UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-K

(Mark One)

T ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the Fiscal Year Ended December 31, 2016

OR

 TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to 

Commission file number 000-22260

 CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

(Exact name of Registrant as specified in 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  No T

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  No T

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 T No 

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). YesT No 

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. T

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

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

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

The Registrant has no voting stock. As of December 31, 2016 there were 157,669.596 Units of General and Limited Partnership Interest issued and outstanding.

TABLE OF CONTENTS

	PART I	Page
Item 1.	Business.	1 – 5
Item 1A.	Risk Factors.	5 – 18
Item 1B.	Unresolved Staff Comments.	19
Item 2.	Properties.	19
Item 3.	Legal Proceedings.	19
Item 4.	Mine Safety Disclosures.	19
	PART II
Item 5.	Market for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.	20
Item 6.	Selected Financial Data.	20
Item 7.	Management's Discussion and Analysis of Financial Condition and Results of Operations.	21 – 35
Item 7A.	Quantitative and Qualitative Disclosures About Market Risk.	35 – 39
Item 8.	Financial Statements and Supplementary Data.	39
Item 9.	Changes in and Disagreements With Accountants on Accounting and Financial Disclosure.	39
Item 9A.	Controls and Procedures.	40
Item 9B.	Other Information.	40
	PART III
Item 10.	Directors, Executive Officers and Corporate Governance.	41 – 43
Item 11.	Executive Compensation.	43
Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters.	43
Item 13.	Certain Relationships and Related Transactions, and Director Independence.	43
Item 14.	Principal Accounting Fees and Services.	44
	PART IV
Item 15.	Exhibits, Financial Statement Schedules.	45
Item 16.	Form 10-K Summary	45
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 markets, including global interest rates, stock indices, currencies and commodities.

The general partner and trading advisor of the Registrant is Campbell & Company, LP ("Campbell & Company"). Effective December 2, 2014, Campbell & Company, Inc. changed its name and form of entity to Campbell & Company, LP.  Campbell & Company refers to either Campbell & Company, Inc. or Campbell & Company, LP depending on the applicable period discussed.  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. The Fund has no employees.

1

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, 2016 is as follows: 17% to interest rates, 19% to foreign exchange, 31% to commodities, and 33% 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 typically receives all interest earned on its assets. No other person shall receive any interest or other economic benefits from the deposit of Fund assets.

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

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

The Fund'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

Prior to March 2014, Horizon Cash Management, LLC served as the cash manager under the Investment Advisory Agreement to manage and control the liquid assets of the Fund. In February 2014, the Fund signed an agreement with PNC to replace Horizon Cash Management, LLC as the cash manager for the Fund effective March 1, 2014. Horizon Cash Management, LLC was and PNC is registered as investment advisers with the SEC of the United States under the Investment Advisers Act of 1940.

2

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.

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 Brent Crude	Australian 90-Day Bill	Long Gilt	Amsterdam Exchange Index	OMX Stock Index	Australian Dollar2	Swedish Krona
Coffee	London Gas Oil	Australian 3-Year Bond	Short Sterling	CAC 40 Stock Index	Russell 2000 Index	British Pound2	Swiss Franc2
Copper	NY Gasoline RBOB	Australian  10-Year Bond	Treasury Notes/2-Year	DAX	S&P 400 Index	Canadian Dollar2	Turkish Lira
Corn	Natural Gas	Canadian 90-Day Bill	Treasury Notes/5-Year	DJ Euro Stoxx 50	S&P 500 Index	Czech Koruna
Cocoa	Nickel	Canadian 10-Year Bond	Treasury Notes/10-Year	DJ Index	S&P 500 Volatility Index	Euro2
Cotton	Palladium	Euribor	Treasury Bond/30-Year	FTSE 100 Index	S&P Canada 60 Index	Hungarian Forint
Crude Oil	Platinum	Euro-BOBL	Treasury Ultra Long Bond	FTSE JSE Top 40	SPI 200 Index	Israeli Shekel
Feeder Cattle	Silver	Euro-BUND		FTSE MIB	SGX CNX Nifty	Japanese Yen2
Gold	Soybean Meal	Euro-BTP Italian Gov Bond		Hang Seng Index	TOPIX	Mexican Peso
Heating Oil	Soybean Oil	Euro-Buxl 30-Year Bond		IBEX35 Stock Index		New Zealand Dollar
High Grade Copper	Soybeans	Euro-OAT French 10-Year Bond		MSCI Singapore		Norwegian Krone
KC Hard Red-Winter Wheat	Sugar #11 (World)	Euro-Schatz		MSCI Taiwan		Polish Zloty
Lean Hogs	Wheat	Eurodollar		NASDAQ 100 Index		Singapore Dollar
Live Cattle	Zinc	Japanese 10-Year Bond		Nikkei		South African Rand
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.

3

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	The Fund pays a combined annualized fee of approximately 0.075% per annum of the funds managed by the Cash Manager for cash management services, custodian fee, and fees associated with monitoring the Fund's cash management portfolio.
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 0.50% 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 and Clearing 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 0.55% 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/or commodity trading advisor, as applicable.

4

Recent CFTC and NFA guidance has clarified that the foreign exchange forward contracts that Campbell & Company trades on behalf of its clients with the client's OTC counterparty may be characterized as swap transactions. A swap transaction is an individually negotiated, non-standardized agreement between two parties to exchange cash flows measured by different interest rates, exchange rates or prices, with payments calculated by reference to a principal ("notional") amount or quantity. The recently enacted Dodd Frank Wall Street Reform and Consumer Protection Act (the "Reform Act") includes provisions that comprehensively regulate swap transactions for the first time, such as mandatory central clearing, and many foreign governmental authorities are in the process of contemplating similar regulatory intervention in the swap markets.  With respect to swaps cleared through a central counterparty, the Fund will be subject to daily "variation" and "initial" margin requirements set by the central clearing counterparty and the Fund's clearing member.  Cleared swaps are transacted through futures commission merchants ("FCMs") that are members of a clearinghouse with the clearinghouse serving as a central counterparty similar to transactions in futures contracts. The Fund posts initial and variation margin by posting collateral with its clearing member FCMs. Central clearing is expected to decrease counterparty risk and increase liquidity compared to bilateral swaps because central clearing interposes the central clearinghouse as the counterparty to each participant's swap. However, central clearing does not eliminate counterparty risk or illiquidity risk entirely. In addition, depending on the size of the Fund and other factors, the margin required by a clearing member from the Fund may be in excess of the amounts required to be posted by the Fund pursuant to the rules of the central clearinghouse and in excess of the collateral required to be posted by the Fund to support its obligations under a similar non-cleared bilateral swap. However, in September 2014, regulators proposed new rules imposing certain margin requirements, including minimums, on uncleared swaps in the near future, which, if adopted, could affect this comparison.

The SEC and the CFTC under Dodd-Frank also have the authority to require most liquid swaps, under their respective jurisdiction, to be traded and executed on trading facilities. The CFTC has already subjected certain kinds of swaps to this platform execution requirement and it is expected that additional swaps will become subject to this requirement in the future. It is not yet clear when the parallel SEC requirements will go into effect. Moving trading to an exchange-type system may increase market transparency and liquidity but may require the Fund to incur increased expenses to access the same types of swaps.  Rules adopted by the CFTC in 2012 also require centralized reporting of detailed information about many types of cleared and uncleared swaps. This information is available to regulators and, to a more limited extent and on an anonymous basis, to the public. Reporting of swap data may result in greater market transparency, which may be beneficial to funds that use swaps to implement trading strategies. However, these rules place potential additional administrative obligations on the Fund, and the safeguards established to protect anonymity may not function as expected.

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 registered public accounting firm.

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.

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:

5

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.

6

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; Suspension of Trading

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.

Low correlation 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.

7

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.  In addition, the fixed-income securities in which the Fund may invest may be subject to income risk, call risk, prepayment risk, extension risk, and/or credit risk, each of which could affect the fixed-income securities' value. 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, including the Fund.  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 programs, reducing the range of markets in which trading opportunities may be pursued.  Campbell & Company reserves the right to make distributions of profits to Limited Partners 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.

8

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

Campbell & Company makes the Fund's trading decisions. While 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.

9

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.

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.

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 Limited Partners 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.

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 is Highly Speculative and Volatile

Futures and forwards trading is speculative, and is not intended to be a complete investment program. Futures and forwards have a high degree of price variability and are subject to occasional rapid and substantial changes. Thus, significant amounts can be lost in a brief period of time. Futures and forwards trading is designed only for sophisticated investors who are able to bear the risk of capital loss.

