CAMPBELL STRATEGIC ALLOCATION FUND LP - FORM 10-Q

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q


þ		Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 For the quarterly period ended March 31, 2012


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

Commission File number: 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 þ No o

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

Yes þ No o

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


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

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

Yes o No þ

TABLE OF CONTENTS

			Page
PART I — FINANCIAL INFORMATION

	Item 1.	Financial Statements.

		Condensed Schedules of Investments as of March 31, 2012 and December 31, 2011 (Unaudited)	3-6

		Statements of Financial Condition as of March 31, 2012 and December 31, 2011 (Unaudited)	7

		Statements of Operations for the Three Months Ended March 31, 2012 and 2011 (Unaudited)	8

		Statements of Cash Flows for the Three Months Ended March 31, 2012 and 2011 (Unaudited)	9

		Statements of Changes in Partners’ Capital (Net Asset Value) for the Three Months Ended March 31, 2012 and 2011 (Unaudited)	10

		Financial Highlights for the Three Months Ended March 31, 2012 and 2011 (Unaudited)	11

		Notes to Financial Statements (Unaudited)	12-17

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations.	18-21

	Item 3.	Quantitative and Qualitative Disclosure About Market Risk.	22-27

	Item 4.	Controls and Procedures.	28

PART II — OTHER INFORMATION

	Item 1.	Legal Proceedings.	29

	Item 1A.	Risk Factors.	29

	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds.	29

	Item 3.	Defaults Upon Senior Securities.	29

	Item 4.	Mine Safety Disclosures.	29

	Item 5.	Other Information.	29

	Item 6.	Exhibits.	29

SIGNATURES			30

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31, 2012 (Unaudited)


FIXED INCOME SECURITIES

Maturity Face Value	Description	Values ($)	% of Net Asset Value
	Bank Deposits
	Australia
	Financials	$26,992,397	2.98 %
	(cost $27,000,000)
	Canada
	Financials	$49,613,284	5.47 %
	(cost $49,618,048)
	United States
	Financials	$25,973,982	2.87 %
	(cost $26,000,000)
	Total Bank Deposits (cost $102,618,048)	$102,579,663	11.32 %

	Commercial Paper
	United States
$30,000,000	Financials ING America Insurance Holdings, Inc. Due 04/02/2012	$29,999,675	3.31 %
$25,000,000	ING America Insurance Holdings, Inc. Due 04/26/2012	$24,993,570	2.76 %
	Other	$49,984,235	5.52 %
	Industrial	$75,215,965	8.30 %
	Materials	$24,998,957	2.76 %
	Utilities	$79,597,480	8.79 %
	Total United States (cost $284,766,047)	$284,789,882	31.44 %

	Corporate Bonds
	United States
	Financials	$128,309,769	14.16 %
	Industrial	$15,466,524	1.71 %
	Total United States (cost $143,568,918)	$143,776,293	15.87 %

	Government And Agency Obligations
	United States
$42,000,000	U.S. Government Agency FHLMC Step Up Tranche #TR 00424 0.45% Due 07/26/2013	$41,994,960	4.64 %
$32,281,000	FHLMC Tranche #TR 00299 0.65% Due 07/05/2013	$32,281,646	3.56 %
	Other	$44,999,790	4.97 %
	U.S. Treasury Bills
$60,000,000	U.S. Treasury Bills * Due 05/31/2012	$59,993,500	6.62 %
$94,300,000	U.S. Treasury Bills * Due 06/07/2012	$94,286,657	10.40 %
$23,250,000	U.S. Treasury Bills * Due 06/28/2012	$23,245,738	2.57 %
	Total United States (cost $296,798,825)	$296,802,291	32.76 %

	Short Term Investment Funds
	United States
	Short Term Investment Funds	$953	0.00 %
	(cost $ 953)

	Total Fixed Income Securities (cost $827,752,791)	$827,949,082	91.39 %

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31, 2012 (Unaudited)


LONG FUTURES CONTRACTS
Description	Values ($)	% of Net Asset Value
Agriculture	$1,650,176	0.18 %
Energy	$(2,986,145)	(0.33)%
Metals	$(1,321,370)	(0.15)%
Stock indices	$1,826,516	0.20 %
Short-term interest rates	$3,334,830	0.37 %
Long-term interest rates	$1,923,664	0.21 %
Total long futures contracts	$4,427,671	0.48 %


SHORT FUTURES CONTRACTS
Description	Values ($)	% of Net Asset Value
Agriculture	$3,918,663	0.43 %
Energy	$6,213,860	0.69 %
Metals	$2,181,202	0.24 %
Stock indices	$990,504	0.12 %
Short-term interest rates	$(1,614,163)	(0.18)%
Long-term interest rates	$(2,843,597)	(0.31)%
Total short futures contracts	$8,846,469	0.99 %

Total futures contracts	$13,274,140	1.47 %


FORWARD CURRENCY CONTRACTS
Description	Values ($)	% of Net Asset Value
Various long forward currency contracts	$(1,014,780)	(0.11)%
Various short forward currency contracts	$(1,704,900)	(0.19)%
Total forward currency contracts	$(2,719,680)	(0.30)%


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

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2011 (Unaudited)


FIXED INCOME SECURITIES

Maturity Face Value	Description	Values ($)	% of Net Asset Value
	Bank Deposits
	Canada
	Financials	$24,622,878	2.63 %
	(cost $24,630,630)

