csaf10k_dec2013.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-K

(Mark One)


þ		ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 [NO FEE REQUIRED]

		For the Fiscal Year Ended December 31, 2013


o		TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 [NO FEE REQUIRED]

		For the transition period from to

Commission file number

000-22260

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

(Exact name of Registrant as specified in its 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)

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

	Securities registered pursuant to Section 12 (b) of the Act: None

	Securities registered pursuant to Section 12 (g) of the Act:

	Units of Limited Partnership Interest
	(Title of Class)

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes o No þ

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act. Yes o No þ

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes þ No o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yesþ No o

Indicate by check mark if the disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is not contained herein, and will not be contained, to the best of the Registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K. þ

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


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

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

The Registrant has no voting stock. As of December 31, 2013 there were 277,353.249 Units of General and Limited Partnership Interest issued and outstanding.

TABLE OF CONTENTS


		Page
	PART I

Item 1.	Business.		1 – 5

Item 1A.	Risk Factors.		5 – 21

Item 1B.	Unresolved Staff Comments.		22

Item 2.	Properties.		22

Item 3.	Legal Proceedings.		22

Item 4.	Mine Safety Disclosures.		22

	PART II

Item 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.		23

Item 6.	Selected Financial Data		23 – 24

Item 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations.		24 – 38

Item 7A.	Quantitative and Qualitative Disclosures About Market Risk.		39 – 44

Item 8.	Financial Statements and Supplementary Data.		44

Item 9.	Changes in and Disagreements With Accountants on Accounting and Financial Disclosure.		44

Item 9A.	Controls and Procedures.		44

Item 9B.	Other Information.		44

	PART III

Item 10.	Directors, Executive Officers and Corporate Governance.		45 – 47

Item 11.	Executive Compensation.		48

Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters.		48

Item 13.	Certain Relationships and Related Transactions, and Director Independence.		48

Item 14.	Principal Accounting Fees and Services.		49

	PART IV

Item 15.	Exhibits, Financial Statement Schedules.		50 – 52

SIGNATURES

PART I

Item 1. Business.

General development of business

Campbell Strategic Allocation Fund, L.P. (the “Registrant” or the “Fund”) is a limited partnership, which was organized on May 11, 1993 under the Delaware Revised Uniform Limited Partnership Act. The Registrant operates as a commodity investment pool, whose purpose is to trade speculatively in the U.S. and international futures and forward markets. Specifically, the Fund trades in a diverse array of global assets, including global interest rates, stock indices, currencies and commodities.

The general partner and trading advisor of the Registrant is Campbell & Company, Inc. (“Campbell & Company”). In addition to making all trading decisions in its capacity as trading advisor, Campbell & Company conducts and manages all aspects of the business and administration of the Registrant in its role as general partner. Campbell & Company uses a systematic trading approach combined with quantitative portfolio management analysis and seeks to identify and profit from price movements in the futures and forward markets. Multiple trading models are utilized across most markets traded. Each model analyzes market movements and internal market and price configurations in order to generate signals to be executed through a variety of execution platforms.

During the continuous offering, the Fund was a registrant with the Securities and Exchange Commission (the "SEC") and was subject to the regulatory requirements under the Securities Act of 1933. (Units in the Fund are no longer offered, as described below.) The Fund is a "reporting company" subject to the regulatory requirements under the Securities Exchange Act of 1934. As a commodity investment pool, the Fund is subject to the provisions of the Commodity Exchange Act, regulations of the Commodity Futures Trading Commission (the "CFTC"), an agency of the United States government which regulates most aspects of the commodity futures industry; rules of the National Futures Association (the "NFA"), 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 and interbank market makers through which the Fund trades.

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.

A total of $6,078,611,354 was raised during the initial and continuing offering periods ending with the withdrawal of the Fund's Registration Statement on January 6, 2012.

The Registrant will be terminated and dissolved promptly thereafter upon the happening of the earlier of: (a) the expiration of the Registrant’s stated term of December 31, 2023; (b) an election to dissolve the Registrant at any time by Limited Partners owning more than 50% of the Units then outstanding; (c) the withdrawal of Campbell & Company, unless one or more new general partners have been elected or appointed pursuant to the Agreement of Limited Partnership, as amended; (d) Campbell & Company determines that the purpose of the Fund cannot be fulfilled; or (e) any event which shall make unlawful the continuing existence of the Registrant.

Financial information about segments

The Fund’s business constitutes only one segment for financial reporting purposes, i.e., a speculative “commodity pool.” The Fund does not engage in sales of goods or services.

Narrative description of business

General

The purpose of the Fund is to engage in the speculative trading, buying, selling, or otherwise acquiring, holding or disposing of commodities, including futures contracts, forward contracts and any other rights pertaining thereto, and for such other purposes as may be incidental or related thereto. Prior to September 1, 2011, the Fund also traded options on forward currency contracts. The Fund has no employees.

The Fund trades pursuant to the Campbell Managed Futures Portfolio (the “CMF Portfolio”), formerly known as the Financial, Metals and Energy Large Portfolio. The CMF Portfolio seeks to generate attractive risk-adjusted returns across a broad range of market conditions through systematic investments in a diversified portfolio of futures and forward contracts in a diverse array of global assets, including global interest rates, stock indices, currencies and commodities. The CMF Portfolio consists of underlying investment strategies, both trend following and non-trend following in nature, that aim for low correlation and are diversified by investment style, investment holding period and instrument. Trend following strategies apply traditional and alternative trend following methods to systematically exploit futures market moves through the use of price information. Some trend following strategies trade all markets while others are specific to certain sectors or factors. Non-trend following strategies develop relative value and fundamental themes to systematically exploit asset mispricings using carry, spread, and directional methods. Non-trend following strategies tend to be specific to certain sectors and employ global tactical asset allocation methodologies. Other technical strategies, based on statistical indicators, use varying lookback and holding periods to identify mispricings, complimentary to trend following. Additional models, markets and/or over-the-counter contracts may also be included or eliminated from time to time at Campbell & Company’s sole discretion without notice to unitholders.

The average sector allocation for each sector as of the previous six month ends through December 31, 2013 is as follows: 14% to interest rates, 21% to foreign exchange, 36% to commodities, and 29% to equity indices. Sector allocation for each sector is calculated using the dollar value of margin posted as collateral to support trading in each sector as a percentage of the total dollar value of margin posted to support trading in all sectors.

Use of Proceeds

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

Approximately 15% to 25% of the Fund’s assets normally are committed as required margin for futures contracts and held by the futures brokers, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. Treasury Bills in segregated accounts with the futures brokers pursuant to the Commodity Exchange Act and regulations thereunder. Approximately 10% to 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 Fund occasionally receives margin calls (requests to post more collateral) from its futures brokers or over-the-counter counterparties, which are met by moving the required portion of the assets held in the custody accounts at Northern Trust to the margin accounts. In the past three years, the Fund has not needed to liquidate any position as a result of a margin call.

The general partner deposits the majority of those assets of the Fund that are not required to be deposited as margin with the futures brokers and over-the-counter counterparties in custodial accounts with Northern Trust Company. The assets deposited in the custodial accounts with Northern Trust Company are segregated. Such custodial accounts constitute approximately 60% to 75% of the Fund’s assets and are invested directly by Horizon Cash Management LLC (“Horizon”). Horizon is registered with the SEC as an investment adviser under the Investment Advisers Act of 1940. Horizon does not guarantee any interest or profits will accrue on the Fund’s assets in the custodial account. Horizon invest 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 Securities, Government Agency Securities, Municipal Securities, banker acceptances and certificates of deposits; (ii) commercial paper; and (iii) short-term investment grade corporate debt; and (iv) Asset Backed Securities.

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. Funds may be deposited and held in the Fund's account at PNC Financial Services Group, Inc., Baltimore, Maryland, U.S.A., prior to the transfer to the Fund's trading accounts.

Cash Manager and Custodian

For the year ended December 31, 2013, Horizon Cash Management LLC served as the cash manager (the "Cash Manager") under the Investment Advisory Agreement dated July 8, 2009 to manage and control the liquid assets of the Fund. The Cash Manager is registered as an investment adviser with the SEC of the United States under the Investment Advisers Act of 1940. The Cash Manager specializes in investments which are predominately short-term in maturity and high grade, high quality in nature with particular emphasis on U.S. Treasury securities and U.S. Government Agencies’ issues.

The Fund opened a custodial account at The Northern Trust Company (the “Custodian”), and has granted the Cash Manager a limited power of attorney over such accounts. Such power of attorney gives 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 managing operator to the Fund. Such investments include, but are not limited to, U.S. Treasury securities, securities issued by U.S. Government Agencies, high quality money-market securities and repurchase agreements. All securities purchased by the Cash Manager on behalf of the Fund or other liquid funds of the Fund will be held in its custody account at the custodian. The Cash Manager will have no beneficial or other interest in the securities and cash in such custody account.

Market Sectors

Campbell & Company’s CMF Portfolio trades in a fully diversified portfolio of futures and forward markets, including energy products, precious and base metals, stock market indices, interest rates and foreign currencies detailed out below.

Commodities		Interest Rates		Equity Indices		Foreign Exchange1
Aluminum	London Gas Oil	Australian 90-Day Bill	Short Sterling	Amsterdam Exchange Index	S&P 500 Volatility Index	Australian Dollar2	Singapore Dollar
Coffee	NY Gasoline RBOB	Australian 3-Year Bond	Treasury Notes/2-Year	CAC 40 Stock Index	S&P Canada 60 Index	British Pound2	South African Rand
Copper	Natural Gas	Australian 10-Year Bond	Treasury Notes/5-Year	DAX	SPI 200 Index	Canadian Dollar2	Swedish Krona
Corn	Nickel	Euro-BOBL	Treasury Notes/10-Year	DJ Euro Stoxx 50		Czech Koruna	Swiss Franc2
Cotton	Silver	Euro-BUND	Treasury Notes/30-Year	FTSE Index		Euro2	Turkish Lira
Crude Oil	Soybean Meal	Canadian 90-Day Bill		Hang Seng Index		Hungarian Forint
Gold	Soybean Oil	Canadian 10-Year Bond		IBEX35 Stock Index		Israeli Shekel
Heating Oil	Soybeans	Euribor		MSCI Taiwan		Japanese Yen2
High Grade Copper	Sugar #11 (World)	Eurodollar		NASDAQ 100 Index		Mexican Peso
KC Hard Red-Winter Wheat	Wheat	Euro-Schatz		Nikkei		New Zealand Dollar
Live Cattle	Zinc	Japanese 10-Year Bond		OMX Stock Index		Norwegian Krone
London Brent Crude		Long Gilt		S&P 500 Index		Polish Zloty

1 Traded as forward contracts, not futures
2 Also may be traded as cross rates

Market Types

The Fund trades on a variety of United States and foreign futures exchanges, and in the off-exchange highly liquid, institutionally-based currency forward markets. As in the case of its market sector allocations, the Fund’s commitments to different types of markets — U.S. and non-U.S., regulated and non-regulated — differ substantially from time to time, as well as over time, and may change at any time if Campbell & Company determines such change to be in the best interests of the Fund.

Charges

The following is a description of current charges to the Fund.


RECIPIENT	NATURE OF PAYMENT	AMOUNT OF PAYMENT
Campbell & Company	Brokerage Fee	The Fund pays Campbell & Company a brokerage fee of 7% of the Fund’s month-end net asset value per annum (prior to accruals for such brokerage fee or performance fees), irrespective of profitability, of which 4% is paid to the selling agents. Campbell & Company retains the remaining 3%.

Campbell & Company	Performance Fee	Campbell & Company is paid a quarterly performance fee equal to 20% of aggregate cumulative appreciation in the Fund’s net asset value per Unit, if any, excluding interest income and as adjusted for subscriptions and redemptions.


Campbell & Company	Offering Costs	Campbell & Company pays the Fund’s offering costs and is subsequently reimbursed by the Fund. Reimbursement of the Fund’s offering costs is limited to 2.5% of the aggregate subscriptions accepted by Campbell & Company.

Cash Manager and Custodian Fees	Cash Management and Custody fees	Cash management and custodial fees for the Fund’s non-margin assets are estimated at 0.10% per annum based on the percentage of assets under management by the cash managers.


Goldman, Sachs & Co. and UBS Securities LLC	Brokerage Commissions	Brokerage commissions are paid at a rate of approximately $4 per round-turn contract executed for the Fund, or approximately 0.75% of the Fund’s net assets annually, up to 1% of the Fund’s net asset value per annum (which includes payments to the over-the-counter counterparty as referenced below).

Royal Bank of Scotland plc and UBS AG	Over-the-Counter Counterparty Execution Costs	The over-the-counter counterparties' execution costs are included in the price of each forward contract purchased or sold, and, accordingly, such costs cannot be determined but are charged. In addition, the over-the-counter counterparties charge between $3 and $4 per $1 million, plus any additional electronic platform charges, for forward contracts they facilitate on behalf of the Fund with third party banks. These prime brokerage fees, combined with the futures brokers' charges, will equal approximately 0.80% of the Fund’s net assets and will not exceed 1% of the Fund's net asset value per annum, as referenced above.

Other	Operating Expenses	The Fund may experience operating expenses such as legal, auditing, administration, printing and postage, as incurred, up to a maximum of 0.50% of the Fund’s net asset value per annum.

Regulation

The U.S. futures markets are regulated under the Commodity Exchange Act, which is administered by the CFTC, a federal agency created in 1974. The CFTC licenses and regulates commodity exchanges, commodity pool operators, commodity trading advisors and clearing firms which are referred to in the futures industry as “futures commission merchants.” Campbell & Company is licensed by the CFTC as a commodity pool operator and commodity trading advisor. Futures professionals are also regulated by the NFA, a self-regulatory organization for the futures industry that supervises the dealings between futures professionals and their customers. If its pertinent CFTC licenses or NFA memberships were to lapse, be suspended, or be revoked, Campbell & Company would be unable to act as the Fund’s commodity pool operator and commodity trading advisor.

The CFTC has adopted disclosure, reporting and recordkeeping requirements for commodity pool operators and disclosure and recordkeeping requirements for commodity trading advisors. The reporting rules require pool operators to furnish to the participants in their pools a monthly statement of account, showing the pool’s income or loss and change in net asset value, and an annual financial report, audited by an independent certified public accountant.

The CFTC and the exchanges have pervasive powers over the futures markets, including the emergency power to suspend trading and order trading for liquidation of existing positions only. The exercise of such powers could adversely affect the Fund’s trading.

The CFTC does not regulate forward contracts. Federal and state banking authorities also do not regulate forward trading or forward dealers. Trading in foreign currency f orward contracts may be less liquid and the Fund’s trading results may be adversely affected.

Available Information

The Fund files quarterly, annual and current reports with the SEC. These reports are available to read and copy at the SEC’s Public Reference Facilities in Washington, D.C. at 100 F Street, N.E., Washington, D.C. 20549. Please call the SEC’s toll free number, 1-800-SEC-0330, for further information. The Fund does not maintain a website where these reports are posted. However, the Fund’s filings are posted on the SEC’s website at http://www.sec.gov.

Item 1A. Risk Factors.

General Investment Related Risks

There are certain general market conditions in which any given investment strategy is unlikely to be profitable. Campbell & Company does not have any ability to control or predict such market conditions. The Fund is subject to certain general risks relating to its investment strategies, including, but not limited to, the following:

Short Sales May Lead to Potentially Unlimited Losses.

The Fund may establish short positions in a number of investment instruments. A futures trader that is obligated to make delivery is “short” the contract or has “sold” the contract. A futures trader who establishes a short position in a futures contract would initially sell an interest at the current price and then would buy an interest at market price in order to offset such obligation. The short futures trader hopes to sell high and buy low. Short selling allows the short seller to profit from declines in market prices to the extent such declines exceed the transaction and any other related costs. A short sale creates the risk of an unlimited loss, in that the price of the underlying commodity could theoretically increase without limit, thus increasing the cost of buying those futures to offset the short position. There can be no assurance that the futures necessary to cover a short position will be available for “purchase”. Establishing a long position in futures contracts to close out the short position can itself cause the price of the futures to rise further, thereby exacerbating the loss. The use of leverage combined with short selling may increase the amount of losses that the Fund experiences.

Investing Globally Subjects the Fund to International Risks.

Issuers are generally subject to different accounting, auditing and financial reporting standards in different countries throughout the world. The volume of trading, the volatility of prices and the liquidity of issuers may vary in the markets of different countries. Hours of business, customs and access to these markets by outside investors may also vary. In addition, the level of government supervision and regulation of the financial markets, securities and futures exchanges, securities dealers, futures commission merchants and listed and unlisted companies is different throughout the world. There may also be a lack of adequate legal recourse for the redress of disputes and, in some countries, the pursuit of such disputes may be subject to a highly prejudiced legal system.

Different markets also have different clearance and settlement procedures. Delays in settlement could result in temporary periods when a portion of the assets of the Fund are uninvested and no return is earned thereon. The inability of the Fund to make intended investments due to settlement problems could cause the Fund to miss attractive investment opportunities. The inability to dispose of portfolio instruments due to settlement problems could result either in losses due to subsequent declines in value of the portfolio instruments or, if the Fund has entered into a contract to sell the instrument, could result in possible liability to the purchaser.

The price of any foreign investment instrument and, therefore, the potential profit and loss thereon, may be affected by any variance in the foreign exchange rate between the time a position is established and the time it is liquidated, offset or exercised.

Certain foreign exchanges may also be in a more or less developmental stage so that prior price histories may not be indicative of current price dynamics. In addition, the Fund may not have the same access to certain financial investment instruments on foreign exchanges as do local traders, and the historical market data on which Campbell & Company bases its strategies may not be as reliable or accessible as it is in the United States. The rights of clients (such as the Fund) in the event of the insolvency or bankruptcy of a non-U.S. market or broker are also likely to be more limited than in the case of U.S. markets or brokers.

With respect to different countries, there is a possibility of expropriation or confiscatory taxation, imposition of withholding taxes on dividend or interest payments, limitations on the removal of funds or other assets, managed or manipulated exchange rates and other issues affecting currency conversion, political or social instability or diplomatic developments that could adversely affect investments in those countries. The Fund may invest in instruments that may be domiciled in a country other than the country in whose currency the instrument is denominated. The values and relative yields of such investments in the financial markets of different countries, and their associated risks, are expected to change independently of each other. These risks may be greater in emerging markets.

Exchange-Rate Risk.

The Fund may invest in international financial instruments such as securities of non-U.S. issuers or non-U.S. futures contracts, which are denominated in currencies other than the U.S. dollar. Consequently, the Fund is subject to the exchange-rate risk of the dollar increasing or decreasing in value against the functional currency of such investments.

Changes in Financing Policies or the Imposition of Other Credit Limitations or Restrictions Could Compel the Fund to Liquidate Positions at Disadvantageous Prices

The Fund may utilize leverage and may depend on the availability of credit in order to finance its portfolio. There can be no assurance that the Fund will be able to maintain adequate financing arrangements under all market circumstances. As a general matter, the dealers that provide financing to the Fund can apply essentially discretionary margin, haircut, financing, security and collateral valuation policies. Changes by dealers in such financing policies, or the imposition of other credit limitations or restrictions, whether due to market circumstances disruptions or governmental, regulatory or judicial action, may result in large margin calls, loss of financing, forced liquidation of positions at disadvantageous prices, termination of swap and repurchase agreements and cross-defaults to agreements with other dealers. Any such adverse effects may be exacerbated in the event that such limitations or restrictions are imposed suddenly and/or by multiple market participants at or about the same time. The imposition of such limitations or restrictions could compel the Fund to liquidate all or part of its portfolio at disadvantageous prices. From time to time, banks and dealers have substantially curtailed financing activities and increased collateral requirements, forcing many hedge funds to liquidate.

The Fund’s Investments Could be Illiquid

Futures and forward positions cannot always be liquidated at the desired price; this can occur when the market is thinly traded (i.e., a relatively small volume of buy and sell orders) or in the event of disrupted markets and other extraordinary events in which historical pricing relationships become materially distorted. The Fund may incur material losses and the risk of loss from pricing distortions is compounded by the fact that in disrupted markets many positions become illiquid making it difficult or impossible to close out positions against which the markets are moving. The financing available to the Fund from banks, dealers and other counterparties is likely to be restricted in disrupted markets. For example, in 1994, 1998 and again from 2007-2009, there was a sudden restriction of credit by the dealer community that resulted in forced liquidations and major losses for a number of private investment funds. It is possible that in the future, in such situations, Campbell & Company may be unable for some time to liquidate certain unprofitable positions, thereby increasing the loss of the Fund from the trade. Additionally, foreign governments may take or be subject to political actions which disrupt the markets in their currency or major exports, such as energy products or metals. Market disruptions caused by unexpected political, military and terrorist events may from time to time cause dramatic losses for the Fund, and such events can result in otherwise historically low-risk strategies performing with unprecedented volatility and risk. Any of these actions could also result in losses to the Fund. Units should be owned only by persons financially able to maintain their investment and who can afford the loss of all or substantially all of such investment.

