UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

þ		Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

o		Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

Commission File number: 0-22260

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

(Exact name of registrant as specified in charter)

Delaware		52-1823554
(State of Organization)		(IRS Employer Identification Number)

2850 Quarry Lake Drive
Baltimore, Maryland 21209

(410) 413-2600

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, and (2) has been subject to such filing requirements for the past 90 days.

Yes þ     No o

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

Yes o     No o

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

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

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

Yes o     No þ

No PAGES: 35

 

 

		Page
PART I — FINANCIAL INFORMATION
Item 1. Financial Statements
Condensed Schedules of Investments as of September 30, 2009 (Unaudited) and December 31, 2008			3-6
Statements of Financial Condition as of September 30, 2009 (Unaudited) and December 31, 2008			7
Statements of Operations for the Three Months and Nine Months Ended September 30, 2009 and 2008 (Unaudited)			8
Statements of Cash Flows for the Nine Months Ended September 30, 2009 and 2008 (Unaudited)			9
Statements of Changes in Partners’ Capital (Net Asset Value) for the Nine Months Ended September 30, 2009 and 2008 (Unaudited)			10
Financial Highlights for the Three and Nine Months Ended September 30, 2009 and 2008 (Unaudited)			11
Notes to Financial Statements (Unaudited)			12-17
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations			18-26
Item 3. Quantitative and Qualitative Disclosure About Market Risk			26-32
Item 4T. Controls and Procedures			33
PART II — OTHER INFORMATION
Item 6. Exhibits and Reports on Form 8-K			34
SIGNATURES			35
CERTIFICATIONS

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2009 (Unaudited)

FIXED INCOME SECURITIES

Maturity				Maturity										% of Net
Face Value				Date				Description		Values ($)				Asset Value
								Bank Deposits
								United States
								Financials (cost $64,333,000)		$	64,355,881				3.44	%
								Commercial Paper
								Germany
								Materials (cost $17,223,643)		$	17,247,196				0.92	%
								United Kingdom
								Financials (cost $31,069,670)		$	31,096,733				1.66	%
								United States
								Consumer Discretionary		$	21,822,784				1.17	%
								Consumer Staples		$	44,464,321				2.37	%
								Financials		$	229,137,346				12.24	%
								Healthcare		$	32,215,282				1.72	%
								Industrials		$	148,994,656				7.96	%
								Municipal		$	140,575,158				7.51	%
								Services		$	64,453,111				3.44	%
								Utilities		$	84,236,262				4.50	%
								Total United States (cost $765,672,506)		$	765,898,920				40.91	%
								Total Commercial Paper (cost $813,965,819)		$	814,242,849				43.49	%
								Corporate Bonds
								United States
								Financials (cost $153,865,322)		$	153,765,828				8.21	%
								Government And Agency Obligations
								United States
								Municipal Bonds
								Municipal		$	28,102,842				1.50	%
								US Government Agency		$	276,507,522				14.77	%
								US Treasury Bill
$	34,000,000				10/01/2009			U.S. Treasury Bills *		$	34,000,000				1.82	%
$	300,000,000				10/08/2009			U.S. Treasury Bills *		$	299,995,528				16.02	%
$	30,000,000				10/22/2009			U.S. Treasury Bills *		$	29,999,387				1.60	%
								Total United States (cost $668,333,071)		$	668,605,279				35.71	%
								Short Term Investment Funds
								United States
								Short Term Investment Funds (cost $15,952)		$	15,952				0.00	%
								Total Fixed Income Securities (cost $1,700,513,164)		$	1,700,985,789				90.85	%

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2009 (Unaudited)

LONG FUTURES CONTRACTS

						% of Net
Description		Values ($)				Asset Value
Agricultural		$	(16,645	)			0.00	%
Metals		$	(581,439	)			(0.03	)%
Stock indices		$	579,746				0.03	%
Short-term interest rates		$	880,436				0.05	%
Long-term interest rates		$	5,401,958				0.29	%
Total long futures contracts		$	6,264,056				0.34	%

SHORT FUTURES CONTRACTS

						% of Net
Description		Values ($)				Asset Value
Agricultural		$	159,544				0.01	%
Energy		$	(3,868,476	)			(0.21	)%
Metals		$	241,276				0.01	%
Stock indices		$	(2,454	)			0.00	%
Short-term interest rates		$	892,174				0.05	%
Long-term interest rates		$	986,453				0.05	%
Total short futures contracts		$	(1,591,483	)			(0.09	)%
Total futures contracts		$	4,672,573				0.25	%

FORWARD CURRENCY CONTRACTS

						% of Net
Description		Values ($)				Asset Value
Various long forward currency contracts		$	85,051,317				4.54	%
Various short forward currency contracts		$	(16,511,935	)			(0.88	)%
Total forward currency contracts		$	68,539,382				3.66	%

PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS

						% of Net
Description		Values ($)				Asset Value
Purchased options on forward currency contracts (premiums paid — $2,333,466)		$	1,652,374				0.09	%

WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS

						% of Net
Description		Values ($)				Asset Value
Written options on forward currency contracts (premiums received — $1,465,854)		$	(1,285,080	)			(0.07	)%

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008

FIXED INCOME SECURITIES

     UNITED STATES GOVERNMENT SECURITIES*

Maturity				Maturity										% of Net
Face Value				Date				Description		Values ($)				Asset Value
$	800,000,000				03/19/2009			U.S. Treasury Bills		$	799,948,669				32.57	%
$	300,000,000				03/26/2009			U.S. Treasury Bills		$	299,986,000				12.21	%
$	37,000,000				01/22/2009			U.S. Treasury Bills		$	37,000,000				1.51	%
Total United States government securities (cost, including accrued interest, — $1,136,934,669)										$	1,136,934,669				46.29	%

LONG FUTURES CONTRACTS

						% of Net
Description		Values ($)				Asset Value
Metals		$	94,925				0.00	%
Stock indices		$	771,700				0.03	%
Short-term interest rates		$	3,840,778				0.16	%
Long-term interest rates		$	4,905,228				0.20	%
Total long futures contracts		$	9,612,631				0.39	%