10

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 10% to 30%.  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, trade 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. Foreign exchange swaps and foreign exchange forwards, as well as bona fide spot foreign exchange transactions, are not subject to full regulation by the CFTC (including the clearing and platform execution mandates). Therefore, the Fund will not receive any benefit of CFTC regulation of its trading activities in excluded foreign exchange swaps and forward transactions. 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 intend to make or 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.

11

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.

Forex/Cross Rates Trading

The Fund may trade currencies through Forex trading, which is the off-exchange trading of the exchange rate between two retail currency pairs. This may include cross rates trading, which is off-exchange trading of the exchange rate between two currency pairs other than the U.S. Dollar. The risk of loss in Forex trading can be substantial. Investors should be aware that Forex transactions are not traded on an exchange, and those funds deposited with the counterparty for Forex transactions may not receive the same protections as funds used to margin or guarantee exchange-traded futures contracts.

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 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 had 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, not all of which have been finalized, 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 certain exchanges have established position limits on the maximum net long or net short speculative positions that any person or group of persons acting in concert may hold or control in any particular futures contracts.  Dodd-Frank significantly expands the CFTC's authority to impose position limits with respect to futures contracts, swaps that are economically equivalent to futures, and certain swaps that perform a significant price discovery function.  In response to this expansion of its authority, in 2013, the CFTC proposed (a) a series of new speculative position limits with respect to futures, options on futures and swaps on 28 so-called "exempt commodities" (which includes most energy and metals contracts) and (b) aggregation requirements with respect to positions across accounts with common ownership or control. The CFTC's proposals are not yet finalized (or effective).  If the CFTC is successful in these proposals, 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.

12

Over-the-Counter Derivatives Markets

Dodd-Frank includes provisions that comprehensively regulate the OTC derivatives markets for the first time.  Dodd-Frank mandates that a substantial portion of OTC derivatives must be executed in regulated markets and be submitted for clearing to regulated clearinghouses.  The CFTC has now implemented mandatory clearing rules for 4 classes of interest rate swaps and 2 classes of index credit default swaps. The CFTC will also consider whether to propose mandatory clearing requirements for agricultural swaps, energy swaps, broad-based equity swaps, and foreign exchange non-deliverable forwards. 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 bank regulators and the CFTC have imposed margin requirements on non-cleared OTC derivatives and new requirements that 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 became subject to these rules in 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.

Major OTC derivatives market participants are now also 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.  Major Swap participants are also 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 may further increase the overall costs for major swap participants.  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 Dodd-Frank is fully implemented, a process that may take several more years.  To the extent not mitigated by implementation of 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).

13

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

The Fund may enter into 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."  Swaps may be subject to various types of risk, including market risk, liquidity risk, structuring risk, tax risk, and the risk of non-performance by the counterparty, including risks relating to the financial soundness and creditworthiness of the counterparty.  Swaps can be individually negotiated and structured to include exposure to a variety of different types of investments or market factors.  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.  Swap agreements can take many different forms and are known by a variety of names. The Fund is not limited to any particular form of swap agreement if it determines that other forms are consistent with the Fund's investment objective and policies. A significant factor in the performance of swaps is the change in individual commodity values, specific interest rates, currency values, or other factors that determine the amounts of payments due to and from the counterparties. If a swap calls for payments by the Fund, then the Fund must have sufficient cash availability to make such payments when due.  In addition, if a counterparty's creditworthiness declines, the value of the swap agreement would be likely to decline, potentially resulting in losses to the Fund. Dodd-Frank will mandate that a substantial portion of swap transactions must be executed in regulated markets and submitted for clearing to regulated clearinghouses. While these provisions are intended in part to reduce counterparty credit risk related to swap transactions, Dodd-Frank's success in this regard will depend on the implementation of many rules and regulations, a process that may take several years.

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

The global financial markets have in the past few years undergone pervasive and fundamental disruptions that have led to extensive and unprecedented governmental intervention. Such intervention has in certain cases been implemented on an "emergency" basis, suddenly and substantially eliminating market participants' ability to continue to implement certain strategies or manage the risk of their outstanding positions. In addition, as one would expect given the complexities of the financial markets and the limited time frame within which governments have felt compelled to take action, these interventions have typically been unclear in scope and application, resulting in confusion and uncertainty which in itself has been materially detrimental to the efficient functioning of the markets as well as previously successful investment strategies.

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 Limited Partners.

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.

14

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 Form 10K 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.

15

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.

New Partnership Audit Rules

The recently enacted Bipartisan Budget Act of 2015 changes the rules applicable to U.S. federal income tax audits of partnerships. Under the new rules (which are generally effective for taxable years beginning after December 31, 2017), among other changes and subject to certain exceptions, any audit adjustment to items of income, gain, loss, deduction, or credit of a partnership (and any partner's distributive share thereof) is determined, and taxes, interest, or penalties attributable thereto are assessed and collected, at the partnership level. Consult with your tax advisor with respect to these changes and their potential impact on your investment in the Fund.

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" section of the Prospectus.

Although 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.

Risks due to Redemption or Credit Restriction

The Fund is subject to the risk that its major institutional investors may be compelled to redeem or that the Fund's counterparties or brokers will be required to restrict the amount of credit previously granted to the Fund due to their own financial difficulties, resulting in forced liquidation of substantial portions of the Fund's trading program.

There are No Independent Experts Representing Investors

Campbell & Company has consulted with counsel, accountants and other experts regarding the formation and operation of the Fund. No counsel has been appointed to represent the Investors in connection with the offering of the Units. Accordingly, each prospective investor should consult his own legal, tax and financial advisers regarding the desirability of an investment in the Fund.

16

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 Investor without the written consent of the General Partner. See "Second Amended and Restated Agreement of Limited Partnership."

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.

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.

17

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.

Cyber Security Issues

With the increased use of technologies such as the Internet to conduct business, Campbell & Company is susceptible to operational, information security and related risks. In general, cyber incidents can result from deliberate attacks or unintentional events. Cyber-attacks include, but are not limited to, gaining unauthorized access to digital systems (e.g., through "hacking" or malicious software coding) for purposes of misappropriating assets or sensitive information, corrupting data, or causing operational disruption. Cyber-attacks may also be carried out in a manner that does not require gaining unauthorized access, such as causing denial-of-service attacks on websites (i.e., efforts to make network services unavailable to intended users). Cyber security failures or breaches by Campbell & Company, and other service providers (including, but not limited to custodians), and the issuers of securities in which Campbell & Company invests, have the ability to cause disruptions and impact business operations, potentially resulting in financial losses, interference with Campbell & Company ability to calculate its net asset value, impediments to trading, violations of applicable privacy and other laws, regulatory fines, penalties, reputational damage, reimbursement or other compensation costs, or additional compliance costs. In addition, substantial costs may be incurred in order to prevent any cyber incidents in the future. While Campbell & Company has established business continuity plans in the event of, and risk management systems to prevent, such cyber attacks, there are inherent limitations in such plans and systems including the possibility that certain risks have not been identified. Furthermore, Campbell & Company cannot control the cyber security plans and systems put in place by service providers to Campbell & Company and issuers in which Campbell & Company invests. Campbell & Company and its clients could be negatively impacted as a result.

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 Partner for 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 brokerage fee of up to 7% (of which 3% 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.

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.

18

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.

19

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, 2016, there were 7,256 Limited Partners in the Registrant and 157,669.596 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, 2016, 2015, 2014, 2013 and 2012.

	For the Year Ended December 31,
	2016			2015			2014		2013		2012
Total Assets	$	397,752		$	553,875		$	690,656	$	727,627	$	797,867
Total Partners' Capital		376,646			545,463			676,482		710,325		778,039
Total Net Trading Gain (Loss) (includes brokerage commissions)		(41,304	)		(503	)		144,246		113,936		57,127
Net Income (Loss)		(72,322	)		(44,367	)		100,452		60,888		(2,809	)
Net Income (Loss) Per General and Limited Partner Unit *		(397.20	)		(208.71	)		398.71		200.29		(7.87	)
Increase (Decrease) in Net Asset Value per General and Limited Partner Unit		(410.88	)		(222.65	)		461.28		178.78		(29.88	)
Weighted Average Number of Units Outstanding		182,079.450			212,574.520			251,943.822		304,003.690		357,029.398

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, 2016 and 2015.