Your Investment in the Fund Could Be Illiquid

There is no secondary market for the Units and none is expected to develop. While the Units have redemption rights, there are restrictions. For example, redemptions can occur only at the end of a month. If a large number of redemption requests were to be received at one time, the Fund might have to liquidate positions to satisfy the requests. Such a forced liquidation could adversely affect the Fund and consequently your investment. Transfers of interest in the Units are subject to limitations, such as 30 days’ advance notice of any intent to transfer. Also, Campbell & Company may deny a request to transfer if it determines that the transfer may result in adverse legal or tax consequences for the Fund.

Reduced Market Exposure in Times of High Volatility May Limit Profit Potential

During periods of high volatility in the markets, the Fund may reduce its market exposure. While the purpose of such reductions is to attempt to limit potential losses to the Fund, such reductions may also have the effect of limiting potential profits for such time as the Fund’s market exposure remains in a reduced state.

An Investment in the Fund May Not Diversify an Overall Portfolio

Historically, alternative investments such as managed futures funds have been generally lowly correlated to the performance of other asset classes such as stocks and bonds. Low correlation means that there is no statistically valid relationship between the past performance of futures and forward contracts, on the one hand, and stocks or bonds, on the other hand. Low correlation should not be confused with negative correlation, where the performance of two asset classes would be exactly opposite.

Because of low correlation, the Fund cannot be expected to be automatically profitable during unfavorable periods for the stock market or vice versa. The futures and forward markets are fundamentally different from the securities markets in that for every gain made in futures and forward trading, there is an equal and offsetting loss.

Non-correlated also does not mean that the Fund will not always move in the same direction as stocks and bonds. There may be times when the Fund gains during the same periods when stock and bonds gain and there also may be times when the Fund loses during periods when stock and bonds lose. If the Fund performs in a manner that is correlated with the general financial markets or does not perform successfully, you will obtain no diversification benefits by investing in the Units and the Fund may have no gains to offset your losses from other investments.

The Current Markets are Subject to Market Disruptions That May be Detrimental to Your Investment.

The Fund may incur major losses in the event of disrupted markets and other extraordinary events in which historical pricing relationships become materially distorted. The risk of loss from pricing distortions is potentially compounded by the fact that in disrupted markets many positions become illiquid, making it difficult or impossible to close out positions against which the markets are moving. The financing available to the Fund from its banks, dealers and other counterparties is typically reduced in disrupted markets and may result in substantial losses to the Fund. Market disruptions may from time to time cause dramatic losses for the Fund, and such events can result in otherwise historically low-risk strategies performing with unprecedented volatility and risk.

Fixed-Income Investments Risks

The value of fixed-income securities in which the Fund may invest will change in response to fluctuations in interest rates. Except to the extent that values are independently affected by currency exchange rate fluctuations, when interest rates decline, the value of fixed-income securities generally can be expected to rise. Conversely, when interest rates rise, the value of fixed-income securities generally can be expected to decline. Investments in lower rated or unrated fixed-income securities, while generally providing greater opportunity for gain and income than investments in higher rated securities, usually entail greater risk (including the possibility of default or bankruptcy of the issuers of such securities).

Trading Risks

There are Disadvantages to Making Trading Decisions Based Primarily on Technical Market Data

The trading systems used by Campbell & Company for the Fund are primarily technical. The profitability of trading under these systems depends on, among other things, the occurrence of significant price movements, up or down, in futures and forward prices. Such price movements may not develop; there have been periods in the past without such price movements.

The likelihood of the Units being profitable could be materially diminished during periods when events external to the markets themselves have an important impact on prices. During such periods, Campbell & Company’s historic price analysis could establish positions on the wrong side of the price movements caused by such events.

Increased Competition in Alternative Asset Investments

There has been a marked increase in the number of, and flow of capital into, investment vehicles established in order to implement alternative asset investment strategies, including the strategies to be implemented by the Fund. While the precise effect cannot be determined, such an increase may result in greater competition for investment opportunities, or may result under certain circumstances in increased price volatility or decreased liquidity with respect to certain positions. Prospective investors should understand that the Fund may compete with other investment vehicles, as well as investment and commercial banking firms, which may have substantially greater resources, in terms of financial resources and research staffs, than may be available to the Fund.

Increase in Assets Under Management May Make Profitable Trading More Difficult

Campbell & Company believes that it is virtually impossible to define or quantify the capacity of a portfolio with any degree of certainty. Campbell & Company has continued to introduce new strategies designed to deliver returns which have low correlation to returns from existing strategies. Campbell & Company and its affiliates have not agreed to limit the amount of additional assets they may manage, and are actively engaged in raising assets for existing and new accounts. However, Campbell & Company acknowledges that there may come a time when the combination of available markets and new strategies may not be sufficient for it to add new assets without detriment to diversification. If this were to occur, Campbell & Company would expect its risk-adjusted returns to begin to degrade. Should Campbell & Company ever conclude that its ability to deliver attractive risk-adjusted returns has been unduly compromised by its growth in assets, it would not hesitate to restrict or halt the flow of new assets, and, if necessary, begin to repatriate market gains.

Should the amount of assets that Campbell & Company and its affiliates manage increase, it may be more difficult for them to trade profitably because of the difficulty of trading larger positions without adversely affecting prices and performance. Accordingly, such increases in equity under management may require Campbell & Company to modify its trading decisions for the Fund, which could have a detrimental effect on your investment. Such considerations may also cause Campbell & Company to eliminate smaller markets from consideration for inclusion in certain trading program, reducing the range of markets in which trading opportunities may be pursued. Campbell & Company reserves the right to make distributions of profits to Members in an effort to control asset growth. In addition, Campbell & Company may have an incentive to favor other accounts because the compensation received from some other accounts exceeds the compensation it receives from managing the Fund’s account. Because records with respect to other accounts are not accessible to Investors, the Investors will not be able to determine if Campbell & Company is favoring other accounts.

Investors Will Not be Able to Review the Fund’s Holdings on a Daily Basis

Campbell & Company makes the Fund’s trading decisions. While the Campbell & Company receives daily trade confirmations from the futures brokers and over-the-counter counterparties, the Fund’s trading results are reported to Investors monthly. Accordingly, an investment in the Fund does not offer Investors the same transparency, i.e., an ability to review all investment positions daily, that a personal trading account offers.

Portfolio Turnover

The Fund may dispose of its investment instruments without regard to the length of time they have been held when such actions appear advisable based on the models included in its portfolio. Since Campbell & Company trades the Fund’s investment instruments based on the models included in the portfolio, it is impossible to predict, with any degree of certainty, the portfolio turnover rate for the Fund. A high portfolio turnover rate bears certain tax consequences and results in greater transaction costs, which are borne directly by the Fund.

Inadequate Models Could Negatively Affect the Fund’s Investment Portfolio

Campbell & Company’s trading is highly model driven, and is subject to possibly material flaws in the models. As market dynamics (for example, due to changed market conditions and participants) shift over time, a previously highly successful model may become outdated or inaccurate, possibly without Campbell & Company recognizing that fact before losses are incurred. In particular, the Fund may incur losses in the event of disrupted markets and other extraordinary events that cause Campbell & Company’s pricing models to generate prices which deviate from the market. The risk of loss to the Fund in the case of disrupted markets is compounded by the number of different investment models of pricing, each of which may independently become wholly unpredictable during market disruptions. In addition, in disrupted derivatives markets, many positions may become illiquid, making it difficult or impossible to close out positions against which the markets are moving.

Even if the basic concepts of our models are sound, Campbell & Company may make errors in developing algorithms for integrating the numerous factors and variables into them or in programming the algorithms. Those errors may cause the model to generate results different from those intended. They may be difficult to detect in many market conditions, possibly influencing outcomes only in periods of stress or change in market conditions.

Campbell & Company anticipates the continued modification, enhancement and development of models. Each new generation of models (including incremental improvements to current models) exposes the Fund to the possibility of unforeseen losses from a variety of factors, including conceptual failures and implementation failures. There can be no assurance that the models used by Campbell & Company will be effective or that they will be effectively utilized by Campbell & Company. Moreover, there can be no assurance that Campbell & Company will be able to continue to develop, maintain and update the models so as to effectively implement its trading strategy.

Reliance on the Campbell & Company’s Discretion and Trading Models

The Fund’s success depends on the ability of Campbell & Company to develop and employ proprietary models across debt instruments, futures-related interests and/or derivative instruments.

Campbell & Company can provide no assurance that its efforts or the proprietary trading models that it employs will be successful, that it will always recognize each situation in which the models’ signals should or should not be used, or that such use or non-use of such signals will increase the Fund’s profits or minimize its losses. The discretionary authority of Campbell & Company may have a significant actual effect on the Fund’s performance (positive or negative).

Use of the models is unlikely to be successful unless the algorithms underlying the models are correct and remain correct in the future. Because the algorithms are based on perceived relationships between changes in technical and quantitative variables and prices or other fundamental factors, they will likely be unsuccessful in generating profitable trading signals to the extent that such perceptions are inaccurate.

To the extent that the algorithms do not reflect certain factors that may influence prices of the underlying instruments, major losses may result. For example (one of many possible examples, a number of which are unknown), a pending political event not accounted for in the algorithms of the models may be very likely to cause a major and adverse price movement, but the Fund might well continue to maintain positions that would incur major losses as a result of such movement because the models failed to reflect the pending political event.

The models may be more effective with certain underlying instruments than with others, or may not work at all with respect to certain instruments. To the extent that the models generate signals for instruments for which it does not provide optimal analysis, diminished returns or increased losses may result.

The data used in developing the models may not reflect the changing dynamics of the markets. An influx of new market participants, changes in market regulation, international political developments, demographic changes and numerous other factors can contribute to once successful strategies becoming outdated. Not all of these factors can be identified, much less quantified.

Campbell & Company continues to test and evaluate the models, as a result of which the models may be modified from time to time. As a result of such periodic modifications, it is possible that the trading strategies used by Campbell & Company in the future may be different from the strategies presently in use, or that which were used in the past. Any modification of the models will not be subject to any requirement that Members receive notice of the change or consent to it. There can be no assurance as to the effects (positive or negative) of any modification on the Fund’s performance. No assurance can be given that the trading strategy used or to be used by Campbell & Company will be successful under all or any market conditions.

Trend-Following Components of the Models

In the past, there have been periods without discernible trends in the markets in which the Fund trades and, presumably, such periods will continue to occur in the future. Any factor which would lessen the prospect of major trends occurring in the future (such as increased governmental control of, or participation in, the markets) may reduce the prospect that certain models utilized by Campbell & Company will be profitable in the future. Moreover, any factor which would make it more difficult to execute trades at desired prices in accordance with the signals of the models (such as a significant lessening of liquidity in a particular market) would also be detrimental to profitability. Further, many advisers’ trading methods utilize similar analyses in making trading decisions. Therefore, bunching of buy and sell orders can occur, which makes it more difficult for a position to be taken or liquidated. No assurance can be given that the strategies utilized by Campbell & Company will be successful under all or any market conditions.

Market Factors May Adversely Influence the Models

Often, the most unprofitable market conditions for the Fund are those in which prices “whipsaw,” moving quickly upward, then reversing, then moving upward again, then reversing again. In such conditions, Campbell & Company may, on the basis of its models, establish positions based on incorrectly identifying both the brief upward or downward price movements as trends, whereas in fact no trends sufficient to generate profits develop. Overall market, industry or economic conditions, which neither the Fund nor Campbell & Company can predict or control, will have a material effect on performance.

Availability of Investment Opportunities

The business of identifying and structuring investments of the types contemplated by the Fund is specialized, and involves a high degree of uncertainty. The availability of investment opportunities generally is subject to market conditions as well as, in some cases, the prevailing regulatory or political climate. No assurance can be given that the Fund will be able to identify and complete attractive investments in the future or that it will be able to invest fully its subscriptions. Similarly, identification of attractive investment opportunities by Campbell & Company is difficult and involves a high degree of uncertainty. Even if attractive investment opportunities are identified by Campbell & Company, it may not be permitted to take advantage of the opportunity to the fullest extent desired. Investment funds sponsored, managed or advised by Campbell & Company or its affiliates may seek investment opportunities similar to those the Fund may be seeking, and none of these parties has an obligation to offer any opportunities it may identify to the Fund.

Futures, Forwards and Swaps

Futures, Forwards and Swaps Trading Can be Highly Volatile.

Futures, forwards and other derivative prices are highly volatile and increase the amount of volatility in contrast to a direct investment in the underlying physical commodities or financial products. Price movements of futures, forwards and other derivative contracts are influenced by such factors as: changes in overall market movements due to fluctuating supply and demand relationships; weather; government agricultural, trade, fiscal, monetary and exchange control programs and policies; and national and international political and economic events. In addition, governments from time to time intervene in certain markets, particularly the currency and interest-rate markets.

Futures and Forwards Trading Involves Substantial Leverage.

The low margin deposits normally required in futures and forward contracts trading permit an extremely high degree of leverage; margin requirements for futures and forward contracts trading being in some cases as little as 2% of the face value of the contracts traded. Accordingly, the Fund is able to hold positions with face values equal to several times its net assets; therefore, a relatively small price movement in a futures or forward contract may result in immediate and substantial losses to the investor. For example, if at the time of purchase, 10% of the price of the futures or forward contract is deposited as margin, a 10% decrease in the price of the futures or forward contract would, if the contract were then closed out, result in a total loss of the margin deposit before any deduction for brokerage commissions. The Fund’s ratio of margin to equity is typically 15% to 25%. As a result of this leveraging, even a small movement in the price of a contract can cause major losses.

Futures and Forwards Trading May Be Illiquid.

Most United States commodity exchanges limit fluctuations in futures contract prices during a single day by regulations referred to as “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 increased or decreased to the limit point, positions can be neither taken nor liquidated. Futures interest prices have occasionally moved 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. Also, the CFTC or exchanges may suspend or limit trading. While daily limits reduce liquidity, they do not reduce ultimate losses, and may in fact substantially increase losses because they may prevent the liquidation of unfavorable positions. There is no limitation on daily price moves in trading currency forward contracts.

In addition, the Fund may not be able to execute trades at favorable prices if little trading in the futures, forwards, swaps or other derivatives involved is taking place. It also is possible that an exchange or the CFTC might suspend trading in a particular contract, order immediate liquidation and settlement of a particular futures interest, or order that trading in a particular futures interest be conducted for liquidation only. Similarly, trading in options on a particular futures interest may become restricted if trading in the underlying futures contract has become restricted. During periods in October 1987, for example, trading in certain stock index futures was too illiquid for markets to function efficiently and was at one point actually suspended.

Forwards Trading and its Counterparty, Regulatory and Related Risks.

The Fund may, but is not limited to, trading forward contracts in currencies. A forward contract is a contractual obligation to purchase or sell a specified quantity of a commodity or currency at a specified date in the future at a specified price and, therefore, is similar to a futures contract.

Forward contracts are not traded on exchanges; rather, banks (e.g., major money center investment banks) and dealers act as principals in these over-the-counter markets. The Fund faces the risk of non-performance by its counterparties to forward contracts and such non-performance may cause some or all of its gains to remain unrealized.

Unlike futures contracts, the counterparty to forward contracts is generally a single bank or other financial institution, rather than a clearing organization backed by a group of financial institutions. Furthermore, the participants in such markets are typically not subject to the same level of credit evaluation and regulatory oversight as are members of the “exchange based” markets. This exposes investors to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. Such “counterparty risk” is accentuated for contracts with longer maturities where events may intervene to prevent settlement, or where Campbell & Company has concentrated the Fund’s transactions with a single or small group of counterparties. Campbell & Company is not restricted from dealing with any particular counterparty or from concentrating any or all transactions with one counterparty. However, Campbell & Company seeks to minimize credit risk primarily by dealing with counterparties that it believes are creditworthy. The ability of Campbell & Company and the Fund to transact business with any one or number of counterparties, the lack of any meaningful and independent evaluation of such counterparties’ financial capabilities and the absence of a regulated market to facilitate settlement may increase the potential for losses by the Fund.

The Fund may trade deliverable forward contracts in the inter-bank currency market. Such deliverable forward contracts are not currently traded on exchanges; rather, banks and dealers act as principals in these markets. As a result of Dodd-Frank, the CFTC now regulates non-deliverable forwards (including deliverable forwards where the parties do not take delivery). Changes in the forward markets may entail increased costs and result in burdensome reporting requirements. There is currently no limitation on the daily price movements of forward contracts. Principals in the forward markets have no obligation to continue to make markets in the forward contracts traded. The imposition of credit controls by governmental authorities or the implementation of regulations pursuant to Dodd-Frank might limit such forward trading to less than that which Campbell & Company would otherwise recommend, to the possible detriment of the Fund.

In addition, there is no limitation on the daily price movements of forward contracts. Principals in the forward markets have no obligation to continue to make markets in the forward contracts traded. There have been periods during which certain banks or dealers have refused to quote prices for forward contracts or have quoted prices with an unusually wide spread between the price at which they are prepared to buy and that at which they are prepared to sell. The imposition of credit controls by governmental authorities might limit such forward trading to less than that which Campbell & Company and its affiliates would otherwise recommend, to the possible detriment of the Fund.

The Fund is a Party to Financial Instruments with Elements of Off-Balance Sheet Risk, Which May Cause the Fund to Lose All of Its Assets.

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Fund trades in futures, forward, swaps and other derivatives 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 attempts to minimize potential market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio; however, these precautions may not be effective in limiting the risk of loss.

Regulatory

The Current Markets are Subject to Governmental Intervention That May Be a Detriment to Your Investment; The Dodd Frank Wall Street Reform and Consumer Protection Act (“Dodd-Frank”)

In response to the recent financial crises of 2008-2009, Dodd-Frank was enacted in July 2010. Dodd-Frank seeks to regulate markets, market participants and financial instruments that previously have been unregulated and substantially alters the regulation of many other markets, market participants and financial instruments. Because many provisions of Dodd-Frank require rulemaking by applicable regulators before becoming fully effective and Dodd-Frank mandates multiple agency reports and studies (which could result in additional legislative or regulatory action), it is difficult to predict the ultimate impact of Dodd-Frank on the Fund, Campbell & Company , and the markets in which they trade and invest. Dodd-Frank could result in certain investment strategies in which the Fund engages or may have otherwise engaged becoming non-viable or non-economic to implement. Dodd-Frank and regulations adopted pursuant to the Reform Act could have a material adverse impact on the profit potential of the Fund.

The “Volcker Rule” component of Dodd-Frank materially restricts proprietary speculative trading by banks, “bank holding companies” and other regulated entities. As a result, there has been a significant influx of new portfolio managers into private investment funds who had previously traded institutional proprietary accounts. Such influx can only increase the competition for the Fund from other talented portfolio managers trading in the Fund’s investment sector.

Speculative Position Limits

The CFTC and the United States commodities exchanges impose limits referred to as “speculative position limits” on the maximum net long or net short speculative positions that any person may hold or control in any particular futures or options contracts traded on United States commodities exchanges. Dodd-Frank significantly expands the CFTC’s authority to impose position limits with respect to futures contracts and options on futures contracts, swaps that are economically equivalent to futures or options on futures, and swaps that are traded on a regulated exchange and certain swaps that perform a significant price discovery function. In response to this expansion of its authority, in 2012, the CFTC proposed a series of new speculative position limits with respect to futures and options on futures on so-called “exempt commodities” (which includes most energy and metals contracts) and with respect to agricultural commodities. Those proposed speculative position limits were vacated by a United States District Court, but the CFTC has again proposed a new set of speculative position rules which are not yet finalized (or effective). If the CFTC is successful in this second proposal, the counterparties with which the Fund deals may further limit the size or duration of positions available to the Fund. All accounts owned or managed by Campbell & Company are likely to be combined for speculative position limit purposes. The Fund could be required to liquidate positions it holds in order to comply with such limits, or may not be able to fully implement trading instructions generated by its trading models, in order to comply with such limits. Any such liquidation or limited implementation could result in substantial costs to the Fund.

Over-the-Counter Derivatives Markets

Dodd-Frank includes provisions that comprehensively regulate the OTC derivatives markets for the first time. Dodd-Frank will ultimately mandate that a substantial portion of OTC derivatives must be executed in regulated markets and be submitted for clearing to regulated clearinghouses. OTC trades submitted for clearing will be subject to minimum initial and variation margin requirements set by the relevant clearinghouse, as well as possible SEC- or CFTC-mandated margin requirements. OTC derivatives dealers typically demand the unilateral ability to increase the Fund’s collateral requirements for cleared OTC trades beyond any regulatory and clearinghouse minimums. The regulators also have broad discretion to impose margin requirements on non-cleared OTC derivatives and new requirements will apply to the holding of customer collateral by OTC derivatives dealers. These requirements may increase the amount of collateral the Fund is required to provide and the costs associated with providing it. OTC derivative dealers also are required to post margin to the clearinghouses through which they clear their customers’ trades instead of using such margin in their operations, as was widely permitted before Dodd-Frank. This has and will continue to increase the OTC derivative dealers’ costs, and these increased costs are generally passed through to other market participants in the form of higher upfront and mark-to-market margin, less favorable trade pricing, and the imposition of new or increased fees, including clearing account maintenance fees.

With respect to cleared OTC derivatives, the Fund will not face a clearinghouse directly but rather through an OTC derivatives dealer that is registered with the CFTC or SEC to act as a clearing member. The Fund may face the indirect risk of the failure of another clearing member customer to meet its obligations to its clearing member. Such scenario could arise due to a default by the clearing member on its obligations to the clearinghouse, triggered by a customer’s failure to meet its obligations to the clearing member.