SHORT FUTURES CONTRACTS

						% of Net
Description		Values ($)				Asset Value
Energy		$	(801,546	)			(0.03	)%
Metals		$	(1,664,930	)			(0.07	)%
Stock indices		$	(3,375,148	)			(0.14	)%
Short-term interest rates		$	(27,625	)			0.00	%
Long-term interest rates		$	(3,537,223	)			(0.14	)%
Total short futures contracts		$	(9,406,472	)			(0.38	)%
Total futures contracts		$	206,159				0.01	%

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008

FORWARD CURRENCY CONTRACTS

						% of Net
Description		Values ($)				Asset Value
Various long forward currency contracts		$	26,680,445				1.09	%
Various short forward currency contracts		$	(15,851,597	)			(0.65	)%
Total forward currency contracts		$	10,828,848				0.44	%

PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS

						% of Net
Description		Values ($)				Asset Value
Purchased options on forward currency contracts (premiums paid — $969,001)		$	519,315				0.02	%

WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS

						% of Net
Description		Values ($)				Asset Value
Written options on forward currency contracts (premiums received - $3,537,352)		$	(3,202,653	)			(0.13	)%

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF FINANCIAL CONDITION
September 30, 2009 (Unaudited) and December 31, 2008

		September 30,				December 31,
		2009				2008
ASSETS
Equity in broker trading accounts
Cash		$	138,228,442			$	1,278,536,649
Restricted cash			0				41,411,655
Fixed income securities (cost $299,995,528 and $1,099,934,669, respectively)			299,995,528				1,099,934,669
Net unrealized gain (loss) on open futures contracts			4,672,573				206,159
Total equity in broker trading accounts			442,896,543				2,420,089,132
Cash and cash equivalents			14,099,063				30,721,976
Restricted cash deposits with forwards broker			0				42,515,724
Fixed income securities (cost $1,400,517,636 and $37,000,000, respectively)			1,400,990,261				37,000,000
Options purchased, at fair value (premiums paid — $2,333,466 and $969,001, respectively)			1,652,374				519,315
Net unrealized gain (loss) on open forward currency contracts			68,539,382				10,828,848
Interest receivable			750,215				41,698
Other assets			20,688				0
Total assets		$	1,928,948,526			$	2,541,716,693
LIABILITIES
Accounts payable		$	615,300			$	668,492
Brokerage fee			11,238,756				14,801,625
Options written, at fair value (premiums received — $1,465,854 and $3,537,352, respectively)			1,285,080				3,202,653
Accrued commissions and other trading fees on open contracts			225,924				114,176
Offering costs payable			178,346				309,964
Redemptions payable			43,133,312				66,725,891
Total liabilities			56,676,718				85,822,801
PARTNERS’ CAPITAL (Net Asset Value)
General Partner — 6,637.982 and 10,367.982 redeemable units outstanding at September 30, 2009 and December 31, 2008			16,241,416				27,266,756
Limited Partners — 758,574.125 and 923,465.791 redeemable units outstanding at September 30, 2009 and December 31, 2008			1,856,030,392				2,428,627,136
Total partners’ capital (Net Asset Value)			1,872,271,808				2,455,893,892
Total liabilities and partners’ capital (Net Asset Value)		$	1,928,948,526			$	2,541,716,693

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, 2009 and 2008
(Unaudited)

		Three Months Ended								Nine Months Ended
		September 30,								September 30,
		2009				2008				2009				2008
TRADING GAINS (LOSSES)
Futures trading gains (losses)
Realized		$	10,450,421			$	119,992,807			$	(98,941,018	)		$	200,497,144
Change in unrealized			7,628,026				(113,558,756	)			4,466,414				(32,119,788	)
Brokerage commissions			(631,027	)			(1,063,015	)			(1,893,725	)			(3,116,295	)
Net gain (loss) from futures trading			17,447,420				5,371,036				(96,368,329	)			165,261,061
Forward currency and options on forward currency trading gains (losses)
Realized			(4,788,900	)			(12,495,201	)			(10,585,535	)			(35,870,012	)
Change in unrealized			66,584,403				(77,910,424	)			57,325,202				24,551,508
Brokerage commissions			(90,967	)			(92,603	)			(233,887	)			(360,086	)
Net gain (loss) from forward currency and options on forward currency trading			61,704,536				(90,498,228	)			46,505,780				(11,678,590	)
Total net trading gain (loss)			79,151,956				(85,127,192	)			(49,862,549	)			153,582,471
NET INVESTMENT INCOME (LOSS)
Investment income
Interest income			862,133				11,759,779				1,301,843				52,037,243
Change in unrealized gain (loss) on fixed income securities			472,625				0				472,625				0
Total investment income			1,334,758				11,759,779				1,774,468				52,037,243
Expenses
Brokerage fee			33,841,330				50,532,819				112,819,855				170,103,319
Operating expenses			586,057				409,370				1,333,933				1,328,039
Total expenses			34,427,387				50,942,189				114,153,788				171,431,358
Net investment income (loss)			(33,092,629	)			(39,182,410	)			(112,379,320	)			(119,394,115	)
NET INCOME (LOSS)		$	46,059,327			$	(124,309,602	)		$	(162,241,869	)		$	34,188,356
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT (based on weighted average number of units outstanding during the period)		$	57.43			$	(118.24	)		$	(189.08	)		$	28.66
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT		$	58.93			$	(119.34	)		$	(183.16	)		$	19.32

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF CASH FLOWS

For the Nine Months Ended September 30, 2009 and 2008

(Unaudited)

