CAMPBELL STRATEGIC ALLOCATION FUND LP - FORM 10-Q

Attached files

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EX-32.2 - EX-32.02 - CAMPBELL STRATEGIC ALLOCATION FUND LP	csafex32_02.htm
EX-32.1 - EX-32.01 - CAMPBELL STRATEGIC ALLOCATION FUND LP	csafex32_01.htm
EX-31.2 - EX-31.02 - CAMPBELL STRATEGIC ALLOCATION FUND LP	csafex31_02.htm
EX-31.1 - EX-31.01 - CAMPBELL STRATEGIC ALLOCATION FUND LP	csafex31_01.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

☑

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

For the quarterly period ended March 31, 2017

☐

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

For the transition period from______________ to _____________

Commission File number: 000-22260

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

(Exact name of Registrant as specified in charter)

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

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

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

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

Yes ☑No ☐

Indicate by check mark whether the registrant has submitted electronically 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 ☑No ☐

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 ☐	Accelerated filer ☐	Non-accelerated filer ☑	Smaller reporting company ☐
		(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 ☐No ☑

TABLE OF CONTENTS

			Page
PART I — FINANCIAL INFORMATION

	Item 1.	Financial Statements.

		Condensed Schedules of Investments as of March 31, 2017 and December 31, 2016 (Unaudited)	1-4

		Statements of Financial Condition as of March 31, 2017 and December 31, 2016 (Unaudited)	5

		Statements of Operations for the Three Months Ended March 31, 2017 and 2016 (Unaudited)	6

		Statements of Cash Flows for the Three Months Ended March 31, 2017 and 2016 (Unaudited)	7

		Statements of Changes in Partners’ Capital (Net Asset Value) for the Three Months Ended March 31, 2017 and 2016 (Unaudited)	8

		Financial Highlights for the Three Months Ended March 31, 2017 and 2016 (Unaudited)	9

		Notes to Financial Statements (Unaudited)	10-21

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations.	22-27

	Item 3.	Quantitative and Qualitative Disclosure About Market Risk.	27-31

	Item 4.	Controls and Procedures.	32

PART II — OTHER INFORMATION

	Item 1.	Legal Proceedings.	33

	Item 1A.	Risk Factors.	33

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

	Item 3.	Defaults Upon Senior Securities.	33

	Item 4.	Mine Safety Disclosures.	33

	Item 5.	Other Information.	33

	Item 6.	Exhibits.	33-34

SIGNATURES			35

Table of Contents

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

MARCH 31, 2017 (Unaudited)

FIXED INCOME SECURITIES

	Maturity Face Value	Description	Fair Value ($)		% of Net Asset Value
		Asset Backed Securities
		United States
		Auto Loans	$	9,614,621		2.90	%
		Credit Cards		10,393,750		3.14	%
		Equipment Loans		1,574,100		0.48	%
		Utility Rate Reduction Bonds		219,764		0.07	%
		Total Asset Backed Securities (cost $21,823,096)		21,802,235		6.59	%

		Bank Deposits
		United States
		Financials		2,430,937		0.73	%
		Total Bank Deposits (cost $2,429,787)		2,430,937		0.73	%

		Commercial Paper
		Ireland
		Financials (cost $2,698,750)		2,698,245		0.81	%
		United States
		Communications		2,614,744		0.79	%
		Consumer Discretionary		9,978,645		3.02	%
		Energy		10,536,264		3.18	%
		Financials		5,132,558		1.55	%
		Health Care		4,499,757		1.36	%
		Industrials		8,198,570		2.48	%
		Technology		15,602,780		4.71	%
		Utilities		27,061,665		8.17	%
		Total United States (cost $83,625,710)		83,624,983		25.26	%
		Total Commercial Paper (cost $86,324,460)		86,323,228		26.07	%

		Corporate Bonds
		United Kingdom
		Energy (cost $2,265,743)		2,266,378		0.68	%
		United States
		Communications		15,056,317		4.55	%
		Consumer Discretionary		26,652,530		8.05	%
		Consumer Staples		1,614,501		0.49	%
		Energy		1,321,130		0.40	%
		Financials		58,785,054		17.75	%
		Industrials		3,729,625		1.13	%
		Technology		5,203,992		1.57	%
		Total United States (cost $112,255,297)		112,363,149		33.94	%
		Total Corporate Bonds (cost $114,521,040)		114,629,527		34.62	%

		Government And Agency Obligations
		United States
		U.S. Treasury Bills
$	11,375,000	U.S. Treasury Bills Due 04/20/2017*		11,371,121		3.43	%
$	7,922,500	U.S. Treasury Bills Due 04/27/2017*		7,918,729		2.39	%
$	7,700,000	U.S. Treasury Bills Due 05/04/2017*		7,695,503		2.32	%
$	21,500,000	U.S. Treasury Bills Due 05/25/2017*		21,478,178		6.49	%
$	29,692,500	U.S. Treasury Bills Due 06/15/2017*		29,649,386		8.96	%
$	15,870,000	U.S. Treasury Bills Due 06/29/2017*		15,841,577		4.79	%
		Total Government And Agency Obligations (cost $93,960,738)		93,954,494		28.38	%
		Total Fixed Income Securities ** (cost $319,059,121)	$	319,140,421		96.39	%

SHORT TERM INVESTMENTS

Maturity Face Value	Description	Fair Value ($)		% of Net Asset Value
	Money Market Funds
	United States
	Money Market Funds (cost $6,946)	$	6,946		0.00	%
	Total Short Term Investments (cost $6,946)	$	6,946		0.00	%

See Accompanying Notes to Financial Statements.