The SEC and CFTC will also require a substantial portion of derivative transactions that are currently executed on a bi-lateral basis in the OTC markets to be executed through a regulated securities, futures, or swap exchange or execution facility. Certain CFTC-regulated derivatives trades are expected to be subject to these rules starting in early to mid-2014. It is not yet clear when the parallel SEC requirements will go into effect. Such requirements may make it more difficult and costly for investment funds, including the Fund, to enter into highly tailored or customized transactions. They may also render certain strategies in which the Fund might otherwise engage impossible or so costly that they will no longer be economical to implement. If the Fund decides to become a direct member of one or more of these exchanges or execution facilities, the Fund would be subject to all of the rules of the exchange or execution facility, which would bring additional risks and liabilities, and potential additional regulatory requirements.

OTC derivatives dealers are now required to register with the CFTC and will ultimately be required to register with the SEC. Dealers are subject to new minimum capital and margin requirements, business conduct standards, disclosure requirements, reporting and recordkeeping requirements, transparency requirements, position limits, limitations on conflicts of interest, and other regulatory burdens. These requirements further increase the overall costs for OTC derivative dealers, which costs may be passed along to market participants as market changes continue to be implemented. The overall impact of Dodd-Frank on the Fund remains highly uncertain and it is unclear how the OTC derivatives markets will adapt to this new regulatory regime, along with additional, sometimes overlapping, regulatory requirements imposed by non-U.S. regulators.

OTC derivatives dealers and major OTC derivatives market participants are now be required to register with the CFTC and will ultimately be required to register with the SEC. Campbell & Company is registered as a Forex Firm and Swap Firm with the National Futures Association and could be required to register as a major swap participant for trading in the OTC derivatives markets. Dealers and major Swap participants are subject to new minimum capital and margin requirement, business conduct standards, disclosure requirements, reporting and recordkeeping requirements, transparency requirements, position limits, limitations on conflicts of interest, and other regulatory burdens. These requirements further increase the overall costs for OTC derivative dealers, which costs may be passed along to market participants as regulatory changes continue to be implemented. The overall impact of Dodd-Frank on Campbell & Company remains highly uncertain and it is unclear how the OTC derivatives markets will adapt to this new regulatory regime along with additional, sometimes overlapping, regulatory requirements imposed by non-U.S. regulators.

Although Dodd-Frank requires many OTC derivative transactions previously entered into on a principal-to-principal basis to be submitted for clearing by a regulated clearinghouse, certain derivatives that may be traded by the Fund may remain principal-to-principal or OTC contracts between the Fund and third parties entered into privately. The risk of counterparty nonperformance can be significant in the case of these over-the-counter instruments, and “bid-ask” spreads may be unusually wide in these heretofore substantially unregulated markets. While Dodd-Frank is intended in part to reduce these risks, its success in this respect may not be evident for some time after the Dodd-Frank is fully implemented, a process that may take several years. To the extent not mitigated by implementation of the Dodd-Frank, if at all, the risks posed by such instruments and techniques, which can be extremely complex, include: (1) credit risks (the exposure to the possibility of loss resulting from a counterparty’s failure to meet its financial obligations); (2) market risk (adverse movements in the price of a financial asset or commodity); (3) legal risks (the characterization of a transaction or a party’s legal capacity to enter into it could render the financial contract unenforceable, and the insolvency or bankruptcy of a counterparty could preempt otherwise enforceable contract rights); (4) operational risk (inadequate controls, deficient procedures, human error, system failure or fraud); (5) documentation risk (exposure to losses resulting from inadequate documentation); (6) liquidity risk (exposure to losses created by inability to prematurely terminate the derivative); (7) system risk (the risk that financial difficulties in one institution or a major market disruption will cause uncontrollable financial harm to the financial system); (8) concentration risk (exposure to losses from the concentration of closely related risks such as exposure to a particular industry or exposure linked to a particular entity); and (9) settlement risk (the risk faced when one party to a transaction has performed its obligations under a contract but has not yet received value from its counterparty).

Institutions, such as brokerage firms, banks and broker-dealers, generally have custody of the Fund’s portfolio assets and may hold such assets in “street name.” The Fund is subject to the risk that these firms and other brokers, counterparties, clearinghouses or exchanges with which the Fund deals may default on their obligations to the Fund. Any default by any of such parties could result in material losses to the Fund. Bankruptcy or fraud at one of these institutions could also impair the operational capabilities or the capital position of the Fund. In addition, securities and other assets deposited with custodians or brokers may not be clearly identified as being assets of the Fund, causing the Fund to be exposed to a credit risk with regard to such parties. The Fund generally will only be an unsecured creditor of its trading counterparties in the event of bankruptcy or administration of such counterparties. In some jurisdictions, the Fund may also only be an unsecured creditor of its brokers in the event of bankruptcy or administration of such brokers. The Fund attempts to limit its brokerage and custody transactions to well capitalized and established banks and brokerage firms in an effort to mitigate such risks, but the collapse in 2008 of the seemingly well capitalized and established Bear Stearns and Lehman Brothers demonstrates the limits on the effectiveness of this approach in avoiding counterparty losses.

The Fund may effect transactions in “over-the-counter” or “interdealer” markets. The participants in such markets are typically not subject to the same level of credit evaluation and regulatory oversight as are members of “exchange-based” markets. This exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. Such “counterparty risk” is accentuated for contracts with longer maturities where events may intervene to prevent settlement, or where the Fund has concentrated its transactions with a single or small group of counterparties. The Fund is not restricted from dealing with any particular counterparty or in the size of the exposure which the Fund may provide to a given counterparty. The inability to make complete and “foolproof” evaluations of the financial capabilities of the Fund’s counterparties and the absence of a regulated market to facilitate settlement increases the risk to the Fund.

While Dodd-Frank is intended to bring more stability and lower counterparty risk to derivatives market by requiring exchange clearing of derivatives trades, not all of the Fund’s trades will be subject to the clearing requirements once they generally become effective, either because the trades are grandfathered or because they are bespoke. Furthermore, it is yet to be seen whether Dodd-Frank will be effective in reducing counterparty risk or if such risk may actually increase as a result of market uncertainty, mutuality of loss to clearinghouse members, or other reasons.

Swap Agreements

Swap agreements are privately negotiated over-the-counter derivative products in which two parties agree to exchange actual or contingent payment streams that may be calculated in relation to a rate, index, instrument, or certain securities, and a particular “notional amount.” Depending on their structure, swaps may increase or decrease the Fund’s exposure to commodity prices, equity or debt securities, long-term or short-term interest rates (in the United States or abroad), non-U.S. currency values, mortgage-backed securities, corporate borrowing rates, or other factors such as security prices, baskets of securities, or inflation rates and may increase or decrease the overall volatility of the Fund’s portfolio.

These hedging techniques using swaps involve one or more of the following risks: (i) imperfect correlation between the performance and value of the instrument and the value of the Fund securities or other objective of Campbell & Company ; (ii) possible lack of a secondary market for closing out a position in such instrument; (iii) losses resulting from interest rate, spread or other market movements not anticipated by Campbell & Company ; (iv) the possible obligation to meet additional margin or other payment requirements, all of which could worsen the Fund’s position; and (v) default or refusal to perform on the part of the counterparty with which the Fund trades. Furthermore, to the extent that any hedging strategy involves the use of over-the-counter swap transactions, such a strategy would be affected by implementation of the various regulations adopted pursuant to Dodd-Frank.

Regulatory Changes or Additional Government or Market Regulation or Actions May Alter the Operations and Profitability of the Fund

Considerable regulatory attention has been focused on non-traditional investment pools. Market disruptions and the dramatic increase in the capital allocated to alternative investment strategies have led to increased governmental as well as self-regulatory scrutiny of the “hedge fund” industry in general. Certain legislation proposing greater regulation of the industry periodically is considered by Congress, the SEC, the CFTC and the governing bodies of non-U.S. jurisdictions. It is impossible to predict what, if any, changes in the regulations applicable to the Fund, Campbell & Company, the markets in which they trade and invest or the counterparties with which they do business may be instituted in the future. Any such regulation could have a material adverse impact on the profit potential of the Fund or the ability of the Fund to continue to implement its investment strategies, as well as require increased transparency as to the identity of the Members.

The Fund, in particular, is dependent upon the use of leverage in implementing its investment strategy across the markets and instruments described herein. Any regulatory limitations may have a materially adverse impact on the Fund. The futures markets are subject to comprehensive statutes, regulations and margin requirements. In addition, the CFTC and the exchanges are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily price limits and the suspension of trading. The regulation of swaps and futures transactions in the United States is a rapidly changing area of law and is subject to modification by government and judicial action. The effect of any future regulatory change on the Fund is impossible to predict, but could be substantial and adverse.

Daily Price Fluctuation Limits Imposed by Futures Exchanges May Alter Trading Decisions for the Fund

Most U.S. futures exchanges have established “daily price fluctuation limits” which preclude the execution of trades at prices outside of the limit. Contract prices have occasionally moved the daily limit for several consecutive days with little or no trading. If prices were to approach the level of the daily limits, these limits could cause a modification of Campbell & Company’s trading decisions for the Fund or force the liquidation of certain futures positions. Either of these actions may not be in the best interest of the investors. From time to time, the CFTC or the exchanges may suspend trading in market disruption circumstances. In these cases, it is possible that Campbell & Company, as trading manager, could be required to maintain a losing position that it otherwise would exit and incur significant losses or be unable to establish a position and miss a profit opportunity.

The Fund is Subject to Foreign Market Credit and Regulatory Risk

A substantial portion of Campbell & Company’s trades takes place on markets or exchanges outside the United States. From time to time, over 50% of the Fund’s overall market exposure could involve positions taken on foreign markets. The risk of loss in trading foreign futures contracts can be substantial. Participation in foreign futures contracts transactions involves the execution and clearing of trades on, or subject to the rules of, a foreign board of trade. Non-U.S. markets may not be subject to the same degree of regulation as their U.S. counterparts. None of the CFTC, NFA or any domestic exchange regulates activities of any foreign boards of trade, including the execution, delivery and clearing of transactions, nor do they have the power to compel enforcement of the rules of a foreign board of trade or any applicable foreign laws. Trading on foreign exchanges also presents the risks of exchange controls, expropriation, taxation and government disruptions.

Membership in a Swap Execution Facility

In an effort to facilitate the investment strategies employed by the Campbell & Company on behalf of the Fund, the Fund and/or Campbell & Company may become members of exchanges and/or swap execution facilities (“SEFs”). Such membership may subject the Fund and/or Campbell & Company to a wide range of regulation and other obligations, together with associated costs. Like any other self-regulatory organization, SEFs are expected to regularly revise and interpret their rules, and such revisions and interpretations could adversely impact the Fund. Even if the Fund opts not to trade on a SEF directly but instead through a broker, such trading may nevertheless require the Fund to consent to the SEF’s jurisdiction as a self-regulatory organization and to be subject to the SEF’s rulebook, which could adversely impact the Fund.

The Fund is Not a Regulated Investment Company and is Therefore Subject to Different Protections Than a Regulated Investment Company

Although the Fund and Campbell & Company are subject to regulation by the CFTC, the Fund is not an investment company subject to the Investment Company Act of 1940 and Campbell & Company is not registered as an investment adviser under the Investment Advisers Act of 1940. Accordingly, you do not have the protections afforded by those statutes which, for example, requires investment companies to have a majority of disinterested directors and regulates the relationship between the adviser and the investment company.

Tax Risks

Investors are Taxed Based on Their Share of Fund Income and Gain

Investors are taxed each year on their share of the Fund’s income and gain, if any, irrespective of whether they redeem any Units or receive any cash distribution from the Fund. Campbell & Company has the authority to make such distributions at any time in its sole discretion.

All performance information included in this Memorandum is presented on a pre-tax basis; the investors (other than tax-exempt investors) who experienced such performance had to pay the related taxes from other sources.

Tax Could be Due from Investors on Their Share of the Fund’s Ordinary Income Despite Overall Losses

Investors may be required to pay tax on their allocable share of the Fund’s ordinary income, which in the case of the Fund is the Fund’s interest income, gain on some foreign futures contracts, and certain other investment assets, even though the Fund incurs overall losses. Capital losses of individual taxpayers can be used only to offset capital gains and, in the case of non-corporate investors, $3,000 of ordinary income each year. Consequently, if an individual investor were allocated $5,000 of ordinary income and $10,000 of capital losses, the investor would owe tax on $2,000 of ordinary income even though the investor would have a $5,000 economic loss for the year. The remaining $7,000 capital loss could be used in subsequent years to offset capital gain and ordinary income, but subject to the same annual limitation on its deductibility against ordinary income.

There Could be a Limit on the Deductibility of Management and Performance Fees

Although the Fund treats the management and performance fees paid to Campbell & Company as ordinary and necessary business expenses, upon an IRS audit, the Fund may be required to treat such fees as “investment advisory fees” if the Fund’s trading activities did not constitute a trade or business for tax purposes. If the Investor’s share of expenses were deemed to be investment advisory fees, an Investor’s tax liability would likely increase because of statutory limitations applicable to miscellaneous itemized deductions, including investment advisory fees, of individual taxpayers. In addition, upon audit, a portion of the management fees might be treated as a non-deductible syndication cost or might be treated as a reduction in the Fund’s capital gain or as an increase in the Fund’s capital loss. If the management fees were so treated, an Investor’s tax liability would likely increase.

Other Risks

Fees and Commissions are Charged Regardless of Profitability and are Subject to Change

The Fund is subject to substantial charges payable irrespective of profitability, in addition to performance fees which are payable based on the Fund’s profitability. Included in these charges are brokerage fees and operating expenses. On the Fund’s forward trading, “bid-ask” spreads are incorporated into the pricing of forward contracts by the counterparties in addition to the brokerage fees paid by the Fund. It is not possible to quantify the “bid-ask” spreads paid by the Fund because the Fund cannot determine the profit its counterparty is making on the forward transactions. Such spreads can at times be significant.

The Fund’s Service Providers Could Fail

The institutions with which the Fund trades or invests may encounter financial difficulties that impair the operational capabilities or the capital position of the Fund. A futures broker is generally required by U.S. law to segregate all funds received from such broker’s customers from such broker’s proprietary assets. If the futures broker did not do so to the full extent required by law, the assets of the Fund might not be fully protected in the event of the bankruptcy of the futures broker. Furthermore, in the event of the futures broker’s bankruptcies, the Fund could be limited to recovering only a pro rata share of all available funds segregated on behalf of the futures broker’s combined customer accounts, even though certain property specifically traceable to the Fund (for example, Treasury bills deposited by the Fund with the futures brokers as margin) was held by the futures broker. Furthermore, dealers in forward contracts are not regulated by the Commodity Exchange Act and are not obligated to segregate customer assets. The futures broker has been the subject of regulatory and private causes of action, as described under “The Futures Broker.”

Although the Campbell & Company regularly monitors the financial condition of the counterparties it uses, if the Fund’s counterparties were to become insolvent or the subject of liquidation proceedings in the United States (either under the Securities Investor Protection Act of the United States Bankruptcy Code), there exists the risk that the recovery of the Fund’s assets from such counterparty will be delayed or be a value less than the value of the assets originally entrusted to such counterparty.

The Fund Places Significant Reliance on Campbell & Company and the Incapacity of its Principals Could Adversely Affect the Fund

Investors are not entitled to participate in the management of the Fund or the conduct of its business. Rather, the Fund is wholly dependent upon the services of the general partner. There can be no assurance that such services will be available for any length of time following the term of the Advisory Agreement. Furthermore, the incapacity of the general partner’s principals could have a material and adverse effect on the general partner's ability to discharge its obligations under the Advisory Agreement. However, there is no individual principal at Campbell & Company whose absence would result in a material adverse effect on Campbell & Company’s ability to adequately carry out its advisory responsibilities.

The Fund Could Terminate Before You Achieve Your Investment Objective Causing Potential Loss of Your Investment or Disruption of Your Investment Portfolio

Campbell & Company may withdraw from the Fund upon 90 days’ notice, which would cause the Fund to terminate. Other events, such as a long-term substantial loss suffered by the Fund, could also cause the Fund to terminate before the expiration of its stated term. This could cause you to liquidate your investments and disrupt the overall maturity and timing of your investment portfolio. If the registrations with the CFTC or memberships in the National Futures Association of Campbell & Company or the futures broker were revoked or suspended, such entity would no longer be able to provide services to the Fund.

Transfers Could Be Restricted

Investors may transfer or assign Units only upon 30 days’ prior written notice to Campbell & Company and only if Campbell & Company is satisfied that the transfer complies with applicable laws and would not result in adverse legal or tax consequences for the Fund. A transferee shall not become a substituted Investors without the written consent of the General Partner. See “Appendix A – Amended and Restated Declaration of Fund and Fund Agreement.”

Restrictions on Investment by ERISA Plans, Employee Retirement Income Security Act of 1974

Campbell & Company anticipates that the underlying assets of the Fund may be considered for purposes of Title I of the Employee Retirement Income Security Act, as amended (“ERISA”), and Section 4975 of the Internal Revenue Code of 1986, as amended (the “Code”), to be assets of certain employee benefit plans and other Plans that purchase Units. Under such circumstances, the investments of the Fund and the activities of Campbell & Company will be subject to and, in certain cases, limited by, ERISA and the Code. Accordingly, all investors should carefully read “Investment by Employee Benefit Plans” in Part Two of this Memorandum.

When considering an investment in the Fund of the assets of an employment benefit plan subject to Title I of ERISA, a fiduciary with respect to such plan should consider, among other things: (i) the definition of “Plan assets” under section 3(42) of ERISA and the regulations issued by the Department of Labor (“DOL”) regarding the definition of Plan assets; (ii) whether the investment satisfies the diversification requirements of Section 404(a)(1) of ERISA; (iii) whether the investment satisfies the prudence requirements of Section 404(a)(1) of ERISA; and (iv) that there will be no secondary market in which such fiduciary can sell or otherwise dispose of the Units.

A Single-Advisor Fund May be More Volatile Than a Multi-Advisor Fund

The Fund is a single-advisor managed futures fund. Potential investors should understand that many managed futures funds are structured as multi-advisor funds in order to attempt to control risk and reduce volatility through combining advisors whose historical performance records have exhibited a significant degree of non-correlation with each other. As a single-advisor managed futures fund, the Fund may have increased performance volatility and a higher risk of loss than investment vehicles employing multiple advisors.

The Performance Fee Could Be an Incentive to Make Riskier Investments

Campbell & Company employs a speculative strategy for the Fund, and receives performance fees based on the trading profits earned by it for the Fund. Campbell & Company would not agree to manage the Fund’s account in the absence of such a performance fee arrangement. Accordingly, Campbell & Company may make investments that are riskier than might be made if the Fund’s assets were managed by Campbell & Company that did not require performance-based compensation.

The Fund May Distribute Profits to Investors at Inopportune Times

Campbell & Company reserves the right to make distributions of profits of the Fund to the Investors at any time in its sole discretion in order to control the growth of the assets under Campbell & Company’s management. Investors will have no choice in receiving these distributions as income, and may receive little notice that these distributions are being made. Distributions may be made at an inopportune time for the Investors.

Potential Inability to Trade or Report Due to Systems Failure Could Adversely Affect the Fund

Campbell & Company’s strategies are dependent to a significant degree on the proper functioning of its internal computer systems. Accordingly, systems failures, whether due to third party failures upon which such systems are dependent or the failure of Campbell & Company’s hardware or software, could disrupt trading or make trading impossible until such failure is remedied. Any such failure, and consequential inability to trade (even for a short time), could, in certain market conditions, cause the Fund to experience significant trading losses or to miss opportunities for profitable trading. Additionally, any such failures could cause a temporary delay in reports to investors.

Failure to Receive Timely and Accurate Market Data from Third Party Vendors Could Cause Disruptions or the Inability to Trade

Campbell & Company’s strategies are dependent to a significant degree on the receipt of timely and accurate market data from third party vendors. Accordingly, the failure to receive such data in a timely manner or the receipt of inaccurate data, whether due to the acts or omissions of such third party vendors or otherwise, could disrupt trading to the detriment of the Fund or make trading impossible until such failure or inaccuracy is remedied. Any such failure or inaccuracy could, in certain market conditions, cause the Fund to experience significant trading losses, effect trades in a manner which it otherwise would not have done, or miss opportunities for profitable trading. For example, the receipt of inaccurate market data may cause Campbell & Company to establish (or exit) a position which it otherwise would not have established (or exited), or fail to establish (or exit) a position which it otherwise would have established (or exited), and any subsequent correction of such inaccurate data may cause Campbell & Company to reverse such action or inaction, all of which may ultimately be to the detriment of the Fund.

Conflicts of Interest Exist in the Structure and Operation of the Fund

Campbell & Company has not established any formal procedures to resolve the following conflicts of interest. Consequently, there is no independent control over how Campbell & Company resolves these conflicts which can be relied upon by investors as ensuring that the Fund is treated equitably with other Campbell & Company clients.

