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

FORM 10-Q

☑
Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the quarterly period ended September 30, 2019March 31, 2020
or

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

Commission File number: 000-22260

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

(Exact name of Registrant as specified in charter)

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

 
2850 Quarry Lake Drive
Baltimore, Maryland 21209
 
  Baltimore, Maryland 21209
 (Address(Address of principal executive offices, including zip code) 
   
 (410) 413-2600 
  (Registrant’s(Registrant’s telephone number, including area code) 
Securities registered pursuant to Section 12(b) of the Act:

Title of each class
Trading Symbol(s)
Name of each exchange on which registered
Not applicable.Not applicable.Not applicable.

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 such files).  Yes ☑ No ☐

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

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

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

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

The Registrant has no voting stock. As of September 30, 2019,March 31, 2020, there were 77,861.36872,661.938 Units of General and Limited Partnership Interest issued and outstanding.

TABLE OF CONTENTS

 Page
PART I — FINANCIAL INFORMATION 
    
 Item 1.Financial Statements. 
    
  
Condensed Schedules of Investments as of September 30, 2019March 31, 2020 and December 31, 20182019 (Unaudited)
1-4
    
  
Statements of Financial Condition as of September 30, 2019March 31, 2020 and December 31, 20182019 (Unaudited)
5
    
  
Statements of Operations for the Three Months Ended March 31, 2020 and Nine Months Ended September 30, 2019 and 2018 (Unaudited)
6
    
  
Statements of Cash Flows for the NineThree Months Ended September 30,March 31, 2020 and 2019 and 2018 (Unaudited)
7
    
  
Statements of Changes in Partners’ Capital (Net Asset Value) for the NineThree Months Ended September 30,March 31, 2020 and 2019 and 2018 (Unaudited)
8
    
  
Financial Highlights for the Three Months Ended March 31, 2020 and Nine Months Ended September 30, 2019 and 2018 (Unaudited)
9
    
  
Notes to Financial Statements (Unaudited)
10-1910-20
    
 Item 2.
Management’s Discussion and Analysis of Financial Condition and Results of Operations.
20-2621-25
    
 Item 3.
Quantitative and Qualitative DisclosureDisclosures About Market Risk.
26-3025-29
    
 Item 4.
Controls and Procedures.
3029
    
PART II — OTHER INFORMATION
 
    
 Item 1.
Legal Proceedings.
3130
    
 Item 1A.
Risk Factors.
3130
    
 Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds.
3130
   
 Item 3.
Defaults Upon Senior Securities.
3130
    
 Item 4.
Mine Safety Disclosures.
3130
    
 Item 5.
Other Information.
3130
    
 Item 6.
Exhibits.
32-3331-32
    
SIGNATURES
3433

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2019MARCH 31, 2020 (Unaudited)

FIXED INCOME SECURITIES
Maturity
Face Value
 Description 
Fair
Value ($)
  
% of Net
Asset Value
 
  Asset Backed Securities      
  United States      
  Auto Loans 
$
7,525,581
   
4.00
%
  Credit Cards  
779,568
   
0.42
%
  Equipment Loans  
566,116
   
0.30
%
  Utility Rate Reduction Bonds  
718,451
   
0.38
%
  
Total Asset Backed Securities (cost $9,539,258)
  
9,589,716
   
5.10
%
            
  Bank Deposits        
  United States        
  Financials  
2,055,254
   
1.09
%
  
Total Bank Deposits (cost $2,055,008)
  
2,055,254
   
1.09
%
            
  Commercial Paper        
  Ireland        
  Financials (cost $3,751,784)  
3,751,982
   
1.99
%
  Spain        
  Financials (cost $3,530,723)  
3,530,752
   
1.88
%
  Switzerland        
  Financials (cost $2,211,497)  
2,211,567
   
1.18
%
  United Kingdom        
  Financials (cost $489,014)  
489,039
   
0.26
%
  United States        
  Communications  
2,803,814
   
1.49
%
  Consumer Discretionary  
11,203,952
   
5.96
%
  Consumer Staples  
8,115,604
   
4.31
%
  Financials  
10,673,851
   
5.67
%
  Industrials  
948,329
   
0.50
%
  Utilities  
19,104,875
   
10.16
%
  
Total United States (cost $52,852,477)
  
52,850,425
   
28.09
%
  
Total Commercial Paper (cost $62,835,495)
  
62,833,765
   
33.40
%
  
        
  Corporate Bonds        
  Australia        
  Financials (cost $961,487)  
964,486
   
0.51
%
  Canada        
  Financials  
2,866,161
   
1.52
%
  Industrials  
916,087
   
0.49
%
  
Total Canada (cost $3,773,801)
  
3,782,248
   
2.01
%
  Germany        
  Consumer Discretionary (cost $2,892,142)  
2,896,077
   
1.54
%
  Japan        
  Financials (cost $1,729,656)  
1,731,079
   
0.92
%
  United Kingdom        
  Energy  
250,281
   
0.14
%
  Financials  
1,881,172
   
1.00
%
  
Total United Kingdom (cost $2,129,602)
  
2,131,453
   
1.14
%
  United States        
  Communications  
1,433,136
   
0.76
%
  Consumer Discretionary  
4,598,044
   
2.44
%
  Consumer Staples  
4,211,418
   
2.24
%
  Energy  
2,786,402
   
1.48
%
  Financials  
14,484,725
   
7.70
%
  Industrials  
2,929,572
   
1.56
%
  Materials  
483,861
   
0.26
%
  Technology  
2,568,539
   
1.36
%
  Utilities  
1,329,176
   
0.71
%
  
Total United States (cost $34,738,398)
  
34,824,873
   
18.51
%
  
Total Corporate Bonds (cost $46,225,086)
  
46,330,216
   
24.63
%

Maturity
Face Value
 Description Fair
Value ($)		  % of Net
Asset Value		 
  Asset Backed Securities      
  United States      
  Auto Loans 
$
9,239,561
   
5.55
%
  Equipment Loans  
317,601
   
0.19
%
  Utility Rate Reduction Bonds  
366,251
   
0.22
%
  
Total Asset Backed Securities (cost $9,893,237)
  
9,923,413
   
5.96
%
           
  Bank Deposits        
  United States        
  Financials  
1,344,643
   
0.81
%
  
Total Bank Deposits (cost $1,341,126)
  
1,344,643
   
0.81
%
           
  Commercial Paper        
  Australia        
  Financials (cost $1,398,910)  
1,399,038
   
0.84
%
  Netherlands        
  Energy (cost $1,191,015)  
1,195,292
   
0.72
%
  Spain        
  Financials (cost $604,109)  
604,182
   
0.36
%
  Switzerland        
  Financials (cost $1,785,030)  
1,787,021
   
1.07
%
  United Kingdom        
  Financials (cost $1,065,039)  
1,065,440
   
0.64
%
  United States        
  Communications  
498,405
   
0.30
%
  Consumer Discretionary  
9,368,780
   
5.63
%
  Consumer Staples  
4,484,902
   
2.69
%
  Financials  
14,513,972
   
8.72
%
  Industrials  
4,897,974
   
2.94
%
  Materials  
4,504,310
   
2.70
%
  Technology  
899,205
   
0.54
%
  Utilities  
13,020,516
   
7.82
%
  
Total United States (cost $52,199,985)
  
52,188,064
   
31.34
%
  
Total Commercial Paper (cost $58,244,088)
  
58,239,037
   
34.97
%
  
        
  Corporate Bonds        
  Australia        
  Financials (cost $2,274,995)  
2,171,176
   
1.30
%
  Canada        
  Financials (cost $3,240,000)  
3,186,172
   
1.91
%
  Germany        
  Consumer Discretionary (cost $2,144,389)  
2,071,931
   
1.25
%
  Switzerland        
  Financials (cost $700,000)  
655,707
   
0.39
%
  United Kingdom        
  Financials (cost $2,985,065)  
2,853,311
   
1.71
%
  United States        
  Communications  
1,408,120
   
0.85
%
  Consumer Discretionary  
5,696,496
   
3.42
%
  Consumer Staples  
1,969,597
   
1.18
%
  Energy  
1,380,624
   
0.83
%
  Financials  
9,967,441
   
5.98
%
  Industrials  
3,188,398
   
1.91
%
  Materials  
476,560
   
0.29
%
  Technology  
2,541,985
   
1.53
%
  Utilities  
1,290,829
   
0.78
%
  
Total United States (cost $28,409,242)
  
27,920,050
   
16.77
%
  
Total Corporate Bonds (cost $39,753,691)
 $
38,858,347
   
23.33
%

See Accompanying Notes to Financial Statements.


CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2019MARCH 31, 2020 (Unaudited)

Maturity
Face Value
 Description 
Fair
Value ($)
  
% of Net
Asset Value
 
  Government and Agency Obligations      
  United States      
  U.S. Treasury Bills      
$8,280,000 U.S. Treasury Bills * Due 10/08/2019  
8,277,174
   
4.40
%
$4,435,000 U.S. Treasury Bills * Due 10/17/2019  
4,431,493
   
2.35
%
$7,675,000 U.S. Treasury Bills * Due 11/14/2019  
7,658,138
   
4.07
%
$6,215,000 U.S. Treasury Bills * Due 12/19/2019  
6,191,392
   
3.29
%
$6,875,000 U.S. Treasury Bills * Due 01/02/2020  
6,843,005
   
3.64
%
$1,850,000 U.S. Treasury Bills * Due 01/16/2020  
1,840,175
   
0.98
%
   
Total Government and Agency Obligations (cost $35,234,407)
  
35,241,377
   
18.73
%
   
Total Fixed Income Securities ** (cost $155,889,254)
 $
156,050,328   82.95%
            
   
SHORT TERM INVESTMENTS
        
   
Description
 
Fair
Value ($)
  
% of Net
Asset Value
 
   Money Market Funds        
   United States        
   Money Market Funds (cost $2,112) 
$
2,112
   
0.00
%
   
Total Short Term Investments (cost $2,112)
 $
2,112
   
0.00
%
            
   
LONG FUTURES CONTRACTS
        
   
Description
 
Fair
Value ($)
  
% of Net
Asset Value
 
   Agriculture 
$
328,264
   
0.17
%
   Energy  
(124,540
)
  
(0.07
)%
   Metals  
(307,367
)
  
(0.16
)%
   Stock indices  
929,392
   
0.49
%
   Short-term interest rates  
(814,601
)
  
(0.43
)%
   Long-term interest rates  
244,203
   
0.13
%
   Net unrealized gain (loss) on long futures contracts  
255,351
   
0.13
%
            
   
SHORT FUTURES CONTRACTS
        
   
Description
 
Fair
Value ($)
  
% of Net
Asset Value
 
   Agriculture  
(658,533
)
  
(0.35
)%
   Energy  
745,418
   
0.40
%
   Metals  
423,361
   
0.23
%
   Stock indices  
(111,949
)
  
(0.06
)%
   Short-term interest rates  
(107,253
)
  
(0.06
)%
   Long-term interest rates  
(466,398
)
  
(0.25
)%
   Net unrealized gain (loss) on short futures contracts  
(175,354
)
  
(0.09
)%
   Net unrealized gain (loss) on open futures contracts 
$
79,997
   
0.04
%
            
   
FORWARD CURRENCY CONTRACTS
        
   
Description
 
Fair
Value ($)
  
% of Net
Asset Value
 
   Various long forward currency contracts 
$
(3,726,222
)
  
(1.98
)%
   Various short forward currency contracts  
5,272,460
   
2.80
%
   Net unrealized gain (loss) on open forward currency contracts 
$
1,546,238
   
0.82
%
FIXED INCOME SECURITIES

Maturity
Face Value
 Description Fair
Value ($)		  % of Net
Asset Value		 
  Government and Agency Obligations      
  United States      
  U.S. Treasury Bills      
$1,635,000 U.S. Treasury Bills * Due 04/16/2020 $
1,634,949
   
0.98
%
$7,675,000 U.S. Treasury Bills * Due 05/14/2020  
7,674,286
   
4.61
%
$8,835,000 U.S. Treasury Bills * Due 06/11/2020  
8,833,410
   
5.30
%
   
Total Government and Agency Obligations (cost $18,123,005)
  
18,142,645
   
10.89
%
   
Total Fixed Income Securities ** (cost $127,355,147)
 
$
126,508,085
   
75.96
%

SHORT TERM INVESTMENTS

Description   Fair
Value ($)		    % of Net
Asset Value		 
Money Market Funds        
United States        
Money Market Funds (cost $10,245) 
$
10,245
   
0.01
%
Total Short Term Investments (cost $10,245)
 
$
10,245
   
0.01
%

LONG FUTURES CONTRACTS

Description
 Fair
Value ($)		  % of Net
Asset Value		 
Agriculture 
$
28,593
   
0.02
%
Energy  
12,621
   
0.01
%
Metals  
(5,100,732
)
  
(3.06
)%
Stock indices  
(122,299
)
  
(0.08
)%
Short-term interest rates  
24,930
   
0.01
%
Long-term interest rates  
168,209
   
0.10
%
Net unrealized gain (loss) on long futures contracts  
(4,988,678
)
  
(3.00
)%

SHORT FUTURES CONTRACTS

Description
 Fair
Value ($)		  % of Net
Asset Value		 
Agriculture  
(37,079
)
  
(0.02
)%
Energy  
413,327
   
0.25
%
Metals  
8,560,055
   
5.14
%
Stock indices  
(719,335
)
  
(0.43
)%
Short-term interest rates  
-
   
0.00
%
Long-term interest rates  
(392,124
)
  
(0.24
)%
Net unrealized gain (loss) on short futures contracts  
7,824,844
   
4.70
%
Net unrealized gain (loss) on open futures contracts 
$
2,836,166
   
1.70
%

FORWARD CURRENCY CONTRACTS

Description
 Fair
Value ($)		  % of Net
Asset Value		 
Various long forward currency contracts 
$
(15,268,448
)
  
(9.17
)%
Various short forward currency contracts  
24,273,680
   
14.58
%
Net unrealized gain (loss) on open forward currency contracts 
$
9,005,232
   
5.41
%

*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 $26,786,711$18,142,645 deposited with the futures brokers and $8,454,666 deposited with the interbank market makers.broker.