Table of Contents

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

MARCH 31, 2017 (Unaudited)

LONG FUTURES CONTRACTS

Description	Fair Value ($)			% of Net Asset Value
Agriculture	$	49,695			0.01	%
Energy		(8,012	)		0.00	%
Metals		(1,163,609	)		(0.35	)%
Stock indices		3,087,631			0.93	%
Short-term interest rates		(3,593	)		0.00	%
Long-term interest rates		827,497			0.25	%
Net unrealized gain (loss) on long futures contracts		2,789,609			0.84	%

SHORT FUTURES CONTRACTS

Description	Fair Value ($)			% of Net Asset Value
Agriculture		2,626,844			0.79	%
Energy		(799,582	)		(0.24	)%
Metals		(169,081	)		(0.05	)%
Stock indices		(109,191	)		(0.03	)%
Short-term interest rates		(822,670	)		(0.25	)%
Long-term interest rates		(400,205	)		(0.12	)%
Net unrealized gain (loss) on short futures contracts		326,115			0.10	%

Net unrealized gain (loss) on open futures contracts	$	3,115,724			0.94	%

FORWARD CURRENCY CONTRACTS

Description	Fair Value ($)			% of Net Asset Value
Various long forward currency contracts	$	1,712,328			0.52	%
Various short forward currency contracts		(6,160,373	)		(1.86	)%
Net unrealized gain (loss) on open forward currency contracts	$	(4,448,045	)		(1.34	)%

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

**	Included in fixed income securities are U.S. Treasury Bills with a fair value of $63,099,661 deposited with the futures brokers and $30,854,833 deposited with the interbank market makers.

See Accompanying Notes to Financial Statements.

Table of Contents

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2016 (Unaudited)

FIXED INCOME SECURITIES
	Maturity Face Value	Description	Fair Value ($)		% of Net Asset Value

		Asset Backed Securities
		United States
		Auto Loans	$	10,427,066		2.77	%
		Credit Cards		14,170,357		3.76	%
		Equipment Loans		2,433,096		0.65	%
		Utility Rate Reduction Bonds		219,728		0.06	%
		Total Asset Backed Securities (cost $27,280,879)		27,250,247		7.24	%

		Bank Deposits
		United States
		Financials		10,908,573		2.90	%
		Total Bank Deposits (cost $10,902,138)		10,908,573		2.90	%

		Commercial Paper
		United States
		Communications		12,379,777		3.29	%
		Consumer Discretionary		26,198,780		6.96	%
		Consumer Staples		2,919,692		0.77	%
		Energy		8,232,187		2.19	%
		Financials		28,265,886		7.50	%
		Health Care		9,700,928		2.58	%
		Technology		12,508,718		3.32	%
		Utilities		26,182,763		6.95	%
		Total Commercial Paper (cost $126,374,599)		126,388,731		33.56	%

		Corporate Bonds
		United States
		Communications		12,835,604		3.41	%
		Consumer Discretionary		24,982,372		6.63	%
		Consumer Staples		1,611,401		0.43	%
		Energy		3,440,000		0.91	%
		Financials		68,213,206		18.11	%
		Industrials		4,069,108		1.08	%
		Technology		5,203,538		1.38	%
		Total Corporate Bonds (cost $120,357,792)		120,355,229		31.95	%

		Government And Agency Obligations
		United States
		U.S. Treasury Bills
$	7,825,000	U.S. Treasury Bills Due 01/19/2017*		7,823,584		2.08	%
$	7,922,500	U.S. Treasury Bills Due 01/26/2017*		7,920,416		2.10	%
$	7,700,000	U.S. Treasury Bills Due 02/02/2017*		7,697,328		2.04	%
$	21,500,000	U.S. Treasury Bills Due 02/23/2017*		21,485,810		5.70	%
$	6,100,000	U.S. Treasury Bills Due 03/09/2017*		6,094,809		1.62	%
$	9,470,000	U.S. Treasury Bills Due 03/16/2017*		9,460,625		2.51	%
$	23,472,500	U.S. Treasury Bills Due 03/23/2017*		23,447,079		6.23	%
		Total Government And Agency Obligations (cost $83,928,449)		83,929,651		22.28	%
		Total Fixed Income Securities ** (cost $368,843,857)	$	368,832,431		97.93	%

SHORT TERM INVESTMENTS

Maturity Face Value	Description	Fair Value ($)		% of Net Asset Value
	Money Market Funds
	United States
	Money Market Funds (cost $2,301)	$	2,301		0.00	%
	Total Short Term Investments (cost $2,301)	$	2,301		0.00	%

See Accompanying Notes to Financial Statements.

Table of Contents

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2016 (Unaudited)

LONG FUTURES CONTRACTS

Description	Fair Value ($)			% of Net Asset Value
Agriculture	$	(220,625	)		(0.06	)%
Energy		1,226,623			0.32	%
Metals		(3,700,055	)		(0.98	)%
Stock indices		2,256,474			0.60	%
Short-term interest rates		31,277			0.01	%
Long-term interest rates		1,673,572			0.44	%
Net unrealized gain (loss) on long futures contracts		1,267,266			0.33	%

SHORT FUTURES CONTRACTS

Description	Fair Value ($)			% of Net Asset Value
Agriculture		1,172,631			0.31	%
Metals		525,656			0.14	%
Stock indices		(248,060	)		(0.07	)%
Short-term interest rates		(279,188	)		(0.07	)%
Long-term interest rates		(540,866	)		(0.14	)%
Net unrealized gain (loss) on short futures contracts		630,173			0.17	%

Net unrealized gain (loss) on open futures contracts	$	1,897,439			0.50	%

FORWARD CURRENCY CONTRACTS

Description	Fair Value ($)			% of Net Asset Value
Various long forward currency contracts	$	(3,320,320	)		(0.88	)%
Various short forward currency contracts		6,351,986			1.68	%
Net unrealized gain (loss) on open forward currency contracts	$	3,031,666			0.80	%

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

**	Included in fixed income securities are U.S. Treasury Bills with a fair value of $56,077,722 deposited with the futures brokers and $27,851,929 deposited with the interbank market makers.

See Accompanying Notes to Financial Statements.