	Netherlands
	Financials	$24,999,955	2.67 %
	(cost $25,000,000)
	Total Bank Deposits (cost $49,630,630)	$49,622,833	5.30 %

	Commercial Paper
	United States
$27,425,000	Financials ING America Insurance Holdings, Inc Due 01/03/2012	$27,424,787	2.93 %
$25,000,000	ING America Insurance Holdings, Inc Due 01/04/2012	$24,999,027	2.67 %
	Other	$80,976,247	8.66 %
	Health Care	$25,000,000	2.67 %
	Materials	$24,997,558	2.67 %
	Services	$57,997,917	6.20 %
	Utilities	$135,772,793	14.52 %
	Total United States (cost $377,146,616)	$377,168,329	40.32 %

	Corporate Bonds
	United States
	Financials	$122,575,339	13.11 %
	Total United States (cost $122,413,097)	$122,575,339	13.11 %

	Government And Agency Obligations
	United States
$35,000,000	U.S. Government Agency FHLMC 0.55% Due 09/09/2013	$34,957,160	3.74 %
$27,050,000	FHLMC 0.60% Due 08/22/2013	$27,059,738	2.89 %
$42,000,000	FHLMC Step Up Tranche #TR 00424 0.45% Due 07/26/2013	$41,971,440	4.49 %
$32,281,000	FHLMC Tranche #TR 00299 0.65% Due 07/05/2013	$32,281,323	3.45 %
	Other	$12,994,280	1.39 %
$23,250,000	U.S. Treasury Bills * Due 02/02/2012	$23,250,000	2.49 %
$93,850,000	U.S. Treasury Bills * Due 03/08/2012	$93,849,824	10.04 %
	Total United States (cost $266,425,020)	$266,363,765	28.49 %

	Short Term Investment Funds
	United States
	Short Term Investment Funds	$194	0.00 %
	(cost $ 194)

	Total Fixed Income Securities (cost $815,615,557)	$815,730,460	87.22 %

LONG FUTURES CONTRACTS
Description		Values ($)	% of Net Asset Value
Agriculture		$166,658	0.02 %
Energy		$(62,760)	(0.01)%

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2011 (Unaudited)


Metals	$276,037	0.03 %
Stock indices	$2,215,241	0.24 %
Short-term interest rates	$1,620,617	0.17 %
Long-term interest rates	$11,628,440	1.24 %
Total long futures contracts	$15,844,233	1.69 %


SHORT FUTURES CONTRACTS
Description	Values ($)	% of Net Asset Value
Agriculture	$(7,008,452)	(0.75)%
Energy	$2,199,579	0.24 %
Metals	$4,232,610	0.45 %
Stock indices	$487,096	0.05 %
Short-term interest rates	$(48,924)	(0.01)%
Total short futures contracts	$(138,091)	(0.02)%

Total futures contracts	$15,706,142	1.67 %


FORWARD CURRENCY CONTRACTS
Description	Values ($)	% of Net Asset Value
Various long forward currency contracts	$(442,388)	(0.05)%
Various short forward currency contracts	$21,252,961	2.27 %
Total forward currency contracts	$20,810,573	2.22 %


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

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF FINANCIAL CONDITION

March 31, 2012 and December 31, 2011 (Unaudited)

	March 31, 2012			December 31, 2011
ASSETS
Equity in futures broker trading accounts
Cash	$	58,585,731		$	61,256,582
Restricted cash		931,707			44,204,325
Fixed income securities (cost $134,983,031 and $75,000,000, respectively)		134,983,031			75,000,000
Net unrealized gain (loss) on open futures contracts		13,274,140			15,706,142
Total equity in futures broker trading accounts		207,774,609			196,167,049

Cash and cash equivalents		29,522,895			1,917,178
Fixed income securities (cost $692,769,760 and $740,615,557, respectively)		692,966,051			740,730,460
Net unrealized gain (loss) on open forward currency contracts		(2,719,680	)		20,810,573
Interest receivable		741,712			968,097
Total assets	$	928,285,587		$	960,593,357

LIABILITIES
Accounts payable	$	273,980		$	521,105
Brokerage fee		5,410,959			5,598,363
Accrued commissions and other trading fees on open contracts		149,159			108,125
Offering costs payable		269,453			244,794
Redemptions payable		16,251,493			18,913,530
Total liabilities		22,355,044			25,385,917

PARTNERS' CAPITAL (Net Asset Value)
General Partner - 2,314.587 and 4,330.602 redeemable units outstanding at March 31, 2012 and December 31, 2011		5,712,887			10,446,192
Limited Partners - 364,724.453 and 383,372.068 redeemable units outstanding at March 31, 2012 and December 31, 2011		900,217,656			924,761,248
Total partners' capital (Net Asset Value)		905,930,543			935,207,440

Total liabilities and partners' capital (Net Asset Value)	$	928,285,587		$	960,593,357

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF OPERATIONS

For the Three Months Ended March 31, 2012 and 2011 (Unaudited)

	Three Months Ended March 31,
	2012			2011
TRADING GAINS (LOSSES)
Futures trading gains (losses)
Realized	$	37,859,180		$	(13,044,309	)
Change in unrealized		(2,432,002	)		(14,354,321	)
Brokerage commissions		(1,043,001	)		(887,321	)
Net gain (loss) from futures trading		34,384,177			(28,285,951	)