	1st Qtr. 2016			2nd Qtr. 2016			3rd Qtr. 2016			4th Qtr. 2016
Total Net Trading Gain (Loss) (includes brokerage commissions)	$	4,068		$	(14,941	)	$	(15,135	)	$	(15,296	)
Net Income (Loss)		(4,677	)		(22,809	)		(22,847	)		(21,989	)
Net Income (Loss) per General and Limited Partner Unit *		(24.29	)		(122.10	)		(127.71	)		(129.30	)
Increase (Decrease) in Net Asset Value per General and Limited Partner Unit		(28.05	)		(121.36	)		(132.65	)		(128.82	)
Net Asset Value per General and Limited Partner Unit at the End of the Period		2,771.66			2,650.30			2,517.65			2,388.83
Weighted Number of Units Per Period		192,556.310			186,809.626			178,894.175			170,057.689

	1st Qtr. 2015		2nd Qtr. 2015			3rd Qtr. 2015		4th Qtr. 2015
Total Net Trading Gain (Loss) (includes brokerage commissions)	$	67,906	$	(96,740	)	$	26,275	$	2,056
Net Income (Loss)		55,824		(108,080	)		15,753		(7,864	)
Net Income (Loss) per General and Limited Partner Unit *		251.22		(497.31	)		74.76		(39.31	)
Increase (Decrease) in Net Asset Value per General and Limited Partner Unit		247.79		(499.97	)		72.15		(42.62	)
Net Asset Value per General and Limited Partner Unit at the End of the Period		3,270.15		2,770.18			2,842.33		2,799.71
Weighted Number of Units Per Period		222,211.456		217,330.299			210,716.809		200,039.516

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

20

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

Capital Resources

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

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

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

Liquidity

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

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

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

21

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

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

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

Off-Balance Sheet Risk

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

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

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

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

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

22

Results of Operations

The returns for the years ended December 31, 2016, 2015, and 2014 were (14.68)%, (7.37)%, and 18.01%, respectively. The following is a discussion of the brokerage and performance fees accrued and paid. During the years ended December 31, 2016, 2015 and 2014, the Fund accrued brokerage fees in the amounts of $33,665,203, $44,538,157, and $44,356,653, respectively, and paid brokerage fees in the amounts of $34,574,840, $45,335,134, and $44,572,291, respectively. No performance fees were accrued or paid during the years ended December 31, 2016, 2015 and 2014.

2016 (For the Year Ended December 31)

Of the (14.68)% return for the year, approximately (7.39)% was due to trading losses (before commissions) and approximately (8.09)% due to brokerage fees, operating expenses and offering costs borne by the Fund, offset by approximately 0.80% due to investment income. An analysis of the (7.39)% trading loss by sector is as follows:

Sector	% Gain (Loss)
Commodities		(11.29	)%
Currencies		(0.73	)%
Interest Rates		3.61	%
Stock Indices		1.02	%
		(7.39	)%

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

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

23

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

The Fund showed a steep decline in April as losses came from interest rate, commodity, stock index, and foreign exchange holdings. Interest rate holdings had the largest negative impact on the monthly P&L with both trend following and non-trend systems suffering.  Fixed income prices saw a sharp reversal lower during the month which hurt long positioning within the Fund.  Increasing inflation expectations amid a sharp bounce in crude oil prices, which have rallied over 60% from the decade-plus low seen in February, pushed interest rate yields higher and prices lower.  Tentative signs that Chinese economic activity was beginning to stabilize only added to the downward pressure as money rotated to riskier assets, such as stocks and commodities. Commodity positions from both the trend and non-trend systems also provided losses to the Fund during April.  Short positioning on the energies, industrial metals, soft commodities, and grain markets all contributed to the losses.  Many markets in each of these sub-sectors saw sharp intra-month reversals to the upside fueled by short covering amid a revived "risk-on" environment.  A weaker US dollar also contributed upward momentum to many of the dollar-denominated commodity markets.  Some offsetting gains came from long positioning on silver which benefitted from the weaker US dollar and low inventory levels and short holdings on the cattle complex as those markets retreated on the back of slow seasonal demand and oversupply concerns. Stock index holdings showed a negative monthly P&L impact, especially from the trend models. Global equity indexes generally moved higher during April as commodity prices bounced and global central banks continued to provide an accommodative backdrop for stocks.  Foreign exchange positions added additional losses.  Short positioning on the British pound versus the US dollar showed losses when the pound strengthened as fears began to subside that the United Kingdom might vote to exit the European Union at a planned referendum in June (BREXIT).

Losses in commodities and foreign exchange leave the Fund with a decline in May. Commodity positions from both the trend and non-trend models provided losses to the Fund.  Long holdings on gold and silver both suffered as the US dollar strengthened during the month.  Short positioning within the energy complex generated losses as the price of crude rallied on back of the supply and demand equilibrium showing tentative signs of rebalancing.  In the meats, short cattle positions suffered as those markets rose amid signs of increased demand.  Small offsetting profits were found within the grains sub-sector as a long soybean position profited due to strong US export sales and South American crop concerns. Foreign exchange positions from both the trend and non-trend systems also showed losses during May.  After weakening for several months in a row, the US dollar steadily strengthened throughout most of the month hurting the Fund's short dollar positions against a variety of currencies.  Front-end US yields repriced higher as the Fed reminded markets through multiple channels that all FOMC meetings going forward are "live" with respect to potential policy change, fueling US dollar strength. Interest rate holdings had one of the largest positive impacts on the monthly P&L with both trend following and non-trend systems showing gains.  Long positioning on long-dated markets in Europe, Australia, and the UK produced some of the best gains.  A mix of weaker economic data, dovish central bank actions, and concern over the late June UK referendum to leave the Euro-zone (BREXIT) all helped to push prices higher in those regions during May. Stock index holdings showed a positive monthly P&L impact, especially from the non-trend models.  The faster-reacting non-trend systems were able to successfully navigate the choppy price action seen in many of the global stock indexes.  A short position on the S&P 500 volatility index benefitted from the general risk-on environment in the second half of the month which pushed that index sharply lower.

24

The Fund showed a profit in June as gains came from interest rate and commodity markets, while stock index and foreign exchange holdings produced some losses. Interest rate holdings had the largest positive impact on the monthly P&L with both trend following and non-trend systems showing gains.  Long positions across global interest rate markets showed strong profits, especially within Europe.  United Kingdom voters surprised and shocked markets worldwide with their decision to leave the European Union.  The BREXIT sparked a risk-off reaction globally, with government bond futures among the largest beneficiaries, as investors accepted record low bond yields in multiple markets in exchange for the safety of government paper. Commodity positions from the trend models provided some additional gains.  Long positioning on the precious metals was one of the best performing sub-sectors.  The flight to safety triggered by the UK BREXIT vote along with dampened expectations of additional US FOMC interest rate hikes this year pushed gold and silver prices sharply higher.  The grains sub-sector contributed additional profits led by a long soybean holding which rose amid a bullish June crop report.  Short positioning on natural gas produced some offsetting losses as lower average inventories, as calculated by the US EIA, helped contribute to a short squeeze in that market. Stock index holdings produced some of the largest monthly losses with both the trend following and non-trend systems contributing.  Long global stock index exposure suffered from risk-off selling caused by the uncertainty that the UK BREXIT vote created.  In addition, a short position on the CBOE volatility index future produced losses amid the sharp spike in volatility due to the UK referendum. Foreign exchange positions showed some small losses during June.  Mixed FX positioning against the US dollar led to mostly offsetting gains and losses.  Profits were seen on a long Japanese yen position which strengthened in a flight-to safety trade.  Losses were produced by positioning on the Euro which saw choppy price action leading up to and after the surprising BREXIT decision.

The Fund showed a profit in July as gains came from stock index, commodity, and interest rate markets, while foreign exchange holdings produced some small losses. Stock index holdings produced some of the largest monthly gains with both the trend following and non-trend systems contributing.  Global equity markets shook off the fear and uncertainty created by the UK's decision to leave the European Union and produced strong gains during July.  Long positioning within the Fund across global stock indexes benefitted from the higher prices with holdings in Australia, the UK, Canada, Germany, and Taiwan producing some of the best performance.  Generally better than expected Q2 earnings results, attractive dividend yields, and the expectation that global central banks will keep rates lower for longer all offset terror attacks, a coup attempt in Turkey, and uncertainty over the US presidential election. Commodity positions from both the trend and non-trend models provided some additional gains to the Fund.  Short positioning across the energy complex was profitable with both gasoline and WTI crude producing some of the best returns.  Inventory reports during the month showed that supply was plentiful leading to lower prices.  Precious metals added to gains within the sector as long positioning benefitted from a slightly weaker US dollar and ongoing accommodation from the US Federal Reserve.  Some offsetting losses were produced within the grain sub-sector.  A long position on soybeans suffered from weaker demand amid robust crop expectations. Interest rate holdings had a positive impact on the monthly P&L with trend following systems showing gains.  Long positioning on long-dated interest rate markets produced some of the best profits.  Holdings in Australia benefitted from an accommodative central bank that is grappling with persistently low inflation readings and uncertainty around the newly elected Prime Minister's effectiveness given his very narrow victory. Foreign exchange positioning produced small losses driven by non-trend following strategies.  Choppy price action and a mix of long and short positioning versus the US dollar led to the muted P&L within the FX sector overall.

