio value are based on daily percentage changes observed in key market indices or other market factors to which the portfolio is sensitive. The Fund's VaR at a one day 97.5% confidence level 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 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. 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 and forwards, 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, 2018 and December 31, 2017 and the trading gains/losses by market category for the nine months ended September 30, 2018 and the year ended December 31, 2017.

   
September 30, 2018
 
Market Sector
 
Value at
Risk*
   
Trading
Gain/(Loss)**
 
Commodities
   
0.70
%
   
(1.20
)%
Currencies
   
0.85
%
   
0.82
%
Interest Rates
   
0.33
%
   
0.60
%
Stock Indices
   
0.72
%
   
(4.39
)%
Aggregate/Total
   
1.31
%
   
(4.17
)%

*
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Fund's open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.

**
Of the (8.80)% year to date return, approximately (4.17)% was due to trading losses (before commissions) and approximately (6.09)% due to brokerage fees, operating expenses and offering costs borne by the Fund, offset by approximately 1.46% due to investment income.

   
December 31, 2017
 
Market Sector
 
Value at
Risk*
   
Trading
Gain/(Loss)**
 
Commodities
   
0.53
%
   
(5.08
)%
Currencies
   
0.42
%
   
(5.06
)%
Interest Rates
   
0.52
%
   
(4.29
)%
Stock Indices
   
0.74
%
   
21.10
%
Aggregate/Total
   
1.24
%
   
6.67
%

*
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. 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 (0.33)% return for the year ended December 31, 2017, approximately (8.15)% was due to brokerage fees, operating expenses and offering costs borne by the Fund, offset by approximately 6.67% due to trading gains (before commissions) and approximately 1.15% due to investment income.

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 portion of its available assets in U.S. Treasury Bills held at the brokers and over-the-counter counterparties. 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 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.

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, 2018, 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 as well as Australia, Hong Kong, Singapore, Spain, Taiwan, Netherlands, India, South Africa and Sweden. 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, palladium, platinum, silver and zinc.

Agricultural

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

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the non-trading risk exposures of the Fund as of September 30, 2018.

Foreign Currency Balances

The Fund's primary foreign currency balances are in Australian Dollar, British Pound, Canadian Dollar, Euros, Hong Kong Dollar, Japanese Yen, Singapore Dollar, South African Rand and Swedish Krona. 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 and Short Term Investments

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, PNC, 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.

U.S. Treasury Bill Positions for Margin Purposes

The Fund also has market exposure in its U.S. Treasury Bill portfolio. The Fund holds U.S. Treasury Bills with maturities no longer than six months. Violent fluctuations in prevailing interest rates could cause minimal mark-to-market losses on the Fund's U.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.

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, the general partner of the Fund, with the participation of the general partner's chief executive officer and managing director, operations and finance, 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 managing director, operations and finance 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.  Mine Safety Disclosures.

Not applicable.

Item 5.  Other Information.

None

Item 6.  Exhibits.

Exhibit
Number
 
Description of Document
     
3.01
 
     
3.02
 
     
4.01
 
     
10.01
 
     
10.02
 
     
10.03
 
     
 
Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
     
 
Certification of Gabriel A. Morris, Managing Director, Operations and Finance, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
     
 
Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
     
 
Certification of Gabriel A. Morris, Managing Director, Operations and Finance, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
     
101.01
 
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments September 30, 2018 and December 31, 2017, (ii) Statements of Financial Condition September 30, 2018 and December 31, 2017, (iii) Statements of Operations For the Three Months and Nine Months Ended September 30, 2018 and 2017, (iv) Statements of Cash Flows For the Nine Months Ended September 30, 2018 and 2017, (v) Statements of Changes in Partners' Capital (Net Asset Value) For the Nine Months Ended September 30, 2018 and 2017, (vi) Financial Highlights For the Three Months and Nine Months Ended September 30, 2018 and 2017, (vii) Notes to Financial Statements.

(1)
Incorporated by reference to the respective exhibit to the Registrant’s Registration Statement on Form S-1 on April 27, 2010.

(2)
Incorporated by reference to the respective exhibit to Post-Effective Amendment No. 2 to the Registration Statement on Form S-1 on April 7, 2011.

(3)
Incorporated by reference to the respective exhibit to the Quarterly Report on Form 10-Q on November 14, 2017.

(4)
Incorporated by reference to the respective exhibit to the Quarterly Report on Form 10-Q on May 15, 2014.

EXHIBIT INDEX

 
Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
     
 
Certification of Gabriel A. Morris, Managing Director, Operations and Finance, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
     
 
Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
     
 
Certification of Gabriel A. Morris, Managing Director, Operations and Finance, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
     
101.01
 
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments September 30, 2018 and December 31, 2017, (ii) Statements of Financial Condition September 30, 2018 and December 31, 2017, (iii) Statements of Operations For the Three Months and Nine Months Ended September 30, 2018 and 2017, (iv) Statements of Cash Flows For the Nine Months Ended September 30, 2018 and 2017, (v) Statements of Changes in Partners' Capital (Net Asset Value) For the Nine Months Ended September 30, 2018 and 2017, (vi) Financial Highlights For the Three Months and Nine Months Ended September 30, 2018 and 2017, (vii) Notes to Financial Statements.

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, LP
 
   
General Partner
 
     
Date: November 14, 2018
By:
/s/ G. William Andrews
 
   
G. William Andrews
 
   
Chief Executive Officer
 


35