		Nine Months Ended
		September 30,
		2009				2008
Cash flows from (for) operating activities
Net income (loss)		$	(162,241,869	)		$	34,188,356
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
Net change in unrealized			(62,264,241	)			7,568,280
(Increase) decrease in restricted cash			83,927,379				0
(Increase) decrease in option premiums paid			(1,364,465	)			7,408,972
Increase (decrease) in option premiums received			(2,071,498	)			(4,122,315	)
(Increase) decrease in interest receivable			(708,517	)			249,957
(Increase) decrease in other assets			(20,688	)			(2,911	)
Increase (decrease) in accounts payable and accrued expenses			(3,504,313	)			(7,757,565	)
Net maturities (purchases) of investments in
Fixed income securities			(563,578,496	)			1,548,629,029
Net cash from (for) operating activities			(711,826,708	)			1,586,161,803
Cash flows from (for) financing activities
Addition of units			0				38,172,639
Redemption of units			(442,861,293	)			(1,270,024,605	)
Offering costs paid			(2,243,119	)			(4,137,640	)
Net cash from (for) financing activities			(445,104,412	)			(1,235,989,606	)
Net increase (decrease) in cash and cash equivalents			(1,156,931,120	)			350,172,197
Cash and cash equivalents
Beginning of period			1,309,258,625				516,188,570
End of period		$	152,327,505			$	866,360,767
End of period cash and cash equivalents consists of:
Cash in broker trading accounts		$	138,228,442			$	853,377,908
Cash and cash equivalents			14,099,063				12,982,859
Total end of period cash and cash equivalents		$	152,327,505			$	866,360,767

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, 2009 and 2008

(Unaudited)

		Partners’ Capital
		General Partner								Limited Partners								Total
		Units				Amount				Units				Amount				Units				Amount
Nine Months Ended September 30, 2009
Balances at December 31, 2008			10,367.982			$	27,266,756				923,465.791			$	2,428,627,136				933,833.773			$	2,455,893,892
Net income (loss) for the nine months ended September 30, 2009							(2,096,089	)							(160,145,780	)							(162,241,869	)
Redemptions			(3,730.000	)			(8,906,531	)			(164,891.666	)			(410,362,183	)			(168,621.666	)			(419,268,714	)
Offering costs							(22,720	)							(2,088,781	)							(2,111,501	)
Balances at September 30, 2009			6,637.982			$	16,241,416				758,574.125			$	1,856,030,392				765,212.107			$	1,872,271,808
Nine Months Ended September 30, 2008
Balances at December 31, 2007			19,227.982			$	51,351,210				1,404,914.962			$	3,752,040,355				1,424,142.944			$	3,803,391,565
Net income (loss) for the nine months ended September 30, 2008							458,041								33,730,315								34,188,356
Additions			0.000				0				14,098.315				38,088,526				14,098.315				38,088,526
Redemptions			(6,240.000	)			(16,825,973	)			(420,508.937	)			(1,134,122,167	)			(426,748.937	)			(1,150,948,140	)
Offering costs							(45,996	)							(3,787,584	)							(3,833,580	)
Balances at September 30, 2008			12,987.982			$	34,937,282				998,504.340			$	2,685,949,445				1,011,492.322			$	2,720,886,727

Net Asset Value per General and Limited Partner Unit
September 30, 2009				December 31, 2008				September 30, 2008				December 31, 2007
$	2,446.74			$	2,629.90			$	2,689.97			$	2,670.65

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

FINANCIAL HIGHLIGHTS

For the Three Months and Nine Months Ended September 30, 2009 and 2008

(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, 2009 and 2008. This information has been derived from information presented in the financial statements.

		Three Months Ended								Nine Months Ended
		September 30,								September 30,
		2009				2008				2009				2008
Per Unit Performance (for a unit outstanding throughout the entire period)
Net asset value per unit at beginning of period		$	2,387.81			$	2,809.31			$	2,629.90			$	2,670.65
Income (loss) from operations:
Total net trading gains (losses) (1)			100.82				(81.02	)			(49.73	)			122.63
Net investment income (loss)(1)			(41.26	)			(37.27	)			(130.97	)			(100.10	)
Total net income (loss) from operations			59.56				(118.29	)			(180.70	)			22.53
Offering costs (1)			(0.63	)			(1.05	)			(2.46	)			(3.21	)
Net asset value per unit at end of period		$	2,446.74			$	2,689.97			$	2,446.74			$	2,689.97
Total Return (3)			2.47	%			(4.25	)%			(6.96	)%			0.72	%
Supplemental Data
Ratios to average net asset value:
Expenses prior to performance fee (4)			7.21	%			7.08	%			7.14	%			7.20	%
Performance fee (3)			0.00	%			0.00	%			0.00	%			0.00	%
Total expenses			7.21	%			7.08	%			7.14	%			7.20	%
Net investment income (loss) (2),(4)			(6.93	)%			(5.45	)%			(7.03	)%			(5.02	)%

Total returns are calculated based on the change in value of a unit during the period. An individual partner’s total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

SEPTEMBER 30, 2009 (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, forward currency contracts and options on forward currency contracts.

Effective June 14, 2008, units in the Fund were no longer offered for sale. For existing investors in the Fund, business will continue to 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.

B.

Regulation

As a registrant with the Securities and Exchange Commission, the Fund is subject to the regulatory requirements under the Securities Act of 1933 and the Securities Exchange Act of 1934. As a commodity investment pool, the Fund is subject to the regulations of the Commodity Futures Trading Commission, an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Fund executes transactions. Additionally, the Fund is subject to the requirements of futures commission merchants (brokers) and interbank market makers through which the Fund trades.

C.

Method of Reporting

The Fund’s financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which may require the use of certain estimates made by the Fund’s management. Actual results may differ from these estimates. Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statement of financial condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 210-20, Offsetting — Balance Sheet, (formerly FAS No. 39 — “Offsetting of Amounts Related to Certain Contracts”). The market value of futures (exchange-traded) contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of the last business day of the reporting period. The market value of 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.) of the last business day of the reporting period or based on the market value of its exchange-traded equivalent.

The market value of option (non-exchange traded) contracts is calculated by applying an industry-standard adaptation of the Black-Scholes options valuation model to foreign currency options, using as input, the spot prices, interest rates and option implied volatilities quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period. Any change in net unrealized gain or loss from the preceding period is reported in the statement of operations.

When the Fund writes an option, an amount equal to the premium received by the Fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of option written. Brokerage commissions include other trading fees and are charged to expense when contracts are opened.

The fixed income investments, other than U.S. Treasury bills held at the brokers or interbank market makers, are marked-to-market on the last business day of the reporting period by a custodian who utilizes a third party vendor hierarchy of pricing providers who specialize in such markets. The prices furnished by the providers consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. U.S. Treasury bills not held by the custodian are stated at cost plus accrued interest, which approximates Fair value. Premiums and discounts on debt securities are amortized for financial reporting purposes.