Losses primarily came from commodity, foreign exchange, and interest rate positions, while stock index positions closed flat for the month of August. Commodity holdings from the trend models provided some of the largest losses to the Fund.  Positioning within the energy and precious metal sub-sectors caused a bulk of the damage.  Short positioning within the energy complex suffered from concerns that OPEC might try to rein in production at an informal meeting scheduled for September which helped fuel a short squeeze.  Long holdings on precious metals also caused losses as growing expectations for higher interest rates in the US led to a sell-off in both gold and silver.  The Fund did receive some offsetting gains from a short position on wheat which saw its price decline to a 10-year low on abundant supply. Foreign exchange positions from both trend following and non-trend following strategies also showed losses during August.  Some of the largest monthly losses were seen in the euro, Mexican peso, and Australian dollar (all versus the US dollar). Choppy price action in the euro and peso created a difficult environment for our systems to trade profitably.  A multi-month uptrend in the Aussie dollar produced losses when that currency experienced a price reversal beginning in the middle of the month. Interest rate holdings had a negative impact on the monthly P&L with trend following and non-trend systems both showing losses.  Long positioning, especially within the US, suffered from a better than expected July US employment report released early in the month.  A growing stream of comments from US Federal Reserve members signaling their willingness to potentially raise interest rates at one of three remaining 2016 FOMC meetings also pressured interest rate markets lower, sending yields higher. Stock index P&L was relatively flat as a long position within Australia was hurt by a sell-off in the financial, mining, and telecommunication sectors.  Some offsetting gains were found in a long position within Hong Kong which rose in value on better than expected earnings and amid the news that the long-planned stock-trading link between Hong Kong and China was officially approved.

25

September losses came from interest rate, commodity, stock index, and foreign exchange positions. Interest rate holdings had a negative impact on the monthly P&L with trend following and non-trend systems both showing losses.  Uncertainty and nervousness over central bank interest rate decisions drove global fixed income prices lower in the first half of September as the US Federal Reserve, the Bank of Japan, and the European Central Bank all made intra-month policy announcements.  On balance, all three major central banks leaned more hawkish than expected, with the US FOMC indicating that one interest rate hike was likely before year-end.  The Fund was hurt by long positioning on long-dated markets, especially within Australia, the US, and the UK.  Commodity holdings from both non-trend and trend models provided additional losses.  A surprise announcement from OPEC that the cartel had agreed to some production cuts sent the crude complex sharply higher, hurting short positioning.  Oversold price bounces in corn and wheat hurt short positioning within the grains.  Some offsetting gains were seen in the softs and meats.  A continued trend higher in the price of sugar benefitted long positioning, while a drop in both hog and cattle prices was profitable for short holdings, as prices fell about 23% and 7%, respectively.  Stock index holdings added to the monthly losses as the non-trend systems struggled to successfully trade choppy global equity index markets. Global stocks sold off in the first half of the month following bond prices lower as yields rose.  Stocks then bounced once markets digested major central bank announcements, only to see prices fall on financial health concerns surrounding Deutsche Bank (DB).  Prices then rebounded when headlines turned more positive on the outlook for DB near month-end.  Foreign exchange positions from the non-trend following strategies showed small losses.  The non-trend systems failed to successfully navigate a very choppy environment for many major currencies.  Among the biggest P&L contributors, the Mexican peso produced gains, while the Canadian dollar and euro produced losses.

The Fund showed a decline in October as losses from commodity and interest rate holdings were only partially offset by gains within foreign exchange positions.  Stock index positioning had little impact on the Fund during the month. Commodity holdings from both trend and non-trend models produced losses.  Short positions on corn and wheat suffered as prices rose due to stronger than expected export sales.  The trading systems experienced losses in natural gas amid choppy price action as the market weighed warmer-than-normal weather and a structural tightening of the supply-and-demand balance.  Long positioning on sugar saw losses as prices fell late in the month on improving growing conditions in Brazil.  Long holdings on precious metals were hurt by the stronger US dollar. Interest rate holdings had a negative impact on the monthly P&L with trend following and non-trend systems both showing losses.  Long positioning on long-dated interest rate markets within Europe experienced losses as prices fell during the month.  The European Central Bank (ECB) failed to announce an extension to their existing quantitative easing (QE) program which pushed prices lower across continental Europe.  Additional losses came from a long holding on the Australian 10-year note as that country's central bank indicated that a rate cut was further away than the market had been expecting which caused futures to decline. Foreign exchange positions, especially from the non-trend following strategies, produced some partially offsetting gains during October.  The US dollar was stronger across our universe of currencies.  Some of the best gains came from short positioning on the British pound, Swedish krona, and the euro (all versus the US dollar).  Expectations grew during the month that the US Federal Reserve was on-track to hike interest rates by the end of 2016 which helped lead to overall dollar strength. Stock index holdings had little impact on the Fund during the month.  A mix of gains and losses across the global stock index market set produced mostly offsetting P&L which led to relatively flat performance from the asset class.

The Fund showed a decline in November as losses came primarily from commodity holdings while interest rate, foreign exchange, and stock index positions had a muted impact on the Fund during the month. Commodity holdings produced some of the largest losses to the Fund.  Short positioning within the energy sub-sector was hurt in the second half of the month when OPEC confounded skeptics by securing its first production cut since 2008.  This action sent prices sharply higher across the complex.  Trend following strategies suffered in both coffee and sugar as long positions produced losses after prices for both commodities dropped due to higher supply expectations.  A short live cattle position produced losses as that market rallied amid firmer wholesale prices and supportive inventory data.  Some offsetting gains were found within the industrial metals sub-sector.  A long zinc position profited as the metal's price rose sharply, helped by tight supply and a pledge from US President-elect Trump to invest in infrastructure projects. Additional gains came from a short wheat holding which profited as prices dropped over 5% amid ample supply expectations. Foreign exchange positions produced some small losses during November.  A long position on the Mexican peso (versus the US dollar) negatively impacted the Fund when Donald Trump's unexpected presidential election victory sent that currency sharply lower amid fears over possible new protectionist policies. Interest rate holdings also produced small losses during the month.  Trend following systems with long look-backs were most negatively impacted as the Trump victory pushed long-end prices sharply lower as yields rose.  Bond markets began pricing in an expected Trump administration fiscal stimulus package, including increased infrastructure spending and tax cuts, which are viewed as inflationary. Stock index holdings produced flat results for the month.  Long positioning in North American indices benefitted from the Trump victory as potential new infrastructure spending and a stronger US dollar helped shares rise in value. Offsetting losses were realized from long positioning in European indices. 

26

The Fund advanced in December as gains came from stock index holdings while commodity positions produced partially offsetting losses, with five of the six sub-sectors traded showing declines.  Foreign exchange and interest rate positions had little overall impact on the Fund during the month. Global stock index holdings contributed the best gains to the Fund during December.  Long positioning on European indexes produced some of the largest gains for the sector.  During the month, the European Central Bank (ECB) gave a boost to equities when they extended their quantitative easing program.  A calming of events within Italy around their political leadership and their ongoing banking crisis also helped markets.  Additional gains came from the US, Canada, and Australia as those markets continued to benefit from expectations of reflationary policies from President-elect Trump and his incoming administration. Commodity holdings produced the largest offsetting losses to the Fund.  Long positioning on copper and zinc incurred losses amid profit-taking after the recent run-up in prices driven by better Chinese economic growth and the Trump effect.  A short lean hog holding suffered as that market rallied amid solid export activity and a lowered US production projection from the USDA.  A short on natural gas produced losses when prices moved higher amid colder temperatures and below normal inventory stockpiles.  Some small offsetting gains were found in a short cocoa position which fell amid higher production in Ivory Coast, driving prices to over 3-1/2 year lows. Interest rate holdings produced small profits for the Fund during December.  Long positioning on the German 10-year note was one of the best performing markets, helped by the extension of stimulus from the ECB. Foreign exchange holdings had little impact on the Fund P&L during the month.  Mixed positioning across the currencies traded led to mostly offsetting gains and losses leading to the muted impact overall.