See Accompanying Notes to Financial Statements.

2
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2018 (Unaudited)

FIXED INCOME SECURITIES


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


 Asset Backed Securities      
   United States      
   Auto Loans $7,569,517   4.04%
   Credit Cards  3,931,654   2.10%
   
Total Asset Backed Securities (cost $11,532,711)
  11,501,171   6.14%
            
   Bank Deposits        
   United States        
   Financials  2,249,220   1.20%
   
Total Bank Deposits (cost $2,250,068)
  2,249,220   1.20%
            
   Commercial Paper        
   Switzerland        
   Financials (cost $1,590,983)  1,589,640   0.85%
   United States        
   Communications  1,504,169   0.80%
   Consumer Discretionary  5,190,962   2.77%
   Consumer Staples  8,848,532   4.73%
   Financials  10,413,321   5.56%
   Industrials  3,848,945   2.06%
   Utilities  18,430,323   9.84%
   
Total United States (cost $48,238,552)
  48,236,252   25.76%
   
Total Commercial Paper (cost $49,829,535)
  49,825,892   26.61%
            
   Corporate Bonds        
   Australia        
   Financials (cost $364,957)  365,276   0.19%
   Canada        
   Financials (cost $6,289,499)  6,261,609   3.34%
   Japan        
   Financials (cost $2,043,076)  2,033,119   1.09%
   United Kingdom        
   Energy  1,199,357   0.64%
   Financials  2,819,871   1.51%
   
Total United Kingdom (cost $4,041,771)
  4,019,228   2.15%
   United States        
   Communications  7,496,773   4.00%
   Consumer Discretionary  5,583,595   2.98%
   Consumer Staples  4,737,658   2.53%
   Energy  1,317,702   0.70%
   Financials  23,589,978   12.60%
   Industrials  1,687,442   0.90%
   Materials  323,148   0.17%
   Technology  4,000,181   2.14%
   Utilities  476,050   0.26%
   
Total United States (cost $49,338,343)
  49,212,527   26.28%
   
Total Corporate Bonds (cost $62,077,646)
  61,891,759   33.05%
            
   Government and Agency Obligations        
   United States        
   U.S. Treasury Bills        
$5,560,000 U.S. Treasury Bills * Due 01/17/2019  5,554,640   2.97%
$14,620,000 U.S. Treasury Bills * Due 02/21/2019  14,571,303   7.78%
$10,597,500 U.S. Treasury Bills * Due 03/28/2019  10,537,129   5.63%
   
Total Government and Agency Obligations (cost $30,664,487)
  30,663,072   16.38%
   
Total Fixed Income Securities ** (cost $156,354,447)
 $
156,131,114   83.38%

See Accompanying Notes to Financial Statements.

3
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 20182019 (Unaudited)

FIXED INCOME SECURITIES

Maturity
Face Value
 Description Fair
Value ($)		  % of Net
Asset Value		 
  Asset Backed Securities      
  United States      
  Auto Loans 
$
8,083,815
   
4.93
%
  Credit Cards  
1,495,173
   
0.91
%
  Equipment Loans  
563,774
   
0.35
%
  Utility Rate Reduction Bond  
366,602
   
0.22
%
  
Total Asset Backed Securities (cost $10,469,597)
  
10,509,364
   
6.41
%
  
        
  Bank Deposits        
  Singapore        
  Financials  
1,145,043
   
0.70
%
  
Total Bank Deposits (cost $1,145,035)
  
1,145,043
   
0.70
%
  
        
  Commercial Paper        
  Australia        
  Financials (cost $1,392,419)  
1,392,117
   
0.85
%
  Canada        
  Financials (cost $599,779)  
599,772
   
0.37
%
  Spain        
  Financials (cost $806,584)  
806,563
   
0.49
%
  Sweden        
  Financials (cost $1,679,537)  
1,679,728
   
1.02
%
  Switzerland        
  Financials (cost $2,223,438)  
2,223,543
   
1.36
%
  United States        
  Communications  
1,547,565
   
0.94
%
  Consumer Discretionary  
9,757,433
   
5.95
%
  Consumer Staples  
1,099,493
   
0.67
%
  Financials  
16,563,388
   
10.11
%
  Industrials  
1,098,672
   
0.67
%
  Utilities  
16,262,810
   
9.93
%
  
Total United States (cost $46,329,947)
  
46,329,361
   
28.27
%
  
Total Commercial Paper (cost $53,031,704)
  
53,031,084
   
32.36
%
  
        
  Corporate Bonds        
  Australia        
  Financials (cost $364,988)  
366,759
   
0.23
%
  Canada        
  Financials  
2,864,957
   
1.75
%
  Industrials  
915,229
   
0.56
%
  
Total Canada (cost $3,774,685)
  
3,780,186
   
2.31
%
  Germany        
  Consumer Discretionary (cost $2,893,453)  
2,904,359
   
1.77
%
  Japan        
  Financials (cost $980,000)  
980,181
   
0.60
%
  United Kingdom        
  Energy  
250,061
   
0.15
%
  Financials  
1,886,738
   
1.15
%
  
Total United Kingdom (cost $2,129,873)
  
2,136,799
   
1.30
%
  United States        
  Communications  
1,434,626
   
0.87
%
  Consumer Discretionary  
7,073,288
   
4.32
%
  Consumer Staples  
2,124,263
   
1.30
%
  Energy  
3,177,393
   
1.94
%
  Financials  
12,781,953
   
7.80
%
  Industrials  
2,931,869
   
1.79
%
  Materials  
481,657
   
0.29
%
  Technology  
2,568,233
   
1.57
%
  Utilities  
1,327,017
   
0.81
%
  
Total United States (cost $33,819,239)
  
33,900,299
   
20.69
%
  
Total Corporate Bonds (cost $43,962,238)
 $
44,068,583
   
26.90
%

See Accompanying Notes to Financial Statements.

3
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2019 (Unaudited)
FIXED INCOME SECURITIES

Maturity
Face Value
 Description Fair
Value ($)		  % of Net
Asset Value		 
  Government and Agency Obligations      
  United States      
  U.S. Treasury Bills      
$6,875,000 U.S. Treasury Bills * Due 01/02/2020 $
6,875,000
   
4.20
%
$1,850,000 U.S. Treasury Bills * Due 01/16/2020  
1,848,998
   
1.13
%
$17,805,000 U.S. Treasury Bills * Due 02/13/2020  
17,774,205
   
10.85
%
$12,250,000 U.S. Treasury Bills * Due 03/12/2020  
12,214,330
   
7.45
%
   
Total Government And Agency Obligations (cost $38,708,611)
  
38,712,533
   
23.63
%
   
Total Fixed Income Securities ** (cost $147,317,185)
 
$
147,466,607
   
90.00
%

SHORT TERM INVESTMENTS
Description
 
Fair
Value ($)
  
% of Net
Asset Value
 
Money Market Funds      
United States      
Money Market Funds (cost $2,208) 
$
2,208
   
0.00
%
Total Short Term Investments (cost $2,208)
 $2,208   0.00
%

Description
 Fair
Value ($)		  % of Net
Asset Value		 
Money Market Funds        
United States        
Money Market Funds (cost $3,076) 
$
3,076
   
0.00
%
Total Short Term Investments (cost $3,076)
 
$
3,076
   
0.00
%

LONG FUTURES CONTRACTS
Description
 
Fair
Value ($)
  
% of Net
Asset Value
 
Agriculture 
$
124,980
   
0.07
%
Energy  
(883,950
)
  
(0.47
)%
Metals  
(1,694,502
)
  
(0.91
)%
Stock indices  
(112,136
)
  
(0.06
)%
Short-term interest rates  
1,084,485
   
0.58
%
Long-term interest rates  
1,236,423
   
0.66
%
Net unrealized gain (loss) on long futures contracts  
(244,700
)
  
(0.13
)%

Description
 Fair
Value ($)		  % of Net
Asset Value		 
Agriculture 
$
61,364
   
0.04
%
Energy  
529,188
   
0.32
%
Metals  
1,141,530
   
0.70
%
Stock indices  
128,401
   
0.08
%
Short-term interest rates  
(409,618
)
  
(0.25
)%
Long-term interest rates  
(2,644,733
)
  
(1.62
)%
Net unrealized gain (loss) on long futures contracts  
(1,193,868
)
  
(0.73
)%

SHORT FUTURES CONTRACTS
Description
 
Fair
Value ($)
  
% of Net
Asset Value
 
Agriculture  
1,771,406
   
0.94
%
Energy  
559,274
   
0.30
%
Metals  
2,435,221
   
1.30
%
Stock indices  
107,927
   
0.06
%
Short-term interest rates  
(5,783
)
  
0.00
%
Long-term interest rates  
(1,201,282
)
  
(0.64
)%
Net unrealized gain (loss) on short futures contracts  
3,666,763
   
1.96
%
Net unrealized gain (loss) on open futures contracts 
$
3,422,063
   
1.83
%

Description
 Fair
Value ($)		  % of Net
Asset Value		 
Agriculture  
(1,529,207
)
  
(0.93
)%
Energy  
311,400
   
0.19
%
Metals  
(2,366,834
)
  
(1.44
)%
Stock indices  
42,062
   
0.03
%
Short-term interest rates  
(207
)
  
0.00
%
Long-term interest rates  
567,801
   
0.35
%
Net unrealized gain (loss) on short futures contracts  
(2,974,985
)
  
(1.80
)%
Net unrealized gain (loss) on open futures contracts 
$
(4,168,853
)
  
(2.53
)%

FORWARD CURRENCY CONTRACTS
Description
 
Fair
Value ($)
  
% of Net
Asset Value
 
Various long forward currency contracts 
$
3,835,197
   
2.05
%
Various short forward currency contracts  
841,205
   
0.45
%
Net unrealized gain (loss) on open forward currency contracts 
$
4,676,402
   
2.50
%


Description
 Fair
Value ($)		  % of Net
Asset Value		 
Various long forward currency contracts 
$
11,794,066
   
7.20
%
Various short forward currency contracts  
(13,216,424
)
  
(8.07
)%
Net unrealized gain (loss) on open forward currency contracts 
$
(1,422,358
)
  
(0.87
)%

*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 $22,932,456$28,785,653 deposited with the futures brokers and $7,730,616$9,926,880 deposited with the interbank market makers.

See Accompanying Notes to Financial Statements.