Forward currency and options on forward
currency trading gains (losses)
Realized		28,480,990			5,957,690
Change in unrealized		(23,530,253	)		(30,106,668	)
Brokerage commissions		(42,680	)		(130,483	)
Net gain (loss) from forward currency and options on forward currency trading		4,908,057			(24,279,461	)

Total net trading gain (loss)		39,292,234			(52,565,412	)

NET INVESTMENT INCOME (LOSS)
Investment income
Interest income		909,667			1,158,300
Realized gain (loss) on fixed income securities		24,854			4,739
Change in unrealized gain (loss) on fixed income securities		81,388			69,874
Total investment income		1,015,909			1,232,913

Expenses
Brokerage fee		16,725,629			24,235,629
Operating expenses		431,798			550,731

Total expenses		17,157,427			24,786,360

Net investment income (loss)		(16,141,518	)		(23,553,447	)

NET INCOME (LOSS)	$	23,150,716		$	(76,118,859	)


NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT
(based on weighted average number of units outstanding of 380,436.518 and 537,358.927, respectively, during the period)	$	60.85		$	(141.65	)

INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT	$	56.03		$	(144.98	)

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF CASH FLOWS

For the Three Months Ended March 31, 2012 and 2011 (Unaudited)

	Three Months Ended March 31,
	2012			2011
Cash flows from (for) operating activities
Net income (loss)	$	23,150,716		$	(76,118,859	)
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
Net change in unrealized		25,880,867			44,391,115
(Increase) decrease in restricted cash		43,272,618			(27,149,828	)
(Increase) decrease in option premiums paid		0			1,650,749
Increase (decrease) in option premiums received		0			657,256
Increase (decrease) in payable for securities purchased		0			119,994,900
(Increase) decrease in interest receivable		226,385			1,684,292
Increase (decrease) in accounts payable and accrued expenses		(393,495	)		(984,828	)
Purchases of investments in fixed income securities		(8,027,454,048	)		(10,493,211,325	)
Sales/maturities of investments in fixed income securities		8,015,316,814			10,420,489,775

Net cash from (for) operating activities		79,999,857			(8,596,753	)

Cash flows from (for) financing activities
Redemption of units		(54,240,132	)		(53,348,078	)
Offering costs paid		(824,859	)		(861,815	)
Net cash from (for) financing activities		(55,064,991	)		(54,209,893	)

Net increase (decrease) in cash and cash equivalents		24,934,866			(62,806,646	)

Unrestricted cash
Beginning of period		63,173,760			372,909,673

End of period	$	88,108,626		$	310,103,027

End of period cash and cash equivalents consists of:
Cash in broker trading accounts	$	58,585,731		$	275,141,848
Cash and cash equivalents		29,522,895			34,961,179

Total end of period cash and cash equivalents	$	88,108,626		$	310,103,027

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

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

For the Three Months Ended March 31, 2012 and 2011 (Unaudited)

	Partners’ Capital
	General Partner						Limited Partners						Total
	Units			Amount			Units			Amount			Units			Amount
Three Months Ended March 31, 2012

Balances at December 31, 2011		4,330.602		$	10,446,192			383,372.068		$	924,761,248			387,702.670		$	935,207,440


Net income (loss) for the three months ended March 31, 2012					272,753						22,877,963						23,150,716
Redemptions		(2,016.015	)		(5,000,000	)		(18,647.615	)		(46,578,095	)		(20,663.630	)		(51,578,095	)
Offering costs					(6,058	)					(843,460	)					(849,518	)
Balances at March 31, 2012		2,314.587		$	5,712,887			364,724.453		$	900,217,656			367,039.040		$	905,930,543

Three Months Ended March 31, 2011

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


Net income (loss) for the three months ended March 31, 2011					(553,140	)					(75,565,719	)					(76,118,859	)
Redemptions		(2,272.331	)		(5,999,999	)		(17,785.351	)		(45,383,526	)		(20,057.682	)		(51,383,525	)
Offering costs					(7,473	)					(682,442	)					(689,915	)
Balances at March 31, 2011		4,330.602		$	10,678,788			518,666.244		$	1,278,974,541			522,996.846		$	1,289,653,329

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
FINANCIAL HIGHLIGHTS
For the Three Months Ended March 31, 2012 and 2011 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for the three months ended March 31, 2012 and 2011. This information has been derived from information presented in the unaudited financial statements.

	Three Months Ended March 31,
	2012	2011
Per Unit Performance
(for a unit outstanding throughout the entire period)

Net asset value per unit at beginning of period	$2,412.18	$2,610.87

Income (loss) from operations:
Total net trading gains (losses) (1)	100.69	(99.87)
Net investment income (loss) (1)	(42.43)	(43.83)

Total net income (loss) from operations	58.26	(143.70)

Offering costs (1)	(2.23)	(1.28)

Net asset value per unit at end of period	$2,468.21	$2,465.89

Total Return (3)	2.32 %	(5.55)%

Supplemental Data

Ratios to average net asset value:
Expenses prior to performance fee (4)	7.32 %	7.19 %
Performance fee (3)	0.00 %	0.00 %

Total expenses	7.32 %	7.19 %

Net investment income (loss) (2),(4)	(6.89)%	(6.83)%

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

(1)	Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2)	Excludes performance fee.
(3)	Not annualized
(4)	Annualized

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2012 (Unaudited)

Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

A. General Description of the Fund

Campbell Strategic Allocation Fund, L.P. (the "Fund") is a Delaware limited partnership which operates as a commodity investment pool. The Fund engages in the speculative trading of futures contracts and forward currency contracts. Prior to September 2011, the Fund also traded options on forward currency contracts.