Campbell & Company has a conflict of interest because it acts as General Partner and sole trading advisor for the Fund. Since Campbell & Company acts as both trading advisor and General Partnerfor the Fund, it is very unlikely that its advisory contract will be terminated by the Fund. The fees payable to Campbell & Company were established by it and were not the subject of arm’s-length negotiation. These fees consist of a management fee of up to 4% (of which 2% is retained) and a 20% performance fee. Campbell & Company, as General Partner, determines whether or not distributions are made and it receives increased fees to the extent distributions are not made. Campbell & Company has the authority to make such distributions at any time in its sole discretion.

Selling agents will be entitled to ongoing compensation as a result of their clients remaining in the Fund, so a conflict exists between the selling agent’s interest in maximizing compensation and in advising its clients to make investment decisions in the client’s best interests. Other conflicts are also present in the operation of the Fund. See “Conflicts of Interest.”

The Value Of The Shares Will Be Adversely Affected If The Fund is Required To Make Indemnification Payments.

Under the Fund’s constituent document and pursuant to the service contracts, Campbell & Company and the service providers have the right to be indemnified for any liability or expense they incur, assuming that they have satisfied their standard of care and have not materially breached the applicable agreement(s). That means an indemnitee may require the assets of the Fund to be sold in order to cover losses or liability suffered by it with respect to the Fund. Any sale of that kind would reduce the value of the Shares of the Fund.

Reliance on Corporate Management and Financial Reporting

Certain of the strategies which may be implemented on behalf of the Fund rely on the financial information made available by the issuers in which the Fund invests. Campbell & Company has no ability to independently verify the financial information disseminated by the thousands of issuers in which the Fund may invest and is dependent upon the integrity of both the management of these issuers and the financial reporting process in general. Recent events have demonstrated the material losses which investors such as the Fund can incur as a result of corporate mismanagement, fraud and accounting irregularities.

The Fund’s Fees and Expenses

The Fund is required to make substantial profits in order to avoid depletion or exhaustion of its assets from fees and expenses. In addition, the Performance Fee paid to Campbell & Company by the Fund is based on both realized and unrealized gains and losses as of the end of the applicable period. Consequently, Performance Fees could be paid on unrealized gains that may never be realized by the Fund.

Compulsory Redemption of Units

Campbell & Company has the right to redeem all or any portion of the Units of any Investor, for any reason or no reason, upon not less than ten (10) days’ prior written notice to the Investor; provided, however, that the Fund may require a redemption of all or any portion of any Investor’s Units as of any date without providing any prior notice to avoid causing the assets of the Fund to be “plan assets” within the meaning of ERISA or Section 4975 of the Code. Amounts so redeemed will be calculated and paid as provided above for voluntary redemptions.

Item 1B. Unresolved Staff Comments.

None.

Item 2. Properties.

The Registrant does not use any physical properties in the conduct of its business. Its assets currently consist of futures and other contracts, cash, short-term time deposits and other fixed income securities.

Item 3. Legal Proceedings.

Campbell & Company is not aware of any material legal proceedings to which the Registrant or Campbell & Company is a party or to which any of their assets are subject.

Item 4. Mine Safety Disclosures.

Not Applicable.

PART II

Item 5. Market for Registrant’s Common Equity , Related Stockholder Matters and Issuer Purchases of Equity Securities.

Units of Limited Partnership Interest are not publicly traded. Units may be transferred or redeemed subject to the conditions imposed by the Second Amended and Restated Agreement of Limited Partnership. As of December 31, 2013, there were 13,078 Limited Partners in the Registrant and 277,353.249 Units of General and Limited Partnership Interest outstanding.

Campbell & Company has sole discretion in determining what distributions, if any, the Registrant will make to its Unitholders. Campbell & Company has not made any distributions as of the date hereof.

The Registrant has no securities authorized for issuance under equity compensation plans.

Item 6. Selected Financial Data.

Dollars in thousands, except per Unit amounts

The following summarized financial information is for the years ended December 31, 2013, 2012, 2011, 2010 and 2009.


	For the Year Ended December 31,
	2013		2012			2011			2010		2009
Total Assets	$	727,627	$	797,867		$	960,593		$	1,450,843	$	1,858,856
Total Partners’ Capital		710,325		778,039			935,207			1,417,846		1,708,492
Total Net Trading Gain (Loss) (includes brokerage commissions)		113,936		57,127			(8,624	)		208,247		(56,051	)
Net Income (Loss)		60,888		(2,809	)		(93,503	)		109,314		(199,877	)
Net Income (Loss) Per General and Limited Partner Unit *		200.29		(7.87	)		(190.91	)		175.36		(240.77	)
Increase (Decrease) in Net Asset Value per General and Limited Partner Unit		178.78		(29.88	)		(198.69	)		216.49		(235.52	)
Weighted Average Number of Units Outstanding		304,003.690		357,029.398			489,767.202			623,359.922		830,160.793

The following summarized quarterly financial information presents the results of operations for the three-month periods ending March 31, June 30, September 30 and December 31, 2013 and 2012.


	1st Qtr.		2nd Qtr.		3rd Qtr.			4th Qtr.
	2013		2013		2013			2013
Total Net Trading Gain (Loss) (includes brokerage commissions)	$	51,665	$	47,140	$	(16,719	)	$	31,850
Net Income (Loss)		38,200		32,888		(29,559	)		19,359
Net Income (Loss) per General and Limited Partner Unit *		118.64		106.74		(98.92	)		67.43
Increase (Decrease) in Net Asset Value per General and Limited Partner Unit		115.57		100.63		(101.15	)		63.73
Net Asset Value per General and Limited Partner Unit at the End of the Period		2,497.87		2,598.50		2,497.35			2,561.08
Weighted Number of Units Per Period		321,979.333		308,110.764		298,819.052			287,105.613

Based on weighted average number of units outstanding during the period.


	1st Qtr.		2nd Qtr.			3rd Qtr.		4th Qtr.
	2012		2012			2012		2012
Total Net Trading Gain (Loss) (includes brokerage commissions)	$	39,292	$	12,178		$	40,276	$	(34,619	)
Net Income (Loss)		23,151		(3,286	)		25,150		(47,824	)
Net Income (Loss) per General and Limited Partner Unit *		60.85		(9.09	)		72.09		(141.84	)
Increase (Decrease) in Net Asset Value per General and Limited Partner Unit		56.03		(13.78	)		68.51		(140.64	)
Net Asset Value per General and Limited Partner Unit at the End of the Period		2,468.21		2,454.43			2,522.94		2,382.30
Weighted Number of Units Per Period		380,436.518		361,658.799			348,850.191		337,172.088

Based on weighted average number of units outstanding during the period.

Item 7. 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 gain (loss) in the Statements of Operations. Generally, fair values are based on market prices; however, in certain circumstances, estimates are involved in determining fair value in the absence of an active market closing price (i.e., forward contracts which are traded in the inter-bank market).

Capital Resources

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 maintains 60-75% 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 15% to 25% of the Fund’s assets normally are committed as required margin for futures contracts and held by the futures brokers, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. Treasury bills in segregated accounts with the futures brokers pursuant to the Commodity Exchange Act and regulations thereunder. Approximately 10% to 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.

Off-Balance Sheet Risk

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Fund trades in futures and forward contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Fund, market risk, that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Fund at the same time, and if the Fund’s trading advisor was unable to offset futures interests positions of the Fund, the Fund could lose all of its assets and the Limited Partners would realize a 100% loss. Campbell & Company, Inc., the general partner (who also acts as trading advisor), minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30% 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. Prior to September 2011, the Fund also invested in options on forward currency contracts. The fair value of futures (exchange-traded) contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of the last business day of the reporting period. The fair value of forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) of the last business day of the reporting period. The fair value of option (non-exchange traded) contracts is calculated by applying an industry-standard adaptation of the Black-Scholes options valuation model to foreign currency options, using as inputs, the spot prices, interest rates and option implied volatilities quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period.

Results of Operations

The returns for the years ended December 31, 2013, 2012, and 2011 were 7.50%, (1.24)%, and (7.61)%, respectively. The following is a discussion of the brokerage and performance fees accrued and paid. During the years ended December 31, 2013, 2012 and 2011, the Fund accrued brokerage fees in the amounts of $54,768,729, $62,173,181, and $87,233,861, respectively, and paid brokerage fees in the amounts of $55,177,236, $63,123,144, and $90,074,141, respectively. No performance fees were accrued or paid during the years ended December 31, 2013, 2012 and 2011.

2013 (For the Year Ended December 31)

Of the 7.50% return for the year, approximately 15.47% was due to trading gains (before commissions) and approximately 0.41% was due to investment income, offset by approximately (8.38)% due to brokerage fees, operating expenses and offering costs borne by the Fund. An analysis of the 15.47% trading gain by sector is as follows:


Sector	% Gain (Loss)
Commodities		3.74	%
Currencies		1.74
Interest Rates		(4.30	)
Stock Indices		14.29
		15.47	%

2013 began on a positive note, as the Fund posted solid gains. Equity Indices and Foreign Exchange sectors responded to improved economic outlooks in the U.S. and Europe and to the promise of aggressive fiscal and monetary policy in Asia. Commodities were flat on the month, and the Interest Rates sector was the only significant detractor from performance. The Fund lost on a net-long position in global long-term rates as the sector moved lower on the same macroeconomic drivers that pushed equity markets higher and a general rotation out of bonds and into stocks. From a strategy perspective, longer-term trend following models were the most profitable strategies in January, with other complimentary strategies providing additional returns. Long global equity positions primarily from European and Asian holdings recorded the majority of gains. Positive data points out of Europe included the softening of tough “Basel III” regulations, a larger-than-expected repayment by banks of LTRO (Long-term Refinancing Operation) funds to the ECB (European Central Bank), Spanish and Italian bond auctions bringing the lowest yields in months, and German ZEW (The Centre for European Economic Research) surveys of sentiment that were much more optimistic. In Asia, the new Japanese government used every possible opportunity to push for a weakening of the Japanese Yen and a 2% inflation target to end decades of deflation. Exporters rallied as the Yen weakened throughout the month. The Fund’s short Japanese Yen position was the most profitable trade in the portfolio during January. Losses in Interest Rates were not enough to offset gains as the sector exhibited a generally negative correlation to equities, hurting the Fund’s long position.

The Fund, which consists of both trend following and non-trend following strategies, profited in February. The majority of gains came from the foreign exchange sector, while losses in equity index trading offset some of these gains. Interest rates and commodities had little impact on performance. Foreign exchange was the most profitable sector, contributing well over 1% to the Fund. In the U.K., the British Pound (GBP) was down over 4% in February as weak economic fundamentals led Moody’s to downgrade the U.K.’s Aaa sovereign debt rating to Aa1. The Fund made over 1% in GBP on a short position against the U.S. Dollar. The Canadian Dollar (CAD) also declined over 3% in February on global risk-off positioning and developments indicating a slowing Canadian economy. This led to additional gains on a short position against the currency. These gains were partially offset by losses from trading in equity indices where long positioning in European indices was unprofitable. Political uncertainty in the region, threatening a smooth recovery, caused downward moves in several major indices and reversed recent upward trends. Trading in North American indices was relatively flat for trend following strategies and losses in the region were driven by faster, non-trend following strategies getting caught in volatile market action. Trading in both interest rates and commodities was relatively flat in February. Renewed concerns over European sovereign debt and the impending U.S. sequester drove interest rate markets, producing small gains for the Fund. In commodities, gains in metals were offset by losses in energies, driven by the same macroeconomic factors that impacted the interest rates sector.

The Fund’s strategies profited in three of four major sectors traded in March, with the majority of gains coming from commodities. Major economic drivers included Chinese and Japanese political developments, positive economic data in the U.S., and the bank bailout situation in Cyprus. Trend following strategies contributed over 2% to the Fund, while other non-trend strategies detracted from performance. Gains in commodities were led by short positions in copper and aluminum as these industrial metals fell sharply during the month. Copper was pressured by new property tightening measures in China aimed at reining in overheated housing markets. Aluminum fell on reports that production climbed 2.4% in February. Soft commodities and energies also added to profits as supply and weather data moved markets in the direction of the Fund’s positions. Equity indices, specifically long positioning in the United States and Japan, also added to monthly gains. A sharp uptick in U.S. non-farm payrolls and a downtick in the unemployment rate, followed by data indicating a steadily improving U.S. housing market helped push index levels higher. Japanese stocks rose for a seventh straight month, gaining over 7%, as Prime Minister Abe’s efforts to end deflation began with his appointment of Haruhiko Kuroda to lead the Bank of Japan (BOJ). Positioning in foreign exchange contributed small gains to the Fund. The most profitable trade continues to be short Japanese Yen, with the new BOJ Governor stating he will do “whatever it takes” to achieve his goal of a 2% inflation target within two years. Interest rates was the only sector to detract from positive performance during the month. The Fund’s trend following strategies made money in the sector, however, non-trend strategies more than offset those gains and led to losses primarily driven by long-term instruments. Price action varied widely across global interest rate markets, creating a difficult trading environment for some strategies

The Fund gained in both trend following and non-trend following strategies in April, with gains coming from all sectors traded. Major moves in metals and long-dated interest rate markets led gains, each adding over 3% to the Fund. Slow global growth, disappointing economic data, low or stable inflation rates, and continued quantitative easing pushed rates lower and equity markets higher across major markets, extending or establishing trends and other alpha opportunities. Commodity markets recorded the best gains for the Fund, led by precious metals, base metals, and energies. Short positioning in precious metals benefitted from a sharp decline in prices. The weakness in gold can be attributed to several factors including low or falling inflation readings, concern that European central banks will sell gold reserves to help fund bail-out costs, outflows from related exchange traded products, and signs of slower global economic growth, especially in China. The Fund began April short precious metals, posting the majority of gains on April 12 & 15 when the sector significantly declined, at which point the Fund began to take profits and reduce its positions. Long positions on long-dated interest rate markets in the U.S., Canada, and Australia were also profitable during April. Disappointing economic data, stable inflation, falling commodity prices, and dovish stimulus policy in Canada pushed fixed income prices higher. This particularly impacted the long-dated rate contracts, as they are more sensitive to the interest rate movements than the short-dated rates. Stock index positions added further gains during the month, with long positioning in Japan, Australia, and the U.S. leading the way. Japanese and Australian markets moved higher on continued central bank easing while U.S. markets bounced around throughout the month but finished higher, hitting record highs in the S&P 500 and Dow Jones Industrial Average. The foreign exchange sector added small gains during the month. Trend-following strategies lost money in the sector, but non-trend strategies more than offset those losses. By market, the Japanese Yen and New Zealand Dollar versus the U.S. Dollar were the most profitable trades in April.

The Fund's gross trading was basically flat in May. Gains in stock indices, foreign exchange, and commodity holdings were offset by losses in fixed income positions. Both trend and non-trend strategies showed gains in long equity index positions. The gains were concentrated in European and US holdings. In Europe, gains were led by the UK where manufacturing and business confidence data strengthened. In the US, stocks rose after employment-related data showed signs of improvement and consumer confidence measures were also better than expected. Foreign exchange gains came primarily from long US dollar positions against the South African rand, the British pound, and the Canadian dollar. The US dollar strengthened against all major currencies amid better economic data and signs that the US Federal Reserve may soon begin to taper its quantitative easing (QE) measures. Commodity holdings added small additional gains to the Fund. Gains were found in short precious metal positions as both gold and silver declined on concerns over QE tapering and weak physical demand out of Asia. Grain positions, namely long soybean positioning, benefitted from strong Chinese export sales and US supply concerns. Unfortunately, these gains were mostly offset by losses from industrial metal and energy positions. Short positions in industrial metals, namely copper and aluminum, moved against the Fund as prices rose due to signs of tightening supply and amid short covering. Long positioning in natural gas was the biggest loser in energy holdings as prices fell sharply when seasonal demand waned and inventories rose more than expected. Overall monthly gains were offset by losses in long fixed income positions within Europe, the US, Japan, and Canada, primarily from the long-dated holdings within the trend-following strategies. Global fixed income prices fell sharply during the month for the same reasons the US dollar strengthened - mainly over concern that US QE measures would begin to wind down in the near future amid strengthening economic data which could cause interest rates to rise.

The Fund had a net loss in June. Declines in stock indices and foreign exchange were only partially offset by gains from commodities and fixed income. The primary focus of global markets in June revolved around the fear that the US Federal Reserve was beginning to signal that their aggressive QE measures were going to be reduced or “tapered” amid stronger US economic trends. World markets have enjoyed the benefits of the unprecedented liquidity that the US central bank has pumped into the banking system over the past five years, however the announcement by Fed Chairman Bernanke on June 19th that QE tapering could begin as soon as year-end roiled global markets. Trend strategies showed their largest losses in long equity index positions. The losses were spread across all global equity markets as they sold off on the concern that US QE tapering could be expected in the near future. Non-trend strategies showed gains in foreign exchange positioning, but the trend-following models produced losses that more than offset any gains. The trend strategies showed the greatest losses on the Japanese yen and the British pound as both showed sharp trend reversals post Bernanke’s tapering comments mid-month. Trend-following strategies delivered gains in commodities, especially within short industrial metals and precious metals positioning. Concerns over a Chinese credit crunch plus fear over the potential impact from QE tapering pushed both types of metals lower. Gains were somewhat offset by losses from energy positions which generally saw sharp mid-month trend reversals due to the strengthening US dollar amid fears that monetary accommodation would begin to be withdrawn. Both non-trend and trend strategies showed gains in short positioning on fixed income instruments. Global fixed income markets sold off sharply on fears over QE tapering. The faster reacting non-trend models quickly built short positions and benefitted from the extended declines.

The Fund had small gross trading losses in July. Gains from stock indexes were more than offset by losses from foreign exchange, fixed income, and commodities. The largest losses during the month were found within foreign exchange holdings primarily from short positioning against the Canadian dollar and the New Zealand dollar. These currencies both appreciated on hawkish leaning central bank comments and amid better economic data. The Australian dollar produced one of the largest FX gains as the Royal Bank of Australia indicated that they had room to cut interest rates which was supported by tame inflation data. Short positioning within both short and long dated fixed income instruments also caused losses, especially within the trend following strategies. Members of the US Federal Reserve, including Chairman Bernanke, emphasized to world financial markets that a tapering of QE programs does not necessarily mean a tightening of interest rates. This message helped push fixed income instruments higher, hurting the Fund’s short positioning. Non-trend strategies showed small losses as well. Commodity positions were another source of losses during July. The “QE tapering does not mean tightening” message helped gold appreciate over 7% which hurt recently profitable trend following short positioning. Long positioning gains within energies, especially on crude and Brent oil, offset some of the sector’s overall losses. New Middle East tensions in Egypt, early month inventory draws, and some favorable economic data in the US all pushed most energies higher on the month. Long stock index positions helped to mostly offset losses. Most global stock markets rallied during July driven by expectations for continued monetary support from major central banks, generally better than expected second quarter earnings reports, and additional signs that global economic growth is improving, especially within Europe and the US. Trend following strategies showed solid gains on long positioning within global stock indices; however, non-trend strategies showed small losses on the sector.

The Fund's losses continued in August. Gains from interest rates were more than offset by losses from commodities, foreign exchange, and stock index holdings. Commodities produced the largest losses on the month, led by short industrial metal and precious metal positions. Improving macro economic data from China, including better than expected industrial production and import/export data, pushed industrial metals higher. Some weaker US economic data, including a disappointing July employment report and softer pending home sales, sent precious metals higher on hopes for a delay in US Federal Reserve quantitative easing (QE) tapering. Long energy holdings helped to offset some losses as increased geopolitical tensions related to Syria drove petroleum markets higher. Short positions in corn and wheat led to early month profits as healthy harvest expectations sent the grains lower. Foreign exchange holdings also produced losses during August. Long positioning in the euro and Swiss franc produced the largest losses as both currencies fell due to a strengthening US dollar supported by a hardening of expectations for Fed QE tapering and risk aversion driven by geopolitical concerns over Syria. Non-trend strategies produced some offsetting gains in foreign exchange as short positioning in the Canadian dollar and Australian dollar proved profitable due to risk-aversion. Long global stock index positions showed profits early in the month as the strength seen in July continued into August. Unfortunately, losses were incurred as concerns surrounding QE tapering by the US Fed and new fears over military tensions between the US and Syria caused global stocks to sell-off throughout the second half of the month. Nimble non-trend strategies showed profits in stock indexes by quickly getting short the second-half sell-off as geopolitical fears gripped world markets. Short interest rate positions produced gains for the Fund during August. Stronger economic data in Germany and the UK linked with expectations for US Fed QE tapering helped push European and US interest rate instruments lower. Gains were limited by late month reversals on flight-to-quality positioning due to the Syrian situation.