For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value by the number of outstanding units.

The Fund adopted the provisions of ASC 820, Fair Value Measurements and Disclosures (formerly FASB No. 157, “Fair Value Measurements”), as of January 1, 2008. ASC 820 provides guidance for determining fair value and requires increased disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).

Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Fund has the ability to access at the measurement date. An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The value of the Fund’s exchange-traded futures contracts fall into this category.

Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes forward currency contracts and options on forward currency contracts that the Fund values using models or other valuation methodologies derived from observable market data. This category also includes fixed income investments.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2009 (UNAUDITED)

Level 3 inputs are unobservable inputs for an asset or liability (including the Fund’s own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of and for the period ended September 30, 2009, 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, 2009 and December 31, 2008.

		Fair Value at September 30, 2009
Description		Level 1				Level 2				Level 3				Total
Investments
Fixed income securities		$	0			$	1,700,985,789			$	0			$	1,700,985,789
Other Financial Instruments
Exchange-traded futures contracts			4,672,573				0				0				4,672,573
Forward currency contracts			0				68,539,382				0				68,539,382
Options purchased			0				1,652,374				0				1,652,374
Options written			0				(1,285,080	)			0				(1,285,080	)
Total		$	4,672,573			$	1,769,892,465			$	0			$	1,774,565,038

		Fair Value at December 31, 2008
Description		Level 1				Level 2				Level 3				Total
Investments
Fixed income securities		$	0			$	1,136,934,669			$	0			$	1,136,934,669
Other Financial Instruments
Exchange-traded futures contracts			206,159				0				0				206,159
Forward currency contracts			0				10,828,848				0				10,828,848
Options purchased			0				519,315				0				519,315
Options written			0				(3,202,653	)			0				(3,202,653	)
Total		$	206,159			$	1,145,080,179			$	0			$	1,145,286,338

D.

Cash and Cash Equivalents

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

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

Management has continued to evaluate the application of ASC 740, Income Taxes (formerly FAS No. 48, “Accounting for Uncertainty in Income Taxes”) to the Fund, and has determined that no reserves for uncertain tax positions were required to have been recorded as a result of the adoption of ASC 740. 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 2005 through 2008 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2009 (UNAUDITED)

F.

Offering Costs

Campbell & Company, Inc. (Campbell & Company) has incurred all costs in connection with the initial and continuous offering of units of the Fund (offering costs). In addition, Campbell & Company continues to compensate wholesalers for services rendered to Limited Partners. The Fund’s liability for offering costs is limited to the maximum of total offering costs incurred by Campbell & Company or 2.5% of the aggregate subscriptions accepted during the initial and continuous offerings. The Fund is only liable for payment of offering costs on a monthly basis as calculated based on the limitations stated above. At September 30, 2009, and December 31, 2008, the Fund reflects a liability in the statement of financial condition for offering costs payable to Campbell & Company of $178,346 and $309,964, respectively. The amount of monthly reimbursement due to Campbell & Company is charged directly to partners’ capital.

If the Fund terminates prior to completion of payment of the calculated amounts to Campbell & Company, Campbell & Company will not be entitled to any additional payments, and the Fund will have no further obligation to Campbell & Company. At September 30, 2009 and December 31, 2008, the amount of unreimbursed offering costs incurred by Campbell & Company is $321,423 and $926,519, respectively.

G.

Foreign Currency Transactions

The Fund’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the statement of financial condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income.

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 $5 per round turn to the broker for execution and clearing costs. From the 7% fee, a portion (4%) is used to compensate selling agents for ongoing services rendered and a portion (3%) is retained by Campbell & Company for trading and management services rendered. The amount paid to the broker and interbank market makers for execution and clearing costs is limited to 1/12 of 1% (1% annualized) of month-end net assets.

Campbell & Company is also paid a quarterly performance fee of 20% of the Fund’s aggregate cumulative appreciation in the Net Asset Value per unit, exclusive of appreciation attributable to interest income. More specifically, the performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark) adjusting for investment income. In determining the brokerage and performance, 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 brokerage fee and performance fee are typically paid in the month following the month in which they are earned. The brokerage fee and performance fee are paid from the available cash at the Funds bank, broker or cash management accounts.

Note 3. CASH MANAGER AND CUSTODIAN

In July 2009 the Fund appointed Wilmington Trust Investment Management LLC, a wholly owned subsidiary of Wilmington Trust Corporation, and Horizon Cash Management LLC as cash managers under the Non-Custody Investment Advisory Agreements to manage and control the liquid assets of the Fund. Each cash manager is registered as an investment adviser with the Securities and Exchange Commission of the United States under the Investment Advisers Act of 1940.

The Fund opened custodial accounts at The Northern Trust Company (the custodian) and has granted the cash managers authority to make certain investments on behalf of the Fund provided such investments are consistent with the investment guidelines created by the managing operator. All securities purchased by the cash managers on behalf of the Fund will be held in the Fund’s custody accounts at the custodian. The cash managers will have no beneficial or other interest in the securities and cash in such custody accounts. The cash managers began trading on behalf of the Fund in August 2009.

Note 4. DEPOSITS WITH BROKERS

The Fund deposits assets with brokers subject to Commodity Futures Trading Commission regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of U.S. Treasury bills and cash with such brokers. The Fund earns interest income on its assets deposited with the brokers.

Note 5. OPERATING EXPENSES

Operating expenses of the Fund are limited by the Amended Agreement of Limited Partnership to 0.5% per year of the average month-end Net Asset Value of the Fund. Actual operating expenses were less than 0.5% (annualized) of average month-end Net Asset Value for the three months and nine months ended September 30, 2009, and 2008.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2009 (UNAUDITED)

Note 6. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

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

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

Redemption fees, which are paid to Campbell & Company, apply through the first twelve month-ends following purchase as follows: 4% of Net Asset Value per unit redeemed through the third month-end, 3% of Net Asset Value per unit redeemed through the sixth month-end, 2% of Net Asset Value per unit redeemed through the ninth month-end and 1% of Net Asset Value per unit redeemed through the twelfth month end. After the twelfth month-end following purchase of a unit, no redemption fees apply. For the nine months ended September 30, 2009 and 2008, Campbell & Company received redemption fees of $11,966 and $184,858 respectively.