4
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
SEPTEMBER 30, 2019MARCH 31, 2020 AND DECEMBER 31, 20182019 (Unaudited)
 
 September 30, 2019  December 31, 2018  March 31, 2020  December 31, 2019 
ASSETS            
Equity in futures brokers trading accounts            
Cash 
$
15,835,781
  
$
14,784,105
  
$
3,319,678
  
$
8,760,955
 
Fixed income securities (cost $26,782,550 and $22,933,994, respectively) 
26,786,711
  
22,932,456
 
Restricted cash 
726,286
  
2,311,537
 
Fixed income securities (cost $18,123,005 and $28,782,516, respectively) 
18,142,645
  
28,785,653
 
Net unrealized gain (loss) on open futures contracts  
79,997
   
3,422,063
   
2,836,166
   
(4,168,853
)
Total equity in futures brokers trading accounts 
42,702,489
  
41,138,624
  
25,024,775
  
35,689,292
 
            
Cash and cash equivalents 
6,985,230
  
8,959,535
  
26,682,001
  
5,834,745
 
Restricted cash at interbank market makers 
11,835,922
  
4,424,114
  
0
  
7,963,188
 
Short term investments (cost $2,112 and $2,208, respectively) 
2,112
  
2,208
 
Fixed income securities (cost $129,106,704 and $133,420,453, respectively) 
129,263,617
  
133,198,658
 
Net unrealized gain (loss) on open forward currency contracts 
1,546,238
  
4,676,402
 
Short term investments (cost $10,245 and $3,076, respectively) 
10,245
  
3,076
 
Fixed income securities (cost $109,232,142 and $118,534,669, respectively) 
108,365,440
  
118,680,954
 
Net unrealized gain on open forward currency contracts 
9,005,232
  
0
 
Interest receivable  
302,324
   
426,967
   
222,703
   
284,924
 
Total assets $192,637,932  $192,826,508  $169,310,396  $168,456,179 
            
LIABILITIES            
Accounts payable 
$
204,470
  
$
218,277
  
$
231,083
  
$
245,160
 
Brokerage fee payable 
1,121,799
  
1,123,003
  
985,706
  
972,132
 
Net unrealized loss on open forward currency contracts 
0
  
1,422,358
 
Accrued commissions and other trading fees on open contracts 
60,946
  
35,861
  
38,500
  
67,189
 
Offering costs payable 
64,074
  
57,600
  
62,673
  
70,313
 
Redemptions payable  
3,054,167
   
4,145,725
   
1,447,011
   
1,825,504
 
Total liabilities  
4,505,456
   
5,580,466
   
2,764,973
   
4,602,656
 
PARTNERS’ CAPITAL (Net Asset Value)            
General Partner - 0.000 and 0.000 redeemable units outstanding at September 30, 2019 and December 31, 2018 
0
  
0
 
Limited Partners - 77,861.368 and 89,103.635 redeemable units outstanding at September 30, 2019 and December 31, 2018
  
188,132,476
   
187,246,042
 
General Partner - 0.000 and 0.000 redeemable units outstanding at March 31, 2020 and December 31, 2019 
0
  
0
 
Limited Partners - 72,661.938 and 74,725.829 redeemable units outstanding at March 31, 2020 and December 31, 2019
  
166,545,423
   
163,853,523
 
Total partners’ capital (Net Asset Value)  
188,132,476
   
187,246,042
   
166,545,423
   
163,853,523
 
Total liabilities and partners’ capital (Net Asset Value) 
$
192,637,932
  
$
192,826,508
  
$
169,310,396
  
$
168,456,179
 

See Accompanying Notes to Financial Statements.

5
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF OPERATIONS
FOR THE THREE MONTHS ENDED MARCH 31, 2020 AND NINE MONTHS ENDED SEPTEMBER 30, 2019 AND 2018 (Unaudited)
 
 Three Months Ended September 30,  Nine Months Ended September 30,  Three Months Ended March 31, 

 2019  2018  2019  2018  2020  2019 
TRADING GAINS (LOSSES)                  
Futures trading gains (losses)                  
Realized 
$
16,955,842
  
$
(6,187,583
)
 
$
38,453,492
  
$
(15,799,244
)
 
$
(8,732,159
)
 
$
6,238,601
 
Change in unrealized 
(5,678,297
)
 
4,577,996
  
(3,342,066
)
 
2,290,127
  
7,005,019
  
4,280,714
 
Brokerage commissions  
(255,366
)
  
(218,559
)
  
(814,815
)
  
(650,692
)
  
(306,106
)
  
(279,583
)
Net gain (loss) from futures trading  
11,022,179
   
(1,828,146
)
  
34,296,611
   
(14,159,809
)
  
(2,033,246
)
  
10,239,732
 
                  
Forward currency trading gains (losses)                  
Realized 
(301,828
)
 
9,222,552
  
2,165,363
  
5,841,619
  
2,723,787
  
4,419,395
 
Change in unrealized 
3,034,226
  
(8,126,623
)
 
(3,130,164
)
 
(4,069,958
)
 
10,427,590
  
(6,366,985
)
Brokerage commissions  
(27,151
)
  
(18,166
)
  
(104,341
)
  
(52,000
)
  
(25,841
)
  
(37,267
)
Net gain (loss) from forward currency trading  
2,705,247
   
1,077,763
   
(1,069,142
)
  
1,719,661
   
13,125,536
   
(1,984,857
)
Total net trading gain (loss)  
13,727,426
   
(750,383
)
  
33,227,469
   
(12,440,148
)
  
11,092,290
   
8,254,875
 
                  
NET INVESTMENT INCOME (LOSS)                  
Investment income            
Investment income (loss)
      
Interest income 
1,100,127
  
1,183,481
  
3,408,722
  
3,467,498
  
754,381
  
1,145,873
 
Realized gain (loss) on fixed income securities 
7,956
  
354
  
10,100
  
(23,745
)
 
10,991
  
250
 
Change in unrealized gain (loss) on fixed income securities  
14,438
   
102,129
   
384,407
   
12,463
   
(996,484
)
  
257,130
 
Total investment income  
1,122,521
   
1,285,964
   
3,803,229
   
3,456,216
 
Total investment income (loss)
  
(231,112
)
  
1,403,253
 
                  
Expenses                  
Brokerage fee 
3,419,317
  
3,811,671
  
9,903,830
  
12,545,982
  
3,016,225
  
3,243,295
 
Operating expenses  
211,580
   
200,777
   
592,987
   
567,196
   
166,094
   
203,843
 
Total expenses  
3,630,897
   
4,012,448
   
10,496,817
   
13,113,178
   
3,182,319
   
3,447,138
 
Net investment income (loss)  
(2,508,376
)
  
(2,726,484
)
  
(6,693,588
)
  
(9,656,962
)
  
(3,413,431
)
  
(2,043,885
)
NET INCOME (LOSS) 
$
11,219,050
  
$
(3,476,867
)
 
$
26,533,881
  
$
(22,097,110
)
 
$
7,678,859
  
$
6,210,990
 
                  
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT
                  
(based on weighted average number of units outstanding during the period) 
$
140.31
  
$
(34.75
)
 
$
318.29
  
$
(208.48
)
 
$
103.72
  
$
71.05
 
                  
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT
 
$
135.93
  
$
(35.90
)
 
$
314.81
  
$
(209.55
)
 
$
99.33
  
$
70.68
 
                  
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
  
79,960.188
   
100,050.235
   
83,364.848
   
105,993.435
   
74,037.033
   
87,412.626
 

See Accompanying Notes to Financial Statements.

6
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CASH FLOWS
FOR THE NINETHREE MONTHS ENDED SEPTEMBER 30,MARCH 31, 2020 AND 2019 AND 2018 (Unaudited)
 
 Nine Months Ended September 30,  Three Months Ended March 31, 
 2019  2018  2020  2019 
Cash flows from (for) operating activities            
Net income (loss) 
$
26,533,881
  
$
(22,097,110
)
 
$
7,678,859
  
$
6,210,990
 
Adjustments to reconcile net income (loss) to net cash from (for) operating activities            
Net change in unrealized on futures, forwards and investments 
6,087,823
  
1,767,368
  
(16,436,125
)
 
1,829,141
 
Increase (decrease) in payable for securities purchased 
0
  
613,540
 
(Increase) decrease in interest receivable 
124,643
  
189,772
  
62,221
  
82,283
 
Increase (decrease) in accounts payable and accrued expenses 
10,074
  
(401,961
)
 
(29,192
)
 
36,778
 
Purchases of investments 
(1,471,874,920
)
 
(2,168,191,210
)
 
(415,593,097
)
 
(519,766,470
)
Sales/maturities of investments  
1,472,340,209
   
2,237,034,106
   
435,547,966
   
524,102,351
 
Net cash from (for) operating activities  
33,221,710
   
48,300,965
   
11,230,632
   
13,108,613
 
            
Cash flows from (for) financing activities            
Redemption of units 
(26,096,557
)
 
(41,660,404
)
 
(5,158,505
)
 
(10,769,681
)
Offering costs paid  
(635,974
)
  
(637,336
)
  
(214,587
)
  
(204,957
)
Net cash from (for) financing activities  
(26,732,531
)
  
(42,297,740
)
  
(5,373,092
)
  
(10,974,638
)
            
Net increase (decrease) in cash, cash equivalents and restricted cash 
6,489,179
  
6,003,225
  
5,857,540
  
2,133,975
 
            
Cash, cash equivalents and restricted cash at beginning of period  
28,167,754
   
25,795,630
   
24,870,425
   
28,167,754
 
Cash, cash equivalents and restricted cash at end of period 
$
34,656,933
  
$
31,798,855
  
$
30,727,965
  
$
30,301,729
 

The following table provides a reconciliation of cash, cash equivalents and restricted cash reported within the Statements of Financial Condition that sum to the total of the same such amounts shown in the Statements of Cash Flows.
 
 September 30, 2019  December 31, 2018  March 31, 2020  December 31, 2019 
Cash, cash equivalents and restricted cash at end of period consists of:            
Cash in futures brokers trading accounts 
$
15,835,781
  
$
14,784,105
  
$
3,319,678
  
$
8,760,955
 
Restricted cash in futures brokers trading accounts 
0
  
0
  
726,286
  
2,311,537
 
Cash and cash equivalents 
6,985,230
  
8,959,535
  
26,682,001
  
5,834,745
 
Restricted cash at interbank market makers  
11,835,922
   
4,424,114
   
0
   
7,963,188
 
Total cash, cash equivalents and restricted cash at end of period 
$
34,656,933
  
$
28,167,754
  
$
30,727,965
  
$
24,870,425
 

See Accompanying Notes to Financial Statements.

7
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL (NET ASSET VALUE)
FOR THE NINETHREE MONTHS ENDED SEPTEMBER 30,MARCH 31, 2020 AND 2019 AND 2018 (Unaudited)
 
 Partners’ Capital  Partners’ Capital 
 General Partner  Limited Partners  Total  General Partner  Limited Partners  Total 
 Units  Amount  Units  Amount  Units  Amount  Units  Amount  Units  Amount  Units  Amount 
Three Months Ended March 31, 2020                
                                    
Nine Months Ended September 30, 2019                
Balances at December 31, 2019 0.000  
$
0
  74,725.829  
$
163,853,523
  74,725.829  
$
163,853,523
 
Net income (loss) for the three months ended March 31, 2020
    
0
     
7,678,859
     
7,678,859
 
Redemptions 0.000  
0
  (2,063.891) 
(4,780,012
)
 (2,063.891) 
(4,780,012
)
Offering costs      
0
       
(206,947
)
      
(206,947
)
Balances at March 31, 2020 0.000  
$
0
  72,661.938  
$
166,545,423
  72,661.938  
$
166,545,423
 
                  
Three Months Ended March 31, 2019Three Months Ended March 31, 2019                
                                   
Balances at December 31, 2018 0.000  
$
0
  89,103.635  
$
187,246,042
  89,103.635  
$
187,246,042
  0.000  
$
0
  89,103.635  
$
187,246,042
  89,103.635  
$
187,246,042
 
Net income (loss) for the three months ended March 31, 2019
    
0
     
6,210,990
     
6,210,990
     
0
     
6,210,990
     
6,210,990
 
Redemptions 0.000  
0
  (5,132.100) 
(10,837,698
)
 (5,132.100) 
(10,837,698
)
 0.000  
0
  (5,132.100) 
(10,837,698
)
 (5,132.100) 
(10,837,698
)
Offering costs      
0
       
(222,791
)
      
(222,791
)
      
0
       
(222,791
)
      
(222,791
)
Balances at March 31, 2019 0.000  
$
0
  83,971.535  
$
182,396,543
  83,971.535  
$
182,396,543
   0.000  
$
0
   83,971.535  
$
182,396,543
   83,971.535  
$
182,396,543
 

                  
Net income (loss) for the three months ended June 30, 2019
    
0
     
9,103,841
     
9,103,841
 
Redemptions 0.000  
0
  (3,239.772) 
(7,190,366
)
 (3,239.772) 
(7,190,366
)
Offering costs      
0
       
(215,876
)
      