The Fund's losses continued in September. Gains from stock indexes were more than offset by losses from commodity, foreign exchange, and interest rate holdings. Commodities produced the largest losses on the month, led by long energy and short industrial metal positions. A calming of tensions between the US and Syria caused a sell-off in energy markets, reversing the gains seen during August. Industrial metals gained on the election of a pro-business Prime Minister in Australia and amid some better Chinese economic data. The non-trend following strategies were long gold, which produced some offsetting gains on the US Fed’s surprise decision to delay a tapering of its monthly QE program. Foreign exchange positions produced losses as well. The US dollar was broadly weaker versus most other G10 currencies during September with the US Dollar Index hitting a seven-month low. The largest losses for the Fund were found in short Canadian and Australian dollar positions. The Fed’s surprising decision to delay tapering its $85 billion monthly asset purchase program sparked a sharp rally in these currencies versus the US dollar. Some offsetting gains were found from long positioning on the British pound and Swiss franc versus the dollar. Interest rate positions, primarily short holdings on the short-end of the curve, produced additional portfolio losses. The Fed’s surprise decision to delay QE tapering, some pockets of softer global economic data including a weaker than expected US employment report, and reports of a US government partial shutdown near month-end all helped to push fixed income instruments higher during September. Long stock index holdings produced the only sector gains for the Fund during the month. A peaceful resolution of the US/Syrian crisis, renewed confidence that Janet Yellen would be nominated to be the next head of the US Federal Reserve, and the Fed’s decision to fully maintain QE helped most global stock markets to post solid gains. Profits were capped by late month concerns about a showdown in Washington over government spending that ultimately resulted in a partial shutdown of the US government.

The Fund had positive performance in October. Losses from foreign exchange and commodity positions were more than offset by profits from stock index and interest rate holdings. The strongest Fund gains for October came from long positioning in global stock indexes, driven by both trend and non-trend strategies. News during the month was dominated by the US government shutdown which resulted after Congress failed to pass legislation to fund operations. Global stocks initially sold-off as Washington dysfunction put the country on a potential path to default. In addition, many government-supplied economic reports were cancelled, leaving global investors with limited visibility into the health of the US economy. However, stocks turned higher as expectations for a funding deal grew and when an agreement was announced near mid-month, stocks charged even higher. Interest rate positions, namely from long-dated holdings, also added to monthly profits, although non-trend strategies limited gains. Global fixed income instruments generally moved higher after the US government reopened and default concerns subsided. Both fixed income and stock investors embraced the idea that any reduction in US Federal Reserve QE would be delayed into 2014 due to the economic drag the government closure created for growth. Foreign exchange holdings produced losses as various long positions against the US dollar declined. A long position in the Canadian dollar was among the worst performing holdings after the Bank of Canada dropped its tightening bias after they downgraded their economic assessment and pointed to downside risks to inflation. Commodity holdings produced losses primarily from non-trend strategies. The worst performing sub-sector was energy where a short position in natural gas early in the month was hurt by cooler temperatures. The strategies then flipped to long and were hurt when inventories grew more than expected. Industrial metals also produced losses due to a choppy trading environment. The largest gains came from the grains and softs where short positions in wheat and coffee profited from abundant supplies.

The Fund's positive performance continued through November. Profits from stock index, commodity, and foreign exchange positions were only slightly offset by losses from interest rate holdings. The strongest gains for November came from long positioning in global stock indexes driven by trend following strategies. Stocks continued their strong year-to-date run during the month as additional easing by global central banks, namely the ECB early in the month, and generally better than expected economic data kept a tailwind behind stocks. Japan showed some of the strongest gains rising over 9% as the yen weakened, benefitting their export-driven economy. A solid rise in US and German stocks also benefitted the Fund. Commodity holdings also produced profits, primarily from non-trend strategies. The best performing sub-sector was grains where a long position in soybeans was helped by strong export sales and frost-damaged crops. Short positions in wheat and corn benefitted from an improving outlook for both US and Chinese production and a bearish US government crop report early in the month. Short positions in precious and industrial metals also contributed to gains. Less dovish FOMC minutes helped revive QE taper fears which pushed the metals lower. Soft commodities and meats produced some small offsetting losses. Foreign exchange holdings produced small gains. A short position on the Japanese yen versus the US dollar benefitted as the yen weakened steadily throughout the month with some weaker Japanese economic data and renewed US QE taper fears to blame. The worst performing foreign exchange position was a long holding on the euro versus the US dollar which suffered when the ECB surprised markets with an interest rate cut. Interest rate positions, namely from long-dated holdings within the non-trend strategies, produced losses for the Fund during November. A choppy global trading environment for interest rate instruments proved difficult for the strategies to profitably trade.

The Fund had a net loss in December. Profits from stock index and foreign exchange positions were more than offset by losses from commodity and interest rate holdings. The largest losses for December came from positioning in global interest rates driven by trend following strategies. Losses were seen in both short-dated and long-dated instruments. Anticipation that the US Federal Reserve would begin tapering its QE program came to fruition around mid-month causing interest rates to generally rise throughout December. Losses were greatest in short-dated instruments where the portfolio had long positioning which suffered from improving economic data and the beginning of the Fed’s QE taper. Commodity holdings also produced some losses, primarily from non-trend strategies. The worst performing sub-sector was industrial metals where short positioning suffered as a rally, sparked by increasing optimism over growth in China and the US, boosted metal prices. Some offsetting gains came from short precious metal holdings which continued to trend lower amid the Fed’s move to begin exiting its loose money policy. Wheat produced the largest gains within the grains as weaker than expected export demand and ample global supplies pushed the commodity to a 20-month low. Foreign exchange holdings produced gains. The largest gains came from short positions on the Japanese yen and the Australian dollar versus the US dollar. The Fed’s decision to begin tapering linked with ongoing easy money policies in Japan pushed USDJPY to new multi-year highs. The Australian dollar fell almost 2% versus the US dollar. Long stock index positions produced the largest gains during December primarily driven by trend following strategies. Global stocks generally sold off in the first half of the month as investors were anxious ahead of the Fed’s QE taper decision. Stocks rallied sharply post the Fed’s taper announcement as investors digested the news and found themselves underinvested in an improving economic landscape. Stocks moved to new highs helping to fuel gains in the sector.

2012 (For the Year Ended December 31)

Of the (1.24)% return for the year, approximately (8.17)% was due to brokerage fees, operating expenses and offering costs bome by the Fund, offset by approximately 6.48% due to trading gains (before commissions) and approximately 0.45% due to investment income. An analysis of the 6.48% trading gain by sector is as follows:


Sector	% Gain (Loss)
Commodities		(1.24	)%
Currencies		1.69
Interest Rates		3.43
Stock Indices		2.60
		6.48	%

2012 began on a positive note, providing much needed relief to market participants across most sectors. Improving global economic data, progress with the European sovereign debt crisis, and continued central bank support drove prices higher in many markets, with the notable exception of the U.S. Dollar. The Fund's models were well positioned for these moves, recording gains in all four sectors with fixed income and stock index futures leading the way. Rising global bond prices in the U.S., Europe, and Japan drove returns, gaining approximately 1.8% for the Fund as yields continued to drop on further monetary easing. Long positions in U.S. and European equity indices were the major source of return in the stock index sector, adding 1.2% to the Fund, as prices moved higher on positive global manufacturing data, improving sentiment in Europe, and the Fed’s pledge to keep interest rates low until 2014. The commodity sector traded flat recording gains on the Fund’s short position in natural gas offset by losses in industrial metals. The foreign exchange sector was profitable, driven by long positions in the commodity linked currencies of Australia and New Zealand.

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

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

A profitable April begins the second quarter of 2012 with gains coming from the Fixed Income sector. The other three sectors, Commodities, Foreign Exchange, and Stock Indices, detracted from the Fund’s performance. Markets continue to exhibit high volatility and a high sensitivity to headlines in the news, creating both challenges and opportunities for participants. Softer economic data, increased expectations of action from central banks, and continued uncertainty in Europe pushed fixed income markets higher in April, leading gains in the Fund’s portfolio. A portion of these gains were offset by losses experienced in the equity markets from long positions in global stock index futures. Additional losses were recorded in the commodity markets from the Fund’s long positions in the energy markets as petroleum prices consolidated through the month of April with gasoline underperforming the complex. The price action in energies revealed a pause in the geopolitical fears that have gripped the markets for much of the year as well as a pause in the excitement over the better than expected economic performance in the US through Q1. Losses were also experienced in the foreign exchange markets from the Fund’s short positions in the Japanese Yen. The value of the Yen strengthened by almost 3% as the Bank of Japan, who was under pressure to deliver more easing at the end of the month, and broadly disappointed the markets.

The Fund’s strategies recorded gains in three of four sectors traded in May. Continued problems in Europe and signs of a slowing global economy helped push safe haven asset prices higher and caused risk assets to fall. The fixed income, foreign exchange, and commodity sectors were profitable for the Fund while the equity indices sector detracted from performance. The primary source of returns in May came from the fixed income sector. Weaker economic numbers and persisting uncertainty across the euro zone drove many fixed income yields to record lows, negative in some cases, and benefited the Fund’s long position in global government bond futures. Increased safe haven demand produced additional gains in the foreign exchange sector from the Fund’s long positions in the U.S. Dollar, particularly vs. the Euro currency. The U.S. Dollar reached its highest level since September 2010 with the Dollar Index (DXY) up over 5% on the month. Ongoing efforts by the Bank of Japan and the Swiss National Bank to limit their currency’s strength helped bolster the appeal of the Dollar. Smaller gains were recorded in the commodity markets from the Fund’s short positions in cotton as the soft commodity sold-off all month and ended the month down 21.5% on increasing global supply and falling demand in China. Additional gains in the commodity markets came from short positions in base and precious metals. A portion of these gains were offset by losses in the equity markets from positions in U.S. and global stock index futures as the markets sold off aggressively on the back of concerns about a possible Greek exit from the European Union, Spain’s struggle to recapitalize its’ banks, and softer global economic data.

The Fund experienced losses in all sectors during the month of June, ending the quarter relatively flat on a gross basis. Global market moves caused by unexpected policy responses from the E.U. summit on the final day of the month reversed gains in profitable sectors and exacerbated losses in unprofitable sectors. Foreign exchange markets led losses in June from a long position in the U.S. Dollar, particularly against the Euro. The Euro rallied into month-end on market optimism from the E.U. summit after European leaders agreed to recapitalize banks directly from the bailout fund and to remove ESM seniority for Spain. These developments, combined with the formation of a government in Greece, caused a decline in safe haven asset prices and recorded losses in the Fund’s long global government bond and short European stock index positions. In the commodity markets, natural gas prices increased on warmer-than-normal weather, low storage injection numbers from the EIA, and a tropical storm in the Gulf, leading to losses from the Fund’s short position. The rally in coffee prices on supply concerns out of Brazil also led to losses from the Fund’s short position in the soft commodity.

The Fund’s strategies recorded significant gains in three of the four sectors traded in July. Fixed income markets continued to extend the upward price trend while additional opportunities emerged in commodities and foreign exchange markets. Equity indices trading finished the month relatively flat. During the month of July, the Fund’s trend following strategies recorded gains in the fixed income markets from a long position in global government bond futures. Weaker than expected global economic data and heightened expectations for central bank action pushed prices higher. Markets were pricing in central bank accommodation from the U.S. Fed, the ECB, and the PBOC at month end. Additional gains were recorded in the commodity markets from long positions in corn, wheat and soybeans as hot, dry weather in the U.S. Mid-West sent the grain markets soaring to all-time highs. The Fund was long the complex coming into the month and was able to take advantage of the surging prices brought on by the severe drought conditions. In foreign exchange markets, the Fund’s long position in the U.S. Dollar vs. the Swiss Franc and the Euro Currency was profitable in July. The Euro made a 25 month low at 1.2043 after the ECB cut both the refinancing and the deposit rate in response to the ongoing crisis. The Swiss Franc also weakened as the Swiss National Bank continued to defend the 1.2000 EUR/CHF floor.

During the month of August, the Fund’s strategies experienced losses in the foreign exchange, fixed income, and commodity sectors, partially offset by gains in equity indices. Increased central bank activity in Europe and the U.S. along with better-than-expected economic data in the U.S. caused significant moves in several global markets, driving losses in the Fund’s trend following strategies. The Fund’s non-trend following strategies helped to mitigate losses, particularly in fixed income and equity indices. In the foreign exchange markets, the Fund’s short positions in the Swiss Franc and the Euro currency vs. the U.S. Dollar suffered as rising expectations of European Central Bank (ECB) action threatened to remove some of the tail risks around the sovereign debt crisis. The Swiss Franc emerged as one of the strongest G10 currencies for the month (+2.9%) as the Swiss National Bank reserves made new highs in an effort to defend the 1.2000 floor in EUR/CHF. Additional losses were recorded in the commodity markets from the Fund's short positions in base metals and short position in cotton. Prices increased across the base metals on a general covering of short positions in risk assets due to the anticipation of further central bank action. Deteriorating U.S. crop conditions, Indian production worries, and speculation of Chinese purchases caused an increase in cotton prices and subsequent losses in the Fund’s short position in the soft commodity. Smaller losses came from fixed income markets, resulting in part from Mario Draghi’s “whatever it takes” speech, with partially offsetting gains recorded from long equity indices positions in the sector. Moves in the fixed income and equity indices sectors resulted generally from anticipation of ECB action and improving U.S. economic data.

As investors know, the Fund contains models that follow both traditional trend following and non-trend following strategies. As with much of 2012, the non-trend following strategies have been a major source of performance in the Fund. The announcement of new quantitative easing measures from several central banks around the world and continuing developments in the Euro-zone were some of the major factors driving prices. Like many trend following strategies, some of the Fund’s trend following models have had difficulty in this environment. The non-trend following strategies, however, continue to add value to the Fund. The majority of September gains in the Fund came from the equity indices sector in both trend and non-trend following strategies. The Fund’s long positions in global stock index futures benefited from rising equity index prices on the back of several central bank announcements of new quantitative easing measures, China’s proposal for new fiscal stimulus, and the German high court’s ruling to uphold the constitutionality of the Euro-zone’s permanent bailout mechanism. Additional gains were recorded in foreign exchange trading, driven mainly by non-trend strategies, from the Fund’s short positions in the U.S. Dollar vs. a basket of currencies. The DXY index lost 2% in September as unlimited balance sheet expansion in the U.S. led investors to shift into other currencies like the New Zealand Dollar. A portion of these gains were offset by losses experienced by trend following strategies in the fixed income markets from the Fund’s long position in global government bond futures. During a volatile month for bond prices, the U.S. 30 year contract finished the month almost 2 full points lower, as the market began to worry about the prospects of inflation. Additional losses were recorded by the Fund’s trend following models in the commodity markets from short positions in base metals as prices rallied sharply following the ECB’s commitment to buy unlimited bonds.

Broad reversals in every sector during October created difficult conditions for the managed futures industry, and the Fund was no exception. As the market began discounting the likelihood of another round of quantitative easing (QE), the S&P 500 Index reversed course, closing 1.9% lower after four consecutive positive months. Fixed income also declined significantly (yields rose) while the U.S. Dollar rallied against most major currencies and commodity markets moved lower. The uncertain political landscape in the U.S. along with better-than-expected unemployment data both contributed to the sudden unwinding of the QE trade. Rather than any one sector or strategy sustaining outsized losses, the Fund’s October decline was caused by the cumulative impact of moderate declines across the portfolio. By sector, commodities and fixed income were the biggest losers. Metals and energies led commodity losses as the Fund came into the month net long those markets. The Fund’s long fixed income position was down on both ends of the curve, and the Fund’s long equity position also sustained losses. The typically negatively correlated sectors of stocks and bonds exhibited some positive correlation in October, as they moved in tandem for much of the month. As a result, the Fund’s portfolio was hurt on both sides of the trade (ie. long stocks and long fixed income). Further losses came from foreign exchange trading as short positions in the U.S. Dollar vs. the Canadian Dollar and the Mexican Peso lost on better economic data.

Gains in currencies and fixed income led to a profitable November for the Fund. Many markets priced in renewed expectations of continued quantitative easing (QE) from global central banks, only slightly reversing the pullback of the QE trade experienced in October. Investors focused mainly on global political developments, particularly in the U.S. and Japan, which helped to reassure markets that QE programs will remain in place for some time. The Fund continues to be generally long the QE trade and benefited from renewed confidence in global central banks. The majority of gains in the currency sector came from a short Japanese Yen position, the Fund’s most profitable trade on the month, as the “funding currency” moved significantly lower on increased likelihood of monetary easing by the BOJ. Additional gains were recorded in fixed income trading as weaker economic data in the Euro-zone and U.S. election results increased quantitative easing expectations and pushed prices higher. Losses were recorded in equity index trading as the positive correlation characteristics with fixed income markets exhibited last month came down slightly. Equity markets moved lower mid-month on concerns over the U.S. fiscal cliff and European sovereign debt, only to reverse course on expected political compromise and central bank support, ending the month in positive territory. Additional losses were recorded in the commodities sector, as short positions in industrial metals and crude oil were hurt by improving economic data out of China and growing geopolitical risks in the Middle East.

During the month of December, the Fund profited in the Foreign Exchange, Equity, and Commodity sectors, and had losses in Interest Rates. Several important developments, including the election results in Japan, a resolution (at least temporarily) of the fiscal cliff showdown in the U.S. and reduced European sovereign debt concerns, generally proved favorable to the Fund. The extension of established trends in a few key markets led to gains in medium and long-term trend following strategies. Gains in Foreign Exchange were driven largely by the Fund’s short Japanese Yen position versus the U.S. Dollar, which profited as Liberal Democratic Party leader Shinzo Abe came to power and pledged to weaken the Yen in order to jumpstart the Japanese economy. Additional gains were recorded in long global stock index positions primarily from Asian and European holdings. Asian shares moved higher on the previously mentioned election of Shinzo Abe and the resulting weaker Japanese Yen; European shares also rose as Europe saw some stability of the sovereign debt situation when Greece secured additional bail-out funds and improved clarity around Italy’s political leadership changes. U.S. stock indices finished mixed, however, when the fiscal cliff compromise proved harder to achieve than previously expected and was a drag on U.S. shares in the second half of the month. Commodities added small additional gains to the Fund with profits in grains, industrial metals, and softs more than offsetting losses from precious metals, meats, and energy positions. The Interest Rate sector was the only unprofitable sector for the Fund. A decline in most long-dated fixed income instruments hurt the Fund’s long positions as better-than-expected U.S. economic data, QE fatigue, a calming of European sovereign debt concerns, and the election of Abe in Japan all weighed on the sector.

2011 (For the Year Ended December 31)

Of the (7.61)% return for the year, approximately (0.04)% was due to trading losses (before commissions) and approximately (7.92)% was due to brokerage fees, operating expenses and offering costs borne by the Fund, offset by approximately 0.35% due to investment income. An analysis of the (0.04)% trading loss by sector is as follows:


Sector	% Gain (Loss)
Commodities		(6.96	)%
Currencies		(3.78	)
Interest Rates		17.50
Stock Indices		(6.80	)
		(0.04	)%

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

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

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

While March’s volatile markets were highlighted by the events in Japan, April’s theme revolved mostly around a persistently weaker U.S. Dollar coupled with a “risk on” appetite in global stock markets. Irrespective of the continued unrest in MENA, Goldman Sachs’ warning that the commodities boom may be running out of steam and oil at multi-year highs, the bulls prevailed on relatively strong M&A activity, a strong start to the earnings season, and the U.S. Federal Reserve’s continued pledge to keep interest rates low for an “extended period.” The U.S. Dollar Index experienced its largest monthly decline since September of last year as the Federal Reserves Chairman Ben Bernanke maintained an accommodative stance in the U.S., while the European Central Bank raised rates to fight inflation. Additional downward pressure came in the form of an S&P downgrade, mid-month, to the U.S. long-term credit outlook. The Fund recorded gains in the currency sector, particularly against the Swiss Franc and commodity-linked currencies such as the Australian Dollar and the New Zealand Dollar. Commodity trading also produced substantial gains as geopolitics contributed to a strong rally in the petroleum complex. Precious metals were also solid performers as Silver came close to its all-time high when the Hunt brothers attempted to corner the market in 1980. In Stock Indices, the Fund generally increased its net long exposure as bullish trends apparently reasserted themselves following a chaotic March, while only maintaining a marginal short exposure in Japan. Trading in fixed income yielded flat results as gains in long positions were offset by losses from short positions.

The petroleum complex sold off substantially on May 5th, despite the lack of any oil-related fundamental data. In addition, precious metals saw a significant decline with the price of silver dropping 24%, giving back the entire April rally. While the Fund suffered losses in these sectors, our models significantly reduced long commodity exposure on the abrupt reversal in price action and spike in volatility throughout the month. Trading in global equities also generated losses on softer economic data, Wall Street lowering U.S. growth forecasts, and renewed European sovereign debt concerns mainly focused on Greece. While positions have been reduced in this sector, regional risk was apparently rotated out of Europe and back to the U.S. Losses were also recorded in currency trading as the U.S. Dollar rallied against most major currencies. The Fund's long Euro position produced the biggest currency loss, as the European Central Bank disappointed expectations of rate hikes at its May policy meeting. Fixed income trading produced strong positive results, helping to mitigate losses in riskier assets as the flight-to-quality theme was dominant in May.

The Greek debt crisis continued to influence price movement in June, leading to the eventual passage of an austerity plan at month-end. In addition, the U.S. Federal Reserve, which continued to expect that economic conditions were likely to warrant exceptionally low interest rates for an extended period, gave no hint of a new “QE3” program. Commodity trading was difficult in June, particularly in the energy complex, as prices continued to fall from late April/early May highs. Factors such as concerns about the European sovereign debt crisis, discord with OPEC, and an unexpected and controversial use of U.S. and European strategic petroleum reserves by the IEA (International Energy Agency) and the DOE (Department of Energy) weighed heavily on prices. Additional losses were recorded in precious and base metals. Trading in global equities also produced negative results as stock markets around the world declined on Greek debt concerns and weak economic data. While the Fund’s models generally reduced overall long stock index exposure throughout the month, concentrations remained in the U.S. and Europe with mixed positioning in Asia. Certain risky assets rallied and bond prices fell across the globe during the last few days of the month after the austerity package in Greece was finally passed. Small losses were recorded in fixed income trading, particularly on the short-end of the curve. Foreign exchange markets were largely unchanged in June, despite headlines that may have caused the currency markets to fluctuate intra-month. The Fund continued to maintain a short U.S. Dollar exposure versus most major currencies.