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 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 (the "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 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 Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") 210-20, "Offsetting - Balance Sheet." The fair value of futures (exchange-traded) contracts is based on the various futures exchanges, and reflects the settlement price for each contract as of the close on the last business day of the reporting period. The fair value of forward currency (non-exchange traded) contracts was extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period.

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

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

The fixed income investments, other than U.S. Treasury bills, are held at the custodian and marked to market on the last business day of the reporting period 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. U.S. Treasury bills are held at the brokers or interbank market makers and are stated at cost plus accrued interest, which approximates fair value. Premiums and discounts on fixed income securities are amortized and accreted for financial reporting purposes.

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

The Fund follows the provisions of ASC 820, "Fair Value Measurements and Disclosures." ASC 820 provides guidance for determining fair value and requires increased disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

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

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

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 March 31, 2012 and December 31, 2011, and for the periods ended March 31, 2012 and 2011, the Fund did not have any Level 3 assets or liabilities.

In January 2010, the FASB issued Accounting Standards Update No. 2010-06 ("ASU 2010-06") for improving disclosure about fair value measurements. ASU 2010-06 adds new disclosure requirements about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value. As of January 1, 2010, the Fund adopted the provisions of ASC 2010-06 except for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in Level 3 fair value measurements, which were adopted as of January 1, 2011. The adoption of the remaining provisions have not had a material impact on the Fund's financial statement disclosures.

In May 2011, the FASB issued ASU No. 2011-04 ("ASU 2011-04") to achieve common fair value measurement and disclosure requirements in U.S. GAAP and International Financial Reporting Standards. ASU 2011-04 explains how to measure fair value. It does not require additional fair value measurements and is not intended to establish valuation standards or affect valuation practices outside of financial reporting. As of January 1, 2012, the Fund adopted the provisions of ASU 2011-04. The adoption of ASU 2011-04 did not have a material impact on the Fund's financial statement disclosures.

The following tables set forth by level within the fair value hierarchy the Fund's investments accounted for at fair value on a recurring basis as of March 31, 2012 and December 31, 2011.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2012 (Unaudited)

	Fair Value at March 31, 2012
Description	Level 1		Level 2			Level 3		Total
Investments
Fixed income securities	$	0	$	827,949,082		$	0	$	827,949,082
Other Financial Instruments
Exchange-traded futures contracts		13,274,140		0			0		13,274,140
Forward currency contracts		0		(2,719,680	)		0		(2,719,680	)
Total	$	13,274,140	$	825,229,402		$	0	$	838,503,542

	Fair Value at December 31, 2011
Description	Level 1		Level 2		Level 3		Total
Investments
Fixed income securities	$	0	$	815,730,460	$	0	$	815,730,460
Other Financial Instruments
Exchange-traded futures contracts		15,706,142		0		0		15,706,142
Forward currency contracts		0		20,810,573		0		20,810,573
Total	$	15,706,142	$	836,541,033	$	0	$	852,247,175

The gross presentation of the fair value of the Fund's derivatives by instrument type is shown in Note 8. See Condensed Schedules of Investments for additional detail categorization.

D. Cash and Cash Equivalents

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

E. Income Taxes

The Fund prepares calendar year U.S. federal and applicable state 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 2008 through 2011 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

F. Offering Costs

Campbell & Company, Inc. ("Campbell & Company") has incurred all costs in connection with the initial and continuous offering of units of the Fund ("offering costs"). In addition, Campbell & Company continues to compensate wholesalers for services rendered to Limited Partners. The Fund's liability for offering costs is limited to the maximum of total offering costs incurred by Campbell & Company or 2.5% of the aggregate subscriptions accepted during the initial and continuous offerings. The Fund is only liable for payment of offering costs on a monthly basis as calculated based on the limitations stated above. At March 31, 2012, and December 31, 2011, the Fund reflects a liability in the Statements of Financial Condition for offering costs payable to Campbell & Company of $269,453 and $244,794, 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 March 31, 2012 and December 31, 2011, the amount of unreimbursed offering costs incurred by Campbell & Company is $291,423 and $424,681, 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 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.

H. Recently Issued Accounting Pronouncements

In December 2011, the FASB issued ASU No. 2011-11, Balance Sheet (Topic 210), "Disclosures about Offsetting Assets and Liabilities," which requires entities to disclose information about financial instruments and derivative instruments that have been offset or that subject to enforceable master netting agreements, to enable users of its financial statements to evaluate the effect or potential effect of those agreements on its financial position. Entities will be required to provide both net (offset amounts) and gross information in the notes to the financial statements for relevant assets and liabilities that are offset or subject to the arrangements. The amendments in ASU No. 2011-11 are effective for interim and annual periods beginning on or after January 1, 2013, and an entity should provide the disclosures required by the amendments retrospectively for all comparable periods presented. The Fund is in the process of evaluating the disclosure requirements and any impact the new disclosures will have on its financial statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2012 (Unaudited)

Note 2. GENERAL PARTNER AND COMMODITY TRADING ADVISOR

The general partner of the Fund is Campbell & Company, which conducts and manages the business of the Fund. Campbell & Company is also the commodity trading advisor of the Fund. The Amended Agreement of Limited Partnership provides that Campbell & Company may make withdrawals of its units, provided that such withdrawals do not reduce Campbell & Company's aggregate percentage interest in the Fund to less than 1% of the net aggregate contributions.