Table of Contents

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF FINANCIAL CONDITION

MARCH 31, 2017 AND DECEMBER 31, 2016 (Unaudited)

	March 31, 2017			December 31, 2016

ASSETS
Equity in futures broker trading accounts
Cash	$	25,048,479		$	22,788,659
Fixed income securities (cost $63,105,592 and $56,075,557, respectively)		63,099,661			56,077,722
Net unrealized gain (loss) on open futures contracts		3,115,724			1,897,439
Total equity in futures broker trading accounts		91,263,864			80,763,820

Cash and cash equivalents		7,794,104			627,303
Short term investments (cost $6,946 and $2,301, respectively)		6,946			2,301
Fixed income securities (cost $255,953,529 and $312,768,300, respectively)		256,040,760			312,754,709
Net unrealized gain (loss) on open forward currency contracts		(4,448,045	)		3,031,666
Interest receivable		373,146			572,148
Total assets	$	351,030,775		$	397,751,947

LIABILITIES
Accounts payable	$	180,695		$	311,891
Brokerage fee payable		2,045,793			2,317,641
Accrued commissions and other trading fees on open contracts		52,696			42,406
Offering costs payable		89,975			87,768
Redemptions payable		17,564,452			18,345,797
Total liabilities		19,933,611			21,105,503
PARTNERS’ CAPITAL (Net Asset Value)
General Partner - 234.340 redeemable units outstanding at March 31, 2017 and December 31, 2016		552,246			559,798
Limited Partners - 140,263.510 and 157,435.256 redeemable units outstanding at March 31, 2017 and December 31, 2016		330,544,918			376,086,646
Total partners’ capital (Net Asset Value)		331,097,164			376,646,444
Total liabilities and partners’ capital (Net Asset Value)	$	351,030,775		$	397,751,947

See Accompanying Notes to Financial Statements.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF OPERATIONS

For the Three Months Ended March 31, 2017 and 2016 (Unaudited)

	Three Months Ended March 31,
TRADING GAINS (LOSSES)	2017			2016
Futures trading gains (losses)
Realized	$	10,202,424		$	(17,859,907	)
Change in unrealized		1,218,285			15,523,559
Brokerage commissions		(401,637	)		(622,083	)
Net gain (loss) from futures trading		11,019,072			(2,958,431	)

Forward currency trading gains (losses)
Realized		(2,735,426	)		8,446,924
Change in unrealized		(7,479,711	)		(1,379,242	)
Brokerage commissions		(17,298	)		(41,563	)
Net gain (loss) from forward currency trading		(10,232,435	)		7,026,119
Total net trading gain (loss)		786,637			4,067,688
NET INVESTMENT INCOME (LOSS)
Investment income
Interest income		848,053			802,502
Realized gain (loss) on fixed income securities		10,908			0
Change in unrealized gain (loss) on fixed income securities		92,726			375,338
Total investment income		951,687			1,177,840
Expenses
Brokerage fee		6,336,700			9,631,317
Operating expenses		243,414			291,602
Total expenses		6,580,114			9,922,919
Net investment income (loss)		(5,628,427	)		(8,745,079	)
NET INCOME (LOSS)	$	(4,841,790	)	$	(4,677,391	)

NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT (based on weighted average number of units outstanding during the period)	$	(31.72	)	$	(24.29	)

INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT	$	(32.23	)	$	(28.05	)

WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD		152,663.449			192,556.310

See Accompanying Notes to Financial Statements.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF CASH FLOWS

For the Three Months Ended March 31, 2017 and 2016 (Unaudited)

	Three Months Ended March 31,
	2017			2016
Cash flows from (for) operating activities
Net income (loss)	$	(4,841,790	)	$	(4,677,391	)
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
Net change in unrealized on futures, forwards and investments		6,168,700			(14,519,655	)
(Increase) decrease in restricted cash		0			5,107,473
(Increase) decrease in interest receivable		199,002			391,859
Increase (decrease) in accounts payable and accrued expenses		(392,754	)		(315,823	)
Purchases of investments		(957,119,852	)		(1,492,231,536	)
Sales/maturities of investments		1,006,899,943			1,502,230,888
Net cash from (for) operating activities		50,913,249			(4,014,185	)

Cash flows from (for) financing activities
Redemption of units		(41,238,440	)		(17,163,328	)
Offering costs paid		(248,188	)		(343,750	)
Net cash from (for) financing activities		(41,486,628	)		(17,507,078	)

Net increase (decrease) in cash and cash equivalents		9,426,621			(21,521,263	)

Unrestricted cash
Beginning of period		23,415,962			51,883,229

End of period	$	32,842,583		$	30,361,966
End of period cash and cash equivalents consists of:
Cash in futures broker trading accounts	$	25,048,479		$	30,101,535
Cash and cash equivalents		7,794,104			260,431
Total end of period cash and cash equivalents	$	32,842,583		$	30,361,966

See Accompanying Notes to Financial Statements.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

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

For the Three Months Ended March 31, 2017 and 2016 (Unaudited)

	Partners’ Capital
	General Partner				Limited Partners					Total
	Units		Amount		Units			Amount		Units			Amount
Three Months Ended March 31, 2017

Balances at December 31, 2016	234.340	$	559,798		157,435.256		$	376,086,646		157,669.596		$	376,646,444
Net income (loss) for the three months ended March 31, 2017			(7,166	)				(4,834,624	)				(4,841,790	)
Redemptions	0.000		0		(17,171.746	)		(40,457,095	)	(17,171.746	)		(40,457,095	)
Offering costs			(386	)				(250,009	)				(250,395	)
Balances at March 31, 2017	234.340	$	552,246		140,263.510		$	330,544,918		140,497.850		$	331,097,164

Three Months Ended March 31, 2016

Balances at December 31, 2015	235.103	$	658,220		194,593.327		$	544,804,587		194,828.430		$	545,462,807
Net income (loss) for the three months ended March 31, 2016			(6,185	)				(4,671,206	)				(4,677,391	)
Redemptions	0.000		0		(6,073.165	)		(17,285,126	)	(6,073.165	)		(17,285,126	)
Offering costs			(409	)				(334,120	)				(334,529	)
Balances at March 31, 2016	235.103	$	651,626		188,520.162		$	522,514,135		188,755.265		$	523,165,761

Net Asset Value per General and Limited Partner Unit

March 31, 2017				December 31, 2016				March 31, 2016				December 31, 2015
$	2,356.60			$	2,388.83			$	2,771.66			$	2,799.71

See Accompanying Notes to Financial Statements.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

FINANCIAL HIGHLIGHTS

For the Three Months Ended March 31, 2017 and 2016 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for the three months ended March 31, 2017 and 2016. This information has been derived from information presented in the financial statements.