During the month of July, the markets were affected by the ongoing sovereign debt crisis in both Europe and the U.S. As risky assets suffered, certain bond prices were increased partially from investors flocking to the relative safety of fixed income, yielding strong gains for the Fund’s global long position. While U.S. Treasuries finished the month up over 2%, U.K. Gilts finished up 4%, German Bunds were up 3.5%, Japanese Bonds closed up 5% and Canadian Bonds increased by 2.5%. Additional gains were recorded in foreign exchange trading as the U.S. Dollar continued its downward trend against most major currencies. The U.S. Dollar, in particular, fell to new all-time lows against the Swiss Franc and the New Zealand Dollar, some of the best performing markets for the Fund in July. Commodity trading for the Fund was also strongly positive in July, particularly from precious metals, as safe-haven buying supported prices in gold and silver. Additional profits came from soft commodities as sugar continued its upward trend, gaining 12% in July, on signs that Brazil’s production would not match expectations. The base metals and energy sector yielded small gains, while grains yielded small losses. The stock index sector was the Fund's only losing sector during the month as European sovereign debt remained a concern, economic data was mixed to weaker–than-expected, and the U.S. debt-ceiling and deficit-reduction debate took center stage. While the Fund reduced net long exposure in Europe, position exposure increased in the Pacific Rim and in North America.

August experienced significant volatility stemming mainly from the S&P downgrade of the United States Triple-A credit rating after weeks of contentious political debate. Strong gains in fixed income were recorded during the month as risk appetite diminished sending yields in both the U.S. and European fixed income markets lower. However, the reduction in risk appetite may have been a primary driver for losses in currency trading, stock indices and commodities. As a consequence of market volatility, European Union regulators implemented restrictions on short selling in various stock indices. The Fund’s trading is also subject to these restrictions and appropriate action was taken to be in compliance. While the Fund was still able to short certain stock index contracts in Europe, others have been temporarily removed from the portfolio. The Fund continued to take advantage of stock market volatility (indirectly) through trading in currencies, bonds and commodities.

The markets seemed to be in risk aversion mode in September as the pressure of implementing fiscal austerity in the Eurozone continued. Negative sentiment in macroeconomic growth may have increased fears of recessions and may have overwhelmed some tentative signs of optimism. The Fund benefited from higher bond prices. Equity Indices also yielded gains in the Fund, primarily from short positions in Europe and Asia as stocks globally finished lower. These gains were not enough to offset losses experienced in the other sectors. Risk assets struggled during the month while the U.S. Dollar which was up nearly 6% for the month. The Fund, having been positioned with the prevailing trend of a weaker U.S. Dollar, recorded its largest losses in the Foreign Exchange sector as a result of the U.S. Dollar's rally. The Fund’s models adjusted positioning in response to the rally; however, the losses in this sector were difficult to offset. Commodities amplified the theme of bearish global macroeconomic conditions resulting in overall losses in the sector for the Fund. Precious metals reversed significantly, with nearly a 28% decline in silver and 11% in gold, perhaps implying deflation was on the horizon. Base metal positions helped dampen losses from energy trading, despite certain shorts during the month.

Global risk appetite seemed to improve throughout the month of October as market participants became more optimistic that progress could be achieved in managing the European debt crisis. The turn-around was impressive when considering some markets rallied 20% from their low points. While the Euro rallied relative to the U.S. Dollar during the month, the biggest shock to the system seemed to be the Bank of Japan intervention at month end. The Dollar's significant rally against the Yen caused the Yen to be the only G20 currency with a negative performance against the Dollar on the month. Outside of Europe, economic data improved, thus diminishing some of the global recessionary concerns. A more resilient economy, coupled with expectations of progress in the Eurozone may have supported the global equity markets and commodity prices. While losses in equity indices and fixed income trading were marginal, volatility was elevated in the commodity markets at large, generating losses to the Fund. While aggregate long positions in precious metals were marginally accretive, short positions in the base metals were responsible for the overall loss in the commodities sector, with copper prices rising over 15%. On the last day of the month, the rally unwound and the tide began to change largely due to a call for a referendum on the recently negotiated EU agreement and a confidence vote by the Greek Prime Minister. Choppy markets with high volatility created difficulty for trend-following models.

Primary catalysts for the mid-November sell-off in equity prices may have been influenced by the ongoing sovereign debt crisis in Europe, negative news out of China, and the U.S. deficit-reduction “super committee’s” failure to reach an agreement. The late month rally may have been influenced by better than expected U.S. holiday shopping results, a globally coordinated central bank liquidity action, and optimistic reports of economic data in the U.S. While Trend-Following strategies cannot typically manage intra-day and intra-week fluctuations in price action well, the Fund’s model diversity across time horizon and across market segments may have dampened larger potential market losses for the month. In equity indices trading, early in the month the Fund’s longs in the U.S. and Europe were offset by shorts in Asia. As the month progressed, significant volatility in global equity markets may have caused the Fund’s models to contract and adjust their positioning, leaving marginal room to take advantage of the impromptu rally at month-end. While fixed income trading was strongly positive throughout the month, the risk asset rally at month end may have generated an abrupt fixed income sell-off, thus diminishing gains from the Fund’s long bond positioning in the sector. A similar phenomenon occurred in the currency sector as the U.S. Dollar rally may have caused the Fund’s models to increase their long positioning, only to see an unexpected policy decision negatively influence the U.S. Dollar in the last days of the month. Commodity prices also experienced volatility. The Fund’s short positioning in natural gas yielded substantial gains; however, the sector as a whole finished with losses coming primarily in precious metals. Trend-based systems need linear, directional volatility to profit.

In December, political events continued to influence market price action, with the European Debt Crisis taking center stage. Fixed Income trading yielded strong gains during the month as the Fund’s long positions globally helped close a strong year for the sector. Fixed Income was one of the few sectors to exhibit relatively more pronounced price trend behavior throughout the year. Unfortunately for trend-following strategies in general, much of 2011 exhibited choppy and volatile price action in risk assets due to a number of political events that may have adversely impacted investor sentiment. Currency trading was also a significant contributor to gains on the month as the U.S. Dollar rallied against most of the majors, particularly against the Euro. That said, some significant reversals throughout the year left the Fund in negative territory on the year in foreign exchange. Price action in global equity markets was mixed and finished slightly negative on the month for the Fund and negative on the year. Mixed news out of Europe, generally better than expected U.S. economic data including strong holiday sales, and China’s pro-growth policy were all contributing factors to mixed results. Commodity prices experienced their first annual drop as a sector since 2008 and individual sub-sectors remained volatile, especifically Gold and Silver, losing 10-15% respectively. While commodity trading has been difficult for the Fund on the year, losses on the month were marginal as broad diversification in positioning and underlying risk exposure may have dampened volatility.

Item 7A. 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 of the Fund’s VaR corresponds to the negative change in portfolio value that, based on observed market risk factors, would have been exceeded once in 40 trading days or one day in 40. VaR typically does not represent the worst case outcome.

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

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

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

Because the business of the Fund is the speculative trading of futures 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 December 31, 2013, 2012 and 2011 and the trading gains/losses by market category for the years then ended.


	December 31, 2013
				Trading
Market Sector	Value at Risk*			Gain/(Loss)**
Commodities		0.98	%		3.74	%
Currencies		0.67	%		1.74	%
Interest Rates		0.32	%		(4.30	)%
Stock Indices		1.07	%		14.29	%

Aggregate/Total		1.51	%		15.47	%

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

**	-	Of the 7.50% return for the year, approximately 15.47% was due to trading gains (before commissions) and approximately 0.41% was due to investment income, offset by approximately (8.38)% due to brokerage fees, operating expenses and offering costs borne by the Fund.

	December 31, 2012
				Trading
Market Sector	Value at Risk*			Gain/(Loss)**
Commodities		0.60	%		(1.24	)%
Currencies		0.74	%		1.69	%
Interest Rates		0.96	%		3.43	%
Stock Indices		0.73	%		2.60	%

Aggregate/Total		1.32	%		6.48	%

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

**	-	Of the (1.24)% return for the year, approximately (8.17)% was due to brokerage fees, operating expenses and offering costs borne by the Fund, offset by approximately 6.48% due to trading gains (before commissions) and approximately 0.45% due to investment income.

	December 31, 2011
				Trading
Market Sector	Value at Risk*			Gain/(Loss)**
Commodities		0.65	%		(6.96	)%
Currencies		0.65	%		(3.78	)%
Interest Rates		1.10	%		17.50	%
Stock Indices		0.38	%		(6.80	)%

Aggregate/Total		1.35	%		(0.04	)%

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

**	-	Of the (7.61)% return for the year ended December 31, 2011, approximately (0.04)% was due to trading losses (before commissions) and approximately (7.92)% was due to brokerage fees, operating expenses and offering costs borne by the Fund, offset by approximately 0.35% due to investment income.

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

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

1)		Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;
2)		Changes in portfolio value caused by market movements may differ from those of the VaR model;

3)		VaR results reflect past trading positions while future risk depends on future positions;
4)		VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and

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

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

Non-Trading Risk

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

Qualitative Disclosures Regarding Primary Trading Risk Exposures

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

The following were the primary trading risk exposures of the Fund as of December 31, 2013, 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 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, nickel, silver and zinc.

Agricultural

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

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the non-trading risk exposures of the Fund as of December 31, 2013.

Foreign Currency Balances

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

Fixed Income Securities

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

U.S. Treasury Bill Positions for Margin Purposes

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

General

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

Item 8. Financial Statements and Supplementary Data.

Financial statements meeting the requirements of Regulation S-X appear beginning on Page 53 of this report. The supplementary financial information specified by Item 302 of Regulation S-K is included in Item 6. Selected Financial Data.

Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure.

None.

Item 9A. Controls and Procedures.

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

Management’s Annual Report on Internal Control over Financial Reporting

Campbell & Company, Inc. (“Campbell & Company”), the general partner of the Fund is responsible for the management of the Fund. Management of Campbell & Company (“Management”) is responsible for establishing and maintaining adequate internal control over financial reporting. The internal control over financial reporting is designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles.

The Fund’s internal control over financial reporting includes those policies and procedures that:

	•		Pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Fund;

	•		Provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that the Fund’s transactions are being made only in accordance with authorizations of Management and;

	•		Provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Fund’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

Management assessed the effectiveness of the Fund’s internal control over financial reporting as of the fiscal quarter ended December 31, 2013. The Management noted no changes to the Fund's internal control over financial reporting that materially affected the Funds's internal control over financial reporting. In making this assessment, Management used the framework established in Internal Control — Integrated Framework (1992) issued by the Committee of Sponsoring Organizations of the Treadway Commission (“COSO”). As a result of this assessment and based on the criteria in the COSO framework, management has concluded that, as of December 31, 2013, the Fund’s internal control over financial reporting was effective.

Item 9B. Other Information.

None.

PART III

Item 10. Directors, Executive Officers and Corporate Governance.

The Registrant has no directors or executive officers. The Registrant has no employees. It is managed by Campbell & Company in its capacity as general partner. Campbell & Company has been registered as a commodity pool operator (CPO) since September 1982. Its main business address is located at 2850 Quarry Lake Drive, Baltimore, Maryland 21209, (410) 413-2600. Campbell & Company’s directors and executive officers are as follows:

G. William Andrews, born in 1972, joined Campbell & Company in April 1997 and was appointed to the Board of Directors of Campbell & Company and as Chief Executive Officer of both Campbell & Company and Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered commodity trading advisor and an SEC registered investment adviser, in November 2012. Mr. Andrews is also, since November 2012, the Chief Executive Officer of The Campbell Multi-Strategy Trust, a registered investment company and Director of Campbell Financial Services, Inc., an SEC-registered broker-dealer and FINRA member. Since March 2010, Mr. Andrews has served on the firm’s Investment Committee. Mr. Andrews served as Co-Director of Research since November 2011 until October 2012; Chief Operating Officer from January 2010 to May 2012; Vice President: Director of Operations from April 2007 to January 2010; Vice President: Director of Research Operations from March 2006 to April 2007 and Research Assistant from March 2005 to February 2006. He has also served as the Vice President and Chief Operating Officer of Campbell & Company Investment Adviser LLC and The Campbell Multi-Strategy Trust from March 2010 to June 2012. Mr. Andrews holds an M.B.A. in Finance from Loyola College in Maryland and a Bachelor of Social Science from Waikato University, New Zealand. Mr. Andrews became listed as a Principal of Campbell & Company and Campbell & Company Investment Adviser LLC effective June 21, 2006 and March 29, 2010, respectively.

D. Keith Campbell, born in 1942, has served as Chairman of the Board of Directors of Campbell & Company since it began operations in January 1972, was President until January 1994, and was Chief Executive Officer until January 1998. Mr. Campbell is the majority voting stockholder of Campbell & Company. Mr. Campbell has acted as a commodity trading advisor since January 1972 when, as general partner of the Campbell Fund, a limited partnership engaged in commodity futures trading, he assumed sole responsibility for trading decisions made on its behalf. Since then, he has applied various technical trading models to numerous discretionary futures trading accounts. Mr. Campbell is registered with the CFTC and NFA as a commodity pool operator. Mr. Campbell became listed as a Principal of Campbell & Company effective September 29, 1978 and as a NFA Associate Member and Associated Person effective September 29, 1997 and October 29, 1997, respectively. Mr. Campbell became listed as a Principal of Campbell & Company Investment Adviser LLC effective July 9, 2008. Mr. Campbell became listed as a Principal of his Commodity Pool Operator effective March 10, 1975.

Gregory T. Donovan, born in 1972, joined Campbell & Company in October 2006 and has served as Chief Financial Officer and Treasurer since July 2008. Mr. Donovan is also, since April 2007, the Chief Financial Officer, Treasurer and Assistant Secretary of both Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered commodity trading advisor and an SEC registered investment adviser and The Campbell Multi-Strategy Trust, a registered investment company. Since October 2009 he has also served as the Vice President, Chief Financial Officer and Treasurer of Campbell Financial Services, Inc., an SEC registered broker-dealer and FINRA member; and as Treasurer of Campbell & Company International Bahamas Limited, an international business company incorporated in The Bahamas, which invests in international investment opportunities; since May 2010. Mr. Donovan formerly served as the Senior Vice President of Accounting and Finance from October 2006 to July 2008. From November 2003 to October 2006, Mr. Donovan was employed by Huron Consulting Services, a management consulting firm, serving as Director in the Financial and Economic Consulting Practice. Mr. Donovan is a C.P.A. and has a B.S. in Business Administration with concentrations in Accounting and Management from Castleton State College and holds a M.S. in Finance from the University of Baltimore. Mr. Donovan became listed as a Principal of Campbell & Company effective May 9, 2007 and registered as a NFA Associate Member and Associated Person effective July 2, 2007 and July 5, 2007, respectively. Mr. Donovan became listed as a Principal of Campbell & Company Investment Adviser LLC effective May 16, 2007.

Michael S. Harris, born in 1975, has been employed by Campbell & Company since July 2000, and was appointed to the Board of Directors of Campbell & Company and as President of both Campbell & Company and Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered commodity trading advisor and an SEC registered investment adviser, in November 2012. Mr. Harris has also been appointed, since November 2012, as President of The Campbell Multi-Strategy Trust, a registered investment company, and as Director of Campbell Financial Services, Inc., an SEC- registered broker-dealer FINRA member. Since March 2010, Mr. Harris has served on the firm’s Investment Committee. Mr. Harris served as Vice President and Director of Trading since June 2006 to October 2012 and as Deputy Manager of Trading from September 2004 to May 2012. Mr. Harris holds a B.A. in Economics and Japanese Studies from Gettysburg College. He also spent time studying abroad at Kansai Gaidai University in Osaka, Japan. Mr. Harris became registered as a NFA Associated Member and Associated Person effective August 19, 2000 and September 21, 2000, respectively; and listed as a Principal of Campbell & Company and Campbell & Company Investment Adviser LLC effective June 15, 2006 and November 13, 2012, respectively.

Dr. Xiaohua Hu, born in 1963, joined Campbell & Company in April 1994 and was appointed as Director of Research of both Campbell & Company and Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered commodity trading advisor and an SEC registered investment adviser, in November 2012. Dr. Hu formerly served as the Co-Director of Research from November 2011 to October 2012. Since he joined the firm Dr. Hu has had a major role in the ongoing research and development of Campbell & Company’s trading systems. In March 2010, Dr. Hu was appointed to the firm’s Investment Committee. As Director of Research he is responsible for the management of the research and investment process at the firm. Dr. Hu holds a B.A. in Manufacturing Engineering from Changsha Institute of Technology in China. He went on to receive a Ph.D. in Systems and Information Engineering from the Toyohashi University of Technology, in Japan. During his studies at Toyohashi, Dr. Hu was also a Visiting Researcher in Computer Science and Operations Research and published several refereed papers in the Journal of Society of Instrument and Control Engineers of Japan. Dr. Hu was listed as a Principal of Campbell & Company from February 1998 to December 2001. Dr. Hu again became listed as a Principal of Campbell & Company and Campbell & Company Investment Adviser LLC effective April 7, 2010 and November 14, 2012 respectively.

Thomas P. Lloyd, born in 1959, joined Campbell & Company in September 2005 as General Counsel and Executive Vice President-Legal and Compliance. In this capacity, he is involved in all aspects of legal affairs, compliance and regulatory oversight. Since April 2007, Mr. Lloyd has also overseen Campbell & Company’s fund administration function. Mr. Lloyd was appointed Secretary of Campbell & Company in October 2011 and as Director of the Board of Directors in November 2012. Mr. Lloyd is also, since September 2005, the Secretary, Chief Compliance Officer and Assistant Treasurer of both Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered commodity trading advisor and an SEC registered investment adviser, and The Campbell Multi-Strategy Trust, a registered investment company, and since May 2010, as Secretary of Campbell & Company International Bahamas Limited, an international business company incorporated in The Bahamas which invests in international investment opportunities. Since October 2009, Mr. Lloyd has served as a Director, Vice President, Chief Compliance Officer and Secretary and since November 2012 he was appointed President of Campbell Financial Services, Inc., an SEC- registered broker-dealer and FINRA member. From July 1999 to September 2005, Mr. Lloyd was employed by Deutsche Bank Securities Inc. ("DBSI"), a broker/dealer subsidiary of a global investment bank, in several positions, including Managing Director and head of the legal group for Deutsche Bank Alex. Brown, the Private Client Division of DBSI. Mr. Lloyd holds a B.A. in Economics from the University of Maryland, and a J.D. from the University of Baltimore School of Law. Mr. Lloyd is a member of the Bars of the State of Maryland and the United States Supreme Court. Mr. Lloyd became listed as a Principal of Campbell & Company and Campbell & Company Investment Adviser LLC effective October 20, 2005 and December 12, 2005, respectively. Mr. Lloyd became registered as an Associated Person and NFA Associate Member of Campbell & Company effective August 30, 2010.

Robert W. McBride, born in 1970, has been employed by Campbell & Company since January 2004 and was appointed Chief Technology Officer, formerly known as Director - Software Development and Research Operations, of Campbell & Company and Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered commodity trading advisor and an SEC registered investment adviser since May 2010 and November 2012 respectively. He formerly served as Director Research Operations and Trade Operations from January 2010 to May 2010, Research Operations - Code Management Manager from March 2006 to January 2010, and Research Programmer from January 2004 to March 2006. Mr. McBride holds a Master's of Science in Computer Science from South Dakota Schools of Mines and Technology and a Bachelor of Science in Computer Science from Minnesota State University Mankato. Mr. McBride became listed as a Principal of Campbell & Company and Campbell & Company Investment Adviser LLC effective May 25, 2010 and November 14, 2012, respectively.

Tracy Wills-Zapata, born in 1971, joined Campbell & Company in February 2006 and has served as Managing Director – Business Development since January 2007 and was Managing Director of Institutional Business Development from February 2006 to January 2007. Ms. Wills-Zapata is also, since December 2008, Vice President of both Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered commodity trading advisor and an SEC registered investment adviser, and The Campbell Multi-Strategy Trust, a registered investment company. Since October 2009, Ms. Wills-Zapata has served as a Director and Vice President of Campbell Financial Services, Inc., a registered broker-dealer with the SEC and FINRA member, and in this capacity, Ms. Wills-Zapata oversees the marketing activities of the firm. Ms. Wills-Zapata is currently a member of the Board of Directors and a Member of the Executive Committee for the Managed Funds Association. Ms. Wills-Zapata became registered with the NFA as an Associate Member and Associated Person effective March 27, 2006 and listed as a Principal of Campbell & Company effective July 21, 2008. Ms. Wills-Zapata became listed as a Principal and registered as a NFA Associated Person a NFA Associate Member of Campbell & Company Investment Adviser LLC effective February 18, 2009.