(215,876
)
Balances at June 30, 2019 0.000  
$
0
  80,731.763  
$
184,094,142
  80,731.763  
$
184,094,142
 

                  
Net income (loss) for the three months ended September 30, 2019
    
0
     
11,219,050
     
11,219,050
 
Redemptions 0.000  
0
  (2,870.395) 
(6,976,935
)
 (2,870.395) 
(6,976,935
)
Offering costs      
0
       
(203,781
)
      
(203,781
)
Balances at September 30, 2019  0.000  
$
0
   77,861.368  
$
188,132,476
   77,861.368  
$
188,132,476
 
                  
Nine Months Ended September 30, 2018                
                  
Balances at December 31, 2017 0.000  
$
0
  113,775.724  
$
270,904,104
  113,775.724  
$
270,904,104
 
Net income (loss) for the three months ended March 31, 2018
    
0
     
(11,967,450
)
    
(11,967,450
)
Redemptions 0.000  
0
  (6,038.577) 
(14,071,811
)
 (6,038.577) 
(14,071,811
)
Offering costs      
0
       
(212,402
)
      
(212,402
)
Balances at March 31, 2018 0.000  
$
0
  107,737.147  
$
244,652,441
  107,737.147  
$
244,652,441
 
                  
Net income (loss) for the three months ended June 30, 2018
    
0
     
(6,652,793
)
    
(6,652,793
)
Redemptions 0.000  
0
  (5,656.671) 
(12,452,579
)
 (5,656.671) 
(12,452,579
)
Offering costs      
0
       
(215,221
)
      
(215,221
)
Balances at June 30, 2018 0.000  
$
0
  102,080.476  
$
225,331,848
  102,080.476  
$
225,331,848
 
                  
Net income (loss) for the three months ended September 30, 2018
    
0
     
(3,476,867
)
    
(3,476,867
)
Redemptions 0.000  
0
  (6,803.069) 
(14,750,667
)
 (6,803.069) 
(14,750,667
)
Offering costs      
0
       
(210,844
)
      
(210,844
)
Balances at September 30, 2018  0.000  
$
0
   95,277.407  
$
206,893,470
   95,277.407  
$
206,893,470
 

Net Asset Value per General and Limited Partner Unit
Net Asset Value per General and Limited Partner Unit
 
Net Asset Value per General and Limited Partner Unit
 
September 30, 2019  June 30, 2019  March 31, 2019  December 31, 2018 
March 31, 2020March 31, 2020   December 31, 2019  March 31, 2019   December 31, 2018 
$
2,416.25
  
$
2,280.32
  
$
2,172.12
  
$
2,101.44
 
2,292.06
  
$
2,192.73
  
$
2,172.12
  
$
2,101.44
 
           
September 30, 2018  June 30, 2018  March 31, 2018  December 31, 2017 
$
2,171.49
  
$
2,207.39
  
$
2,270.83
  
$
2,381.04
 

See Accompanying Notes to Financial Statements.

8
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS ENDED MARCH 31, 2020 AND NINE MONTHS ENDED SEPTEMBER 30, 2019 AND 2018 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for the three months ended March 31, 2020 and nine months ended September 30, 2019 and 2018.2019. This information has been derived from information presented in the financial statements.

 Three Months Ended September 30,  Nine Months Ended September 30,  Three Months Ended March 31, 
 2019  2018  2019  2018  2020  2019 
Per Unit Performance                  
(for a unit outstanding throughout the entire period)                  
Net asset value per unit at beginning of period 
$
2,280.32
  
$
2,207.39
  
$
2,101.44
  
$
2,381.04
  
$
2,192.73
  
$
2,101.44
 
                  
Income (loss) from operations:                  
Total net trading gains (losses) (1)
 169.85  (6.54) 402.81  (112.42) 148.23  96.61 
Net investment income (loss) (1)
  
(31.37
)
  
(27.25
)
  
(80.29
)
  
(91.11
)
  
(46.10
)
  
(23.38
)
Total net income (loss) from operations  
138.48
   
(33.79
)
  
322.52
   
(203.53
)
  
102.13
   
73.23
 
Offering costs (1)
  
(2.55
)
  
(2.11
)
  
(7.71
)
  
(6.02
)
  
(2.80
)
  
(2.55
)
Net asset value per unit at end of period 
$
2,416.25
  
$
2,171.49
  
$
2,416.25
  
$
2,171.49
  
$
2,292.06
  
$
2,172.12
 
Total Return (4)
  
5.96
%
  
(1.63
)%
  
14.98
%
  
(8.80
)%
  
4.53
%
  
3.36
%
                  
Supplemental Data                  
Ratios to average net asset value:                  
Expenses prior to performance fee (3)
 
7.61
%
 
7.42
%
 
7.55
%
 
7.37
%
 
7.55
%
 
7.52
%
Performance fee (4)
  
0.00
%
  
0.00
%
  
0.00
%
  
0.00
%
  
0.00
%
  
0.00
%
Total expenses  
7.61
%
  
7.42
%
  
7.55
%
  
7.37
%
  
7.55
%
  
7.52
%
Net investment income (loss) (2),(3)
  
(5.26
)%
  
(5.04
)%
  
(4.82
)%
  
(5.43
)%
  
(8.10
)%
  
(4.46
)%

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

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

See Accompanying Notes to Financial Statements.

9
Table of Contents
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
MARCH 31, 2020 (Unaudited)
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
SEPTEMBER 30, 2019 (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, 2018.2019. 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. Realized gains or losses on spot trades associated with forward currency contract trading are included in realized gains or losses from forward currency trading. Unrealized gains and losses on open contracts (the difference between contract trade value and fair value) are reported in the Statements of Financial Condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with ASC 210-20, Offsetting - Balance Sheet. The fair value of futures (exchange-traded) contracts is based on various futures exchanges, and reflects the settlement price for each contract as of the close on the last business day of the reporting period. The fair value of forward currency (non-exchange traded) contracts was extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period.

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

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

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

10
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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL SATEMENTS
SEPTEMBER 30, 2019
MARCH 31, 2020 (Unaudited)
D.  Fair Value

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

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

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

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

Level 3 inputs are unobservable inputs for an asset or liability (including the Fund’s own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of September 30, 2019March 31, 2020 and December 31, 2018,2019, and for the periods ended September 30,March 31, 2020 and 2019, and 2018, the Fund did not have any Level 3 assets or liabilities.

The following tables set forth by level within the fair value hierarchy the Fund’s investments accounted for at fair value on a recurring basis as of September 30, 2019March 31, 2020 and December 31, 2018.2019.

 Fair Value at September 30, 2019  Fair Value at March 31, 2020 
Description Level 1  Level 2  Level 3  Total  Level 1  Level 2  Level 3  Total 
Investments
                        
Short term investments $2,112  $0  $0  $2,112  $10,245  $0  $0  $10,245 
Fixed income securities 0  156,050,328  0  156,050,328  0  126,508,085  0  126,508,085 
                        
Other Financial Instruments
                        
Exchange-traded futures contracts 79,997  0  0  79,997  2,836,166  0  0  2,836,166 
Forward currency contracts  0   1,546,238   0   1,546,238   0   9,005,232   0   9,005,232 
Total $82,109  $157,596,566  $0  $157,678,675  $2,846,411  $135,513,317  $0  $138,359,728 

 Fair Value at December 31, 2018  Fair Value at December 31, 2019 
Description Level 1  Level 2  Level 3  Total  Level 1  Level 2  Level 3  Total 
Investments
                        
Short term investments $2,208  $0  $0  $2,208  $3,076  $0  $0  $3,076 
Fixed income securities 0  156,131,114  0  156,131,114  0  147,466,607  0  147,466,607 
                        
Other Financial Instruments
                        
Exchange-traded futures contracts 3,422,063  0  0  3,422,063  (4,168,853) 0  0  (4,168,853)
Forward currency contracts  0   4,676,402   0   4,676,402   0   (1,422,358)  0   (1,422,358)
Total $3,424,271  $160,807,516  $0  $164,231,787  $(4,165,777) $146,044,249  $0  $141,878,472 

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.

11
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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL SATEMENTS
SEPTEMBER 30, 2019
MARCH 31, 2020 (Unaudited)
E.  Cash and Cash Equivalents

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

F.   Income Taxes

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

Management has continued to evaluate the application of ASC 740, Income Taxes, to the Fund, and has determined that no reserves for uncertain tax positions were required. There are no tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly increase or decrease within twelve months. The Fund files federal and state tax returns. The 20152016 through 20182019 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 September 30, 2019March 31, 2020 and December 31, 2018,2019, the Fund has the potential remaining reimbursement amount of approximately $34.9$34.5 million and $35.6$34.7 million, respectively. If the Fund terminates prior to completion of payment of the calculated amounts to Campbell & Company, Campbell & Company will not be entitled to any additional payments, and the Fund will have no further obligation to Campbell & Company.

The Fund is only liable for payment of offering costs on a monthly basis as calculated based on the limitations stated above. At September 30, 2019March 31, 2020 and December 31, 2018,2019, the amount of unreimbursed offering costs incurred by Campbell & Company is $64,074$62,673 and $57,600,$70,313, respectively. At September 30, 2019March 31, 2020 and December 31, 2018,2019, the Fund reflects a liability in the Statements of Financial Condition for offering costs payable to Campbell & Company of $64,074$62,673 and $57,600,$70,313, 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 August 2018, the FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement. The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Campbell & Company has adopted the new guidance, and management has determined its adoption has no material impact on the Fund’s financial statement disclosures.

In July 2019, the FASB issued ASU 2019-07, Codification Updates to SEC Sections – Amendments to SEC Paragraphs Pursuant to SEC Final Rule Releases No. 33-10532, Disclosure Update and Simplification, and Nos. 33-10231 and 33-10442, Investment Company Reporting Modernization, and Miscellaneous Updates. The primary focus of ASU 2019-07 is to clarify amendments made by the SEC with the intention of facilitating the disclosure of information to investors and simplifying compliance without significantly altering the total mix of information provided to investors. As a result of these amendments, an analysis of changes in equity is required for the current and comparative interim periods, with subtotals for each interim period. Campbell & Company has adopted the new guidance, and management has determined its adoption has no material impact on the Fund’s financial statement disclosures.

12
Table of Contents

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL SATEMENTS
SEPTEMBER 30, 2019
MARCH 31, 2020 (Unaudited)
J.   Reclassification

Certain 2019 amounts in the Notes to the Financial Statements were reclassified to conform with the 2020 presentation. Specifically, trading gains and losses in Note 9 were reclassified to include and disclose the amounts of gains and losses on foreign currency cash balances at the futures brokers.

Note 2.  GENERAL PARTNER AND COMMODITY TRADING ADVISOR

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

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

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

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

Note 3.  ADMINISTRATOR AND TRANSFER AGENT

Northern Trust Hedge Fund Services LLC serves asEffective January 1, 2020, NAV Consulting, Inc. became 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. Prior to January 1, 2020, Northern Trust Hedge Fund Services LLC served as the Administrator of the Fund.

Effective January 1, 2019, NAV Consulting, Inc. serves as the Transfer Agent forof the Fund. The Transfer Agent receives fees at rates agreed upon between the Fund and the Transfer Agent and is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties.

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 an investment adviser with the SEC of the United States under the Investment Advisers Act of 1940.

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

13
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
MARCH 31, 2020 (Unaudited)
Note 5.  DEPOSITS WITH FUTURES BROKERS

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

Note 6.  DEPOSITS WITH INTERBANK MARKET MAKERS

The Fund’s counterparties with regard to its forward currency transactions are NatWest Markets PLC (“NatWest”), formerly The Royal Bank of Scotland, and UBS AG (“UBS”). The Fund has entered into an International Swap and Derivatives Association, Inc. agreement (“ISDA Agreement”) with NatWest and UBS which governs these transactions. The credit ratings reported by the three major rating agencies for NatWest and UBS were considered investment grade as of September 30, 2019.March 31, 2020. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with NatWest and UBS. The Fund typically earns interest income on its assets deposited with NatWest and UBS.

13
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
SEPTEMBER 30, 2019 (Unaudited)
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 ninethree months ended September 30, 2019March 31, 2020 and 2018.2019.

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.

In February 2020, the Fund transferred all futures contracts held with UBS Securities LLC to Goldman, Sachs & Co., and all forward currency contracts held with UBS to NatWest. Goldman, Sachs & Co and NatWest serve as the sole futures broker and interbank market maker, respectively, for the Fund’s ongoing trading.

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.