	Three Months Ended March 31,
	2017			2016
Per Unit Performance
(for a unit outstanding throughout the entire period)

Net asset value per unit at beginning of period	$	2,388.83		$	2,799.71

Income (loss) from operations:
Total net trading gains (losses) ₍₁₎		6.28			19.11
Net investment income (loss) ₍₁₎		(36.87	)		(45.42	)
Total net income (loss) from operations		(30.59	)		(26.31	)
Offering costs ₍₁₎		(1.64	)		(1.74	)
Net asset value per unit at end of period	$	2,356.60		$	2,771.66
Total Return ₍₃₎		(1.35	)%		(1.00	)%

Supplemental Data

Ratios to average net asset value:
Expenses prior to performance fee ₍₄₎		7.34	%		7.30	%
Performance fee ₍₃₎		0.00	%		0.00	%
Total expenses		7.34	%		7.30	%
Net investment income (loss) _(2),(4)		(6.28	)%		(6.44	)%

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

(1)

Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

(2)	Excludes performance fee.

(3)	Not annualized.

(4)	Annualized.

See Accompanying Notes to Financial Statements.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2017 (Unaudited)

Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

A. General Description of the Fund

Campbell Strategic Allocation Fund, L.P. (the “Fund”) is a Delaware limited partnership which operates as a commodity investment pool. The Fund engages in the speculative trading of futures contracts and forward currency contracts.

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

B. Regulation

As a registrant with the Securities and Exchange Commission (the “SEC”), the Fund is subject to the regulatory requirements under the Securities Exchange Act of 1934. Prior to January 6, 2012, the Fund was also subject to the regulatory requirements under the Securities Act of 1933. As a commodity investment pool, the Fund is subject to the regulations of the Commodity Futures Trading Commission, an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Fund executes transactions. Additionally, the Fund is subject to the requirements of futures commission merchants (the “futures brokers”) and interbank market makers through which the Fund trades.

C. Method of Reporting

The Fund’s financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which may require the use of certain estimates made by the Fund’s management. Actual results may differ from these estimates.

These financial statements should be read in conjunction with the financial statements and notes thereto included in the Fund’s Annual Report on Form 10-K filed with the SEC for the year ended December 31, 2016. All adjustments of a normal recurring nature considered necessary for a fair presentation have been included herein.

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

Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade value and fair value) are reported in the Statements of Financial Condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with ASC 210- 20, Offsetting - Balance Sheet. The fair value of futures (exchange-traded) contracts is based on various futures exchanges, and reflects the settlement price for each contract as of the close on the last business day of the reporting period. The fair value of forward currency (non-exchange traded) contracts was extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period.

The fixed income investments are marked to market on the last business day of the reporting period using a third party vendor hierarchy of pricing providers who specialize in such markets. The prices furnished by the providers consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Premiums and discounts on fixed income securities are amortized and accreted for financial reporting purposes.

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

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

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2017 (Unaudited)

D. Fair Value

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

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

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

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

Level 3 inputs are unobservable inputs for an asset or liability (including the Fund’s own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of March 31, 2017 and December 31, 2016, and for the periods ended March 31, 2017 and 2016, 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 March 31, 2017 and December 31, 2016.

	Fair Value at March 31, 2017
Description	Level 1		Level 2			Level 3		Total
Investments
Short term investments	$	6,946	$	0		$	0	$	6,946
Fixed income securities		0		319,140,421			0		319,140,421
Other Financial Instruments
Exchange-traded futures contracts		3,115,724		0			0		3,115,724
Forward currency contracts		0		(4,448,045	)		0		(4,448,045	)
Total	$	3,122,670	$	314,692,376		$	0	$	317,815,046

	Fair Value at December 31, 2016
Description	Level 1		Level 2		Level 3		Total
Investments
Short term investments	$	2,301	$	0	$	0	$	2,301
Fixed income securities		0		368,832,431		0		368,832,431
Other Financial Instruments
Exchange-traded futures contracts		1,897,439		0		0		1,897,439
Forward currency contracts		0		3,031,666		0		3,031,666
Total	$	1,899,740	$	371,864,097	$	0	$	373,763,837

There were no transfers to or from Level 1 to Level 2 for the period ended March 31, 2017 or the year ended December 31, 2016.

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

E. Cash and Cash Equivalents

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

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2017 (Unaudited)

F. Income Taxes

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

Management has continued to evaluate the application of ASC 740, Income Taxes, to the Fund, and has determined that no reserves for uncertain tax positions were required. There are no tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly increase or decrease within twelve months. The Fund files federal and state tax returns. The 2013 through 2016 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

G. Offering Costs

Campbell & Company, LP (“Campbell & Company”) has incurred all costs in connection with the initial and continuous offering of units of the Fund (“offering costs”). In addition, Campbell & Company continues to compensate wholesalers for services rendered to Limited Partners. The Fund’s liability for offering costs is limited to the maximum of total offering costs incurred by Campbell & Company, not to exceed 2.5% of the aggregate subscriptions accepted during the initial and continuous offerings. As of March 31, 2017 and December 31, 2016, the Fund has the potential remaining reimbursement amount of approximately $37.1 million and $37.4 million, respectively. If the Fund terminates prior to completion of payment of the calculated amounts to Campbell & Company, Campbell & Company will not be entitled to any additional payments, and the Fund will have no further obligation to Campbell & Company.

The Fund is only liable for payment of offering costs on a monthly basis as calculated based on the limitations stated above. At March 31, 2017 and December 31, 2016, the amount of unreimbursed offering costs incurred by Campbell & Company is $89,975 and $88,660, respectively. At March 31, 2017, and December 31, 2016, the Fund reflects a liability in the Statements of Financial Condition for offering costs payable to Campbell & Company of $89,975 and $87,768, respectively. The amount of monthly reimbursement due to Campbell & Company is charged directly to partners’ capital.

H. Foreign Currency Transactions

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

I. Recently Issued Accounting Pronouncements

In November 2016, the FASB issued Accounting Standards Update (“ASU”) 2016-18, Statement of Cash Flows (Topic 230): Restricted Cash, which aims to reduce diversity in the presentation of restricted cash and restricted cash equivalents in the statement. The amendment is effective for the interim and annual reporting periods beginning after December 15, 2017. Management has evaluated the amendment and does not anticipate a material impact on the Fund’s financial statement disclosures.