John R. Radle, born in 1967, joined Campbell & Company in June 2005 and was appointed Director of Trading in October 2012 of Campbell & Company, a registered commodity trading advisor, and its wholly-owned subsidiary Campbell & Company Investment Adviser LLC, a SEC registered investment adviser, in June 2013. Mr. Radle also served as the Equity Trading Manager from June 2005 to December 2010 and Manager - Equity & Rule-Based Execution from December 2010 to October 2012. Mr. Radle is a member of the Investment Committee and the Best Execution Committee since April 2013 and November 2006, respectively. Prior to joining Campbell, Mr. Radle worked as a position trader/market-maker for Wachovia Securities from 2003 to 2005 and he held the same role at Deutsche Bank Alex Brown from 1994 through 2003. Mr. Radle started his trading career on the buy-side in 1989 at mutual fund manager American Capital where he traded equities, options, and convertible bonds. Mr. Radle holds a BBA in Finance from Texas Christian University in Fort Worth, TX. He also holds an MBA from Johns Hopkins University in Baltimore, MD. Mr. Radle became listed as a Principal of Campbell & Company and Campbell & Company Investment Adviser LLC effective June 6, 2013. Mr. Radle became registered as a NFA Associated Member and Associated Person effective November 5, 2007.

Darvin N. Sterner, born in 1971, joined Campbell & Company in 1999 and was appointed Director of Private Wealth Distribution in May 2013 of Campbell & Company, a registered commodity trading advisor, and its wholly-owned subsidiary Campbell & Company Investment Adviser LLC, a SEC registered investment adviser. In this capacity, Mr. Sterner oversees Campbell & Company’s private wealth sales distribution. Since March 2007, Mr. Sterner has served as Vice President - National Sales Manager. He was also the Regional Sales Manager from January 2000 to March 2007. Mr. Sterner holds a B.A. in Business Administration from Towson University. Mr. Sterner became listed as a Principal of Campbell & Company and Campbell & Company Investment Adviser LLC effective June 7, 2013. Mr. Sterner became registered as a NFA Associated Member and Associated Person effective April 16, 2002 and May 17, 2002, respectively.

There has never been a material administrative, civil or criminal action brought against Campbell & Company or any of its directors, executive officers, promoters or control persons.

No Forms 3, 4, or 5 have been furnished to the Registrant since inception. To the best of the Registrant’s knowledge, no such forms have been or are required to be filed.

Audit Committee Financial Expert

No individual is named as the “audit committee expert" because no member of the Audit Committee (“Committee”) individually meets all five qualifications in the SEC definition of an "audit committee financial expert"; however, management has determined that the members of the Committee collectively possess the attributes necessary to perform this function.

Code of Ethics

Campbell & Company has adopted a code of ethics for its Chief Executive Officer, Chief Financial Officer, Director of Fund Accounting, Accounting Managers and persons performing similar functions. A copy of the code of ethics may be obtained at no charge by written request to Campbell & Company’s corporate secretary, 2850 Quarry Lake Drive, Baltimore, Maryland 21209 or by calling 1-800-698-7235.

Item 11. Executive Compensation.

The Registrant is managed by its general partner, Campbell & Company. Campbell & Company receives from the Registrant a Brokerage Fee equal to 7% of the Registrant’s month-end Net Assets per year. From such 7% Brokerage Fee, Campbell & Company remits 4% to the broker-dealers which engaged in the distribution of the Units in return for ongoing services to the Limited Partners. Campbell & Company retains the remaining 3% as management fees (2% for providing advisory fees and 1% for acting as general partner). Campbell & Company also receives a performance fee of 20% of the aggregate cumulative appreciation (if any) in Net Asset Value per unit at the end of each calendar quarter, exclusive of the appreciation attributable to interest income. 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”). In determining the fees in this paragraph, adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The performance fee is not subject to any clawback provisions. The brokerage fee and performance fee are typically paid in the month following the month in which they are earned. The brokerage fee and performance fee are paid from the available cash at the Fund’s bank, broker or cash management accounts.

Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Shareholder Matters.


	(a)	Security Ownership of Certain Beneficial Owners. As of December 31, 2013, no Units of Limited Partnership are owned or held by an officer of Campbell & Company.

	(b)	Security Ownership of Management. As of December 31, 2013, Campbell & Company owned 1,106.508 Units of General Partnership Interest having a value of $2,833,856. Units of General Partnership will always be owned by Campbell & Company in its capacity as general partner. The amounts are summarized in the table below:

				Amount and Nature
			Name of Beneficial	of Beneficial
Title of Class			Owner	Ownership	Percentage of Class
Units of General Partnership Interest			Campbell & Company, Inc.	1,106.508 Units	0.40% of Units outstanding

Item 13. Certain Relationships and Related Transactions, and Director Independence.

See Item 11. Executive Compensation and Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Shareholder Matters.

Item 14. Principal Accounting Fees and Services.

The principal accountant for the years ended December 31, 2013 and 2012 was Deloitte & Touche LLP.

	(a)		Audit Fees

			The aggregate fees billed for professional services rendered by the principal accountant for the audit of the Fund’s annual financial statements, for review of financial statements included in the Fund’s Forms 10-Q and other services normally provided in connection with regulatory filing or engagements for the years ended December 31, 2013 and 2012 were $178,750 and $180,375, respectively.

	(b)		Audit Related Fees

			None.

	(c)		Tax Fees

			None.

	(d)		All Other Fees

			None.

	(e)		The Board of Directors of Campbell & Company approved all of the services described above. The Board of Directors has determined that the payments made to its independent accountants for these services are compatible with maintaining such auditors’ independence. The Board of Directors explicitly pre-approves all audit and non-audit services and all engagement fees and terms.

PART IV

Item 15. Exhibits, Financial Statement Schedules.

(a)	The following documents are filed as part of this report:
	(1)	See Financial Statements beginning on page 53 hereof.

	(2)	Schedules:

		Financial statement schedules have been omitted because they are not included in the financial statements or notes hereto applicable or because equivalent information has been included in the financial statements or notes thereto.

	(3)	Exhibits


	Exhibit Number		Description of Document

	3.01		Amended Certificate of Limited Partnership (1)

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

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

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

	10.02		Global Institutional Master Custody Agreement (1)

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

	31.01		Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.

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

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

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

	101.01		Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments December 31, 2013 and 2012, (ii) Statements of Financial Condition December 31, 2013 and 2012, (iii) Statements of Operations For the Years Ended December 31, 2013, 2012 and 2011, (iv) Statements of Cash Flows For the Years Ended December 31, 2013, 2012 and 2011, (v) Statements of Changes in Partners’ Capital (Net Asset Value) For the Years Ended December 31, 2013, 2012 and 2011, (vi) Financial Highlights For the Years Ended December 31, 2013, 2012 and 2011, (vii) Notes to Financial Statements.



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

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

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

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) 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 on April 1, 2014.


	CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
	By:	CAMPBELL & COMPANY, INC. General Partner

	By:	/s/ G. William Andrews
		G. William Andrews
		Chief Executive Officer and Director

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the Registrant in the capacities of Campbell & Company, Inc., General Partner of the Registrant, indicated on April 1, 2014.


Signature		Capacity

/s/ D. Keith Campbell		Chairman of the Board of Directors
D. Keith Campbell

/s/ G. William Andrews		Director and Chief Executive Officer
G. William Andrews

/s/ Michael S. Harris		Director and President
Michael S. Harris

/s/ Thomas P. Lloyd		Director and General Counsel
Thomas P. Lloyd

/s/ Gregory T. Donovan		Chief Financial Officer, Principal Accounting Officer
Gregory T. Donovan

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

ANNUAL REPORT

December 31, 2013

CAMPBELL STRATEGIC ALLOCATION FUND, L.P

INDEX


	PAGES

Report of Independent Registered Public Accounting Firm		55

Financial Statements

Condensed Schedules of Investments December 31, 2013 and 2012		56 - 59

Statements of Financial Condition December 31, 2013 and 2012		60

Statements of Operations For the Years Ended December 31, 2013, 2012 and 2011		61

Statements of Cash Flows For the Years Ended December 31, 2013, 2012 and 2011		62

Statements of Changes in Partners’ Capital (Net Asset Value) For the Years Ended December 31, 2013, 2012 and 2011		63

Financial Highlights For the Years Ended December 31, 2013, 2012 and 2011		64

Notes to Financial Statements		65 - 74

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Partners of

Campbell Strategic Allocation Fund, L.P.:

We have audited the accompanying statements of financial condition of Campbell Strategic Allocation Fund, L.P. (the “Fund”), including the condensed schedules of investments, as of December 31, 2013 and 2012, and the related statements of operations, cash flows, changes in partners’ capital (net asset value) and financial highlights for each of the three years in the period ended December 31, 2013. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Campbell Strategic Allocation Fund, L.P. as of December 31, 2013 and 2012, the results of its operations, its cash flows, changes in its partners’ capital (net asset value) and the financial highlights for each of the three years in the period ended December 31, 2013, in conformity with accounting principles generally accepted in the United States of America.

/s/ DELOITTE & TOUCHE LLP

McLean, Virginia

March 25, 2014

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2013

FIXED INCOME SECURITIES

Maturity Face Value	Description		Fair Value ($)	% of Net Asset Value
	Bank Deposits
	Finland
	Financials	$	21,053,508	2.96 %
	(cost $21,000,000)

	Commercial Paper
	Cayman Islands
	Energy		18,589,411	2.62 %
	(cost $18,588,544)
	United States
	Consumer Discretionary		14,999,763	2.11 %
	Consumer Staples		14,999,447	2.11 %
	Energy		74,261,729	10.46 %
	Financials		39,991,100	5.63 %
	Materials		19,994,490	2.82 %
	Utilities		13,947,852	1.96 %
	Total United States (cost $178,180,404)		178,194,381	25.09 %
	Total Commercial Paper (cost $196,768,948)		196,783,792	27.71 %

	Corporate Bonds
	United Kingdom
	Materials (cost $20,000,000)		20,047,500	2.82 %
	United States
	Communications		21,302,694	3.00 %
	Consumer Discretionary		29,215,372	4.11 %
	Financials		161,885,555	22.79 %
	Health Care		7,302,511	1.03 %
	Total United States (cost $219,405,453)		219,706,132	30.93 %
	Total Corporate Bonds (cost $239,405,453)		239,753,632	33.75 %

	Government And Agency Obligations
	Multi National
	Multi National Agency (cost $30,750,000)		30,746,925	4.33 %
	United States
$124,800,000	U.S. Treasury Bills U.S. Treasury Bills * Due 01/02/2014		124,799,973	17.57 %
$49,100,000	U.S. Treasury Bills * Due 01/09/2014		49,099,810	6.91 %
$6,500,000	U.S. Treasury Bills * Due 02/27/2014		6,499,734	0.92 %
	Total United States (cost $180,399,517)		180,399,517	25.40 %
	Total Government And Agency Obligations (cost $211,149,517)		211,146,442	29.73 %

	Total Fixed Income Securities ** (cost $668,323,918)	$	668,737,374	94.15 %

SHORT TERM INVESTMENTS

Maturity Face Value	Description		Fair Value ($)	% of Net Asset Value
	Money Market Funds
	United States
	Money Market Funds	$	523	0.00 %
	(cost $523)
	Total Short Term Investments (cost $523)	$	523	0.00 %

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2013

LONG FUTURES CONTRACTS
Description		Fair Value ($)	% of Net Asset Value
Agriculture	$	(705,908)	(0.10)%
Energy		(1,362,566)	(0.19)%
Metals		54,589	0.01 %
Stock indices		16,433,730	2.31 %
Short-term interest rates		(2,327,528)	(0.33)%
Long-term interest rates		(145,865)	(0.02)%
Net unrealized gain (loss) on long futures contracts		11,946,452	1.68 %


SHORT FUTURES CONTRACTS
Description		Fair Value ($)	% of Net Asset Value
Agriculture		2,764,321	0.39 %
Energy		43,930	0.01 %
Metals		(1,055,846)	(0.15)%
Stock indices		(6,955)	0.00 %
Short-term interest rates		788,320	0.11 %
Long-term interest rates		1,398,437	0.20 %
Net unrealized gain (loss) on short futures contracts		3,932,207	0.56 %

Net unrealized gain (loss) on open futures contracts	$	15,878,659	2.24 %


FORWARD CURRENCY CONTRACTS
Description		Fair Value ($)	% of Net Asset Value
Various long forward currency contracts	$	(2,868,780)	(0.40)%
Various short forward currency contracts		6,482,607	0.91 %
Net unrealized gain (loss) on open forward currency contracts	$	3,613,827	0.51 %


*	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 $124,799,973 deposited with the futures brokers and $55,599,544 deposited with the interbank market makers.

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2012

FIXED INCOME SECURITIES

Maturity Face Value	Description		Fair Value ($)	% of Net Asset Value
	Bank Deposits
	Canada
	Financials	$	20,918,580	2.69 %
	(cost $20,900,000)
	Finland
	Financials		21,170,184	2.72 %
	(cost $21,000,000)
	Netherlands
	Financials		21,506,220	2.76 %
	(cost $21,500,000)
	United States
	Financials		20,901,254	2.69 %
	(cost $20,900,000)
	Total Bank Deposits (cost $84,300,000)		84,496,238	10.86 %

	Commercial Paper
	United States
	Consumer Discretionary		34,958,650	4.49 %
	Consumer Staples		44,381,098	5.70 %
	Energy		72,097,064	9.27 %
	Financials		35,189,619	4.52 %
	Materials		19,998,478	2.57 %
	Telecommunication Services		20,490,063	2.63 %
	Utilities		64,101,965	8.24 %
	Total Commercial Paper (cost $291,193,625)		291,216,937	37.42 %

	Corporate Bonds
	United States
	Financials		131,969,527	16.96 %
	Utilities		15,697,946	2.02 %
	Total Corporate Bonds (cost $147,615,718)		147,667,473	18.98 %

	Government And Agency Obligations
	United States
$28,500,000	U.S. Treasury Bills U.S. Treasury Bills * Due 01/03/2013		28,499,913	3.66 %
$75,000,000	U.S. Treasury Bills * Due 01/10/2013		74,998,406	9.64 %
$75,000,000	U.S. Treasury Bills * Due 02/21/2013		74,990,703	9.64 %
$20,000,000	U.S. Treasury Bills * Due 03/28/2013		19,996,417	2.57 %
	Total Government And Agency Obligations (cost $198,485,439)		198,485,439	25.51 %

	Total Fixed Income Securities ** (cost $721,594,782)	$	721,866,087	92.77 %

SHORT TERM INVESTMENTS

Maturity Face Value	Description		Fair Value ($)	% of Net Asset Value
	Money Market Funds
	United States
	Money Market Funds	$	16,700,593	2.15 %
	(cost $16,700,593)
	Total Short Term Investments (cost $16,700,593)	$	16,700,593	2.15 %

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2012

LONG FUTURES CONTRACTS
Description		Fair Value ($)	% of Net Asset Value
Agriculture	$	(747,467)	(0.09)%
Energy		641,506	0.08 %
Metals		(554,132)	(0.07)%
Stock indices		3,205,040	0.41 %
Short-term interest rates		(132,002)	(0.02)%
Long-term interest rates		2,619,151	0.34 %
Net unrealized gain (loss) on long futures contracts		5,032,096	0.65 %


SHORT FUTURES CONTRACTS
Description		Fair Value ($)	% of Net Asset Value
Agriculture		1,739,094	0.22 %
Energy		(715,370)	(0.09)%
Metals		1,628,259	0.21 %
Stock indices		(219,170)	(0.03)%
Short-term interest rates		(11,859)	0.00 %
Long-term interest rates		(1,295,444)	(0.17)%
Net unrealized gain (loss) on short futures contracts		1,125,510	0.14 %

Net unrealized gain (loss) on open futures contracts	$	6,157,606	0.79 %


FORWARD CURRENCY CONTRACTS
Description		Fair Value ($)	% of Net Asset Value
Various long forward currency contracts	$	3,561,398	0.46 %
Various short forward currency contracts		12,744,432	1.64 %
Net unrealized gain (loss) on open forward currency contracts	$	16,305,830	2.10 %


*	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 $149,989,109 deposited with the futures brokers and $48,496,330 deposited with the interbank market makers.

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF FINANCIAL CONDITION

DECEMBER 31, 2013 AND 2012

		2013		2012
ASSETS
Equity in futures broker trading accounts
Cash	$	38,252,871	$	18,486,160
Fixed income securities (cost $124,799,973 and $149,989,109, respectively)		124,799,973		149,989,109
Net unrealized gain (loss) on open futures contracts		15,878,659		6,157,606
Total equity in futures broker trading accounts		178,931,503		174,632,875

Cash and cash equivalents		158,320		17,612,613
Short term investments (cost $523 and $16,700,593, respectively)		523		16,700,593
Fixed income securities (cost $543,523,945 and $571,605,673, respectively)		543,937,401		571,876,978
Net unrealized gain (loss) on open forward currency contracts		3,613,827		16,305,830
Interest receivable		984,975		738,170
Total assets	$	727,626,549	$	797,867,059

LIABILITIES
Accounts payable		$393,695		$481,491
Brokerage fee		4,239,893		4,648,400
Accrued commissions and other trading fees on open contracts		128,320		126,347
Offering costs payable		265,023		390,589
Redemptions payable		12,274,381		14,181,122
Total liabilities		17,301,312		19,827,949

PARTNERS' CAPITAL (Net Asset Value)
General Partner - 1,106.508 and 2,324.048 redeemable units outstanding at December 31, 2013 and December 31, 2012, respectively		2,833,856		5,536,580
Limited Partners - 276,246.741 and 324,267.724 redeemable units outstanding at December 31, 2013 and December 31, 2012, respectively		707,491,381		772,502,530
Total partners' capital (Net Asset Value)		710,325,237		778,039,110

Total liabilities and partners' capital (Net Asset Value)	$	727,626,549	$	797,867,059

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF OPERATIONS

FOR THE YEARS ENDED DECEMBER 31, 2013, 2012 AND 2011

		2013		2012		2011
TRADING GAINS (LOSSES)
Futures trading gains (losses)
Realized	$	95,689,835	$	60,058,452	$	46,543,305
Change in unrealized		9,721,053		(9,548,536)		(2,644,136)
Brokerage commissions		(5,331,902)		(4,099,294)		(4,083,980)
Net gain (loss) from futures trading		100,078,986		46,410,622		39,815,189

Forward currency and options on forward
currency trading gains (losses)
Realized		26,813,492		15,495,335		(46,774,097)
Change in unrealized		(12,692,003)		(4,504,743)		(1,181,031)
Brokerage commissions		(264,490)		(273,764)		(484,229)
Net gain (loss) from forward currency and options on forward currency trading		13,856,999		10,716,828		(48,439,357)

Total net trading gain (loss)		113,935,985		57,127,450		(8,624,168)

NET INVESTMENT INCOME (LOSS)
Investment income
Interest income		2,885,191		3,676,598		4,449,073
Realized gain (loss) on fixed income securities		128,420		69,747		23,515
Change in unrealized gain (loss) on fixed income securities		142,151		156,402		(137,626)
Total investment income		3,155,762		3,902,747		4,334,962

Expenses
Brokerage fee		54,768,729		62,173,181		87,233,861
Operating expenses		1,435,067		1,666,407		1,980,103

Total expenses		56,203,796		63,839,588		89,213,964

Net investment income (loss)		(53,048,034)		(59,936,841)		(84,879,002)

NET INCOME (LOSS)	$	60,887,951	$	(2,809,391)	$	(93,503,170)


NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT
(based on weighted average number of units outstanding during the year)	$	200.29	$	(7.87)	$	(190.91)

INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT	$	178.78	$	(29.88)	$	(198.69)

WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE YEAR		304,003.690		357,029.398		489,767.202

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF CASH FLOWS

FOR THE YEARS ENDED DECEMBER 31, 2013, 2012 AND 2011

		2013		2012		2011
Cash flows from (for) operating activities
Net income (loss)	$	60,887,951	$	(2,809,391)	$	(93,503,170)
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
Net change in unrealized on futures, forwards, options and fixed income		2,828,799		13,896,877		3,962,793
(Increase) decrease in restricted cash		0		44,204,325		(39,880,274)
(Increase) decrease in option premiums paid		0		0		4,537,333
Increase (decrease) in option premiums received		0		0		(988,402)
(Increase) decrease in interest receivable		(246,805)		229,927		1,477,168
Increase (decrease) in accounts payable and accrued expenses		(494,330)		(971,355)		(3,137,866)
Purchases of investments		(16,782,367,654)		(32,449,847,326)		(46,506,315,083)
Sales/maturities of investments		16,852,338,588		32,527,167,508		46,714,835,659

Net cash from (for) operating activities		132,946,549		131,870,565		80,988,158

Cash flows from (for) financing activities
Redemption of units		(127,827,501)		(155,717,981)		(387,363,659)
Offering costs paid		(2,806,630)		(3,227,571)		(3,360,412)
Net cash from (for) financing activities		(130,634,131)		(158,945,552)		(390,724,071)

Net increase (decrease) in cash and cash equivalents		2,312,418		(27,074,987)		(309,735,913)

Unrestricted cash
Beginning of year		36,098,773		63,173,760		372,909,673

End of year	$	38,411,191	$	36,098,773	$	63,173,760

End of year cash and cash equivalents consists of:
Cash in futures broker trading accounts		38,252,871		18,486,160		61,256,582
Cash and cash equivalents		158,320		17,612,613		1,917,178

Total end of year cash and cash equivalents	$	38,411,191	$	36,098,773	$	63,173,760

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

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

FOR THE YEARS ENDED DECEMBER 31, 2013, 2012 AND 2011

	Partners’ Capital
	General Partner			Limited Partners			Total
	Units		Amount	Units		Amount	Units		Amount
Balances at December 31, 2010	6,602.933	$	17,239,400	536,451.595	$	1,400,606,228	543,054.528	$	1,417,845,628


Net income (loss)			(762,638)			(92,740,532)			(93,503,170)
Redemptions	(2,272.331)		(6,000,000)	(153,079.527)		(379,936,993)	(155,351.858)		(385,936,993)
Offering costs			(30,570)			(3,167,455)			(3,198,025)
Balances at December 31, 2011	4,330.602	$	10,446,192	383,372.068	$	924,761,248	387,702.670	$	935,207,440


Net income (loss)			90,594			(2,899,985)			(2,809,391)
Transfers in	10.877		25,912	0.000		0	10.877		25,912
Transfers out	0.000		0	(10.877)		(25,912)	(10.877)		(25,912)
Redemptions	(2,017.431)		(5,003,273)	(59,093.467)		(145,982,300)	(61,110.898)		(150,985,573)
Offering costs			(22,845)			(3,350,521)			(3,373,366)
Balances at December 31, 2012	2,324.048	$	5,536,580	324,267.724	$	772,502,530	326,591.772	$	778,039,110


Net income (loss)			513,977			60,373,974			60,887,951
Redemptions	(1,217.540)		(3,200,000)	(48,020.983)		(122,720,760)	(49,238.523)		(125,920,760)
Offering costs			(16,701)			(2,664,363)			(2,681,064)
Balances at December 31, 2013	1,106.508	$	2,833,856	276,246.741	$	707,491,381	277,353.249	$	710,325,237

Net Asset Value per General and Limited Partner Unit
December 31, 2013	December 31, 2012	December 31, 2011

$2,561.08	$2,382.30	$2,412.18

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

FINANCIAL HIGHLIGHTS

FOR THE YEARS ENDED DECEMBER 31, 2013, 2012 AND 2011

The following information presents per unit operating performance data and other supplemental financial data for the years ended December 31, 2013, 2012 and 2011. This information has been derived from information presented in the financial statements.

