Campbell Strategic Allocation Fund Earnings 2020-03-31

Balance Sheet	Income Statement	Cash Flow

10-Q 1 csaf10q_mar2020.htm FORM 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

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

For the quarterly period ended March 31, 2020

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

For the transition period from ________ to _________

Commission File number: 000-22260

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

(Exact name of Registrant as specified in charter)

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

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

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

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 March 31, 2020, there were 72,661.938 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 March 31, 2020 and December 31, 2019 (Unaudited)	1-4

		Statements of Financial Condition as of March 31, 2020 and December 31, 2019 (Unaudited)	5

		Statements of Operations for the Three Months Ended March 31, 2020 and 2019 (Unaudited)	6

		Statements of Cash Flows for the Three Months Ended March 31, 2020 and 2019 (Unaudited)	7

		Statements of Changes in Partners’ Capital (Net Asset Value) for the Three Months Ended March 31, 2020 and 2019 (Unaudited)	8

		Financial Highlights for the Three Months Ended March 31, 2020 and 2019 (Unaudited)	9

		Notes to Financial Statements (Unaudited)	10-20

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations.	21-25

	Item 3.	Quantitative and Qualitative Disclosures About Market Risk.	25-29

	Item 4.	Controls and Procedures.	29

PART II — OTHER INFORMATION

	Item 1.	Legal Proceedings.	30

	Item 1A.	Risk Factors.	30

	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds.	30

	Item 3.	Defaults Upon Senior Securities.	30

	Item 4.	Mine Safety Disclosures.	30

	Item 5.	Other Information.	30

	Item 6.	Exhibits.	31-32

SIGNATURES			33

Table of Contents

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

MARCH 31, 2020 (Unaudited)

FIXED INCOME SECURITIES

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.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

MARCH 31, 2020 (Unaudited)

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 positions.

**	Included in fixed income securities are U.S. Treasury Bills with a fair value of $18,142,645 deposited with the futures broker.

See Accompanying Notes to Financial Statements.

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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
	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.

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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 $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	$	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		(1,529,207	)		(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	$	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 $28,785,653 deposited with the futures brokers and $9,926,880 deposited with the interbank market makers.

See Accompanying Notes to Financial Statements.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF FINANCIAL CONDITION

MARCH 31, 2020 AND DECEMBER 31, 2019 (Unaudited)

	March 31, 2020		December 31, 2019
ASSETS
Equity in futures brokers trading accounts
Cash	$	3,319,678	$	8,760,955
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		2,836,166		(4,168,853	)
Total equity in futures brokers trading accounts		25,024,775		35,689,292

Cash and cash equivalents		26,682,001		5,834,745
Restricted cash at interbank market makers		0		7,963,188
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		222,703		284,924
Total assets	$	169,310,396	$	168,456,179

LIABILITIES
Accounts payable	$	231,083	$	245,160
Brokerage fee payable		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		38,500		67,189
Offering costs payable		62,673		70,313
Redemptions payable		1,447,011		1,825,504
Total liabilities		2,764,973		4,602,656
PARTNERS’ CAPITAL (Net Asset Value)
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)		166,545,423		163,853,523
Total liabilities and partners’ capital (Net Asset Value)	$	169,310,396	$	168,456,179

See Accompanying Notes to Financial Statements.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2020 AND 2019 (Unaudited)

	Three Months Ended March 31,
	2020			2019
TRADING GAINS (LOSSES)
Futures trading gains (losses)
Realized	$	(8,732,159	)	$	6,238,601
Change in unrealized		7,005,019			4,280,714
Brokerage commissions		(306,106	)		(279,583	)
Net gain (loss) from futures trading		(2,033,246	)		10,239,732

Forward currency trading gains (losses)
Realized		2,723,787			4,419,395
Change in unrealized		10,427,590			(6,366,985	)
Brokerage commissions		(25,841	)		(37,267	)
Net gain (loss) from forward currency trading		13,125,536			(1,984,857	)
Total net trading gain (loss)		11,092,290			8,254,875

NET INVESTMENT INCOME (LOSS)
Investment income (loss)
Interest income		754,381			1,145,873
Realized gain (loss) on fixed income securities		10,991			250
Change in unrealized gain (loss) on fixed income securities		(996,484	)		257,130
Total investment income (loss)		(231,112	)		1,403,253

Expenses
Brokerage fee		3,016,225			3,243,295
Operating expenses		166,094			203,843
Total expenses		3,182,319			3,447,138
Net investment income (loss)		(3,413,431	)		(2,043,885	)
NET INCOME (LOSS)	$	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)	$	103.72		$	71.05

INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT	$	99.33		$	70.68

WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD		74,037.033			87,412.626

See Accompanying Notes to Financial Statements.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2020 AND 2019 (Unaudited)

	Three Months Ended March 31,
	2020			2019
Cash flows from (for) operating activities
Net income (loss)	$	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		(16,436,125	)		1,829,141
Increase (decrease) in payable for securities purchased		0			613,540
(Increase) decrease in interest receivable		62,221			82,283
Increase (decrease) in accounts payable and accrued expenses		(29,192	)		36,778
Purchases of investments		(415,593,097	)		(519,766,470	)
Sales/maturities of investments		435,547,966			524,102,351
Net cash from (for) operating activities		11,230,632			13,108,613

Cash flows from (for) financing activities
Redemption of units		(5,158,505	)		(10,769,681	)
Offering costs paid		(214,587	)		(204,957	)
Net cash from (for) financing activities		(5,373,092	)		(10,974,638	)

Net increase (decrease) in cash, cash equivalents and restricted cash		5,857,540			2,133,975

Cash, cash equivalents and restricted cash at beginning of period		24,870,425			28,167,754
Cash, cash equivalents and restricted cash at end of period	$	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.

	March 31, 2020		December 31, 2019
Cash, cash equivalents and restricted cash at end of period consists of:
Cash in futures brokers trading accounts	$	3,319,678	$	8,760,955
Restricted cash in futures brokers trading accounts		726,286		2,311,537
Cash and cash equivalents		26,682,001		5,834,745
Restricted cash at interbank market makers		0		7,963,188
Total cash, cash equivalents and restricted cash at end of period	$	30,727,965	$	24,870,425

See Accompanying Notes to Financial Statements.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

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

FOR THE THREE MONTHS ENDED MARCH 31, 2020 AND 2019 (Unaudited)

	Partners’ Capital
	General Partner				Limited Partners						Total
	Units		Amount		Units			Amount			Units			Amount
Three Months Ended March 31, 2020

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, 2019

Balances at December 31, 2018		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
Redemptions		0.000		0		(5,132.100	)		(10,837,698	)		(5,132.100	)		(10,837,698	)
Offering costs				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

Net Asset Value per General and Limited Partner Unit
March 31, 2020			December 31, 2019	March 31, 2019			December 31, 2018
$	2,292.06	$	2,192.73	$	2,172.12	$	2,101.44

See Accompanying Notes to Financial Statements.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

FINANCIAL HIGHLIGHTS

FOR THE THREE MONTHS ENDED MARCH 31, 2020 AND 2019 (Unaudited)

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

	Three Months Ended March 31,
	2020			2019
Per Unit Performance
(for a unit outstanding throughout the entire period)
Net asset value per unit at beginning of period	$	2,192.73		$	2,101.44

Income (loss) from operations:
Total net trading gains (losses) ₍₁₎		148.23			96.61
Net investment income (loss) ₍₁₎		(46.10	)		(23.38	)
Total net income (loss) from operations		102.13			73.23
Offering costs ₍₁₎		(2.80	)		(2.55	)
Net asset value per unit at end of period	$	2,292.06		$	2,172.12
Total Return ₍₄₎		4.53	%		3.36	%

Supplemental Data
Ratios to average net asset value:
Expenses prior to performance fee₍₃₎		7.55	%		7.52	%
Performance fee ₍₄₎		0.00	%		0.00	%
Total expenses		7.55	%		7.52	%
Net investment income (loss) _(2),(3)		(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.

See Accompanying Notes to Financial Statements.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
MARCH 31, 2020 (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, 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.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
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 March 31, 2020 and December 31, 2019, and for the periods ended March 31, 2020 and 2019, the Fund did not have any Level 3 assets or liabilities.

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

	Fair Value at March 31, 2020
Description	Level 1		Level 2		Level 3		Total
Investments
Short term investments	$	10,245	$	0	$	0	$	10,245
Fixed income securities		0		126,508,085		0		126,508,085

Other Financial Instruments
Exchange-traded futures contracts		2,836,166		0		0		2,836,166
Forward currency contracts		0		9,005,232		0		9,005,232
Total	$	2,846,411	$	135,513,317	$	0	$	138,359,728

	Fair Value at December 31, 2019
Description	Level 1			Level 2			Level 3		Total
Investments
Short term investments	$	3,076		$	0		$	0	$	3,076
Fixed income securities		0			147,466,607			0		147,466,607

Other Financial Instruments
Exchange-traded futures contracts		(4,168,853	)		0			0		(4,168,853	)
Forward currency contracts		0			(1,422,358	)		0		(1,422,358	)
Total	$	(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.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
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 2016 through 2019 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