Campbell & Company is required by the Amended Agreement of Limited Partnership to maintain a net worth equal to at least 5% of the capital contributed by all the limited partnerships for which it acts as general partner, including the Fund. The minimum net worth shall in no case be less than $50,000 nor shall net worth in excess of $1,000,000 be required.

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

Campbell & Company is also paid a quarterly performance fee of 20% of the Fund's aggregate cumulative appreciation in the Net Asset Value per unit, exclusive of appreciation attributable to interest income. More specifically, the performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark) adjusting for investment income. In determining the brokerage and performance fees ("the fees"), adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The performance fee is not subject to any clawback provisions. The fees are typically paid in the month following the month in which they are earned. The fees are paid from the available cash at the Fund's bank, broker or cash management accounts.

Note 3. CASH MANAGER AND CUSTODIAN

The Fund appointed Horizon Cash Management LLC as cash manager under the Non-Custody Investment Advisory Agreement to manage and control the liquid assets of the Fund. The cash manager is registered as an investment adviser 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 4. 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 5. DEPOSITS WITH INTERBANK MARKET MAKER

The Fund’s counterparties with regard to its forward currency transactions are The Royal Bank of Scotland PLC ("RBS") and UBS AG ("UBS"). The Fund has entered into an International Swap and Derivatives Association, Inc. agreement with RBS and UBS which governs these transactions. The credit ratings reported by the three major rating agencies for RBS and UBS were considered investment grade as of March 31, 2012. Margin requirements are satisfied by the deposit of U.S. Treasury bills and cash with RBS and UBS. The Fund typically earns interest income on its assets deposited with the RBS and UBS.

Note 6. 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 ended March 31, 2012 and 2011.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2012 (Unaudited)

Note 7. 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 three months ended March 31, 2012 and 2011, Campbell & Company received redemption fees of $0 and $0, respectively.

Note 8. 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 focused on financial futures, which are instruments designed to hedge or speculate on changes in interest rates, currency exchange rates or stock index values, as well as 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.

Purchase and sale of futures contracts requires margin deposits with the futures broker. 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 amount of required margin and good faith deposits with the futures broker 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 March 31, 2012 and December 31, 2011 was $177,525,895 and $117,099,824, respectively, which equals 20% and 13% of Net Asset Value, respectively. The cash deposited with interbank market makers at March 31, 2012 and December 31, 2011 was $3,177,675 and $1,166,395, respectively, which equals 0% 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 maker at March 31, 2012 and December 31, 2011 was restricted cash for margin requirements of $931,707 and $44,204,325 respectively, which equals 0% and 5% 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 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. As both a buyer and seller of options, the Fund pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Fund to potentially unlimited liability, and purchased options expose the Fund to a risk of loss limited to the premiums paid. See Note 1. C. for an explanation of how the Fund determines its valuation for derivatives as well as the netting of derivatives.

The Fund adopted 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 March 31, 2012 and December 31, 2011 is as follows:

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2012 (Unaudited)

Type of Instrument*	Statements of Financial Condition Location	Asset Derivatives at March 31, 2012 Fair Value		Liability Derivatives at March 31, 2012 Fair Value			Net
Agriculture Contracts	Equity in futures broker trading accounts	$	9,180,977	$	(3,612,138	)	$	5,568,839
Energy Contracts	Equity in futures broker trading accounts		6,368,582		(3,140,867	)		3,227,715
Metal Contracts	Equity in futures broker trading accounts		2,688,242		(1,828,410	)		859,832
Stock Indices Contracts	Equity in futures broker trading accounts		7,426,531		(4,609,511	)		2,817,020
Short-Term Interest Rate Contracts	Equity in futures broker trading accounts		3,592,728		(1,872,061	)		1,720,667
Long-Term Interest Rate Contracts	Equity in futures broker trading accounts		5,953,047		(6,872,980	)		(919,933	)
Forward Currency Contracts	Net unrealized gain (loss) on open forward currency contracts		15,642,967		(18,362,647	)		(2,719,680	)
Totals		$	50,853,074	$	(40,298,614	)	$	10,554,460

* Derivatives not designated as hedging instruments under ASC 815

Type of Instrument*	Statements of Financial Condition Location	Asset Derivatives at December 31, 2011 Fair Value		Liability Derivatives at December 31, 2011 Fair Value			Net
Agriculture Contracts	Equity in futures broker trading accounts	$	1,340,946	$	(8,182,740	)	$	(6,841,794	)
Energy Contracts	Equity in futures broker trading accounts		2,741,477		(604,658	)		2,136,819
Metal Contracts	Equity in futures broker trading accounts		6,016,325		(1,507,678	)		4,508,647
Stock Indices Contracts	Equity in futures broker trading accounts		3,034,429		(332,092	)		2,702,337
Short-Term Interest Rate Contracts	Equity in futures broker trading accounts		2,850,457		(1,278,764	)		1,571,693
Long-Term Interest Rate Contracts	Equity in futures broker trading accounts		12,128,775		(500,335	)		11,628,440
Forward Currency Contracts	Net unrealized gain (loss) on open forward currency contracts		33,846,791		(13,036,218	)		20,810,573
Totals		$	61,959,200	$	(25,442,485	)	$	36,516,715
* Derivatives not designated as hedging instruments under ASC 815