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.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2017 (Unaudited)

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

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

Note 3. ADMINISTRATOR

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

Note 4. CASH MANAGER AND CUSTODIAN

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

The Fund opened a custodial account at the Northern Trust Company (the “custodian”) and has granted the cash manager authority to make certain investments on behalf of the Fund provided such investments are consistent with the investment guidelines created by the general partner. All securities purchased by the cash manager on behalf of the Fund will be held in the Fund’s custody account at the custodian. The cash manager will have no beneficial or other interest in the securities and cash in such custody account.

Note 5. DEPOSITS WITH FUTURES BROKERS

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

Note 6. DEPOSITS WITH INTERBANK MARKET MAKERS

The Fund’s counterparties with regard to its forward currency transactions are The Royal Bank of Scotland PLC (“RBS”) and UBS AG (“UBS”). The Fund has entered into an International Swap and Derivatives Association, Inc. agreement (“ISDA Agreement”) with RBS and UBS which governs these transactions. The credit ratings reported by the three major rating agencies for UBS were considered investment grade as of March 31, 2017, while RBS was rated investment grade by two of the three major rating agencies and rated at the top-tier of non-investment grade by the third rating agency. 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 RBS and UBS.

Note 7. OPERATING EXPENSES

Operating expenses of the Fund are limited by the Amended Agreement of Limited Partnership to 0.5% per year of the average month-end Net Asset Value of the Fund. Actual operating expenses were less than 0.5% (annualized) of average month-end Net Asset Value for the three months ended March 31, 2017 and 2016.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2017 (Unaudited)

Note 8. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

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

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

Note 9. TRADING ACTIVITIES AND RELATED RISKS

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

Market Risk

For derivatives, risks arise from changes in the fair value of the contracts. Market movements result in frequent changes in the fair value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the fair value of financial instruments and contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades. Theoretically, the Fund is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. See Note 1.C. for an explanation of how the Fund determines its valuation for derivatives as well as the netting of derivatives.

The Fund adopted the provisions of ASC 815, Derivatives and Hedging, (“ASC 815”). ASC 815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entity’s financial position, financial performance and cash flows.

The following tables summarize quantitative information required by ASC 815. The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statements of Financial Condition, as of March 31, 2017 and December 31, 2016 is as follows:

Type of Instrument *	Statements of Financial Condition Location	Asset Derivatives at March 31, 2017 Fair Value		Liability Derivatives at March 31, 2017 Fair Value			Net
Agriculture Contracts	Net unrealized gain (loss) on open futures contracts	$	3,224,408	$	(547,869	)	$	2,676,539
Energy Contracts	Net unrealized gain (loss) on open futures contracts		7,288		(814,882	)		(807,594	)
Metal Contracts	Net unrealized gain (loss) on open futures contracts		2,015,836		(3,348,526	)		(1,332,690	)
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts		4,769,637		(1,791,197	)		2,978,440
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		4,547		(830,810	)		(826,263	)
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		1,114,232		(686,940	)		427,292
Forward Currency Contracts	Net unrealized gain (loss) on open forward currency contracts		7,235,944		(11,683,989	)		(4,448,045	)
Totals		$	18,371,892	$	(19,704,213	)	$	(1,332,321	)

*	Derivatives not designated as hedging instruments under ASC 815

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2017 (Unaudited)

Type of Instrument *	Statements of Financial Condition Location	Asset Derivatives at December 31, 2016 Fair Value		Liability Derivatives at December 31, 2016 Fair Value			Net
Agriculture Contracts	Net unrealized gain (loss) on open futures contracts	$	2,621,318	$	(1,669,312	)	$	952,006
Energy Contracts	Net unrealized gain (loss) on open futures contracts		1,294,666		(68,043	)		1,226,623
Metal Contracts	Net unrealized gain (loss) on open futures contracts		589,912		(3,764,311	)		(3,174,399	)
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts		3,886,396		(1,877,982	)		2,008,414
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		115,803		(363,714	)		(247,911	)
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		1,843,389		(710,683	)		1,132,706
Forward Currency Contracts	Net unrealized gain (loss) on open forward currency contracts		8,412,229		(5,380,563	)		3,031,666
Totals		$	18,763,713	$	(13,834,608	)	$	4,929,105

*	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 three months ended March 31, 2017 and 2016 is as follows:

Type of Instrument	Trading Gains/(Losses) for the Three Months Ended March 31, 2017			Trading Gains/(Losses) for the Three Months Ended March 31, 2016
Agriculture Contracts	$	(5,660,192	)	$	(7,736,363	)
Energy Contracts		(7,702,749	)		3,093,450
Metal Contracts		4,579,272			(7,673,719	)
Stock Indices Contracts		26,836,141			(5,052,411	)
Short-Term Interest Rate Contracts		(1,132,088	)		583,807
Long-Term Interest Rate Contracts		(5,539,196	)		14,354,366
Forward Currency Contracts		(10,215,137	)		7,067,682
Total	$	1,166,051		$	4,636,812

Line Item in the Statements of Operations	Trading Gains/(Losses) for the Three Months Ended March 31, 2017			Trading Gains/(Losses) for the Three Months Ended March 31, 2016
Futures trading gains (losses):
Realized **	$	10,162,903		$	(17,954,429	)
Change in unrealized		1,218,285			15,523,559
Forward currency trading gains (losses):
Realized		(2,735,426	)		8,446,924
Change in unrealized		(7,479,711	)		(1,379,242	)
Total	$	1,166,051		$	4,636,812

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

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2017 (Unaudited)

For the three months ended March 31, 2017 and 2016, the monthly average of futures contracts bought and sold was approximately 33,100 and 53,500, respectively, and the monthly average of notional value of forward currency contracts was $1,383,400,000 and $3,048,500,000, respectively.

Open contracts generally mature within twelve months; as of March 31, 2017, the latest maturity date for open futures contracts is June 2018 and the latest maturity date for open forward currency contracts is June 2017. However, the Fund intends to close all futures and offset all forward currency contracts prior to maturity.