Note 7. TRADING ACTIVITIES AND RELATED RISKS

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

Purchase and sale of futures contracts requires margin deposits with the broker. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’s insolvency, recovery may be limited to a pro rata share of segregated Funds available. It is possible that the recovered amount could be less than total cash and other property deposited.

The amount of required margin and good faith deposits with the broker and interbank market makers usually range from 10% to 30% of Net Asset Value. The market value of securities held to satisfy such requirements at September 30, 2009 and December 31, 2008 was $363,994,915 and $1,136,934,669, respectively, which equals 19% and 46% of Net Asset Value, respectively. The cash deposited with interbank market makers at September 30, 2009 and December 31, 2008 was $14,012,129 and $73,104,593, respectively, which equals 1% and 3% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents. Included in cash deposits with the broker and interbank market maker at September 30, 2009 and December 31, 2008 was restricted cash for margin requirements of $0 and $41,411,655 respectively, which equals 0% and 2% of Net Asset Value respectively.

The Fund trades forward currency and options on forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with forward currency and options on foreign currency contracts are generally greater than those associated with exchange traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency and options on forward currency contracts typically involves delayed cash settlement.

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

For derivatives, risks arise from changes in the market value of the contracts. Market movements result in frequent changes in the fair market value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades. Theoretically, the Fund is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. As both a buyer and seller of options, the Fund pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Fund to potentially unlimited liability, and purchased options expose the Fund to a risk of loss limited to the premiums paid. See Note 1. C. for an explanation of how the Fund determines its valuation for derivatives as well as the netting of derivatives.

The unrealized gain (loss) on open futures, forward currency and options on forward currency contracts is comprised of the following:

										Forward Currency and
										Options on Forward
		Futures Contracts								Currency Contracts
		(exchange traded)								(non-exchange traded)
		September 30, 2009				December 31, 2008				September 30, 2009				December 31, 2008
Gross unrealized gains		$	17,407,762			$	14,648,019			$	121,518,782			$	64,296,837
Gross unrealized losses			(12,735,189	)			(14,441,860	)			(53,479,718	)			(53,582,976	)
Net unrealized gain (loss)		$	4,672,573			$	206,159			$	68,039,064			$	10,713,861

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2009 (UNAUDITED)

In March 2008, the FASB issued ASC 815, “Derivatives and Hedging” (formerly SFAS No. 161, “Disclosures about Dervative Instruments and Hedging Activities”). 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. ASC 815 is effective for financial statements issued for the Fund’s first fiscal year beginning after November 15, 2008. The Fund adopted ASC 815 effective January 1, 2009.

The following tables summarize quantitative information required by ASC 815.

The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Financial Condition, as of September 30, 2009 is as follows:

				Asset				Liability
				Derivatives at				Derivatives at
		Statement of Financial		September 30, 2009				September 30, 2009
Type of Instrument *		Condition Location		Fair Value				Fair Value				Net
Agricultural Contracts		Equity in broker trading accounts		$	771,330			$	(628,430	)		$	142,900
Energy Contracts		Equity in broker trading accounts			251,079				(4,119,555	)			(3,868,476	)
Metal Contracts		Equity in broker trading accounts			3,056,865				(3,397,027	)			(340,162	)
Stock Indices Contracts		Equity in broker trading accounts			4,291,170				(3,713,878	)			577,292
Short-Term Interest Rate Contracts		Equity in broker trading accounts			2,438,574				(665,965	)			1,772,609
Long Term Interest Rate Contracts		Equity in broker trading accounts			6,598,745				(210,335	)			6,388,410
Forward Currency Contracts		Net unrealized gain (loss) on
		forward currency contracts			120,709,494				(52,170,112	)			68,539,382
Purchased Options on Forward Currency Contracts		Options purchased, at fair value			1,652,374				0				1,652,374
Written Options on Forward Currency Contracts		Options written, at fair value			0				(1,285,080	)			(1,285,080	)
Totals				$	139,769,631			$	(66,190,382	)		$	73,579,249

The trading revenue of the Fund’s derivatives by instrument type, as well as the location of those gains and losses on the Statement of Operations, for the period ended September 30, 2009 is as follows:

		Trading Revenue for				Trading Revenue for
		the Three Months Ended				the Nine Months Ended
Type of Instrument		September 30, 2009				September 30, 2009
Agricultural Contracts		$	(2,712,614	)		$	(2,712,614	)
Energy Contracts			(21,928,205	)			(17,492,421	)
Metal Contracts			20,544,888				475,116
Stock Indices Contracts			39,637,152				(25,898,450	)
Short-Term Interest Rate Contracts			3,106,421				(10,650,946	)
Long Term Interest Rate Contracts			(20,583,409	)			(38,988,767	)
Forward Currency Contracts			60,372,823				15,885,429
Purchased Options on Forward Currency Contracts			(12,173,990	)			(23,724,057	)
Written Options on Forward Currency Contracts			13,596,671				54,578,296
Total		$	79,859,737			$	(48,528,414	)

		Trading Revenue for				Trading Revenue for
		the Three Months Ended				the Nine Months Ended
Line Item in the Statement of Operations		September 30, 2009				September 30, 2009
Futures trading gains (losses):
Realized		$	10,436,208			$	(99,734,495	)
Change in unrealized			7,628,026				4,466,414
Forward currency and options on forward currency trading gains (losses):
Realized			(4,788,900	)			(10,585,535	)
Change in unrealized			66,584,403				57,325,202
Total		$	79,859,737			$	(48,528,414	)

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2009 (UNAUDITED)

For the three months and nine months ended September 30, 2009, the monthly average of futures contracts bought and sold was approximately 90,600 and 81,800 respectively, and the monthly average of notional value of forward currency and options on forward currency contracts was $11,087,400,000 and $9,548,200,000 respectively.

Open contracts generally mature within three months; as of September 30, 2009, the latest maturity date for open futures contracts is December 2010, the latest maturity date for open forward currency contracts is December 2009, and the latest expiry date for options on forward currency contracts is October 2009. However, the Fund intends to close all futures and foreign currency contracts prior to maturity.