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 periods ended March 31, 2012 and 2011 is as follows:

Type of Instrument	Trading Gains (Losses) for the Three Months Ended March 31, 2012			Trading Gains (Losses) for the Three Months Ended March 31, 2011
Agriculture Contracts	$	6,557,316		$	630,090
Energy Contracts		37,903,976			27,856,636
Metal Contracts		(13,313,798	)		(6,094,793	)
Stock Indices Contracts		33,441,844			(25,455,550	)
Short-Term Interest Rate Contracts		3,988,787			(15,944,164	)
Long Term Interest Rate Contracts		(33,016,854	)		(8,362,041	)
Forward Currency Contracts		4,950,737			(12,496,855	)
Purchased Options on Forward Currency Contracts		0			(19,009,179	)
Written Options on Forward Currency Contracts		0			7,357,056
Total	$	40,512,008		$	(51,518,800	)

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2012 (Unaudited)

Line Item in the Statements of Operations	Trading Gains (Losses) for the Three Months Ended March 31, 2012			Trading Gains (Losses) for the Three Months Ended March 31, 2011
Futures trading gains (losses):
Realized**	$	37,993,273		$	(13,015,501	)
Change in unrealized		(2,432,002	)		(14,354,321	)
Forward currency and options on forward currency trading gains (losses):
Realized		28,480,990			5,957,690
Change in unrealized		(23,530,253	)		(30,106,668	)
Total	$	40,512,008		$	(51,518,800	)

**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 broker.

For the three months ended March 31, 2012 and 2011 the monthly average of futures contracts bought and sold was approximately 85,900 and 73,700, respectively, and the monthly average of notional value of forward currency and options on forward currency contracts was $3,735,600,000 and $12,337,200,000 respectively.

Open contracts generally mature within twelve months; as of March 31, 2012, the latest maturity date for open futures contracts is September 2014 and the latest maturity date for open forward currency contracts is June 2012. 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 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 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 9. 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 10. INTERIM FINANCIAL STATEMENTS

The statements of financial condition, including the condensed schedule of investments, as of March 31, 2012 and December 31, 2011, and the statements of operations, cash flows, changes in partners' capital (Net Asset Value) and financial highlights for the three months ended March 31, 2012 and 2011 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 March 31, 2012, and the results of operations, cash flows, changes in partners' capital (Net Asset Value) and financial highlights for the three months ended March 31, 2012 and 2011.

Note 11. 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 Campbell Strategic Allocation Fund L.P.’s (the “Fund”) Units of Limited Partnership Interest commenced on January 12, 1994. The initial offering terminated on April 15, 1994 with proceeds of $9,692,439, and the Fund commenced operations on April 18, 1994. The continuing offering period commenced immediately after the termination of the initial offering period; additional subscriptions totaling $6,068,918,915 have been accepted during the initial and continuing offering periods ending with the withdrawal of the Fund's Registration Statement on January 6, 2012. Redemptions through March 31, 2012 total $5,609,112,920.

Effective January 6, 2012, Units in the Fund are 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.

Critical Accounting Policies

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

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

Capital Resources

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 the amount that is needed to post as collateral for trading. These funds are available to meet redemptions each month. After redemptions are taken into account each month, the trade level of the Fund is adjusted and positions in the instruments the Fund trades are liquidated, if necessary, on a pro-rata basis to meet those increases or decreases in trade levels.

Liquidity

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

The entire offering proceeds, without deductions, were credited to the Fund’s bank, brokerage and/or cash management accounts. The Fund meets margin requirements for its trading activities by depositing cash or U.S. government securities with the futures brokers and the over-the-counter counterparties. This does not reduce the risk of loss from trading futures 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 10% to 30% 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 custodial accounts with Northern Trust Company. The assets deposited in the custodial accounts with Northern Trust Company are segregated. Such custodial accounts constitute approximately 40% to 80% of the Fund’s assets and are invested directly by Horizon Cash Management LLC (“Horizon”). Horizon is registered with the SEC as an investment adviser under the Investment Advisers Act of 1940. Horizon does not guarantee any interest or profits will accrue on the Fund’s assets in the custodial account. Horizon will invest according to agreed upon investment guidelines that are modeled after those investments allowed by the futures broker as defined under the Commodity Exchange Act, Title 17, Part 1, § 1.25 Investment of customer funds. Investments can include, but are not limited to, (i) U.S. Government Securities, Government Agency Securities, Municipal Securities, banker acceptances and certificates of deposits; (ii) commercial paper; and (iii) short-term investment grade corporate debt.

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

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

Off-Balance Sheet Risk

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Fund trades in futures 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, 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 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. Prior to September 2011, the Fund also invested in options on forward currency contracts. The fair value of futures (exchange-traded) contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of the last business day of the reporting period. The fair value of forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) of the last business day of the reporting period. The fair value of option (non-exchange traded) contracts is calculated by applying an industry-standard adaptation of the Black-Scholes options valuation model to foreign currency options, using as inputs, the spot prices, interest rates and option implied volatilities quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period.

Results of Operations

The returns for the three months ending March 31, 2012 and 2011 were 2.32% and (5.55)%, respectively. During the three months ending March 31, 2012 and 2011, the Fund accrued brokerage fees in the amount of $16,725,629 and $24,235,629, respectively, and paid brokerage fees in the amount of $16,913,033 and $24,999,333, respectively. No performance fees were accrued or paid during this period.