Credit Risk

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

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

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

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

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

The amount of required margin and good faith deposits with the futures brokers and interbank market makers usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at March 31, 2017 and December 31, 2016 was $93,954,494 and $83,929,651, respectively, which equals approximately 28% and 22% of Net Asset Value, respectively. The cash deposited with the interbank market makers at March 31, 2017 and December 31, 2016 was $172,089 and $138,161, respectively, which equals approximately 0% and 0% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents. There was no restricted cash as of March 31, 2017 or December 31, 2016.

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

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2017 (Unaudited)

Offsetting of Derivative Assets
As of March 31, 2017
Type of Instrument	Counterparty	Gross Amount of Recognized Assets		Gross Amount Offset in the Statements of Financial Condition			Net Amount of Unrealized Gain Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	5,535,874	$	(4,017,654	)	$	1,518,220
Futures contracts	Goldman Sachs		5,600,074		(4,002,570	)		1,597,504
Total futures contracts			11,135,948		(8,020,224	)		3,115,724
Forward currency contracts	UBS AG		3,617,972		(3,617,972	)		0
Forward currency contracts	Royal Bank of Scotland		3,617,972		(3,617,972	)		0
Total forward currency contracts			7,235,944		(7,235,944	)		0
Total derivatives		$	18,371,892	$	(15,256,168	)	$	3,115,724

Derivatives Assets and Collateral Received by Counterparty
As of March 31, 2017
			Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	Net Amount of Unrealized Gain in the Statements of Financial Condition		Financial Instruments		Cash Collateral Received		Net Amount
UBS Securities LLC	$	1,518,220	$	0	$	0		1,518,220
Goldman Sachs		1,597,504		0		0		1,597,504
UBS AG		0		0		0		0
Royal Bank of Scotland		0		0		0		0
Total	$	3,115,724	$	0	$	0		3,115,724

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2017 (Unaudited)

Offsetting of Derivative Liabilities
As of March 31, 2017
Type of Instrument	Counterparty	Gross Amount of Recognized Liabilities		Gross Amount Offset in the Statements of Financial Condition			Net Amount of Unrealized Loss Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	4,017,654	$	(4,017,654	)	$	0
Futures contracts	Goldman Sachs		4,002,570		(4,002,570	)		0
Total futures contracts			8,020,224		(8,020,224	)		0
Forward currency contracts	UBS AG		5,841,994		(3,617,972	)		2,224,022
Forward currency contracts	Royal Bank of Scotland		5,841,995		(3,617,972	)		2,224,023
Total forward currency contracts			11,683,989		(7,235,944	)		4,448,045
Total derivatives		$	19,704,213	$	(15,256,168	)	$	4,448,045

Derivatives Liabilities and Collateral Pledged by Counterparty
As of March 31, 2017
			Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	Net Amount of Unrealized Loss in the Statements of Financial Condition		Financial Instruments			Cash Collateral Pledged		Net Amount
UBS Securities LLC	$	0	$	0		$	0	$	0
Goldman Sachs		0		0			0		0
UBS AG		2,224,022		(2,224,022	)*		0		0
Royal Bank of Scotland		2,224,023		(2,224,023	)*		0		0
Total	$	4,448,045	$	(4,448,045	)	$	0	$	0

* Represents a portion of the $30,854,833 fair value in the U.S. Treasury Bills held at the interbank market makers.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2017 (Unaudited)

Offsetting of Derivative Assets
As of December 31, 2016
Type of Instrument	Counterparty	Gross Amount of Recognized Assets		Gross Amount Offset in the Statements of Financial Condition			Net Amount of Unrealized Gain Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	5,189,897	$	(4,226,165	)	$	963,732
Futures contracts	Goldman Sachs		5,161,587		(4,227,880	)		933,707
Total futures contracts			10,351,484		(8,454,045	)		1,897,439
Forward currency contracts	UBS AG		4,206,734		(2,690,255	)		1,516,479
Forward currency contracts	Royal Bank of Scotland		4,205,495		(2,690,308	)		1,515,187
Total forward currency contracts			8,412,229		(5,380,563	)		3,031,666
Total derivatives		$	18,763,713	$	(13,834,608	)	$	4,929,105

Derivatives Assets and Collateral Received by Counterparty
As of December 31, 2016
			Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	Net Amount of Unrealized Gain in the Statements of Financial Condition		Financial Instruments		Cash Collateral Recieved		Net Amount
UBS Securities LLC	$	963,732	$	0	$	0		963,732
Goldman Sachs		933,707		0		0		933,707
UBS AG		1,516,479		0		0		1,516,479
Royal Bank of Scotland		1,515,187		0		0		1,515,187
Total	$	4,929,105	$	0	$	0		4,929,105

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2017 (Unaudited)

Offsetting of Derivative Liabilities
As of December 31, 2016
Type of Instrument	Counterparty	Gross Amount of Recognized Liabilities		Gross Amount Offset in the Statements of Financial Condition			Net Amount of Unrealized Loss Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	4,226,165	$	(4,226,165	)	$	0
Futures contracts	Goldman Sachs		4,227,880		(4,227,880	)		0
Total futures contracts			8,454,045		(8,454,045	)		0
Forward currency contracts	UBS AG		2,690,255		(2,690,255	)		0
Forward currency contracts	Royal Bank of Scotland		2,690,308		(2,690,308	)		0
Total forward currency contracts			5,380,563		(5,380,563	)		0
Total derivatives		$	13,834,608	$	(13,834,608	)	$	0

Derivatives Liabilities and Collateral Pledged by Counterparty
As of December 31, 2016
			Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	Net Amount of Unrealized Loss in the Statements of Financial Condition		Financial Instruments		Cash Collateral Pledged		Net Amount
UBS Securities LLC	$	0	$	0	$	0	$	0
Goldman Sachs		0		0		0		0
UBS AG		0		0		0		0
Royal Bank of Scotland		0		0		0		0
Total	$	0	$	0	$	0	$	0

Campbell & Company has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. Campbell & Company’s basic market risk control procedures consist of continuously monitoring open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%. Campbell & Company’s attempt to manage the risk of the Fund’s open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses. Campbell & Company controls the risk of the Fund’s non-trading fixed income instruments by limiting the duration of such instruments and requiring a minimum credit quality of the issuers of those instruments.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2017 (Unaudited)

Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the Fund’s assets at financial institutions and brokers which Campbell & Company believes to be credit worthy. The limited partners bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.