14
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
MARCH 31, 2020 (Unaudited)
The Fund adopted the provisions of ASC 815, Derivatives and Hedging, (“ASC 815”). ASC 815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entity’s financial position, financial performance and cash flows.

The following tables summarize quantitative information required by ASC 815.  The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statements of Financial Condition, as of September 30, 2019March 31, 2020 and December 31, 20182019 is as follows:

Type of Instrument *Statements of Financial Condition Location 
Asset
Derivatives at
September 30, 2019
Fair Value
  
Liability
Derivatives at
September 30, 2019
Fair Value
  Net 
Agriculture ContractsNet unrealized gain (loss) on open futures contracts $536,092  $(866,361) $(330,269)
Energy ContractsNet unrealized gain (loss) on open futures contracts  745,468   (124,590)  620,878 
Metal ContractsNet unrealized gain (loss) on open futures contracts  2,043,674   (1,927,680)  115,994 
Stock Indices ContractsNet unrealized gain (loss) on open futures contracts  1,227,041   (409,598)  817,443 
Short-Term Interest Rate ContractsNet unrealized gain (loss) on open futures contracts  526,321   (1,448,175)  (921,854)
Long-Term Interest Rate ContractsNet unrealized gain (loss) on open futures contracts  913,088   (1,135,283)  (222,195
)
Forward Currency ContractsNet unrealized gain (loss) on open forward currency contracts  7,913,410   (6,367,172)  1,546,238 
Totals  $13,905,094  $(12,278,859) $1,626,235 
Type of Instrument *Statements of Financial Condition Location 
Asset
Derivatives at
March 31, 2020
Fair Value
  
Liability
Derivatives at
March 31, 2020
Fair Value
  Net 
Agriculture ContractsNet unrealized gain (loss) on open futures contracts $224,809  $(233,295) $(8,486)
Energy ContractsNet unrealized gain (loss) on open futures contracts  426,528   (580)  425,948 
Metal ContractsNet unrealized gain (loss) on open futures contracts  8,739,973   (5,280,650)  3,459,323 
Stock Indices ContractsNet unrealized gain (loss) on open futures contracts  52,620   (894,254)  (841,634)
Short-Term Interest Rate ContractsNet unrealized gain (loss) on open futures contracts  137,328   (112,398)  24,930 
Long-Term Interest Rate ContractsNet unrealized gain (loss) on open futures contracts  446,007   (669,922)  (223,915
)
Forward Currency ContractsNet unrealized gain (loss) on open forward currency contracts  28,325,494   (19,320,262)  9,005,232 
Totals  $38,352,759  $(26,511,361) $11,841,398 

*Derivatives not designated as hedging instruments under ASC 815

14
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
SEPTEMBER 30, 2019 (Unaudited)
Type of Instrument *Statements of Financial Condition Location 
Asset
Derivatives at
December 31, 2018
Fair Value
  
Liability
Derivatives at
December 31, 2018
Fair Value
  Net 
Agriculture ContractsNet unrealized gain (loss) on open futures contracts $1,930,551  $(34,165) $1,896,386 
Energy ContractsNet unrealized gain (loss) on open futures contracts  577,340   (902,016)  (324,676)
Metal ContractsNet unrealized gain (loss) on open futures contracts  2,645,961   (1,905,242)  740,719 
Stock Indices ContractsNet unrealized gain (loss) on open futures contracts  727,473   (731,682)  (4,209)
Short-Term Interest Rate ContractsNet unrealized gain (loss) on open futures contracts  1,094,862   (16,160)  1,078,702 
Long-Term Interest Rate ContractsNet unrealized gain (loss) on open futures contracts  1,313,742   (1,278,601)  35,141 
Forward Currency ContractsNet unrealized gain (loss) on open forward currency contracts  12,839,236   (8,162,834)  4,676,402 
Totals  $21,129,165  $(13,030,700) $8,098,465 
Type of Instrument *Statements of Financial Condition Location 
Asset
Derivatives at
December 31, 2019
Fair Value
  
Liability
Derivatives at
December 31, 2019
Fair Value
  Net 
Agriculture ContractsNet unrealized gain (loss) on open futures contracts $100,996  $(1,568,839) $(1,467,843)
Energy ContractsNet unrealized gain (loss) on open futures contracts  976,245   (135,657)  840,588 
Metal ContractsNet unrealized gain (loss) on open futures contracts  2,891,613   (4,116,917)  (1,225,304)
Stock Indices ContractsNet unrealized gain (loss) on open futures contracts  780,153   (609,690)  170,463 
Short-Term Interest Rate ContractsNet unrealized gain (loss) on open futures contracts  168,765   (578,590)  (409,825)
Long-Term Interest Rate ContractsNet unrealized gain (loss) on open futures contracts  768,719   (2,845,651)  (2,076,932)
Forward Currency ContractsNet unrealized gain (loss) on open forward currency contracts  12,443,080   (13,865,438)  (1,422,358)
Totals  $18,129,571  $(23,720,782) $(5,591,211)

*Derivatives not designated as hedging instruments under ASC 815

15
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
MARCH 31, 2020 (Unaudited)

The trading gains and losses of the Fund’s derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the three months ended March 31, 2020 and nine months ended September 30, 2019 and 2018 is as follows:

Type of Instrument 
Trading Gains/(Losses)
for the Three Months Ended
September 30, 2019
  
Trading Gains/(Losses)
for the Three Months Ended
September 30, 2018
  
Trading Gains/(Losses) for
the Three Months Ended
March 31, 2020
  
Trading Gains/(Losses) for
the Three Months Ended
March 31, 2019
 
Agriculture Contracts $2,124,808  $129,363  $1,923,105  $459,265 
Energy Contracts (1,818,401) (642,339) 5,226,283  (2,309,824)
Metal Contracts 401,967  (520,290) 4,486,773  (999,028)
Stock Indices Contracts 2,940,903  1,688,238  (23,567,212) 4,351,957 
Short-Term Interest Rate Contracts (95,220) 1,376,582  8,009,183  2,427,530 
Long-Term Interest Rate Contracts 7,782,216  (3,638,051) 2,194,728  6,589,415 
Forward Currency Contracts  2,182,638   1,095,929   13,151,377   (1,947,590)
Total $13,518,911  $(510,568) $11,424,237  $8,571,725 

Type of Instrument 
Trading Gains/(Losses)
for the Nine Months Ended
September 30, 2019
  
Trading Gains/(Losses)
for the Nine Months Ended
September 30, 2018
 
Agriculture Contracts $(268,701) $(3,998,190)
Energy Contracts  (3,919,817)  5,783,262 
Metal Contracts  (2,319,442)  (5,570,398)
Stock Indices Contracts  12,832,307   (11,912,923)
Short-Term Interest Rate Contracts  8,730,474   4,277,366 
Long-Term Interest Rate Contracts  19,966,020   (2,065,494)
Forward Currency Contracts  (1,555,953)  1,771,661 
Total $33,464,888  $(11,714,716)
Line Item in the Statements of Operations 
Trading Gains/(Losses) for
the Three Months Ended
March 31, 2020
  
Trading Gains/(Losses) for
the Three Months Ended
March 31, 2019
 
Futures trading gains (losses):      
Realized** $(8,732,159) $6,238,601 
Change in unrealized  7,005,019   4,280,714 
Forward currency trading gains (losses):        
Realized**  2,723,787   4,419,395 
Change in unrealized  10,427,590   (6,366,985
)
Total $11,424,237  $8,571,725 

15
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
SEPTEMBER 30, 2019 (Unaudited)
Line Item in the Statements of Operations 
Trading Gains/(Losses)
for the Three Months Ended
September 30, 2019
  
Trading Gains/(Losses)
for the Three Months Ended
September 30, 2018
 
Futures trading gains (losses):      
Realized** $17,014,570  $(6,184,493
)
Change in unrealized  (5,678,297)  4,577,996 
Forward currency trading gains (losses):        
Realized**  (851,588)  9,222,552 
Change in unrealized  3,034,226   (8,126,623
)
Total $13,518,911  $(510,568)

Line Item in the Statements of Operations 
Trading Gains/(Losses)
for the Nine Months Ended
September 30, 2019
  
Trading Gains/(Losses)
for the Nine Months Ended
September 30, 2018
 
Futures trading gains (losses):      
Realized** $38,362,907  $(15,776,504
)
Change in unrealized  (3,342,066)  2,290,127 
Forward currency trading gains (losses):        
Realized**  1,574,211   5,841,619 
Change in unrealized  (3,130,164)  (4,069,958
)
Total $33,464,888  $(11,714,716)

**
Amounts differ fromFor the amounts on the Statements of Operations asthree months ended March 31, 2020 and 2019, the amounts above do not include gains and losses on foreign currency cash balances at the futures brokers of $46,054 and $51,367, respectively, and gains and losses on spot trades in connection with forward currency trading at the interbank market makers.
makers of $(884,299) and $0, respectively.

For the three months ended September 30,March 31, 2020 and 2019, and 2018, the monthly average of futures contracts bought and sold was approximately 25,10031,100 and 19,300,27,000, respectively, and the monthly average of notional value of forward currency contracts was $1,597,300,000$2,292,300,000 and $1,019,000,000, respectively.

For the nine months ended September 30, 2019 and 2018, the monthly average of futures contracts bought and sold was approximately 25,800 and 20,300, respectively, and the monthly average of notional value of forward currency contracts was $1,862,700,000 and $1,039,300,000,$1,961,100,000, respectively.

Open contracts generally mature within three months; as of September 30, 2019,March 31, 2020, the latest maturity date for open futures contracts is December 2020June 2021 and the latest maturity date for open forward currency contracts is December 2019.June 2020. 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.

16
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
MARCH 31, 2020 (Unaudited)
The Fund has entered into ISDA Agreements with UBS AG and NatWest. Under the terms of each ISDA Agreement, upon the designation of an Event of Default, as defined in each ISDA Agreement, the non-defaulting party may set-off any sum or obligation owed by the defaulting party to the non-defaulting party against any sum or obligation owed by the non-defaulting party to the defaulting party. If any sum or obligation is unascertained, the non-defaulting party may in good faith estimate that sum or obligation and set-off in respect to that estimate, accounting to the other party when such sum or obligation is ascertained.

16
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
SEPTEMBER 30, 2019 (Unaudited)
Under the terms of each master netting agreement with UBS Securities and Goldman, upon occurrence of a default by the Fund, as defined in respective account documents, UBS Securities and Goldman have the right to close out any or all open contracts held in the Fund’s account; sell any or all of the securities held; and borrow or buy any securities, contracts or other property for the Fund’s account. The Fund would be liable for any deficiency in its account resulting from such transactions.

The amount of required margin and good faith deposits with the futures brokers and interbank market makers usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at September 30, 2019March 31, 2020 and December 31, 20182019 was $35,241,377$18,142,645 and $30,663,072,$38,712,533, respectively, which equals approximately 19%11% and 16%24% of Net Asset Value, respectively. The cash deposited with the interbank market makers at September 30, 2019March 31, 2020 and December 31, 20182019 was $18,328,181$26,043,828 and $11,033,052,$13,104,927, respectively, which equals approximately 10%16% and 6%8% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents. Included in cash deposits with the brokerfutures brokers and interbank market makers at September 30, 2019March 31, 2020 and December 31, 20182019 was restricted cash for margin requirements of $11,835,922$726,286 and $4,424,114,$10,274,725, respectively, which equals approximately 6%0% and 2%6% of Net Asset Value, respectively.