Campbell & Company has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. Campbell & Company’s basic market risk control procedures consist of continuously monitoring open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%. Campbell & Company’s attempt to manage the risk of the Fund’s open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as precalculating “stop-loss” points at which systems will signal to close open positions. Campbell & Company controls the risk of the 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 bears the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.

Note 8. INDEMNIFICATIONS

In the normal course of business, the Fund enters into contracts and agreements that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. The Fund expects the risk of any future obligation under these indemnifications to be remote.

Note 9. INTERIM FINANCIAL STATEMENTS

The statement of financial condition, including the condensed schedule of investments, as of September 30, 2009, the statements of operations and financial highlights for the three months and nine months ended September 30, 2009 and 2008, and the statements of cash flows and changes in partners’ capital (Net Asset Value) for the nine months ended September 30, 2009 and 2008 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, 2009, and the results of operations and financial highlights for the three months and nine months ended September 30, 2009 and 2008, and cash flows and changes in partners’ capital (Net Asset Value) for the nine months ended September 30, 2009 and 2008.

Note 10. SUBSEQUENT EVENTS

Management of the Fund evaluated subsequent events through November 16, 2009, the date the financial statements were issued. There are no subsequent events to disclose.

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

Introduction

The offering of Campbell Strategic Allocation Fund L.P.’s (the “Fund”) Units of Limited Partnership Interest commenced on January 12, 1994, and the initial offering terminated on April 15, 1994 with proceeds of $9,692,439. The continuing offering period commenced immediately after the termination of the initial offering period; additional subscriptions totaling $6,068,918,915 have been accepted during the continuing offering period ended June 13, 2008. Redemptions through September 30, 2009 total $4,648,851,510. The Fund commenced operations on April 18, 1994.

Critical Accounting Policies

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

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

Capital Resources

Effective June 14, 2008, 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 maintains 40-80% of its net asset value in cash, cash equivalents or other liquid positions in its cash management program over and above that needed to post as collateral for trading. These funds are available to meet redemptions each month. After redemptions are taken into account each month, the trade level of the Fund is adjusted and positions in the instruments the Fund trades are liquidated, if necessary, on a pro-rata basis to meet those increases or decreases in trade levels.

Liquidity

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

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

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

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

The Fund occasionally receives margin calls (requests to post more collateral) from its futures brokers or over-the-counter counterparties, which are met by moving the required portion of the assets held in the custody accounts at Northern Trust to the margin accounts. In the past 3 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 with or loaned to Campbell & Company or any affiliated entities.

Results of Operations

The returns for the nine months ending September 30, 2009 and 2008 were (6.96)% and 0.72%, respectively.

2009

Of the 2009 year-to-date decrease of 6.96%, approximately 1.48% was due to trading losses (before commissions) and approximately 5.56% due to brokerage fees, operating expenses and offering costs borne by the Fund offset by approximately 0.08% due to interest income. During the nine months ended September 30, 2009, the Fund accrued brokerage fees in the amount of $112,819,855 and paid brokerage fees in the amount of $116,382,724. No performance fees were accrued or paid during this period. An analysis of the 1.48% trading losses by sector is as follows:

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

President Obama’s stimulus plan took center stage in January; however, weak economic data continued to negatively impact global stock markets into the start of the New Year. An early month rally fizzled quickly, causing notable declines in major global indices. The Fund gained in equity indices trading on net short positions across each region. Gains were recorded in fixed income trading as the world’s central banks continued to lower interest rates. Mounting fiscal deficits and huge issuance needs begin to weigh heavy on the long-end; however, credit markets generally improved in January with yield spreads continuing to contract. Foreign exchange trading finished slightly negative on the month. Risk aversion and capital preservation benefited the Fund’s net long U.S. Dollar position; however, the U.K. government’s unprecedented move to give the Bank of England power to increase their stake in Royal Bank of Scotland to 70% helped fuel a late month rally in the British Pound, eliminating gains from a previous decline. Commodity trading was generally flat on volatility across precious and base metals and a slowing of the negative energy trend.

In February, the U.S. government’s ability to address the economic crisis was met with skepticism by Wall Street. Economic data remained persistently weak, especially on the employment and housing fronts. The U.S. was not alone in reporting negative news, as European and Asian economies also continued with the release of dismal economic data such as declining exports and falling dividends. The majority of February gains in the Fund resulted from equity indices trading, particularly from short positions in the U.S. and Asia. Additional gains were recorded in foreign exchange trading as investors continued to feed U.S. Dollar strength, particularly relative to the Japanese Yen. The U.S. Dollar continues to be the safe haven pick as the risk aversion theme continued, as evidenced by the U.S. treasury yields recording all-time lows.

Stock markets rallied in March as the 2008 fourth quarter earnings announcements subsided and large U.S. banks announced they would be profitable for the first two months of 2009. The majority of the Fund’s losses in March resulted from equity indices trading, as the equity rally adversely impacted net short positions globally. Commodities recorded losses as energy price swings have become correlated with equities and metals surged on news of China’s economic stimulus plan. Gains from fixed income markets were recorded from the Fund’s long global bond positions as prices moved significantly higher on announcements from the Swiss, British and American Central Banks on their intentions of adding liquidity by purchasing medium to long-term bonds in the market. Foreign exchange trading resulted in gains as investors sought currencies whose home central banks were not keen on engaging in quantitative easing.

While equity index trading produced the most profitable sector results for the Fund for 2008, the Fund’s net exposure on the short side of global stock indices through April 2009 has hurt performance as markets continued to stage rallies that began in mid-March. U.S. economic indicators, including housing and manufacturing, showed signs of improvement and stabilization rather than further deterioration. In addition, the G-20 agreed to fund more than $1 trillion in emergency aid to help cushion the economic fallout of the current international financial crisis. While the general tone of the economic outlook was more upbeat, officials have still been cautious in their assessment. April saw a continuation of the March risk-seeking rally leading to several growth currencies registering solid gains against the dollar. Losses were realized in the foreign exchange sector due to the Fund’s general bias to be long the dollar against most major currencies. In fixed income, the equity market rally helped general investor sentiment, driving bond prices lower across the board which produced losses for the Fund in this sector. Commodity trading finished relatively flat with gains from the energy sector offsetting small losses in base and precious metals.