G. Offering Costs

Campbell & Company, LP (“Campbell & Company”) has incurred all costs in connection with the initial and continuous offering of units of the Fund (“offering costs”). In addition, Campbell & Company continues to compensate wholesalers for services rendered to Limited Partners. The Fund’s liability for offering costs is limited to the maximum of total offering costs incurred by Campbell & Company, not to exceed 2.5% of the aggregate subscriptions accepted during the initial and continuous offerings. As of March 31, 2020 and December 31, 2019, the Fund has the potential remaining reimbursement amount of approximately $34.5 million and $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 March 31, 2020 and December 31, 2019, the amount of unreimbursed offering costs incurred by Campbell & Company is $62,673 and $70,313, respectively. At March 31, 2020 and December 31, 2019, the Fund reflects a liability in the Statements of Financial Condition for offering costs payable to Campbell & Company of $62,673 and $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.

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL SATEMENTS
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

Effective 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.

NAV Consulting, Inc. serves as the Transfer Agent of 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.

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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 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.

Note 7. OPERATING EXPENSES

Operating expenses of the Fund are limited by the Amended Agreement of Limited Partnership to 0.5% per year of the average month-end Net Asset Value of the Fund. Actual operating expenses were less than 0.5% (annualized) of average month-end Net Asset Value for the three months ended March 31, 2020 and 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.

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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 March 31, 2020 and December 31, 2019 is as follows:

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 Contracts	Net unrealized gain (loss) on open futures contracts	$	224,809	$	(233,295	)	$	(8,486	)
Energy Contracts	Net unrealized gain (loss) on open futures contracts		426,528		(580	)		425,948
Metal Contracts	Net unrealized gain (loss) on open futures contracts		8,739,973		(5,280,650	)		3,459,323
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts		52,620		(894,254	)		(841,634	)
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		137,328		(112,398	)		24,930
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		446,007		(669,922	)		(223,915	)
Forward Currency Contracts	Net 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

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 Contracts	Net unrealized gain (loss) on open futures contracts	$	100,996	$	(1,568,839	)	$	(1,467,843	)
Energy Contracts	Net unrealized gain (loss) on open futures contracts		976,245		(135,657	)		840,588
Metal Contracts	Net unrealized gain (loss) on open futures contracts		2,891,613		(4,116,917	)		(1,225,304	)
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts		780,153		(609,690	)		170,463
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		168,765		(578,590	)		(409,825	)
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		768,719		(2,845,651	)		(2,076,932	)
Forward Currency Contracts	Net 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

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 2019 is as follows:

Type of Instrument	Trading Gains/(Losses) for the Three Months Ended March 31, 2020			Trading Gains/(Losses) for the Three Months Ended March 31, 2019
Agriculture Contracts	$	1,923,105		$	459,265
Energy Contracts		5,226,283			(2,309,824	)
Metal Contracts		4,486,773			(999,028	)
Stock Indices Contracts		(23,567,212	)		4,351,957
Short-Term Interest Rate Contracts		8,009,183			2,427,530
Long-Term Interest Rate Contracts		2,194,728			6,589,415
Forward Currency Contracts		13,151,377			(1,947,590	)
Total	$	11,424,237		$	8,571,725

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

For the three months ended March 31, 2020 and 2019, the amounts above 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 of $(884,299) and $0, respectively.

For the three months ended March 31, 2020 and 2019, the monthly average of futures contracts bought and sold was approximately 31,100 and 27,000, respectively, and the monthly average of notional value of forward currency contracts was $2,292,300,000 and $1,961,100,000, respectively.

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

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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.

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

The amount of required margin and good faith deposits with the futures brokers and interbank market makers usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at March 31, 2020 and December 31, 2019 was $18,142,645 and $38,712,533, respectively, which equals approximately 11% and 24% of Net Asset Value, respectively. The cash deposited with the interbank market makers at March 31, 2020 and December 31, 2019 was $26,043,828 and $13,104,927, respectively, which equals approximately 16% and 8% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents. Included in cash deposits with the futures brokers and interbank market makers at March 31, 2020 and December 31, 2019 was restricted cash for margin requirements of $726,286 and $10,274,725, respectively, which equals approximately 0% and 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 Counterparty
As of March 31, 2020
Type of Instrument	Counterparty	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition
Futures contracts	Goldman Sachs	$	10,027,265	$	(7,191,099	)	$	2,836,166
Forward currency contracts	NatWest Markets PLC		28,325,494		(19,320,262	)		9,005,232
Total derivatives		$	38,352,759	$	(26,511,361	)	$	11,841,398