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

Offsetting of Derivative Assets by CounterpartyOffsetting of Derivative Assets by Counterparty Offsetting of Derivative Assets by Counterparty 
As of September 30, 2019          
As of March 31, 2020         
Type of InstrumentCounterparty 
Gross
Amounts
of Recognized
Assets
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
 Counterparty 
Gross
Amounts of
Recognized
Assets
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
 
Futures contractsUBS Securities LLC $2,994,054  $(2,956,525) $37,529 Goldman Sachs $10,027,265  $(7,191,099) $2,836,166 
Futures contractsGoldman Sachs  2,997,630   (2,955,162)  42,468 
Total futures contracts   5,991,684   (5,911,687)  79,997 
Forward currency contractsUBS AG 3,956,705  (3,183,586) 773,119 NatWest Markets PLC  28,325,494   (19,320,262)  9,005,232 
Forward currency contractsNatWest Markets PLC  3,956,705   (3,183,586)  773,119 
Total forward currency contracts   7,913,410   (6,367,172)  1,546,238 
Total derivatives  $13,905,094  $(12,278,859) $1,626,235   $38,352,759  $(26,511,361) $11,841,398 

Derivative Assets and Collateral Received by CounterpartyDerivative Assets and Collateral Received by Counterparty Derivative Assets and Collateral Received by Counterparty 
As of September 30, 2019         
As of March 31, 2020         
  
Net Amounts of
Unrealized Gain
in the Statements
of Financial Condition
  
Gross Amounts Not Offset in the
Statements of Financial Condition
   Net Amount   
Net Amounts of
Unrealized Gain
in the Statements of
Financial Condition
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty   
Financial
Instruments
  
Cash Collateral
Received
      
Financial
Instruments
  
Cash Collateral
Received
  Net Amount 
UBS Securities LLC $37,529  $0  $0  $37,529 
Goldman Sachs 42,468  0  0  42,468  $2,836,166  $0  $0  $2,836,166 
UBS AG 773,119  0  0  773,119 
NatWest Markets PLC  773,119   0   0   773,119   9,005,232   0   0   9,005,232 
Total $1,626,235  $0  $0  $1,626,235  $11,841,398  $0  $0  $11,841,398 

17
Table of Contents

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL SATEMENTS
SEPTEMBER 30, 2019
MARCH 31, 2020 (Unaudited)
Offsetting of Derivative Liabilities by Counterparty 
As of September 30, 2019          
Type of InstrumentCounterparty 
Gross
Amounts
of Recognized
Liabilities
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
 
Futures contractsUBS Securities LLC $2,956,525  $(2,956,525) $0 
Futures contractsGoldman Sachs  2,955,162   (2,955,162)  0 
Total futures contracts   5,911,687   (5,911,687)  0 
Forward currency contractsUBS AG  3,183,586   (3,183,586)  0 
Forward currency contractsNatWest Markets PLC  3,183,586   (3,183,586)  0 
Total forward currency contracts   6,367,172   (6,367,172)  0 
Total derivatives  $12,278,859  $(12,278,859) $0 
Offsetting of Derivative Liabilities by Counterparty 
As of March 31, 2020          
Type of InstrumentCounterparty 
Gross
Amounts
of Recognized
Liabilities
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
 
Futures contractsGoldman Sachs $7,191,099  $(7,191,099) $0 
Forward currency contractsNatWest Markets PLC  19,320,262   (19,320,262)  0 
Total derivatives  $26,511,361  $(26,511,361) $0 

Derivative Liabilities and Collateral Pledged by CounterpartyDerivative Liabilities and Collateral Pledged by Counterparty Derivative Liabilities and Collateral Pledged by Counterparty 
As of September 30, 2019         
As of March 31, 2020         
  
Net Amounts of
Unrealized Loss
in the Statements
of Financial Condition
  
Gross Amounts Not Offset in the
Statements of Financial Condition
   Net Amount   
Net Amounts of
Unrealized Loss
in the Statements
of Financial Condition
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty   
Financial
Instruments
  
Cash Collateral
Pledged
      
Financial
Instruments
  
Cash Collateral
Pledged
  Net Amount 
UBS Securities LLC $0  $0  $0  $0 
Goldman Sachs 0  0  0  0  $0  $0  $0  $0 
UBS AG 0  0  0  0 
NatWest Markets PLC  0   0   0   0   0   0   0   0 
Total $0  $0  $0  $0  $0  $0  $0  $0 

Offsetting of Derivative Assets by Counterparty 
As of December 31, 2018          
Type of InstrumentCounterparty 
Gross
Amounts
of Recognized
Assets
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
 
Futures contractsUBS Securities LLC $4,153,364  $(2,429,240) $1,724,124 
Futures contractsGoldman Sachs  4,136,565   (2,438,626)  1,697,939 
Total futures contracts   8,289,929   (4,867,866)  3,422,063 
Forward currency contractsUBS AG  6,419,618   (4,081,417)  2,338,201 
Forward currency contractsNatWest Markets PLC  6,419,618   (4,081,417)  2,338,201 
Total forward currency contracts
  12,839,236   (8,162,834)  4,676,402 
Total derivatives  $21,129,165  $(13,030,700) $8,098,465 

Derivative Assets and Collateral Received by Counterparty 
As of December 31, 2018         
   
Net Amounts of
Unrealized Gain
in the Statements
of Financial Condition
  
Gross Amounts Not Offset in the
Statements of Financial Condition
   Net Amount 
Counterparty   
Financial
Instruments
  
Cash Collateral
Received
   
UBS Securities LLC $1,724,124  $0  $0  $1,724,124 
Goldman Sachs  1,697,939   0   0   1,697,939 
UBS AG  2,338,201   0   0   2,338,201 
NatWest Markets PLC  2,338,201   0   0   2,338,201 
Total $8,098,465  $0  $0  $8,098,465 
Offsetting of Derivative Assets by Counterparty 
As of December 31, 2019          
Type of InstrumentCounterparty 
Gross
Amounts of
Recognized
Assets
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
 
Futures contractsUBS Securities LLC $2,834,912  $(2,834,912) $0 
Futures contractsGoldman Sachs  2,851,579   (2,851,579)  0 
Total futures contracts   5,686,491   (5,686,491)  0 
Forward currency contractsUBS AG  6,221,540   (6,221,540)  0 
Forward currency contractsNatWest Markets PLC  6,221,540   (6,221,540)  0 
Total forward currency contracts   12,443,080   (12,443,080)  0 
Total derivatives  $18,129,571  $(18,129,571) $0 

18
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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL SATEMENTS
SEPTEMBER 30, 2019
MARCH 31, 2020 (Unaudited)
Derivative Assets and Collateral Received by Counterparty 
As of December 31, 2019         
   
Net Amounts of
Unrealized Gain
in the Statements of
Financial Condition
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty   
Financial
Instruments
  
Cash Collateral
Received
  Net Amount 
UBS Securities LLC $0  $0  $0  $0 
Goldman Sachs  0   0   0   0 
UBS AG  0   0   0   0 
NatWest Markets PLC  0   0   0   0 
Total $0  $0  $0  $0 

Offsetting of Derivative Liabilities by Counterparty 
As of December 31, 2019          
Type of InstrumentCounterparty 
Gross
Amounts
of Recognized
Liabilities
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
 
Futures contractsUBS Securities LLC $4,929,967  $(2,834,912) $2,095,055 
Futures contractsGoldman Sachs  4,925,377   (2,851,579)  2,073,798 
Total futures contracts   9,855,344   (5,686,491)  4,168,853 
Forward currency contractsUBS AG  6,932,719   (6,221,540)  711,179 
Forward currency contractsNatWest Markets PLC  6,932,719   (6,221,540)  711,179 
Total forward currency contracts   13,865,438   (12,443,080)  1,422,358 
Total derivatives  $23,720,782  $(18,129,571) $5,591,211 

Derivative Liabilities and Collateral Pledged by Counterparty 
As of December 31, 2019         
   
Net Amounts of
Unrealized Loss
in the Statements
of Financial Condition
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty   
Financial
Instruments
  
Cash Collateral
Pledged
  Net Amount 
UBS Securities LLC $2,095,055  $0  $(2,095,055) $0 
Goldman Sachs  2,073,798   0   (2,073,798)  0 
UBS AG  711,179   (711,179
)*
  0   0 
NatWest Markets PLC  711,179   0   (711,179)  0 
Total $5,591,211  $(711,179) $(4,880,032) $0 

*Represents a portion of the $9,926,880 fair value in U.S. Treasury Bills held at the interbank market makers.

19
Offsetting of Derivative Liabilities by Counterparty 
As of December 31, 2018 

 
Type of InstrumentCounterparty 
Gross
Amounts
of Recognized
Liabilities
  
Gross Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
 
Futures contractsUBS Securities LLC $2,429,240  $(2,429,240) $0 
Futures contractsGoldman Sachs  2,438,626   (2,438,626)  0 
Total futures contracts   4,867,866   (4,867,866)  0 
Forward currency contractsUBS AG  4,081,417   (4,081,417)  0 
Forward currency contractsNatWest Markets PLC  4,081,417   (4,081,417)  0 
Total forward currency contracts   8,162,834   (8,162,834)  0 
Total derivatives  $13,030,700  $(13,030,700) $0 
Table of Contents
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
MARCH 31, 2020 (Unaudited)
Derivative Liabilities and Collateral Pledged by Counterparty 
As of December 31, 2018         
   
Net Amounts of
Unrealized Loss
in the Statements
of Financial Condition
  
Gross Amounts Not Offset in the
Statements of Financial Condition
   Net Amount 
Counterparty   
Financial
Instruments
  
Cash Collateral
Pledged
   
UBS Securities LLC $0  $0  $0  $0 
Goldman Sachs  0   0   0   0 
UBS AG  0   0   0   0 
NatWest Markets PLC  0   0   0   0 
Total $0  $0  $0  $0 

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

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

Note 10. INDEMNIFICATIONS

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

Note 11. INTERIM FINANCIAL STATEMENTS

The Statements of Financial Condition, including the Condensed Schedules of Investments, as of September 30, 2019March 31, 2020 and December 31, 2018,2019, the Statements of Operations and Financial Highlights for the three months ended March 31, 2020 and nine months ended September 30, 2019, and 2018, and the Statements of Cash Flows and Changes in Partners’ Capital (Net Asset Value) for the ninethree months ended September 30,March 31, 2020 and 2019 and 2018 are unaudited. In the opinion of management, such financial statements reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of financial position as of September 30, 2019March 31, 2020 and December 31, 2018,2019, the results of operations and financial highlights for the three months ended March 31, 2020 and nine months ended September 30, 2019, and 2018, and cash flows and changes in partners’ capital (Net Asset Value) for the ninethree months ended September 30, 2019March 31, 2020 and 2018.2019.

Note 12. SUBSEQUENT EVENTS

The impact of the coronavirus (“COVID-19”) outbreak on the financial performance of the Fund’s investments will depend on future developments, including the duration and spread of the outbreak and related advisories and restrictions. These developments and the impact of COVID-19 on the financial markets and the overall economy are highly uncertain and cannot be predicted. If the financial markets and/or the overall economy are impacted for an extended period, the Fund’s ability to trade and investment results may be materially affected.

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

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

Introduction

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

Critical Accounting Policies

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

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

Capital Resources

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

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

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

Liquidity

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

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

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

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

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

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

Off-Balance Sheet Risk

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

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

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

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

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

Results of Operations

The returns for the ninethree months ended September 30,March 31, 2020 and 2019 were 4.53% and 2018 were 14.98% and (8.80)%3.36%, respectively. During the ninethree months ended September 30,March 31, 2020 and 2019, and 2018, the Fund accrued brokerage fees in the amount of $9,903,830$3,016,225 and $12,545,982,$3,243,295, respectively, and paid brokerage fees in the amount of $9,905,034$3,002,651 and $12,923,829,$3,271,351, respectively. No performance fees were accrued or paid during these periods.

20192020 (For the NineThree Months Ended September 30)March 31)

Of the 14.98%4.53% year to date return, approximately 19.44%6.88% was due to trading gains (before commissions) and, offset by approximately 2.05%(0.14)% due to investment income, offset byloss and approximately (6.51)(2.21)% due to brokerage fees, operating expenses and offering costs borne by the Fund. An analysis of the 19.44%6.88% trading gains by sector is as follows:

Sector % Gain (Loss) 
Commodities  6.66%
Currencies8.05%
Interest Rates5.92%
Stock Indices(3.3613.75)%
6.88%

The Fund had a strong start to 2020 with gains coming from interest rate, commodity, and foreign exchange positions, while stock index holdings provided some partially offsetting losses. Long positioning in Australia, Europe, and the United States benefited as prices advanced on a flight to safety bid sparked by the worsening Wuhan coronavirus outbreak. A short position on the Canadian 10-year note created some partially offsetting losses, which were accelerated by downward pressure on yields prompted by a dovish shift by Bank of Canada policymakers. Commodity holdings produced additional profits for the Fund in January, with the energy sub-sector realizing the best results. Short positioning on natural gas proved profitable as milder weather across the US weighed on demand prospects. Additional gains were generated from short industrial metal holdings. The base metal complex traded weaker as the coronavirus epidemic raised investor concerns about its negative impact on the Chinese economy. Downward price pressure was further intensified by a strong dollar as well as technical selling. In the foreign exchange sector, positive returns were generated in the developed market currencies. Short positions on the Norwegian krone and Australian dollar (against long the US dollar) provided some of the best profits. The commodity-linked currencies came under pressure as commodity prices sold-off on concerns that the worsening coronavirus outbreak would pare Chinese demand for raw materials. A long Brazilian real holding produced some partially offsetting losses after risk fell out of favor and investors sold emerging market currencies. Global stock index trading produced losses for the Fund during January. Long positioning across most global stock indexes profited early in the month amid the ratification of the “phase one” US-China trade deal, renewed central bank balance sheet expansion, Brexit clarity, and some better than expected US earnings releases. However, profits were relinquished in the second-half of the month as stocks traded lower following risk-off trading as the coronavirus outbreak intensified.