2015 (For the Year Ended December 31)

Of the (7.37)% return for the year, approximately (8.11)% was due to brokerage fees, operating expenses and offering costs borne by the Fund, offset by approximately 0.40% due to trading gains (before commissions) and approximately 0.34% due to investment income. An analysis of the 0.40% trading gain by sector is as follows:

Sector	% Gain (Loss)
Commodities		1.94	%
Currencies		3.08	%
Interest Rates		(3.86	)%
Stock Indices		(0.76	)%
		0.40	%

Gains in interest rate holdings lead to gains during January as profits came from all sectors - interest rates, commodities, foreign exchange, and stock indexes. The largest gains for January came from long global interest rate positions driven by the trend-following strategies as interest rate products rallied during the month. Widespread deflationary concerns and slowing economic growth led to extraordinary central bank actions during the month. The European Central Bank (ECB) exceeded market expectations with their quantitative easing (QE) package and over ten other central banks eased financial conditions as well. Commodity positions were another source of profits during the month. Trend following strategies showed gains while non-trend programs produced some offsetting losses. Short energy exposure was one of the best performing sub-sectors as the sell-off across the energy complex continued unabated. Both WTI and Brent each lost more than 8% during the month. In the industrial metal sub-sector, short copper positioning was also a winner as slowing demand and growing inventories sent the price to a five year low. Precious metals produced the largest offsetting losses as shorts on silver and gold suffered from flight to safety buying during the month. Foreign exchange contributed additional gains, driven by the trend following systems. Long positioning in the U.S. dollar proved profitable, especially versus short the Canadian dollar and the euro. The Canadian central bank unexpectedly cut interest rates pushing their currency sharply lower. The ECB announced a larger than expected QE package that sent the euro down to levels not seen since 2003. Some offsetting losses were experienced in short Swiss franc positioning when the Swiss National Bank shocked global markets by suddenly removing its three-year old peg to the euro which sent the franc sharply higher. Stock index positioning from the trend following systems showed small additional gains during the month. Gains were found from long positioning in Europe and Canada where central bank easing provided a boost to equities in those regions.

Stock index gains were offset by commodities and interest rates leaving the Fund with small losses in February. The largest losses came from short commodity positions driven by both trend-following and non-trend following strategies. Short energy exposure was one of the worst performing sub-sectors as the crude complex experienced a significant bounce during the month after a sharp six-month sell-off. Signs of falling production, refinery disruptions, and cold weather helped to squeeze prices higher. Grain positions added to losses as short positions in corn and wheat were hurt by stronger export sales. Some offsetting gains were found in the soft commodities. A short position in coffee experienced profits as improving weather in Brazil boosted prospects for an abundant harvest which weighed heavily on the product. Interest rate positions were another source of losses during the month. Trend following strategies showed declines while non-trend programs produced some offsetting gains. Long positioning within the United States and the United Kingdom produced some of the largest losses as better economic data, improving inflation trends, and less dovish central bank comments pressured markets lower. Foreign exchange contributed small additional losses. Short positioning on the British pound versus the U.S. dollar suffered from hawkish U.K. central bank comments on the back of stronger than expected economic data. Some offsetting gains came from short euro and short yen positions, both versus the U.S. dollar, as diverging central bank policy paths continue to provide opportunity for our strategies. Stock index positioning from both trend following and non-trend following systems showed strong gains during the month. Global profits were found from long positioning in the U.S., Japan, Australia, Europe, and Canada as a bounce in oil prices alleviated some fears around a global growth slowdown. Pockets of stronger than expected economic data linked with a tentative resolution to the Greek geopolitical crisis fed the risk-on sentiment for stocks.

27

The Fund had gains in March as profits from foreign exchange, commodity, and interest rate holdings all contributed while stock index positions produced some offsetting losses during the month. The largest profits for March were provided by foreign exchange positions from both trend following and non-trend strategies. Short euro positioning versus the U.S. dollar was one of the best performing holdings. The euro continued to trade lower as the European Central Bank's unprecedented monetary stimulus contrasted sharply with the U.S. Federal Reserve, which many expect to raise interest rates later this year. The euro was also pressured lower as Greece struggles to secure bailout funds and avert a default. Other gains came from short positioning on several commodity currencies as the price of oil resumed its downward trend pulling those markets lower. Commodities were another source of profits during the month. Short positioning across the energy complex proved profitable as the sell-off in those markets began again amid new signs of global oversupply. A potential political agreement with Iran also threatened to dump even more supply on the already saturated market if Western sanctions are scaled back. Soft commodities were another source of gains. Short positioning on sugar and coffee produced profits as favorable growing weather increased expectations for plentiful supplies of those commodities. Small additional gains came from interest rate positions. Long positioning across long-dated global instruments continues to be the theme for positioning within this sector. Losses in Japan and Germany were more than offset by gains experienced in the United States, Australia, the United Kingdom, and Canada. Global stock indexes showed losses from both trend and non-trend strategies. Global stocks were mixed during March as some gains in Europe, helped by the ECB's quantitative easing program, were offset by losses in the U.S., U.K., Canada, and Australia hampered by a stronger U.S. dollar and falling global commodity prices.

The Fund showed a decline in April as losses from foreign exchange, interest rate, and commodity holdings all contributed to the decline while stock index positions produced some offsetting gains during the month.  Some of the largest losses for April were produced by foreign exchange positions from both trend following and non-trend following strategies.  Short euro positioning versus the U.S. dollar was one of the worst performing holdings.  The euro moved higher as weaker U.S. economic data suggested that the U.S. Fed will hold off on an interest rate hike longer than expected.  A calming of concern around the solvency of Greece also helped to boost the euro.  Faster reacting non-trend models showed some offsetting gains in the British pound as that currency reversed higher during the month on hawkish U.K. central bank comments and an improvement in sentiment around their upcoming elections.  Interest rates were another source of losses during the month.  Long positioning across long-dated fixed income instruments provided most of the declines as global interest rate products sold-off.  Losses in Australia stemmed from hawkish central bank comments and some surprisingly strong economic data.  Concern over ultra-low interest rate yields in Germany linked with bearish comments from several prominent asset managers caused those bond prices to fall.  Additional declines came from commodity positions.  Short positioning across the energy complex was hurt by rising prices as supply concerns eased and the weaker U.S. dollar was supportive to prices.  Trading in soft commodities, namely sugar and coffee, also produced losses.  Non-trend strategies produced some offsetting gains within the industrial metals sub-sector.  Long metals positions benefitted from a weaker U.S. dollar and new Chinese stimulus measures which helped to push those markets higher.  Global stock indices showed gains from the trend strategies.  Long positioning on the Hang Seng index in Hong Kong was one of the best performing holdings during the month as the index rose almost 13%.  Hong Kong shares rose sharply when Chinese regulators allowed mutual funds to buy shares in companies included in the index.

The Fund showed a decline in May as losses from interest rate and commodity holdings were only partially offset by gains from foreign exchange and stock index positions, leaving the portfolio lower on the month.  Some of the largest losses were produced by interest rate positions from both trend following and non-trend strategies.  Long positioning across long-dated interest rate products suffered when well established trends sharply reversed during the month.  Some of the largest losses were seen in Germany and Australia.  The German sell-off, which spilled over into other global interest rate markets, was primarily driven by technical factors, including liquidity and positioning.  Australia saw some stronger than expected economic data, which put pressure on their interest rate markets.  Additional declines came from commodity positions within trend following as non-trend strategies showed some smaller offsetting gains in the sector.  One of the worst performing sub-sectors was industrial metals.  Long positioning on copper and zinc suffered from a strengthening U.S. dollar and additional signs of an economic slowdown in China.  Long positioning on precious metals also suffered from the stronger dollar.  Some offsetting gains came from the grain sub-sector. Shorts on both corn and soybeans profited from a drop in prices due to steady planting progress.  Some of the best gains during May were within foreign exchange holdings where both trend following and non-trend strategies showed profits.  Short positioning on the Japanese yen versus the U.S. dollar was one of the biggest gains.  The yen weakened to a 12-year low versus the dollar.  After a soft first quarter, data suggested that the U.S. economy was starting to accelerate leading to speculation that the U.S. Federal Reserve could raise interest rates later this year for the first time since 2006.  Global stock indices also showed gains with both the trend and non-trend strategies contributing.  Long positioning on the Japanese Nikkei 225 index produced some of the largest sector gains.  Japanese stocks rose steadily throughout the month as the falling yen provided a strong tailwind for stocks.