In May, conflicting signals on global recovery weighed on the direction of the markets as increased risk appetite and signs of stabilization in the global economy emerged. Equity markets continued their rally, particularly in Asia, generating small gains in the stock index sector. Fixed income trading generated a marginal positive return as short-term rates in Europe climbed higher following the European Central Bank rate cut of 25 basis points. The gains in the stock index and fixed income sectors were offset by losses in the foreign exchange sector. The U.S. Dollar suffered a broad based decline in May on a combination of stronger risk appetite and growing fears over structural deficiencies in the U.S. Investors moved dormant dollar denominated assets overseas to capture growth and risk in commodity block currencies. Smaller losses were also recorded in the commodities sector as natural gas finished a volatile month higher.

During June, a surprise payroll number to the upside for May prompted an aggressive sell-off in short-term U.S. rates and raised market expectations of a rate hike in 2009. The price reaction was swift and caused particular difficulty for systematic trading. Losses for the Fund in the fixed income sector were offset by marginal gains in the foreign exchange sector. The Fund’s currency positions were generally mixed, thus hedging some U.S. Dollar risk, as investors crowded the Dollar as a safe-haven trade, pushing it higher on the month. Marginal gains were also recorded in the commodities sector, primarily from long positions in the energy complex. As geo-political headlines were plentiful, energies traded in a highly correlated fashion to global equity markets. The stock index sector finished basically flat for the month as global equity markets reflected mixed results congruent with both positive and negative economic data relating to global recovery.

Contrary to investor fears, global stock market returns in 2009 have fueled improved risk appetite as economic data and corporate earnings support the rally for yet another month in July. The Fund’s trading performance was relatively flat, with positive results from long stock and short U.S. Dollar positions being offset by losses incurred from short interest rate positions. For the first half of 2009, many “trend-following” strategies struggled to curb losses and eked out small gains in a market environment that is in a classic “consolidation” (trendless and choppy) period. While risk appetite was generally strong in August, investors’ risk behavior was a bit random as fixed income initially sold off on better than expected payrolls data, but spent the rest of the month rallying. Bernanke’s nomination for a second term and continued “lower rates for longer” comments from Fed officials helped support treasury prices against the Fund’s general positioning across the curve. Smaller losses were recorded in currency trading as investors appeared unwilling to chase growth currencies higher, at the expense of the dollar, from already stretched levels. Gains were recorded in commodity markets as the Fund increased its exposure to this sector with the launch of more agile models providing more efficient holding period diversification. Trading in base and precious metals was a primary driver as the “risk on” trade prevailed on improving economic data. Equity indices trading yielded a marginal gain as positioning geographically and across model groups remains mixed.

During the month of September, the Fund’s technical and fundamental strategies both recorded healthy gains in the foreign exchange sector from short positions in the U.S. Dollar vs. most major currencies. Commodity-linked currencies were particularly profitable for the Fund, as both the Australian and New Zealand Dollars rose in value close to 5%. Technical and fundamental signals were also effective in the equity index sector, where the Fund benefited from primarily long positions across global stock indices. With the exception of Japan, global equities moved higher by 2 – 3% during the month on healthy M&A activity, as well as favorable signs of a manufacturing rebound and consumer spending renewal. Results were mixed in fixed income trading as gains earned from short-term rates were largely offset by losses on the long end of the curve. Commodities trading resulted in marginal losses overall, primarily due to short positions in natural gas. The price of natural gas rallied over 20% during the month as a result of significant short covering in the market despite record storage levels.

2008

Of the 2008 year-to-date increase of 0.72 %, approximately 4.71% was due to trading gains (before commissions) and approximately 1.64% was due to interest income, offset by approximately 5.63% due to brokerage fees, operating expenses and offering costs borne by the Fund. During the nine months ended September 30, 2008, the Fund accrued brokerage fees in the amount of $170,103,319 and paid brokerage fees in the amount of $177,109,782. No performance fees were accrued or paid during this period. An analysis of the 4.71% trading gains by sector is as follows:

Sector		% Gain (Loss)
Stock Indices			7.67	%
Commodities			1.06
Currencies			(0.67	)
Interest Rates			(3.35	)
			4.71	%

The 2007 credit crisis proceeded into 2008 with more write-downs, more credit downgrades, and a growing realization that sub-prime issues will have broader and longer-lasting impacts than initially suspected. Considerable “stress” across global equity markets benefited the Fund’s trading in January, which significantly offset losses stemming from the currency sector. Weak domestic economic data caused the Federal Open Market Committee of the U.S. Federal Reserve to cut short-term rates by a total of 1.25% during the month, which included an unprecedented 0.75% emergency cut. The S&P 500 recorded one of its worst performances for January in the history of the index. Currency trading in early January proved difficult as market-wide risk reduction was observed in several key crosses and the dynamics of high yielders were mixed amid changing short-term interest rates. Trading in fixed income produced slightly negative results as gains from the short end of the curve were offset by losses on the long end. Mid-month recession fears, weak housing data and a gloomy Bernanke testimony caused the curve to steepen substantially. Small gains were recorded in energy trading, while precious metals trading was positive and base metals trading was negative. Overall, the Fund finished the month with a slight loss.

In February, the U.S. Dollar weakened against all major currencies (except the British Pound) as U.S. economic data generally disappointed, stagflation concerns grew, and U.S. rate expectations declined dramatically. The Fund’s currency trading benefited from the U.S. Dollar decline to new lows, along with the Euro’s break to an all-time high and a more than 4% gain by the Australian Dollar. Additional gains were recorded in the equity indices sector as the S&P 500, Dow and Nasdaq indices continued the 2008 downslide that started in January. These two sectors were the main contributors to the Fund’s overall gain for the month. Consumer confidence fell to a 16-year low amid an ongoing drop in the value of real estate and a surge in residential foreclosures. The Fund’s trading in fixed income was relatively flat as recession fears and credit losses continued to grow, causing a steepening in the curve. The energy and metals sectors were also flat despite the continued speculative rally in precious and base metals and crude oil.