Gains from interest rate, foreign exchange, and commodity positions led to a profitable February for the Fund, while stock index holdings produced some partially offsetting losses. Long positioning in Australia and the United States continued to benefit as prices advanced on flight to safety buying sparked by the worsening COVID-19 coronavirus epidemic. Investors aggressively sought the safety of fixed income instruments, sending global yields tumbling and expectations for further central bank stimulus soaring. In the foreign exchange sector, positive returns were generated in the developed and emerging market currencies. Short positions on the Australian dollar and Norwegian krone (against long the US dollar) provided some of the best profits for the sector. These commodity-linked currencies came under renewed selling pressure during February. The widening spread of COVID-19 to countries outside of China, such as Japan, South Korea, and Italy, sparked new concerns that global economic growth would slow materially, thus blunting the demand for raw materials. Short positioning on the industrial metal, energy, and meat complexes profited from a decline in prices. Global stock index trading produced losses for the Fund during February with the greatest declines seen in Australia, Japan, and the United States. Long positioning across most global stock indexes generally profited during the first two-thirds of the month. However, late in February global stock indexes experienced steep sell-offs sparked by the coronavirus’s quick spread to countries outside of China where it initially began. World economic growth fears and supply chain disruption concerns spread rapidly, sending most global stock indexes sharply lower.

The Fund had an unprofitable March, with losses coming from stock index and interest rate holdings, while foreign exchange and commodity positions contributed some partially offsetting gains during the month. Global stock index trading produced the largest losses for the Fund, with the greatest declines seen in the United States, Australia, and Canada. Long positioning across most global stock indexes suffered severely as equity indexes experienced very sharp sell-offs during the month. The COVID-19 virus spread quickly throughout Europe and North America prompting draconian containment measures in the form of “stay at home” directives, closures, and shutdowns that sharply curtailed economic activity. Global central banks and governments took unprecedented steps in an effort to soften the financial impact from the virus, but fear over the length and depth of the growth slowdown sent risky assets sharply lower. Interest rate positions from long-dated instruments contributed small additional losses during the month. Short positioning on US 10-year notes and US long bonds suffered amid the flight-to-safety scramble that ensued due to the severe economic upheaval wrought by the COVID-19 virus. Long positioning across global short-dated instruments helped to partially offset losses within the sector. Profits were dominated by short positions on the commodity currencies (versus long the USD), specifically in the Norwegian krone. The US dollar was sharply higher during the month amid the extreme flight-to-quality moves. Adding further downward pressure on oil-linked currencies, the petroleum markets sold off severely when tensions escalated between OPEC and Russia, and Saudi Arabia made the decision to ramp up production. Commodity holdings produced additional profits for the Fund during the month. Short positioning on the industrial metal, energy, and meat complexes profited from a decline in prices. The expanding COVID-19 pandemic is widely expected to negatively impact demand for base metal, petroleum, and beef products. Downward price pressure was further intensified by a strong US dollar as well as technical selling.

2019 (For the Three Months Ended March 31)

Of the 3.36% year to date return, approximately 4.76% was due to trading gains (before commissions) and approximately 0.77% due to investment income, offset by approximately (2.17)% due to brokerage fees, operating expenses and offering costs borne by the Fund. An analysis of the 4.76% trading gains by sector is as follows:

Sector% Gain (Loss)
Commodities(1.47)%
Currencies  (0.721.14)%
Interest Rates  16.375.01%
Stock Indices  7.152.38%
   19.444.76%

The Fund, which consists of trend following, systematic macro, and short-term strategies, was lower in January. Losses came from commodity and foreign exchange positions, while fixed income and stock holdings produced partially offsetting gains for the Fund. Commodity trading generated losses for the Fund in January. Short energy positions suffered as the complex rebounded from multi-year lows on back of bullish fundamental developments and a general increase in risk sentiment. Short grain positioning also detracted as the sector traded higher amid adverse weather conditions in key growing regions, and some optimism surrounding the latest round of trade talks between the US and China. Foreign exchange positioning produced additional losses, with gains in long emerging market currencies (versus the USD) being overshadowed by losses in the developed markets, where we were net short against the greenback. The USD was broadly weaker on the month with the notable themes being the US government shutdown and a less hawkish FOMC. Short positioning on several of the commodity currencies produced the largest losses as those currencies rallied on back of the increase in prices across the petroleum complex during the month. Interest rate positions from long-dated instruments provided offsetting profits during the month. Long positioning on bonds issued by Australia, Canada, and France generated the largest gains. The shift in central bank rhetoric to a more dovish tone caused global fixed income markets to rise to start the year.  Stock index positions also produced some offsetting gains during the month. Despite a myriad of global headwinds, stock markets recovered from their December sell-off, encouraged by a resumption of trade talks, dovish Fed takeaways, and the start of US Q4 earnings that mostly met expectations. Shorter term strategies moved from short to long, flipping net Fund positioning in time to capitalize on rallying equity markets, especially in the Hang Seng index.

The Fund showed a profit in February with gains coming from commodity and stock index positions, while interest rate holdings produced some partially offsetting losses. Foreign Exchange (FX) had little P&L impact on the Fund during the month. Commodity trading generated profits for the Fund in February. Short positioning across the grain subsector produced some of the best sector gains. Wheat extended a sell-off to a ten-month low following a year-over-year improvement in winter crop conditions. A long position on palladium led gains in the precious metals subsector. Palladium rose to a record high amid tight supplies and steadily rising demand for the rare metal. Some partially offsetting losses came from the industrial metal subsector. Short positioning on copper and nickel suffered as prices rose, driven by signs of progress on US / Chinese trade talks and amid tight supplies. Stock index positions produced additional gains. Long positioning on European, US, and Asia-Pacific indices produced the best profits within the sector. European stock indices benefitted from signs of progress for a successful Brexit (the UK divorce from the European Union) with the Euro Stoxx 50 and the French CAC 40 producing some of the greatest sector returns. Asia-Pacific stocks rallied amid signs that a US / Chinese trade deal was also making positive progress. President Trump delayed a March 1st tariff increase on China as he cited “significant progress” on the trade talks. Some of the biggest gains within the region came from Australia and Hong Kong. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting losses during the month. Long positioning on the United Kingdom (UK) gilt (10-year note) contributed the largest losses to the sector. Signs of positive progress on Brexit and hawkish comments from the UK central bank head Mark Carney conspired to send gilt prices down sharply from near-term highs. In the foreign exchange sector, gains in developed market currencies were almost equally offset by losses in the emerging market currencies, leading to negligible P&L for currencies overall. Long US dollar positioning was profitable against developed market currencies but losses in the emerging markets, especially from the Brazilian real and the South African rand, mostly negated any FX sector gains.

The Fund showed a profit in March with gains coming from interest rate and stock index holdings. Foreign exchange positions produced some partially offsetting losses while commodities had little impact on the Fund. Interest rate positions in long- and short-dated instruments spearheaded Fund gains in March. More dovish than expected commentary from central bankers, growing global growth concerns, and persistently weak economic data ignited a sharp rally in bonds worldwide. Long positioning on the UK gilt provided the biggest gain as investors sought safe havens amidst Brexit gridlock. Net long positioning in US bonds generated additional gains after the FOMC scaled back projected interest-rate increases this year to zero and said they would end the drawdown of the central bank bond holdings in September. One of the most discussed bond headlines this month was the inversion of the US yield curve (3-month bills and 10-year note) for the first time since the global financial crisis. Long positioning on a variety of global stock indices also added to the positive monthly result. Stock index returns ebbed and flowed on the various themes of stalling global economy growth, dovish central bank rhetoric, US-China trade talks, and Brexit. Some of the best monthly stock index gains were found in Europe and the United States. Foreign exchange positioning on developed FX markets drove the sector’s losses during the month. The Fund started the month long the Canadian dollar (versus the USD) which ultimately weakened after a worse than expected Canadian GDP release. Small gains in the emerging market currencies helped offset some of the losses. Commodity holdings produced mixed results in March. Long energy positions detracted as upside momentum in the complex stalled alongside a pause in global risk sentiment. Precious metals also registered a negative contribution to the Fund, primarily from a long palladium position. After hitting new all-time highs, palladium prices plummeted in the waning days of the month as slowing global economic growth sparked demand worries. Short grains holdings provided offsetting gains as the complex sold-off into month-end following a bearish USDA grain report.

The Fund showed a profit in April, with gains coming from stock index and commodity positions, while interest rate and foreign exchange holdings produced some partially offsetting losses during the month. Stock index positions produced the best Fund gains.  Long positioning on European and Asia-Pacific indexes generated the largest profits within the sector.  Global stock indexes generally produced strong gains during April.  Those gains were driven by dovish statements from several major central banks, signs of improving economic growth from China, some better-than-expected economic releases from the United States, and amid mostly robust Q1 corporate earnings reports. Commodity trading also generated profits for the Fund in April.  Short positioning across the grain subsector produced some of the best sector gains driven by a stronger US dollar and ample global supply expectations.  Soybeans traded to a 6-month low while wheat fell to a 6-week low during the month.  Long positioning on the energy subsector also added to gains.  The subsector benefited from a combination of broad demand for global risk assets and increasing concerns over an undersupplied market.  Some partially offsetting losses came from the industrial metals subsector.  Long positioning in zinc and copper led losses as the complex suffered its biggest monthly decline on a year-to-date basis.  Base metals faced headwinds from a stronger US dollar and climbing inventory stockpiles. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting losses during the month.  Long positioning on the United Kingdom gilt (10-year note) and short sterling (90-day bill) contributed the largest losses to the sector.  A 6-month Brexit extension sent UK fixed income prices lower as traders liquidated safe-haven positions as the threat of a “hard” UK separation from the European Union (EU) diminished. In the foreign exchange sector, losses were generated in the emerging market (EM) currencies.  The trading strategy failed to successfully navigate some choppy price action in the South African rand (against the US dollar) which contributed more than half of the monthly losses within the EM FX sector.

The Fund showed a loss in May, with losses coming from stock index and commodity positions, while interest rate and foreign exchange holdings produced some partially offsetting gains during the month. Stock index positions produced the largest Fund losses.  Global stock indexes generally saw steep sell-offs during the month and long positioning on global indexes generated losses within the sector, particularly across Europe and in the United States.  Those losses were driven by a sharp escalation of trade tension between the US and both China and Mexico, signs that global growth is decelerating, and as the inverted US Treasury yield curve signaled a higher-than-normal recession risk. Commodity trading also generated losses for the Fund in May.  Short positioning across the grain subsector produced the worst sector losses as heavy rains across the Midwest prevented a considerable amount of crop planting in the US.  Weekly USDA crop progress reports painted a bullish outlook for prices, especially for corn, which rose sharply to a near three-year high.  Long holdings on the energy subsector also added to losses.  The energy complex suffered amid weakening demand and as US inventory levels rose to a 22-month high. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting gains during the month.  Long positioning on 10-year notes from Australia and the United Kingdom were two of the best performing holdings.  Australia’s central bank indicated that interest rate cuts were likely in the coming months sending their notes sharply higher (interest rates fell).  In the UK, the Brexit impasse became more uncertain as Prime Minister May stepped down and the future leadership of Britain became less clear.  Flight to safety flows benefitted the UK gilt. In the foreign exchange sector, gains were generated in the developed market and emerging market currencies.  A short position on the Australian dollar drove gains in the developed FX subsector as that currency sold-off amid some weaker than expected economic data releases and dovish comments from the Governor of the Reserve Bank of Australia.  A short position on the Chilean peso proved profitable in the EM subsector as that currency weakened on trade angst and weaker copper prices.