28

The Fund showed a sharp decline in June as losses from commodity, stock index, foreign exchange, and interest rate holdings left the Fund lower on the month.  Some of the largest losses were produced by commodity positions from both trend following and non-trend strategies.  Short positioning on various grain markets proved unprofitable.  Corn, wheat, and soybean futures rose sharply due to crop concerns amid heavy rainfall in the Midwest.  These moves were exacerbated by significant short covering in the marketplace.  Energy markets also contributed to losses.  A short natural gas holding was hurt by signs of slowing production growth, stronger power burns, and a slowing pace of storage builds which sent the market higher.  Soft commodities showed losses as short positioning on coffee suffered from higher prices amid improved demand prospects and a lowered Brazilian output forecast.  Additional declines came from stock index positions within both trend following and non-trend following systems.  The Fund was generally positioned long global stocks during the month, with an emphasis on the U.S. and Japan.  A lack of positive progress on the Greek financial crisis near month-end caused a bout of "risk-off" selling which sent all global stock markets sharply lower leading to losses.  Foreign exchange positioning also detracted from performance as both trend and non-trend strategies saw declines.  A short New Zealand dollar position proved to be a profitable trade given the continued downtrend, but most of the other currencies in the Fund saw negative performance due to choppy, directionless trading. In interest rate markets non-trend strategies provided some partially offsetting gains to the losses encountered by the trend systems.  Global bond markets experienced some very choppy price action that was difficult for the trend systems to navigate.  For example, in the U.S. interest rate markets were under pressure early in the month after some better than expected economic data.  These markets then sharply reversed to the upside later in June driven by safe haven buying amid the worsening Greek financial crisis and the uncertainty that it fueled.

July was profitable with gains coming from commodities and foreign exchange which more than offset losses experienced on stock index and interest rate holdings.  Some of the largest gains were produced by commodity positions from both trend following and non-trend strategies.  Short positioning within precious metals was one of the most profitable trades during the month.  Gold and silver both fell sharply amid the ongoing strength of the US dollar.  Demand for gold by the Chinese government was shown to be much weaker than expected, sending the metal to its lowest level in five years.  Short holdings on the industrial metals, namely copper, also proved profitable.  Copper fell sharply amid growing concerns over the health of the Chinese economy.  The Fund experienced some offsetting losses in the grains.  A long position in wheat suffered as the commodity experienced a harsh sell-off due to healthy crop expectations and continued US export weakness.  Additional profits during the month came from foreign exchange positions, especially within the trend following systems.  Short positioning on the Australian dollar, Canadian dollar, and New Zealand dollar, commonly referred to as "commodity currencies," all proved profitable.  The global commodity weakness seen during July, as evidenced by a more than 14% decline in the S&P GSCI Index, a measure of a basket of 24 commodities, pressured all these currencies lower.  Stock index positioning detracted from performance as both trend and especially non-trend strategies saw declines.  Short-term non-trend models struggled to successfully navigate several risk-on / risk-off shifts in the equity markets.  The Greek financial crisis provided some of the market moving news as headlines shifted from dire to hopeful.  Interest rate positions showed a decline during the month as losses from trend following strategies overwhelmed gains from non-trend systems.  The Greek crisis proved to be a major driver of interest rate markets, in addition to ongoing expectations that the U.S. Federal Reserve is getting closer to its first interest rate hike in years.

Offsetting gains and losses led to an unprofitable August for the Fund as profits from commodity positions were offset by losses in interest rate positions.  Foreign exchange and stock index holdings had little positive or negative impact on the Fund.  Some of the largest gains were produced by commodity positions from trend following systems as non-trend strategies showed some losses in the sector.  Short holdings on the industrial metals, namely zinc, nickel, and aluminum, were some of the largest gainers amid growing concern that the Chinese economy is in worse shape than previously thought.  China is a huge consumer of these metals.  Short positions within the energy sub-sector also proved to be profitable trades during the month with Brent and WTI among the best gainers.  Chinese growth concerns coupled with ongoing abundant petroleum supplies conspired to put downward pressure on prices.  The Fund experienced some offsetting losses in the precious metals and soft commodities.  A short position from gold suffered from flight to safety buying amid a sharp decline in global equities.  A short holding on coffee was hurt in the first half of the month amid concerns surrounding smaller bean sizes in Brazil.  Foreign exchange was relatively flat for August.  Short positioning on the Canadian, New Zealand, and Australian dollars, commonly referred to as "commodity currencies," proved profitable.  The Chinese economic slowdown was the catalyst for the sell-off in these markets. Offsetting losses were incurred by positioning in the Euro, Japanese yen, and Swedish krona.  Stock index positioning had little impact on monthly performance.  Shorter-term, faster reacting non-trend strategies showed gains in the sector while trend following systems with longer-term, slower indicators showed offsetting losses.  Poor Chinese economic data linked with their surprising currency devaluation sent global stocks sharply lower.  Interest rate positions showed a small decline during the month as losses from non-trend strategies overwhelmed gains from trend following systems.  Interest rate markets experienced choppy price action amid risk-off / risk-on buying and selling plus continued uncertainty over the timing of the first U.S. Federal Reserve rate hike in some nine years.

29

Gains across all sectors led to a profitable September for the Fund.  Profits from commodity and foreign exchange positions were the primary drivers during the month, although both fixed income and stock index holdings also contributed positively to the month's profits.  The commodity sector produced gains during the month primarily driven by non-trend systems.  Some of the best gains were found in short positioning on natural gas, WTI, and Brent.  Natural gas sold off on inventory builds along with moderating power demand.  Both WTI and Brent resumed their sell-offs as supplies remained robust while demand, especially from China, continued to show signs of slowing.  A short position on live cattle was also a standout gainer as prices fell amid lower exports and increased supplies.  Some partially offsetting losses were experienced in the sector from the precious metal and grain markets.  Choppy price action for silver produced losses as the strategies failed to find successful trades.  Short positions on both corn and wheat produced losses as those prices rose amid a variety of more bullish news.  Additional gains were produced by foreign exchange positions from trend following systems as non-trend strategies showed some losses in the sector.  Short holdings on the Canadian dollar, Norwegian krone, and Australian dollar (all versus the US dollar) were some of the most profitable trades during the month.  A renewed sell-off in the energy complex linked with softness in commodity prices overall, helped to drag these currencies lower benefitting the Fund's short positioning.  Interest rate positions also added to profits as trend strategies overwhelmed losses from non-trend following systems.  Long positioning on German and Japanese long-dated fixed income produced some of the best gains.  Buying seen in these markets was driven by safe haven demand amidst the slump in stock prices.  Stock index positioning added a small gain to monthly performance.  Shorter-term, faster reacting non-trend strategies experienced gains in the sector while trend following systems produced small losses.  Global growth concerns plus several bearish, high-profile stock-specific news items, weighed on equities throughout the month.

The Fund showed a loss in October as profits from stock index holdings were more than offset by losses from foreign exchange, interest rate, and commodity positions during the month. Foreign exchange positions from trend following strategies produced some of the largest losses for the portfolio during October.  The portfolio held a net long US dollar positioning during the month.  A weaker than expected September US employment report early in the month caused a US dollar sell-off for the first two weeks as expectations for a US Federal Reserve rate hike began to fade.  Long-term downtrends in many of the commodity currencies, such as the Australian and Canadian dollars, reversed which led to losses in those currencies.  Non-trend strategies produced some offsetting gains in the sector. Interest rate positions contributed small additional losses to the portfolio.  Dovish comments from the European Central Bank (ECB) head Mario Draghi and a more hawkish than expected statement from the US Federal Reserve were the biggest drivers of interest rate markets.  The portfolio experienced gains in Europe, but more than offsetting losses in the US, UK, and Asia from trend and non-trend systems alike. Commodity positions also detracted from the portfolio's monthly P&L.  Non-trend systems showed some strong gains that were offset by losses from trend strategies.  Some of the best gains were found in the energy sub-sector with a short position on natural gas fueling profits.  Warmer weather and near-record inventory levels pushed natural gas sharply lower.  Offsetting losses across the other commodity sub-sectors left the sector lower on the month overall. The best gains during the month came from long positioning on global stock indexes.  The sharp sell-off in global stocks from August and September was reversed during October.  Signs that the US Federal Reserve was not quite ready to raise interest rates linked with new stimulus from China and expected stimulus from the ECB pushed stock prices sharply higher which benefitted both trend following and non-trend strategies.