In March, the Fund’s trading resulted in a small gain. The U.S. Federal Reserve’s continued market intervention was rewarded at the end of March when U.S. stocks recovered from mid-month declines to finish flat for the month but still significantly negative year to date. The Fund’s gains were primarily from short positions in Asian and European equity indices as equity markets continued their downward direction. Ongoing uncertainty in the banking sector, coupled with negative sentiment on global growth continues to weigh on investor confidence. Some gains were recorded in the currency markets from long positions in the Euro as the Dollar continued to weaken during the month on lower U.S. yields and commodity market extensions. Fixed income had trading losses, primarily in Europe, as initial mid-month profits from the flight to quality were given back when market fears subsided at month-end. Marginal losses were also recorded in the commodity markets as energies came off their highs in the middle of the month to finish flat, while base metals continued to be fueled by U.S. Dollar price action.

The Fund’s trading in the foreign exchange sector produced gains in April, primarily as a result of the U.S. Dollar rally against key funding currencies, despite a generally weak global economy. Minimal gains were recorded in the commodities sector as the Fund’s technical models took advantage of escalating prices as access to petroleum supply continues to tighten. Losses were recorded in both the interest rates and equity indices sectors as prior trends reversed their course. U.S. Treasury prices declined in a technical break as curve flattening continued. Global equity prices reversed their downward trend amid the optimistic belief that the worst news had passed.

The Fund’s momentum-based models were well positioned in May for gains in the energy sector as the price of WTI Crude breached new technical levels, touching $135 per barrel mid-month. While commodity exposure has been relatively light for the Fund in the past, enhanced technical models are participating more actively in this sector. Foreign exchange models also posted gains this month as high yielding currencies performed well despite range-bound trading of the U.S. Dollar. Enhanced style management techniques enabled the models to successfully modulate risk exposure to carry factors resulting in a profitable outcome. Additional gains came from fixed income as the risk aversion theme continued to fade and inflation concerns grew. Marginal losses were recorded in equity indices as global equity indices, particularly in Europe and Asia, moved sideways due to the ever-changing economic situation in the United States.

In June, equity indices trading produced strong gains for the Fund as short positions benefited from the negative news that roiled markets around the globe. Signs of commodity-based inflation were constantly in the headlines and consumer confidence fell to a 16-year low. In the U.S., the Dow finished its worst performance for the month of June in over 75 years, and European and Asian equities fell in tandem. Additional gains were recorded in interest rates trading, particularly in Europe, in response to the European Central Bank’s increasingly hawkish stance and fears of inflation. Energy trading also contributed as crude oil hit new highs on the back of escalating tensions between Israel and Iran, and amongst OPEC members. Foreign exchange trading results were slightly positive, due to central banks being forced to choose between growth and inflation, driving dollar weakness, and a higher Euro.

The month of July held two distinct phases for most asset classes, with the overall environment dominated by reversals. The Fund captured profits in equity indices trading early in the month despite late month stabilization, particularly in the U.S. Intra-month swings in global indices were significant. The DJIA and the S&P hit technical bear market territory during the month, while Japanese equities saw the longest back-to-back daily losing streak in 54 years. Equity markets did find their bottom mid-month, after the U.S. announcement of a Government-Sponsored Enterprises (GSE) bail-out plan. Gains earned in equity indices trading offset the majority of losses incurred in interest rates and commodities trading. Lower commodity prices led to position short-covering in the face of reduced inflation worries in the Euro-Zone, pushing bond futures higher. Crude Oil declined almost 12% for the month on fears that weakening economic conditions would reduce global demand. Foreign exchange trading finished relatively flat as the Euro hit a new high, commodity-linked currencies fell, and the broad dollar index gained against most major currencies.

The global economic environment in August was dominated by a stronger U.S. dollar and the energy complex falling out of favor. The Fund experienced the majority of its losses for the month in Foreign Exchange trading as commodity-linked currencies fell in tandem with metal and energy markets. The U.S. Dollar Index posted unusually strong gains of nearly 6%, with other major currencies losing over 3%. The Fund’s currency models reacted with agility, reversing their course and dampening further losses in this sector. Small losses were recorded in commodity trading, despite the severity of the energy and metal complex downturn across the board. Natural gas led the way for the energy sector with a market price decline of 12.75%, while gold fell to its lowest level in eight months. Gains in interest rates sector were largely driven by foreign central bank activity as they increased purchases of U.S. Treasuries, pushing prices higher for a third straight month. Trading results in Equity Indices were relatively flat despite a positive finish in U.S. equity markets. European markets were mixed in seasonally low volume, while Asia was generally lower. During the month, the Japanese economy continued to show signs of deterioration, the Chinese markets persisted in their relentless plunge lower, sub-prime fallout continued to plague financial markets globally and the U.S. unemployment rate hit a four-year high.

The Fund’s leverage in September was at the lower end of typical commitment levels, which will probably increase again as soon as the market environment stabilizes. Diversification of positions by sector and geography played an important role in dampening losses. Fixed income trading was negative overall with losses incurred at the short-end of the curve, while the long-end gained slightly. Currency trading was also difficult as investors fled high yielding currencies in response to the substantial decline in global equity markets. Minor losses were recorded in commodity trading. As concern over the widening credit crisis came to a boiling point, equity markets in the U.S., Europe and Asia declined sharply, resulting in strong gains in equity index trading.

Off-Balance Sheet Risk

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

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

In the case of forward and option contracts, which are traded on the interbank market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a group of financial institutions; thus there may be a greater counterparty credit risk. Campbell & Company trades for the Fund only with those counterparties which it believes to be creditworthy. All positions of the Fund are valued each day on a mark-to-market basis. 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, forward currency and options on forward currency contracts. The market value of futures (exchange-traded) contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of the last business day of the reporting period. The market value of 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 or based on the market value of its exchange-traded equivalent. The market value of option (non-exchange traded) contracts is calculated by applying an industry-standard adaptation of the Black-Scholes options valuation model to foreign currency options, using as input, the spot prices, interest rates and option implied volatilities quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Introduction

Past Results Not Necessarily Indicative of Future Performance

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

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

     The Fund rapidly acquires and liquidates both long and short positions in a wide range of 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).