2012 (For the Three Months Ended March 31)

Of the 2.32% year to date return, approximately 4.25% was due to trading gains (before commissions) and approximately 0.11% was due to investment income, offset by approximately (2.04)% due to brokerage fees, operating expenses and offering costs borne by the Fund. An analysis of the 4.25% trading gain by sector is as follows:


Sector	% Gain (Loss)
Commodities		3.27	%
Currencies		0.54
Interest Rates		(3.07	)
Stock Indices		3.51

		4.25	%

2012 began on a positive note, providing much needed relief to market participants across most sectors. Improving global economic data, progress with the European sovereign debt crisis, and continued central bank support drove prices higher in many markets, with the notable exception of the U.S. Dollar. The Fund's models were well positioned for these moves, recording gains in all four sectors with fixed income and stock index futures leading the way. Rising global bond prices in the U.S., Europe and Japan drove returns; the interest rates sector gained 1% for the Fund as yields continued to drop on further monetary easing. Long positions in U.S. and European equity indices were the major source of return in the stock index sector, adding approximately 1% to the Fund, as prices moved higher on positive global manufacturing data, improving sentiment in Europe, and the Fed’s pledge to keep interest rates low until 2014. The commodity sector traded flat recording gains on the Fund’s short position in natural gas offset by losses in industrial metals. The foreign exchange sector was profitable, driven by long positions in the commodity linked currencies of Australia and New Zealand.

February continued to exhibit a sense of global optimism that began 2012. Positive data in global economies and Central Bank support in China, Europe and Japan pushed equity prices and many commodities higher. Fixed income prices and the U.S. Dollar against the G10 currencies, with the notable exception of the Japanese Yen, fell as investors moved towards risk assets. The Fund profited in three of the four major sectors traded, experiencing losses in fixed income, with commodities, equity indices and foreign exchange driving gains. Rising petroleum prices were a major contributor to the Fund’s performance as tensions with Iran, stronger U.S. economic data, and a tightening global supply environment led to the rally in prices, adding almost 2% to the portfolio. Additional gains were recorded in equity indices from a net long position in stock index futures as the upward trend continued. Equity market gains were driven by continued improvement in manufacturing, employment and housing data, as well as friendly Central Bank policies and the approval of the second Greek bailout package. Other gains stemmed from currency trading, where the Japanese Yen was the major contributor. The Fund’s models quickly reacted to a changing trend in the Yen, a result of Japan’s trade balance ending 2011 in deficit territory for the first time in 30 years, and profited on the 6.5% loss in the currency’s value against the Dollar. A portion of these gains were offset by losses experienced in the fixed income sector as investors rotated out of the safety of government debt.

March ended an overall profitable first quarter of 2012 with a pullback in performance. The majority of losses stemmed from a mid-month reversal of the longstanding upward trend in fixed income prices. Additional losses in foreign exchange trading were more than offset by gains in the commodities and equity indices sectors. The diversity of markets held in the Fund helped to mitigate losses as the fixed income sector experienced particularly high volatility. Better-than-expected economic data and the U.S. FOMC raising their assessment of the U.S. economy reduced the market’s expectation of additional Fed support and caused a move away from safe haven assets. Fixed income prices tumbled across the curve and the Fund’s long position in the sector suffered. Concerns over demand for commodities also caused losses for the Fund as signs of a slowing economy in China caused the depreciation of the commodity-linked currencies of Australia and New Zealand. Gains in equity indices and energies offset some losses as the Fed reaffirmed its easy-money policy, sending stocks higher, and the existing upward trend in oil and downward trend in natural gas extended.

2011 (For the Three Months Ended March 31)

Of the (5.55)% year to date return, approximately (3.72)% was due to trading losses (before commissions) and approximately (1.92)% was due to brokerage fees, operating expenses and offering costs borne by the Fund, offset by approximately 0.09% investment income. An analysis of the (3.72)% trading gain by sector is as follows:


Sector	% Gain (Loss)
Commodities		1.59	%
Currencies		(1.69	)
Interest Rates		(1.73	)
Stock Indices		(1.89	)

		(3.72	)%

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

In February, geopolitical concerns, centering on the growing Middle East/North African ("MENA") populist uprising, may have negatively affected the commodity markets. This regional tension may have generated significant price movements in the energy sector fueling gains for the Fund. Precious Metals, including gold and silver, were also strong contributors, along with soft commodities such as cotton (+17% during February) and coffee as they continued their upward trends. Additional gains were recorded in equity trading due partially to improving macroeconomic data supporting the global recovery theme. While some of the major currencies rallied during the month, others like the New Zealand Dollar fell significantly on the devastation of a massive earthquake in the Christchurch region. In the aggregate, currency trading was marginally positive on the month for the Fund. Fixed Income trading finished slightly negative as price action was choppy across the globe, mainly from better economic data in the early part of the month followed by risk aversion in the second half of February.

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

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Introduction

Past Results Not Necessarily Indicative of Future Performance

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

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

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

Standard of Materiality

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

Quantifying the Fund’s Trading Value at Risk

Quantitative Forward-Looking Statements

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

The Fund's risk exposure in the various market sectors traded is estimated in terms of Value at Risk ("VaR"). The Fund estimates VaR using a model based upon realized returns (with a confidence level of 97.5%) which involves constructing a distribution of actual 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 changes in portfolio value are based on daily percentage changes observed in key market indices or other market factors to which the portfolio is sensitive. The Fund's VaR at a one day 97.5% confidence level of the Fund's VaR corresponds to the negative change in portfolio value that, based on observed market risk factors, would have been exceeded once in 40 trading days or one day in 40. VaR typically does not represent the worst case outcome.