Commodities, foreign exchange and interest rate positions fueled Fund gains in November as stock index holdings provided some small offsetting losses during the month.  Commodity positions provided some of the best gains to the portfolio during November, with both trend following and non-trend systems contributing.  Some of the best gains were found in the energy sub-sector with a short position on natural gas fueling profits.  Warmer weather and record inventory levels pushed natural gas prices lower.  Short positioning on Brent and WTI also added to gains in the energy sub-sector as supplies remained abundant.  Short holdings on the industrial metals, namely copper, zinc, and nickel, also produced solid profits as a stronger US dollar, in addition to weak demand and plentiful supplies kept prices under downward pressure.  Other sector gains came from short positioning on corn and wheat as those prices fell amid steady harvest progress leading to expectations for abundant supplies.  Foreign exchange positions from both trend following and non-trend strategies produced additional profits.  A short holding on the euro versus the US dollar was one of the best performing trades.  Expectations of divergent monetary policies between Europe and the US put downward pressure on the euro.  The ECB is widely expected to provide additional easing measures in December, while the US Federal Reserve is broadly expected to increase interest rates during the same month.  A short position on the Polish zloty also added to profits.  The combination of potential ECB monetary policy easing, depressed energy prices, and the expected interest rate increase by the US Federal Reserve put pressure on the Emerging Market currencies.  Interest rate positions contributed small additional gains to the portfolio, driven by the non-trend strategies.  Some of the best opportunities were found in Germany, the United Kingdom, Italy, the United States, and Canada.  Some small losses during the month came from stock index positions, primarily from non-trend systems.  A short position on Australian SPI 200 was one of the worst trades in the sector. 

30

The Fund showed a loss for December as losses came from interest rate and stock index holdings while foreign exchange and commodity positions provided some smaller offsetting gains during the month.  Interest rate positions provided some of the biggest losses to the portfolio during December, with both trend following and non-trend systems contributing.  Some of the largest losses came from the German 10-year and 5-year notes.  Long positioning on these, and other global interest rate markets, suffered when ECB president Mario Draghi disappointed markets early in the month.  Traders had widely expected Mr. Draghi to announce major new stimulus measures at the ECB's December meeting.  When he failed to live up to the high expectations, major bond markets saw a sharp reversal in trend leading to losses for the sector.  The non-trend systems had a particularly difficult time navigating the choppy price action that occurred after the disappointing ECB announcement.  Some additional losses during the month came from stock index positions, primarily from the trend systems.  Long positioning on global stock indexes, especially within Europe, were hurt by the underwhelming ECB stimulus announcement.  Many major European indexes finished December with losses greater than 5% for the month.  Foreign exchange positions from both trend following and non-trend strategies produced some offsetting profits.  One of the best performing holdings was a short position on the Canadian dollar versus the US dollar.  The Canadian currency is closely tied to the price of WTI and was dragged lower by the sell-off in the oil market.  Trend following and non-trend strategies each produced some small gains in the commodity sector.  Short positioning within the energy complex proved profitable as those markets remained under pressure amid high supply and anemic demand.  The unseasonably warm weather also weighed on those products used for home heating, such as gasoil.  Short positioning on the industrial metals, namely aluminum, zinc, and copper, produced some losses as oversold conditions led to a bounce in prices.

2014 (For the Year Ended December 31)

Of the 18.01% return for the year, approximately 25.92% was due to trading gains (before commissions) and approximately 0.27% was due to investment income, offset by approximately (8.18)% due to brokerage fees, operating expenses and offering costs borne by the Fund. An analysis of the 25.92% trading gain by sector is as follows:

Sector	% Gain (Loss)
Commodities		3.65	%
Currencies		9.94	%
Interest Rates		15.53	%
Stock Indices		(3.20	)%
		25.92	%

The Fund had losses in January with gains from interest rate and foreign exchange holdings only partially offsetting declines from stock index and commodity investments. The largest losses for January came from long positioning in global stock indexes by the trend following strategies. Dampened growth momentum in China weighed on global risk assets and deepened the negative sentiment toward the emerging markets. The peso devaluation in Argentina helped push contagion fears to the forefront and added to the sell-off. Somewhat softer employment and housing data in the US called into question the economic growth momentum seen in the second half of 2013. The US Fed's further tapering of quantitative easing only added to the global unease for risky assets like equities. Commodity holdings also produced losses, primarily from non-trend strategies. Energy markets were among the largest losers as the models failed to profitably navigate a volatile trading environment. The volatility was caused by varying cross-currents including inventory data, cold weather, and shifting production expectations. Industrial metal losses came primarily from positions in copper and nickel which fell on the weaker Chinese economic data and resulting emerging market fall-out. Short exposure to gold also produced losses amid safe-haven buying and improving physical demand. Interest rate positioning was successful during the month with trend strategies showing the best gains. Some of the largest profits came from long positioning on long-dated instruments primarily in Europe and the United States as investor sought the safety of interest rate instruments amid growing global uncertainties. Foreign exchange holdings also produced gains during the month. The best performing position was a short holding on the Canadian dollar. The Bank of Canada downgraded its inflation outlook for 2014, pushing the Canadian dollar to a four year low versus the US dollar. The Fund also profited from a short position on the South African rand which experienced steep losses due to the significant depreciation of emerging market currencies seen during the month.

Losses were seen again for the Fund in February with gains from interest rates not enough to offset losses from foreign exchange and commodity holdings. Foreign exchange positions produced some of the largest losses with trend and non-trend strategies contributing. Short positioning in the New Zealand dollar and Australian dollar (both versus the US dollar) caused the most significant losses. The New Zealand dollar strengthened after some stronger than expected economic data and hawkish comments from their finance minister. The Reserve Bank of Australia shifted their monetary posture from one of easing to a more neutral stance helping to push the Aussie dollar higher. Rising commodity prices during the month also provided a tailwind to these so-called "commodity currencies." Other large losses for the month came from commodities where the Fund experienced declines across most of the sub-sectors and from both trend and non-trend strategies. Short positions in precious metals produced the largest losses when silver and gold both rallied sharply on safe-haven buying as geopolitical fears rose due to unrest in Ukraine. Industrial metals also contributed as a weaker US dollar provided upward price pressure hurting shorts. Short positioning in gasoline, especially early in the month, hurt the Fund as prices rose due to decreasing stockpiles and curtailed production. Soft commodities, namely short positioning in sugar, also caused losses as drought conditions in Brazil created supply concerns. Interest rate positioning provided small offsetting gains. Profits were found in long holdings on long-dated instruments. Japanese government bonds rose as a combination of weaker economic data and further corporate lending activity by the Japanese government helped to push prices higher. German notes benefitted from tame inflation data and safe-haven buying amid geopolitical turmoil in the region. Stock index holdings were relatively flat on the month. The non-trend strategies detracted from positive trend following performance as some short positioning in Asia and parts of Europe was hurt by a sharp bounce-back rally after the January sell-off.

31

The first quarter ended with losses in March with the worst declines coming from interest rate, stock index, and foreign exchange holdings. Some of the largest losses for the month came from interest rate positions, where trend strategies produced the declines while non-trend strategies showed some offsetting gains. A bulk of the sector losses were found in long positioning on long-dated instruments. Around mid-month, the US Federal Reserve announced additional tapering of quantitative easing (QE) and even hinted that an outright rate increase might occur sooner than expected, sending interest rate markets sharply lower and hurting portfolio positioning. Stock index positions also produced losses with both trend following and non-trend strategies contributing. Trend strategies held long positioning on the NASDAQ 100 index, which suffered due to technology valuation concerns, a tightening of stimulus by the US Fed, and uncertainty over Russia's annexation of Crimea and recent display of territorial aggression. Non-trend strategies went short the Hang Seng index in Hong Kong, which fell for the first half of the month, only to reverse higher on expectations for new stimulus measures in China to combat slowing growth within the country. Foreign exchange positions showed gains within the non-trend strategies; however, trend strategy losses in the sector overwhelmed them leading FX into the red for the month. The Fund was positioned short US dollars when the US Fed surprised markets with hawkish language following the March FOMC meeting. This caused the dollar to rally sharply against other currencies resulting in losses in the sector. Commodity positions produced losses from the trend following strategies while non-trend systems produced some offsetting gains. Some of the worst performing sub-sectors during the month included energy and industrial metals. The Fund was long crude, which declined amid slower Chinese growth. Natural gas longs fell on expectations for warmer temperatures in the US. Some offsetting gains were found in long grain positioning as the sub-sector posted its best quarterly rally since 2010.

The Fund had a small loss in April with profits from commodities, and to a lesser extent from interest rates, were offset by losses from foreign exchange and stock index holdings. Some of the largest losses during April came from foreign exchange positions. The non-trend strategies produced the bulk of the declines while trend strategies showed some gains in the sector. The non-trend strategies struggled with price action that was not favorable for the underlying model signals. The Fund was short Japanese Yen when the US Fed minutes dampened bets that US policy makers were moving towards raising interest rates, causing the Yen to appreciate. Trend following strategies profited from a long position on the British Pound, which rose to multi-year highs. Stock index positions also produced losses within the non-trend strategies while the trend following programs showed some offsetting gains. The non-trend models were positioned long the Japanese Nikkei index when the Bank of Japan disappointed markets with no new stimulus, causing a sell-off in Japanese equities. The German DAX index also contributed to losses as the non-trend strategies built long exposure, only to see the index trade lower as renewed Ukrainian/Russian unrest rattled investors. Commodity positions produced the best gains seen during the month as both non-trend and trend strategies produced profits. Nickel was a strong performer for the Fund as it trended higher throughout the month. Indonesia's ongoing export ban and Ukrainian unrest helped to push the metal to a 14-month high. Gains also came from long coffee holdings, which rose on Brazilian production concerns. Natural gas was another market that produced solid gains, especially within the non-trend programs. Cool spring temperatures and inventory concerns led to the rise in prices. Interest rate holdings added to gains during April. Losses from short holdings on short-dated instruments were more than offset by gains from long positions on long-dated instruments. A combination of pockets of softer economic data linked with the civil unrest in Eastern Europe helped to propel prices higher during the month.