		2013		2012		2011
Per Unit Performance
(for a unit outstanding throughout the entire year)

Net asset value per unit at beginning of year	$	2,382.30	$	2,412.18	$	2,610.87

Income (loss) from operations:
Total net trading gains (losses) (1)		362.10		147.45		(18.86)
Net investment income (loss) (1)		(174.50)		(167.88)		(173.30)

Total net income (loss) from operations		187.60		(20.43)		(192.16)

Offering costs (1)		(8.82)		(9.45)		(6.53)

Net asset value per unit at end of year	$	2,561.08	$	2,382.30	$	2,412.18

Total Return		7.50 %		(1.24)%		(7.61)%

Supplemental Data

Ratios to average net asset value:
Expenses prior to performance fee		7.31 %		7.28 %		7.29 %
Performance fee		0.00 %		0.00 %		0.00 %

Total expenses		7.31 %		7.28 %		7.29 %

Net investment income (loss) (2)		(6.90)%		(6.84)%		(6.93)%

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

(1)	Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the year. 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.

See Accompanying Notes to Financial Statements.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2013

Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

A. General Description of the Fund

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

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

B. Regulation

As a registrant with the Securities and Exchange Commission (the "SEC"), the Fund is subject to the regulatory requirements under the Securities Exchange Act of 1934. Prior to January 6, 2012, the Fund was also subject to the regulatory requirements under the Securities Act of 1033. 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.

Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and fair value) are reported in the Statements of Financial Condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") 210-20, Offsetting - Balance Sheet. The fair value of futures (exchange-traded) contracts is based on 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.

Prior to September 2011, the fair value of option (non-exchange traded) contracts was calculated by applying an industry-standard adaptation of the Black-Scholes options valuation model to foreign currency options, using as inputs the spot prices, interest rates and option implied volatilities quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period. Any change in net unrealized gain or loss from the preceding period is reported in the Statements of Operations.

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

The fixed income investments, other than U.S. Treasury Bills, are held at the custodian and marked to market on the last business day of the reporting period using a third party vendor hierarchy of pricing providers who specialize in such markets. The prices furnished by the providers consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. U.S. Treasury Bills are held at the futures brokers or interbank market makers and are stated at cost plus accrued interest, which approximates fair value. Premiums and discounts on fixed income securities are amortized and accreted for financial reporting purposes.

The short term investments represent cash held at the custodian and invested overnight in a money market account investing in high quality instruments.

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.

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.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2013

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 included 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 December 31, 2013 and December 31, 2012, and for the periods ended December 31, 2013 and 2012, 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 December 31, 2013 and December 31, 2012.

		Fair Value at December 31, 2013
Description		Level 1		Level 2		Level 3		Total
Investments
Short term investments	$	523	$	0	$	0	$	523
Fixed income securities		0		668,737,374		0		668,737,374
Other Financial Instruments
Exchange-traded futures contracts		15,878,659		0		0		15,878,659
Forward currency contracts		0		3,613,827		0		3,613,827
Total	$	15,879,182	$	672,351,201	$	0	$	688,230,383

		Fair Value at December 31, 2012
Description		Level 1		Level 2		Level 3		Total
Investments
Short term investments	$	16,700,593	$	0	$	0	$	16,700,593
Fixed income securities		0		721,866,087		0		721,866,087
Other Financial Instruments
Exchange-traded futures contracts		6,157,606		0		0		6,157,606
Forward currency contracts		0		16,305,830		0		16,305,830
Total	$	22,858,199	$	738,171,917	$	0	$	761,030,116

There were no transfers to or from Level 1 to Level 2 for the years ended December 31, 2013 and 2012.

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

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2013

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 2010 through 2013 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

G. Offering Costs

Campbell & Company, Inc. ("Campbell & Company") has incurred all costs in connection with the initial and continuous offering of units of the Fund ("offering costs"). In addition, Campbell & Company continues to compensate wholesalers for services rendered to Limited Partners. The Fund's liability for offering costs is limited to the maximum of total offering costs incurred by Campbell & Company, not to exceed 2.5% of the aggregate subscriptions accepted during the initial and continuous offerings. As of December 31, 2013 and December 31, 2012, the Fund has the potential remaining reimbursement amount of approximately $42.3 million and $45.0 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 December 31, 2013 and December 31, 2012, the amount of unreimbursed offering costs incurred by Campbell & Company is $263,563 and $422,950, respectively. At December 31, 2013, and December 31, 2012, the Fund reflects a liability in the Statements of Financial Condition for offering costs payable to Campbell & Company of $265,023 and $390,589, 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 December 2011, the FASB issued ASU No. 2011-11, Balance Sheet (Topic 210), Disclosures about Offsetting Assets and Liabilities ("ASU 2011-11"), which requires entities to disclose information about financial instruments and derivative instruments that have been offset or that are subject to enforceable master netting agreements, to enable users of its financial statements to evaluate the effect or potential effect of those agreements on its financial position. Entities will be required to provide both net (offset amounts) and gross information in the notes to the financial statements for relevant assets and liabilities that are offset or subject to the arrangements. In January 2013, the FASB issued ASU 2013-01, Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities. The update clarifies that the scope of ASU 2011-11 applies to derivatives accounted for in accordance with Topic 815. ASU Nos. 2011-11 and 2013-01 are effective for interim and annual periods beginning on or after January 1, 2013. The adoption of the additional disclosure requirements are reflected in the Fund's financial statements.

In June 2013, the FASB issued ASU 2013-08, Financial Services - Investments Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements. ASU 2013-08 changes the approach to the investment company assessment, requires non-controlling ownership interests in other investment companies to be measured at fair value, and requires additional disclosures about the investment company's status as an investment company. The amendments are effective for interim and annual reporting periods beginning after December 15, 2013. The Fund is currently evaluating the impact this pronouncement would have on the financial statements.

J. Reclassification

Certain 2011 amounts in the Statement of Cash Flows were reclassified to conform with the 2013 and 2012 presentation. Specifically, purchases and sales/maturities of investments are presented on a gross basis as components of cash flows from (for) operating activities.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2013

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. CASH MANAGER AND CUSTODIAN

For the year ended December 31, 2013, Horizon Cash Management LLC served as the cash manager under the Investment Advisory Agreement to manage and control the liquid assets of the Fund. The cash manager is registered as an investment adviser with the SEC of the United States under the Investment Advisers Act of 1940.

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

Note 4. DEPOSITS WITH FUTURES BROKERS

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

Note 5. DEPOSITS WITH INTERBANK MARKET MAKERS

The Fund’s counterparties with regard to its forward currency and options on foreign currency transactions are The Royal Bank of Scotland PLC ("RBS") and UBS AG ("UBS"). The Fund has entered into an International Swap and Derivatives Association, Inc. agreement with RBS and UBS which governs these transactions. The credit ratings reported by the three major rating agencies for RBS and UBS were considered investment grade as of December 31, 2013. Margin requirements are satisfied by the deposit of U.S. Treasury bills and cash with RBS and UBS. The Fund typically earns interest income on its assets deposited with the RBS and UBS.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2013

Note 6. OPERATING EXPENSES

Operating expenses of the Fund are limited by the Amended Agreement of Limited Partnership to 0.5% per year of the average month-end Net Asset Value of the Fund. Actual operating expenses were less than 0.5% (annualized) of average month-end Net Asset Value for the years ended December 31, 2013, 2012 and 2011.

Note 7. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

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

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

Note 8. TRADING ACTIVITIES AND RELATED RISKS

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

Market Risk

For derivatives, risks arise from changes in the fair value of the contracts. Market movements result in frequent changes in the fair value of the Fund's open positions and, consequently, in its earnings and cash flow. The Fund's market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the fair value of financial instruments and contracts, the diversification effects among the Fund's open positions and the liquidity of the markets in which it trades. Theoretically, the Fund is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. As both a buyer and seller of options prior to September 2011, the Fund paid or received a premium at the outset and then bore the risk of unfavorable changes in the price of the contract underlying the option. Written options exposed the Fund to potentially unlimited liability, and purchased options exposed the Fund to a risk of loss limited to the premiums paid. See Note 1.C. for an explanation of how the Fund determines its valuation for derivatives as well as the netting of derivatives.

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

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2013

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 December 31, 2013 and 2012 is as follows:

Type of Instrument *	Statements of Financial Condition Location		Asset Derivatives at December 31, 2013 Fair Value		Liability Derivatives at December 31, 2013 Fair Value		Net
Agriculture Contracts	Net unrealized gain (loss) on open futures contracts	$	3,547,428	$	(1,489,015)	$	2,058,413
Energy Contracts	Net unrealized gain (loss) on open futures contracts		66,870		(1,385,506)		(1,318,636)
Metal Contracts	Net unrealized gain (loss) on open futures contracts		4,683,858		(5,685,115)		(1,001,257)
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts		16,591,607		(164,832)		16,426,775
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		902,280		(2,441,488)		(1,539,208)
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		1,522,996		(270,424)		1,252,572
Forward Currency Contracts	Net unrealized gain (loss) on open forward currency contracts		29,519,154		(25,905,327)		3,613,827
Totals		$	56,834,193	$	(37,341,707)	$	19,492,486
* Derivatives not designated as hedging instruments under ASC 815

Type of Instrument *	Statements of Financial Condition Location		Asset Derivatives at December 31, 2012 Fair Value		Liability Derivatives at December 31, 2012 Fair Value		Net
Agriculture Contracts	Net unrealized gain (loss) on open futures contracts	$	2,235,041	$	(1,243,414)	$	991,627
Energy Contracts	Net unrealized gain (loss) on open futures contracts		840,758		(914,622)		(73,864)
Metal Contracts	Net unrealized gain (loss) on open futures contracts		3,466,850		(2,392,723)		1,074,127
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts		6,160,202		(3,174,332)		2,985,870
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		491,230		(635,091)		(143,861)
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		2,966,624		(1,642,917)		1,323,707
Forward Currency Contracts	Net unrealized gain (loss) on open forward currency contracts		53,186,356		(36,880,526)		16,305,830
Totals		$	69,347,061	$	(46,883,625)	$	22,463,436
* Derivatives not designated as hedging instruments under ASC 815

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2013

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 years ended December 31, 2013, 2012 and 2011 is as follows:

Type of Instrument		Trading Gains / (Losses) for the Year Ended December 31, 2013		Trading Gains / (Losses) for the Year Ended December 31, 2012		Trading Gains / (Losses) for the Year Ended December 31, 2011
Agriculture Contracts	$	15,039,159	$	16,456,739	$	(64,321,567)
Energy Contracts		(12,619,437)		5,343,451		(1,445,221)
Metal Contracts		28,527,602		(29,128,206)		(15,635,184)
Stock Indices Contracts		108,892,903		25,323,038		(81,338,932)
Short-Term Interest Rate Contracts		(24,548,420)		17,945,862		2,170,063
Long-Term Interest Rate Contracts		(9,746,104)		14,950,439		204,478,054
Forward Currency Contracts		14,121,489		10,990,592		(27,290,153)
Purchased Options on Forward Currency Contracts		0		0		(44,236,536)
Written Options on Forward Currency Contracts		0		0		23,571,561
Total	$	119,667,192	$	61,881,915	$	(4,047,915)

Line Item in the Statements of Operations		Trading Gains / (Losses) for the Year Ended December 31, 2013		Trading Gains / (Losses) for the Year Ended December 31, 2012		Trading Gains / (Losses) for the Year Ended December 31, 2011
Futures trading gains (losses):
Realized **	$	95,824,650	$	60,439,859	$	46,551,349
Change in unrealized		9,721,053		(9,548,536)		(2,644,136)
Forward currency and options on forward currency trading gains (losses):
Realized		26,813,492		15,495,335		(46,774,097)
Change in unrealized		(12,692,003)		(4,504,743)		(1,181,031)
Total	$	119,667,192	$	61,881,915	$	(4,047,915)
** Amounts differ from the amounts on the Statements of Operations as the amounts above do not include gains and losses on foreign currency cash balances at the futures broker.

For the years ended December 31, 2013, 2012 and 2011, the monthly average of futures contracts bought and sold was approximately 113,100, 87,700 and 85,500, respectively, and the monthly average of notional value of forward currency and options on forward currency contracts was $6,406,000,000, $6,005,000,000 and $11,755,500,000, respectively.

Open contracts generally mature within twelve months; as of December 31, 2013, the latest maturity date for open futures contracts is March 2015 and the latest maturity date for open forward currency contracts is March 2014. 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 broker. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a futures broker to segregate all customer transactions and assets from such futures broker's proprietary activities. A customer's cash and other property (for example, U.S. Treasury Bills) deposited with a futures broker are considered commingled with all other customer funds subject to the futures broker's segregation requirements. In the event of a futures broker's insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than total cash and other property deposited.

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

Under the terms of each of the master netting agreements 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.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2013

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 December 31, 2013 and 2012 was $180,399,517 and $198,485,439, respectively, which equals 25% and 26% of Net Asset Value, respectively. The cash deposited with the interbank market makers at December 31, 2013 and 2012 was $97,130 and $191,482, respectively, which equals 0% and 0% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents. There was no restricted cash at December 31, 2013 or December 31, 2012.

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 an agreement similar 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
As of December 31, 2013
Type of Instrument	Counterparty		Gross Amount of Recognized Assets		Gross Amount Offset in the Statements of Financial Condition		Net Amount of Unrealized Gain Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	13,530,175	$	(5,732,516)	$	7,797,659
Futures contracts	Goldman Sachs		13,784,864		(5,703,864)		8,081,000
Total futures contracts			27,315,039		(11,436,380)		15,878,659
Forward currency contracts	UBS AG		14,955,374		(13,194,763)		1,760,611
Forward currency contracts	Royal Bank of Scotland		14,563,780		(12,710,564)		1,853,216
Total forward currency contracts			29,519,154		(25,905,327)		3,613,827
Total derivatives		$	56,834,193	$	(37,341,707)	$	19,492,486

Derivatives Assets and Collateral Received by Counterparty
As of December 31, 2013
				Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty		Net Amount of Unrealized Gain in the Statements of Financial Condition		Financial Instruments		Cash Collateral Received		Net Amount
UBS Securities LLC	$	7,797,659	$	0	$	0	$	7,797,659
Goldman Sachs		8,081,000		0		0		8,081,000
UBS AG		1,760,611		0		0		1,760,611
Royal Bank of Scotland		1,853,216		0		0		1,853,216
Total	$	19,492,486	$	0	$	0	$	19,492,486

Offsetting of Derivative Liabilities
As of December 31, 2013
Type of Instrument	Counterparty		Gross Amount of Recognized Liabilities		Gross Amount Offset in the Statements of Financial Condition		Net Amount of Unrealized Loss Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	5,732,516	$	(5,732,516)	$	0
Futures contracts	Goldman Sachs		5,703,864		(5,703,864)		0
Total futures contracts			11,436,380		(11,436,380)		0
Forward currency contracts	UBS AG		13,194,763		(13,194,763)		0
Forward currency contracts	Royal Bank of Scotland		12,710,564		(12,710,564)		0
Total forward currency contracts			25,905,327		(25,905,327)		0
Total derivatives		$	37,341,707	$	(37,341,707)	$	0

Derivatives Liabilities and Collateral Pledged by Counterparty
As of December, 2013
				Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty		Net Amount of Unrealized Loss in the Statements of Financial Condition		Financial Instruments		Cash Collateral Pledged		Net Amount
UBS Securities LLC	$	0	$	0	$	0	$	0
Goldman Sachs		0		0		0		0
UBS AG		0		0		0		0
Royal Bank of Scotland		0		0		0		0
Total	$	0	$	0	$	0	$	0

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2013

Offsetting of Derivative Assets
As of December 31, 2012
Type of Instrument	Counterparty		Gross Amount of Recognized Assets		Gross Amount Offset in the Statements of Financial Condition		Net Amount of Unrealized Gain Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	8,130,493	$	(5,038,587)	$	3,091,906
Futures contracts	Goldman Sachs		8,030,212		(4,964,512)		3,065,700
Total futures contracts			16,160,705		(10,003,099)		6,157,606
Forward currency contracts	UBS AG		26,673,083		(18,453,069)		8,220,014
Forward currency contracts	Royal Bank of Scotland		26,513,273		(18,427,457)		8,085,816
Total forward currency contracts			53,186,356		(36,880,526)		16,305,830
Total derivatives		$	69,347,061	$	(46,883,625)	$	22,463,436

Derivatives Assets and Collateral Received by Counterparty
As of December 31, 2012
				Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty		Net Amount of Unrealized Gain in the Statements of Financial Condition		Financial Instruments		Cash Collateral Received		Net Amount
UBS Securities LLC	$	3,091,906	$	0	$	0	$	3,091,906
Goldman Sachs		3,065,700		0		0		3,065,700
UBS AG		8,220,014		0		0		8,220,014
Royal Bank of Scotland		8,085,816		0		0		8,085,816
Total	$	22,463,436	$	0	$	0	$	22,463,436

Offsetting of Derivative Liabilities
As of December 31, 2012
Type of Instrument	Counterparty		Gross Amount of Recognized Liabilities		Gross Amount Offset in the Statements of Financial Condition		Net Amount of Unrealized Loss Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	5,038,587	$	(5,038,587)	$	0
Futures contracts	Goldman Sachs		4,964,512		(4,964,512)		0
Total futures contracts			10,003,099		(10,003,099)		0
Forward currency contracts	UBS AG		18,453,069		(18,453,069)		0
Forward currency contracts	Royal Bank of Scotland		18,427,457		(18,427,457)		0
Total forward currency contracts			36,880,526		(36,880,526)		0
Total derivatives		$	46,883,625	$	(46,883,625)	$	0

Derivatives Liabilities and Collateral Pledged by Counterparty
As of December 31, 2012
				Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty		Net Amount of Unrealized Loss in the Statements of Financial Condition		Financial Instruments		Cash Collateral Pledged		Net Amount
UBS Securities LLC	$	0	$	0	$	0	$	0
Goldman Sachs		0		0		0		0
UBS AG		0		0		0		0
Royal Bank of Scotland		0		0		0		0
Total	$	0	$	0	$	0	$	0

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

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.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2013

Note 9. INDEMNIFICATIONS

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

Note 10. SUBSEQUENT EVENTS

Subsequent to year end, in February 2014, the Fund signed an agreement with PNC Capital Advisors, LLC to replace Horizon Cash Management, LLC as the cash manager for the Fund effective March 1, 2014. Management of the Fund has evaluated subsequent events through the date the financial statements were filed and there were no additional events to disclose.

EXHIBIT INDEX


Exhibit Number	Description of Document	Page Number
31.01	Certification by Chief Executive Officer	E-2
31.02	Certification by Chief Financial Officer	E-3
32.01	Certification by Chief Executive Officer	E-4
32.02	Certification by Chief Financial Officer	E-5

E-1