Note 10. INDEMNIFICATIONS

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

Note 11. INTERIM FINANCIAL STATEMENTS

The Statements of Financial Condition, including the Condensed Schedules of Investments, as of March 31, 2017 and December 31, 2016, the Statements of Operations and Financial Highlights for the three months ended March 31, 2017 and 2016, and the Statements of Cash Flows and Changes in Partners’ Capital (Net Asset Value) for the three months ended March 31, 2017 and 2016 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, 2017 and December 31, 2016, the results of operations and financial highlights for the three months ended March 31, 2017 and 2016, and cash flows and changes in partners’ capital (Net Asset Value) for the three months ended March 31, 2017 and 2016.

Note 12. SUBSEQUENT EVENTS

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

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

Introduction

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

Critical Accounting Policies

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

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

Capital Resources

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

The Fund does not intend to raise any capital through borrowing. Due to the nature of the Fund’s business, it will make no capital expenditures and will have no capital assets, which are not operating capital or assets.

The Fund generally maintains 60% to 75% of its net asset value in cash, cash equivalents or other liquid positions in its cash management program over and above that needed to post as collateral for trading. These funds are available to meet redemptions each month. After redemptions are taken into account each month, the trade level of the Fund is adjusted and positions in the instruments the Fund trades are liquidated, if necessary, on a pro-rata basis to meet those increases or decreases in trade levels.

Liquidity

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

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

Approximately 10% to 30% of the Fund’s assets normally are committed as required margin for futures contracts and held by the futures brokers, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. Treasury bills in segregated accounts with the futures brokers pursuant to the Commodity Exchange Act and regulations thereunder. Approximately 5% to 15% of the Fund’s assets are deposited with over- the-counter counterparties in order to initiate and maintain forward contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparties.

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

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

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

Off-Balance Sheet Risk

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

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

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

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

The Fund invests in futures and forward currency contracts. The fair value of futures (exchange-traded) contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of the last business day of the reporting period. The fair value of forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) of the last business day of the reporting period.

Results of Operations

The returns for the three months ended March 31, 2017 and 2016 were (1.35)% and (1.00)%, respectively. During the three months ended March 31, 2017 and 2016, the Fund accrued brokerage fees in the amount of $6,336,700 and $9,631,317, respectively, and paid brokerage fees in the amount of $6,608,548 and $9,761,431, respectively. No performance fees were accrued or paid during these periods.

2017 (For the Three Months Ended March 31)

Of the (1.35)% year to date return, approximately 0.40% was due to trading gains (before commissions) and approximately 0.27% due to investment income, offset by approximately (2.02)% due to brokerage fees, operating expenses and offering costs borne by the Fund. An analysis of the 0.40% trading gains by sector is as follows:

Sector	% Gain (Loss)
Commodities		(2.43	)%
Currencies		(2.77	)
Interest Rates		(1.85	)
Stock Indices		7.45
		0.40	%

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

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

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

2016 (For the Three Months Ended March 31)

Of the (1.00)% year to date return, approximately 0.79% was due to trading gains (before commissions) and approximately 0.22% was due to investment income, offset by approximately (2.01)% due to brokerage fees, operating expenses and offering costs borne by the Fund. An analysis of the 0.79% trading gain by sector is as follows:

Sector	% Gain (Loss)
Commodities		(2.27	)%
Currencies		1.29
Interest Rates		2.71
Stock Indices		(0.94	)
		0.79	%

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The Fund showed a gain during January as profits came from foreign exchange, interest rate, and commodity holdings while stock indexes provided small offsetting losses during the month. Foreign exchange positions from both trend following and non-trend strategies produced some of the best gains. Long US dollar positioning versus short commodity currencies, such as the Mexican peso, Canadian dollar, and South African rand, showed gains as the commodity sell-off continued, especially within the energy complex. Short positioning on the British pound versus the US dollar also benefitted as global growth concerns reduced the likelihood of a Bank of England interest rate hike and on heightened speculation of a UK exit from the European Union (the so-called “BREXIT”). Interest rate positions provided additional gains to the Fund during January, particularly from the non-trend systems. Long positioning on both long-dated and short-dated instruments experienced profits. The sharp sell-off in global stock indexes fueled safe-haven buying in interest rate products. In addition, ongoing dovish commentary from global central banks added to the upward price pressure. In fact, near month-end, the Bank of Japan adopted a new, and unexpected, negative interest rate policy that fueled additional buying of global interest rate markets. Some additional gains during the month came from commodity positions, with both trend and non-trend strategies contributing. Short positioning within the energy complex, namely on WTI and Brent, produced some of the best gains. Oil prices touched a 12-year low during the month as Iranian export sanctions were lifted which only added to the persistent oversupply within global markets as world demand continued to wane. Short positioning on copper returned profits as that metal saw lower prices amid ongoing economic weakness within China. A short position on gold produced some offsetting losses as risk-off sentiment produced safe-haven buying of the metal. Stock indexes showed losses as long positioning from the trend systems suffered amid the steep sell-off in equities as global growth concerns persisted to start the New Year.

Gains in February came from interest rate, commodity, and stock index holdings while foreign exchange positions provided some offsetting losses during the month. Interest rate positions provided some of the best gains to the Fund during February, particularly from the non-trend systems. Long positioning on long-dated instruments experienced profits, while short-dated products saw small losses. The best sector gains were found within Germany and the UK. Concerns about European bank stocks were a major contributor to the risk-off sentiment during February which provided a tailwind to interest rate markets in the region. Anxieties over a possible UK exit from the European Union also drove safe-haven buying. Additional gains during the month came from commodity positions, with both trend and non-trend strategies contributing. Shorts within the energy complex, namely on natural gas, produced some of the best gains. Natural gas prices fell to a 17-year low amid milder temperatures and abundant production. Short positioning on the grains, especially corn and wheat, benefitted when prices dropped due to weaker export sales and healthy global supplies. Short positions on gold and silver produced some offsetting sector losses as the risk-off environment produced safe-haven buying of those metals. Stock index holdings showed a very small gain. A short position on the Hang Seng index in Hong Kong was one of the best performing trades as that index fell amid ongoing concerns over the health of the Chinese economy. Foreign exchange positions from both trend following and non-trend strategies produced losses for the Fund. February saw some very choppy price action within the various currency pairs making for a difficult trading environment. The Fund was short the Japanese yen versus the US dollar and experienced losses when the yen strengthened despite the Bank of Japan’s recent negative interest rate policy announcement. Trend following systems saw some offsetting gains from a short on the British pound as BREXIT concerns drove the currency to new multi-year lows.