The Fund uses approximately one quarter of realized portfolio's returns to estimate volatility. Normal distribution assumption is then applied to the volatility to generate the return distribution. The VaR is the 2.5 percentile of this distribution.

The VaR for a sector represents the one day downside risk for the aggregate exposures associated with this sector. The current methodology used to calculate the aggregate VaR represents the VaR of the Fund’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.

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

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

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

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

The following tables indicate the trading Value at Risk associated with the Fund’s open positions by market category as of March 31, 2012 and December 31, 2011 and the trading gains/losses by market category for the three months ended March 31, 2012 and the year ended December 31, 2011.

March 31, 2012


				Trading
Market Sector	Value at Risk*			Gain/(Loss)**
Commodities		0.64	%		3.27	%
Currencies		0.72	%		0.54	%
Interest Rates		1.20	%		(3.07	)%
Stock Indices		0.55	%		3.51	%

Aggregate/Total		1.64	%		4.25	%

*	— The VaR for a sector represents the one day downside risk for the aggregate exposures associated with this sector. The aggregate VaR represents the VaR of the Fund’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.

**	— Of the 2.32% return for the three months ended March 31, 2012, approximately 4.25% was due to trading gains (before commissions) and approximately 0.11% was due to investment income, offset by approximately (2.04)% due to brokerage fees, operating expenses and offering costs borne by the Fund.

December 31, 2011


				Trading
Market Sector	Value at Risk*			Gain/(Loss)**
Commodities		0.65	%		(6.96	)%
Currencies		0.65	%		(3.78	)%
Interest Rates		1.10	%		17.50	%
Stock Indices		0.38	%		(6.80	)%

Aggregate/Total		1.35	%		(0.04	)%


*	— The VaR for a sector represents the one day downside risk for the aggregate exposures associated with this sector. The aggregate VaR represents the VaR of the Fund’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.

**	— Of the (7.61)% return for the year December 31, 2011, approximately (0.04)% was due to trading lossess (before commissions) and approximately (7.92)% was due to brokerage fees, operating expenses and offering costs borne by the Fund, offset by approximately 0.35% 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 substantial portion of its available assets in U.S. Treasury Bills held at the futures 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 March 31, 2012, by market sector.

Currencies

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

Interest Rates

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

Stock Indices

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

Energy

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

Metals

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

Agricultural

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

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the primary non-trading risk exposures of the Fund as of March 31, 2012.

Foreign Currency Balances

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

Fixed Income Securities

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

Treasury Bill Positions Held for Margin Purposes

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

The means by which the Fund and Campbell & Company, severally, attempt to manage the risk of the Fund’s open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses.

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

General

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

Item 4. Controls and Procedures.

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

PART II-OTHER INFORMATION

Item 1. Legal Proceedings.

None

Item 1A. Risk Factors.

None

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

None

Item 3. Defaults Upon Senior Securities.

Not applicable.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

None

Item 6. Exhibits.

Exhibit Number		Description of Document

3.01		Amended Certificate of Limited Partnership (1)

3.02		Second Amended and Restated Agreement of Limited Partnership (included to the Prospectus as Exhibit A) (2)

4.01		Limited Partner Privacy Notice (as included in the Prospectus) (2)

10.01		Advisory Agreement between Campbell Strategic Allocation Fund, L.P. and Campbell & Company, Inc. (3)

10.02		Global Institutional Master Custody Agreement (1)

10.03		Non-Custody Investment Advisory Agreement with Horizon Cash Management L.L.C., as cash manager (1)

31.01		Certification of Stephen C. Roussin, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.

31.02		Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.

32.01		Certification of Stephen C. Roussin, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.

32.02		Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.

101.01		Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedule of Investments; (ii) Statements of Financial Condition; (iii) Statements of Operations; (iv) Statements of Cash Flows; (v) Statements of Changes in Partners’ Capital (Net Asset Value); and (vi) Notes to Financial Statements, tagged as blocks of text.



(1) Previously filed as an exhibit to the Registration Statement on Form S-1 on April 27, 2010 and incorporated herein by reference.

(2) Previously filed as an exhibit to Post-Effective Amendment No. 2 to the Registration Statement on Form S-1 on April 7, 2011 and incorporated herein by reference.

(3) Previously filed as an exhibit to the Registration Statement on Form S-1 on August 9, 1993 and incorporated herein by reference.

SIGNATURES

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


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



Date: May 15, 2012	By:	/s/ Stephen C. Roussin
		Stephen C. Roussin
		Chief Executive Officer

EXHIBIT INDEX

31.01		Certification of Stephen C. Roussin, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.

31.02		Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.

32.01		Certification of Stephen C. Roussin, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.

32.02		Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.


101.01		Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedule of Investments; (ii) Statements of Financial Condition; (iii) Statements of Operations; (iv) Statements of Cash Flows; (v) Statements of Changes in Partners’ Capital (Net Asset Value); and (vi) Notes to Financial Statements, tagged as blocks of text.

Net Asset Value per General and Limited Partner Unit

March 31, 2012

December 31, 2011

March 31, 2011

December 31, 2010