The Fund showed a profit in June with gains coming from stock index and interest rate positions, while foreign exchange and commodity holdings produced some partially offsetting losses during the month. Stock index positions produced the largest Fund profits.  Global stock indices bounced back sharply from May’s steep sell-off.  Long positioning across most global indexes benefited from signs that major central banks stand ready to provide new stimulus to slowing global economies.  Fed Chairman Powell at the June FOMC meeting strongly hinted that rate cuts are coming and ECB President Draghi stated that “in the absence of improvement” in inflation data, “additional stimulus will be required.” Interest rate positions from both long-dated and short-dated instruments provided additional gains during the month.  Long positioning in Australia, the United States, Japan, and Europe all benefited from the possibility of renewed central bank easing.  Early in the month, the Reserve Bank of Australia became one of the first G10 central banks to actually cut interest rates amid sluggish economic growth and a decline in real estate prices in the country, and then strongly hinted that additional cuts might be warranted. In the foreign exchange sector, losses were generated in the developed market currencies.  A short position on the Norwegian krone (versus the US dollar) led sector losses.  The Norges Bank bucked the dovish central bank trend and actually hiked interest rates during the month.  The hike marked the third increase over the past nine months amid a surge in oil investments, low unemployment, and inflation running above the central bank’s target. Commodity trading provided some small losses for the Fund in June.  Industrial metals were the worst performing sub-sector.  A short holding on nickel suffered on the back of US dollar weakness and mounting optimism over a Trump-Xi trade meeting on the sidelines of the G-20 summit near month-end. Some partially offsetting gains were seen in long energy holdings.  A long position on gasoline profited after a massive fire shut-down one of the East Coast’s largest refineries, crimping supply and sending gas prices sharply higher.

The Fund showed a profit in July with interest rate positions from long-dated instruments providing the best gains during the month. Long positioning, especially in Europe and Australia, benefited from mounting global growth concerns, escalating fears over a “hard” UK Brexit from the EU, and ongoing uncertainty over the US/Chinese trade war. This confluence of headwinds worked to keep major global central banks in accommodation mode which has been supportive of most global bond markets (higher prices and lower interest rates). Most notably, the US FOMC cut interest rates on the last day of the month and the European Central Bank has given clear indications that it expects to provide new stimulus in September. In the foreign exchange sector, gains were generated in the developed market currencies. Short positions on the euro, Swedish krona, British pound, and Norwegian krone (all long against the US dollar) provided some of the best profits. US economic data has proven to be more resilient than many other regions of the globe to the benefit of the dollar. Concerns over a “hard” Brexit in the UK increased after hardliner Boris Johnson was elected as Prime Minister. The pound was the worst performing G10 currency (against the US dollar) during the month. Stock index positions produced additional Fund profits. Long positions in the United Kingdom and Australia were two of the most profitable positions in the sector during July. Stocks in both export-heavy countries rallied strongly as falling currency values in their respective countries fueled gains in companies linked to export activity. Commodity trading also provided some gains for the Fund in July. Short positioning on the grains and softs sub-sectors benefitted from the stronger US dollar and some improving growing conditions. Long positioning on gold and silver profited from flight-to-safety flows amid heightened global uncertainty. Some partially offsetting losses were experienced in the industrial metals sub-sector as choppy price action during the month proved challenging.

The Fund showed a profit in August, with interest rate positions from long-dated and short-dated instruments provided the best gains during August. Long positioning, especially in Europe, Australia, Japan, and the US benefited from an escalation of trade tensions between the US and China which heightened global growth concerns. Global bond yields sank sharply as safe-haven demand drove bond prices higher. In addition to the above-mentioned growth concerns, markets had plenty to fret about including a growing likelihood of a no-date (aka “hard”) UK Brexit from the EU, civil unrest in Hong Kong, and an inverted US yield curve which could be signaling a looming US recession. Commodity trading also provided some gains for the Fund during the month. Short holdings on grains and softs were two of the best performing sub-sectors. Corn futures sank in value after US government reports sparked concerns about oversupply. Cotton prices fell amid the widening trade war which dampened demand expectations.  Some partially offsetting losses were experienced in the energy sub-sector as choppy price action proved challenging for our trading systems to profitably navigate. Stock index positions contributed losses to the portfolio during August.  Long positions in the UK and Australia were two of the biggest losing positions within the sector.  Global stocks mostly dropped during the month amid the expanding trade war and generally weaker than expected economic data outside the US.  A short position on the Hong Kong Hang Seng index provided some partially offsetting gains as civil unrest and threats of Chinese intervention unnerved investors which helped our bearish position. In the foreign exchange sector, losses from the emerging markets (EM) overwhelmed gains from the developed markets.  Long positioning on EM currencies, such as the Brazilian real and South African rand, suffered after a landslide result from the Argentinian primary election.  A possible return to left-wing populism sparked a sharp sell-off in the Argentine peso and the fear quickly spilled over into other EM currencies.
The Fund showed a loss in September, with losses coming from interest rate and commodity positions, while stock index holdings produced some partially offsetting gains for the portfolio.  Foreign exchange holdings had little impact on the portfolio during the month. Interest rate positions from both short-dated and long-dated instruments provided losses during September.  Long positioning, especially in Australia and Europe, contributed the largest losses to the sector as progress on the US-Chinese trade talks overshadowed the US political situation.  European fixed income markets took an additional leg lower after the ECB’s hawkish rate cut and commentary which emphasized fiscal policy over additional monetary stimulus. Partially offsetting those losses were gains from short positions on the US 10 year and 30 year Treasury bonds. Commodity trading produced additional losses for the portfolio during the month.  Short positioning in some energy markets suffered after the petroleum complex initially spiked higher following the September 14th rebel attacks on a Saudi Arabian oil field and processing facility.  In the softs, a short sugar holding incurred losses as the commodity was boosted by signs of tightening supplies.  Additional losses were produced from our short grain holdings.  The grain markets rose as potential purchases of US agricultural goods by China were said to be in focus in discussions between the countries’ trade representatives.  Foreign exchange positions had little net P&L impact to the portfolio during September. Gains in our emerging market positions were overwhelmed by a short position on the Australian dollar.  The Aussie currency moved higher on back of the improvements in US-Chinese trade talks and the Australian central bank pausing their monetary policy easing measures. Long global stock positioning provided the portfolio with some partially offsetting gains.  Stock indexes closed higher in September but ebbed and flowed throughout the month as the markets focused on better US-Chinese trade headlines, improving US macro data, geopolitical concerns, and expectations for more central bank policy support.  The best monthly stock index gains were found in Europe.
2018 (For the Nine Months Ended September 30)

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

Sector% Gain (Loss)
Commodities(1.20)%
Currencies0.82%
Interest Rates0.60%
Stock Indices(4.39)%
(4.17)%

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

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

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

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

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

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

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

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

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

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Introduction

Past Results Not Necessarily Indicative of Future Performance

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

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

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

Standard of Materiality

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

Quantifying the Fund’s Trading Value at Risk

Quantitative Forward-Looking Statements

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

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

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

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

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

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

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

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

The following tables indicate the trading Value at Risk associated with the Fund’s open positions by market category as of September 30, 2019March 31, 2020 and December 31, 20182019 and the trading gains/losses by market category for the ninethree months ended September 30, 2019March 31, 2020 and the year ended December 31, 2018.2019.

 September 30, 2019  March 31, 2020 
Market Sector 
Value
at Risk*
  
Trading
Gain/(Loss)**
  
Value
at Risk*
  
Trading
Gain/(Loss)**
 
Commodities 0.36% (3.36) % 0.78% 6.66%
Currencies 0.56% (0.72)% 0.83% 8.05%
Interest Rates 0.87% 16.37% 1.00% 5.92%
Stock Indices 0.70%  7.15% 1.54%  (13.75)%
Aggregate/Total 1.15%  19.44% 1.34%  6.88%

*
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 14.98%4.53% year to date return, approximately 19.44%6.88% was due to trading gains (before commissions) and, offset by approximately 2.05%(0.14)% due to investment income, offset byloss and approximately (6.51)(2.21)% due to brokerage fees, operating expenses and offering costs borne by the Fund.

 December 31, 2018  December 31, 2019 
Market Sector 
Value
at Risk*
  
Trading
Gain/(Loss)**
  
Value
at Risk*
  
Trading
Gain/(Loss)**
 
Commodities 0.87% (1.96)% 0.51% (8.27)%
Currencies 0.80% 3.56% 0.60% (3.68)%
Interest Rates 0.47% 1.81% 0.61% 12.74%
Stock Indices 0.76%  (8.95)% 0.71%  9.63%
Aggregate/Total 2.11%  (5.54)% 1.19%  10.42%

*
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 (11.74)%4.34% return for the year ended December 31, 2018,2019, approximately (5.54)%10.42% was due trading lossesgains (before commissions) and approximately (8.18)2.60% due to investment income, offset by approximately (8.68)% due to brokerage fees, operating expenses and offering costs borne by the Fund, offset by approximately 1.98% due to investment income.Fund.

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

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

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

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

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

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

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

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

Non-Trading Risk

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

Qualitative Disclosures Regarding Primary Trading Risk Exposures

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

28
The following were the primary trading risk exposures of the Fund as of September 30, 2019,March 31, 2020, by market sector.

Currencies

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

Interest Rates

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

Stock Indices

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

Energy

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

Metals

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

Agricultural

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

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the non-trading risk exposures of the Fund as of September 30, 2019.March 31, 2020.

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 nine months. Violent fluctuations in prevailing interest rates could cause minimal mark-to-market losses on the Fund’s U.S. Treasury Bills, although substantially all of these short-term investments are held to maturity.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

General

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

Item 4.  Controls and Procedures.

Campbell & Company, the general partner of the Fund, with the participation of the general partner’s chief executive officer and chief operating 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 operating officer have concluded that these disclosure controls and procedures are effective.

Effective January 1, 2019,2020, NAV Consulting, Inc. (“NAVC”) becamereplaced Northern Trust Hedge Fund Services LLC as the transfer agent forAdministrator of the Fund. There were no material changes to the internal control over financial reporting due to this change. There were no other changes in the managinggeneral partner’s internal control over financial reporting applicable to the Fund identified in connection with the evaluation required by paragraph (d) of Exchange Act Rules 13a-15 or 15d-15 that occurred during the last fiscal quarter that have materially affected, or is reasonably likely to materially affect, internal control over financial reporting applicable to the Fund.

PART II-OTHER INFORMATION

Item 1.  Legal Proceedings.

None

Item 1A.  Risk Factors.

None

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

None

Item 3.  Defaults Upon Senior Securities.

Not applicable.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

None

Item 6. Exhibits.

Exhibit
Number
 Description of Document
   
3.01 
Amended Certificate of Limited Partnership (1)
   
3.02 
Second Amended and Restated Agreement of Limited Partnership (included to the Prospectus as Exhibit A) (2)
   
4.01 
Limited Partner Privacy Notice (as included in the Prospectus) (2)
   
10.01 
Advisory Agreement between Campbell Strategic Allocation Fund, L.P. and Campbell & Company, LP(3)
   
10.02 
Global Institutional Master Custody Agreement (1)
   
10.03 
Investment Management Agreement with PNC Capital Advisors LLC, as cash manager (4)
   
 Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
   
 Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
   
 Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
   
 Certification of Gabriel A. Morris, Chief Operating 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 as of September 30, 2019March 31, 2020 and December 31, 2018,2019, (ii) Statements of Financial Condition as of September 30, 2019March 31, 2020 and December 31, 2018,2019, (iii) Statements of Operations For the Three Months Ended March 31, 2020 and Nine Months Ended September 30, 2019, and 2018, (iv) Statements of Cash Flows For the NineThree Months Ended September 30,March 31, 2020 and 2019, and 2018, (v) Statements of Changes in Partners’ Capital (Net Asset Value) For the NineThree Months Ended September 30,March 31, 2020 and 2019, and 2018, (vi) Financial Highlights For the Three Months Ended March 31, 2020 and Nine Months Ended September 30, 2019, and 2018, (vii) Notes to Financial Statements.

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

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

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

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

EXHIBIT INDEX

 Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
   
 Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
   
 Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
   
 Certification of Gabriel A. Morris, Chief Operating 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 as of September 30, 2019March 31, 2020 and December 31, 2018,2019, (ii) Statements of Financial Condition as of September 30, 2019March 31, 2020 and December 31, 2018,2019, (iii) Statements of Operations For the Three Months Ended March 31, 2020 and Nine Months Ended September 30, 2019, and 2018, (iv) Statements of Cash Flows For the NineThree Months Ended September 30,March 31, 2020 and 2019, and 2018, (v) Statements of Changes in Partners’ Capital (Net Asset Value) For the NineThree Months Ended September 30,March 31, 2020 and 2019, and 2018, (vi) Financial Highlights For the Three Months Ended March 31, 2020 and Nine Months Ended September 30, 2019, and 2018, (vii) Notes to Financial Statements.

SIGNATURES

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

 
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Registrant)
    
 By:Campbell & Company, LP 
  General Partner 
   
Date: November 14, 2019May 15, 2020By:
/s/ G. William Andrews
 
  G. William Andrews 
  Chief Executive Officer 


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