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March showed losses driven by commodity positioning, while foreign exchange, interest rate and stock index holdings had only a slightly negative impact during the month. Commodity positions from both the trend and non- trend systems provided some of the biggest losses during March. Short positioning across the petroleum complex suffered when those markets moved higher in response to an Organization of the Petroleum Exporting Countries ("OPEC") announcement that the organization had scheduled a mid-April meeting to discuss output levels. Natural gas shorts hurt the Fund as well as that product rallied amid larger than expected inventory draws. Short holdings on the grain markets also led to losses with soybeans being one of the worst performers. Strong exports, political tensions in Brazil, and lower inventory projections were all behind the move higher. Coffee shorts also suffered as the political tensions in Brazil drove prices up. Foreign exchange positions added small additional losses. Long positioning on the Australian dollar produced profits as a dovish U.S. Federal Reserve and ultra-loose policies in Japan and Europe collectively boosted the appeal of higher yielding currencies. A short on the British pound produced some offsetting losses as that currency experienced an oversold bounce fueled in part by a more dovish US Fed. Interest rate holdings had a slightly negative impact on the monthly P&L. Price action during March was very choppy making it difficult for some systems to find and hold profitable trades. The first half of the month saw fixed income prices chop lower as stock prices moved higher. The second half of the month saw a sharp reversal higher as the US Fed took a more dovish than expected stance on interest rate policy. Stock index holdings also had only a slightly negative monthly P&L impact. Global equity indexes generally moved higher during March as commodity prices bounced and global central banks continued to provide an accommodative backdrop for stocks. The Fund held a mix of long and short holdings leading to offsetting gains and losses that left the sector nearly flat at month- end.

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Introduction

Past Results Not Necessarily Indicative of Future Performance

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

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

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

Standard of Materiality

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

Quantifying the Fund’s Trading Value at Risk

Quantitative Forward-Looking Statements

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

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

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

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

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

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

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

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

The following tables indicate the trading Value at Risk associated with the Fund’s open positions by market category as of March 31, 2017 and December 31, 2016 and the trading gains/losses by market category for the three months ended March 31, 2017 and the year ended December 31, 2016.

	March 31, 2017
Market Sector	Value at Risk*			Trading Gain/(Loss)**
Commodities		0.56	%		(2.43	)%
Currencies		0.58	%		(2.77	)%
Interest Rates		0.26	%		(1.85	)%
Stock Indices		1.04	%		7.45	%
Aggregate/Total		1.54	%		0.40	%

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

**	- Of the (1.35)% year to date return, approximately 0.40% was due to trading gains (before commissions) and approximately 0.27% due to investment income, offset by approximately (2.02)% due to brokerage fees, operating expenses and offering costs borne by the Fund.

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	December 31, 2016
Market Sector	Value at Risk*			Trading Gain/(Loss)**
Commodities		0.60	%		(11.29	)%
Currencies		0.58	%		(0.73	)%
Interest Rates		0.22	%		3.61	%
Stock Indices		0.81	%		1.02	%
Aggregate/Total		1.43	%		(7.39	)%

**	- Of the (14.68)% return for the year, approximately (7.39)% was due to trading losses (before commissions) and approximately (8.09)% due to brokerage fees, operating expenses and offering costs borne by the Fund, offset by approximately 0.80% due to investment income.

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

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

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

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

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

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

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

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

Non-Trading Risk

The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Fund also has non-trading market risk as a result of investing a portion of its available assets in U.S. Treasury Bills held at the broker and over-the-counter counterparty. The market risk represented by these investments is minimal. Finally, the Fund has non-trading market risk on fixed income securities held as part of its cash management program. The cash 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.

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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, 2017, by market sector.

Currencies

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

Interest Rates

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

Stock Indices

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

Energy

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

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Metals

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

Agricultural

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

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the non-trading risk exposures of the Fund as of March 31, 2017.

Foreign Currency Balances

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

Fixed Income Securities and Short Term Investments

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

U.S. Treasury Bill Positions for Margin Purposes

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

General

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

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Item 4. Controls and Procedures.

Campbell & Company, the general partner of the Fund, with the participation of the general partner’s chief executive officer and 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.

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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) (1)

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, LP (2)

10.02		Global Institutional Master Custody Agreement (1)

31.01		Certification of G William Andrews, 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 G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.

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.

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101.01

Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments March 31, 2017 and December 31, 2016, (ii) Statements of Financial Condition March 31, 2017 and December 31, 2016, (iii) Statements of Operations For the Three Months Ended March 31, 2017 and 2016, (iv) Statements of Cash Flows For the Three Months Ended March 31, 2017 and 2016, (v) Statements of Changes in Partners’ Capital (Net Asset Value) For the Three Months Ended March 31, 2017 and 2016, (vi) Financial Highlights For the Three Months Ended March 31, 2017 and 2016, (vii) Notes to Financial Statements.

(1) 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.

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

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SIGNATURES

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

	CAMPBELL STRATEGIC ALLOCATION FUND, L.P. (Registrant)

	By:	Campbell & Company, LP
		General Partner

Date: May 12, 2017	By:	/s/ G. William Andrews
		G. William Andrews
		Chief Executive Officer

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EXHIBIT INDEX

31.01	Certification of G. William Andrews, 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 G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.

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 Schedules of Investments March 31, 2017 and December 31, 2016, (ii) Statements of Financial Condition March 31, 2017 and December 31, 2016, (iii) Statements of Operations For the Three Months Ended March 31, 2017 and 2016, (iv) Statements of Cash Flows For the Three Months Ended March 31, 2017 and 2016, (v) Statements of Changes in Partners’ Capital (Net Asset Value) For the Three Months Ended March 31, 2017 and 2016, (vi) Financial Highlights For the Three Months Ended March 31, 2017 and 2016, (vii) Notes to Financial Statements.

Attached files

CAMPBELL STRATEGIC ALLOCATION FUND LP Reports

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