Derivative Assets and Collateral Received by Counterparty
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
Counterparty			Financial Instruments		Cash Collateral Received		Net Amount
Goldman Sachs	$	2,836,166	$	0	$	0	$	2,836,166
NatWest Markets PLC		9,005,232		0		0		9,005,232
Total	$	11,841,398	$	0	$	0	$	11,841,398

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

Offsetting of Derivative Liabilities by Counterparty
As of March 31, 2020
Type of Instrument	Counterparty	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statements of Financial Condition			Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition
Futures contracts	Goldman Sachs	$	7,191,099	$	(7,191,099	)	$	0
Forward currency contracts	NatWest Markets PLC		19,320,262		(19,320,262	)		0
Total derivatives		$	26,511,361	$	(26,511,361	)	$	0

Derivative Liabilities and Collateral Pledged by Counterparty
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
Counterparty			Financial Instruments		Cash Collateral Pledged		Net Amount
Goldman Sachs	$	0	$	0	$	0	$	0
NatWest Markets PLC		0		0		0		0
Total	$	0	$	0	$	0	$	0

Offsetting of Derivative Assets by Counterparty
As of December 31, 2019
Type of Instrument	Counterparty	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	2,834,912	$	(2,834,912	)	$	0
Futures contracts	Goldman Sachs		2,851,579		(2,851,579	)		0
Total futures contracts			5,686,491		(5,686,491	)		0
Forward currency contracts	UBS AG

Price	-0.00	EPS	341
Shares	0	P/E	-0
MCap	-0	P/FCF	-0
Net Debt	-35	EBIT	27
TEV	-35	TEV/EBIT	-1
TTM 2019-09-30, in MM, except price, ratios

10-Q	2020-03-31	Filed 2020-05-15
10-K	2019-12-31	Filed 2020-03-27
10-Q	2019-09-30	Filed 2019-11-14
10-Q	2019-06-30	Filed 2019-08-14
10-Q	2019-03-31	Filed 2019-05-15
10-K	2018-12-31	Filed 2019-03-29
10-Q	2018-09-30	Filed 2018-11-14
10-Q	2018-06-30	Filed 2018-08-14
10-Q	2018-03-31	Filed 2018-05-15
10-K	2017-12-31	Filed 2018-03-29
10-Q	2017-09-30	Filed 2017-11-14
10-Q	2017-06-30	Filed 2017-08-14
10-Q	2017-03-31	Filed 2017-05-12
10-K	2016-12-31	Filed 2017-03-29
10-Q	2016-09-30	Filed 2016-11-14
10-Q	2016-06-30	Filed 2016-08-15
10-Q	2016-03-31	Filed 2016-05-13
10-K	2015-12-31	Filed 2016-03-29
10-Q	2015-09-30	Filed 2015-11-16
10-Q	2015-06-30	Filed 2015-08-14
10-Q	2015-03-31	Filed 2015-05-15
10-K	2014-12-31	Filed 2015-03-30
10-Q	2014-09-30	Filed 2014-11-14
10-Q	2014-06-30	Filed 2014-08-14
10-Q	2014-03-31	Filed 2014-05-15
10-K	2013-12-31	Filed 2014-03-26
10-Q	2013-09-30	Filed 2013-11-14
10-Q	2013-06-30	Filed 2013-08-14
10-Q	2013-03-31	Filed 2013-05-15
10-K	2012-12-31	Filed 2013-04-01
10-Q	2012-09-30	Filed 2012-11-14
10-Q	2012-06-30	Filed 2012-08-14
10-Q	2012-03-31	Filed 2012-05-15
10-K	2011-12-31	Filed 2012-03-30
10-Q	2011-09-30	Filed 2011-11-14
10-Q	2011-06-30	Filed 2011-08-15
10-Q	2011-03-31	Filed 2011-05-16
10-K	2010-12-31	Filed 2011-03-31
10-Q	2010-09-30	Filed 2010-11-15
10-Q	2010-06-30	Filed 2010-08-16
10-Q	2010-03-31	Filed 2010-05-17
10-K	2009-12-31	Filed 2010-03-31

8-K	2020-03-31	Other Events
8-K	2020-01-31	Other Events
8-K	2019-11-30	Officers
8-K	2018-12-19	Other Events
8-K	2018-08-07	Other Events
8-K	2018-07-31	Other Events

EX-31.1	csafexhibit31_01.htm
EX-31.2	csafexhibit31_02.htm
EX-32.1	csafexhibit32_01.htm
EX-32.2	csafexhibit32_02.htm

CSAF 10Q Quarterly Report

Campbell Strategic Allocation Fund Earnings 2020-03-31