May produced gains for the Fund led by interest rate and equity index positions. Profits from interest rate and stock index positions were somewhat offset by losses from commodity and foreign exchange holdings. The largest gains for May came from positioning in global interest rates driven by trend following strategies. Profits were seen in long-dated instruments where the Fund held long positions, while small losses came from short-dated holdings where the Fund was generally short. Fixed income instruments rallied during the month amid pockets of weaker than expected global economic data and as global central banks once again indicated accommodative monetary policies. Overall market positioning also played a role in the rally as some investors found themselves under-invested in global bonds and some hedge funds scrambled to cover shorts amid the rising prices. Long global stock index positions also produced gains for the Fund during May primarily driven by trend following strategies. Stocks showed choppy price action during the first half of the month, but then staged a rally as dovish global central banks and a surge in merger & acquisition activity pushed many global indexes to new highs. Commodity holdings produced the largest monthly losses with both trend and non-trend strategies contributing. The worst performing sub-sector was the grains where long positioning in wheat and corn suffered amid weak export sales, favorable planting weather in the US, and easing tensions between Ukraine and Russia. Base metals trading proved unprofitable amid choppy price action. A long position in coffee suffered as steady harvest progress in Brazil and a healthy global supply outlook pushed prices sharply lower after an almost 60% run-up this year. Foreign exchange holdings produced losses primarily from trend strategies as non-trend strategies showed gains. Some of the worst performing FX holdings included long positions in the euro and British pound. European Central Bank President Draghi signaled that policy makers are ready to expand stimulus resulting in a weakening of the euro, and the Bank of England indicated that a rate hike was not as imminent as markets had been expecting, causing the pound to fall from multi-year highs.

32

Gains continued for the Fund in June to close out the quarter as profits from stock index, commodity, and foreign exchange positions were somewhat offset by losses from interest rate holdings. The largest gains for June came from positioning in global stock indexes driven by both trend following and non-trend strategies. Long positions in North American stock indexes benefitted from dovish comments from Federal Open Market Committee head Yellen despite pockets of stronger economic data. Strong merger and acquisition activity also provided a tailwind for US stocks. A long equity holding in Taiwan showed profits as Chinese data indicated signs of improving growth. Smaller, offsetting losses came from long European holdings where a rash of weaker than expected economic data and falling confidence readings overwhelmed new European Central Bank stimulus actions. Commodity holdings produced additional monthly gains with only trend strategies contributing. Some of the best monthly gains came from long positioning on zinc, which surged in price amid a sharp drop in stockpiles. Long energy exposure, especially to Brent and crude, rose as instability in Iraq rattled oil markets. Cattle prices rallied to a record high on lingering supply concerns, benefitting the Fund's position. Offsetting losses came from short positions on precious metals as prices rose on a blend of geopolitical instability and ongoing accommodative US monetary policy. Foreign exchange holdings produced profits primarily from trend strategies as non-trend strategies showed losses. Some of the best performing FX holdings included a long position on the New Zealand dollar, which strengthened when the Reserve Bank of New Zealand lifted borrowing costs for the third time this year. Long positioning on the British pound benefitted when the Bank of England (BOE) hinted it may raise interest rates sooner than expected. A surprise interest rate cut in Mexico hurt the Fund's long positioning on the peso. Interest rate trading showed losses during the month with most declines coming from non-trend strategies. Hawkish comments from BOE head Carney caused a sharp sell-off in Gilts, which hurt the Fund's positioning. Rising Australian fixed income prices also hurt non-trend strategies, which expected prices to fall.

Mostly offsetting gains and losses left the Fund nearly unchanged during July as profits from commodity positions were more than offset by losses in interest rates and foreign exchange. The largest gains for July came from positioning on commodities driven by trend following strategies. Grain markets were among the best performing subsector led by corn and wheat where the Fund held short positioning. Corn and wheat both dropped sharply during the month fueled by favorable weather which bolstered production expectations. Long positioning on industrial metals produced additional gains. Zinc rallied to a near three-year high on supply concerns after stockpiles fell to a multi-year low. Unfavorable price action within energy markets produced some of the largest offsetting losses within the commodity sector. Foreign exchange holdings produced some of the largest monthly losses primarily from trend strategies as non-trend strategies showed some offsetting gains. Long positioning on the New Zealand dollar and the British pound produced losses as those central banks dampened expectations for higher interest rates. Short positioning on the euro versus the US dollar was one of the best performing FX markets for the Fund. A policy split between the U.S. Federal Reserve (US Fed) and the European Central Bank (ECB) helped weaken the euro versus the dollar. The ECB fought falling inflation with an accommodative policy, while the US Fed steadily removed stimulus. Interest rate trading showed losses during the month with declines from non-trend strategies overwhelming trend gains. Cross currents from rising geopolitical risks clashed with some better than expected economic data and a higher than expected inflation reading in the United States. The non-trend strategies failed to profitably navigate this choppy price action, especially in the U.S. and Germany. Stock index holdings were relatively flat in July. Positioning was long across the three major geographic regions: Asia, Europe, and North America. Some gains were seen in Asia, the US, and Canada on improving economic outlooks while losses across Europe were fueled by growth concerns which led to lower prices.

Interest rate, foreign exchange and stock index positions lead the Fund to strong gains in August as profits were only slightly offset by small losses in commodities. The largest gains for August came from long positioning on long-dated interest rate markets driven by trend following strategies. The largest profits were found within Europe and the United States. An escalation of geopolitical tension in Ukraine, Syria, and the Gaza Strip provided a safe-haven buying tailwind. Weaker economic data in Europe, especially within Germany, and a dovish speech by ECB President Draghi provided an additional boost to rate markets. Smaller profits were seen in Canada, Japan, and Australia. Foreign exchange holdings produced additional gains from both trend and non-trend strategies. Some of the best performing FX holdings were short positions on the Euro and Japanese Yen both versus the U.S. Dollar. The Dollar outperformed most of its G10 peers during the month as better than expected U.S. economic data and commentary from FOMC officials continued to point toward a hawkish future change in interest rate guidance. Meanwhile central banks in Europe and Japan continued to beat a dovish drum which acted to weaken those currencies versus the Dollar. Long stock index positioning tacked on additional gains. Positions within the U.S. and Taiwan were among the best performing holdings. Improving U.S. economic growth and bullish merger and acquisition activity helped propel some U.S. indexes to record levels. The index in Taiwan was helped by strong rallies in semiconductor and electronic component shares. Commodity holdings created small losses during August. Gains from short positioning across the energy complex were more than offset by losses from various holdings within the industrial metal, grain, and meat sub-sectors. Near-term trend reversals within copper, zinc, wheat, and cattle contributed to the offsetting losses.

33

The Fund showed strong gains again in September led by profits in foreign exchange and commodity positions which were only partially offset by losses on interest rate and stock index holdings. The largest gains for September came from foreign exchange positions primarily within trend following strategies. Diverging central bank policy paths were a major FX driver during the month. The Bank of Japan and the European Central Bank are both focused on keeping interest rates low while the U.S. Federal Reserve is starting to hint at higher interest rates. The Fund was positioned short the Japanese yen and euro versus the U.S. dollar and benefitted from these sharply different policy paths. Commodity holdings from the trend strategies produced additional gains while non-trend positioning showed some offsetting losses during the month. Some of the best gains came from short positioning on corn and wheat, both of which made new multi-year lows during the month. Short positioning across the energy complex and precious metal markets proved profitable as a persistently stronger U.S. dollar helped to push those markets lower. Non-trend strategies struggled with the persistent downtrend in the grain complex and also saw losses in the precious and base metals. Interest rate holdings produced losses from both trend and non-trend strategies. Some of the largest losses were found on long positioning within the United States. Leading up to the mid-month FOMC meeting, U.S. interest rate products sold-off over concerns that the committee would shift their interest rate guidance to reflect a more hawkish view. Other losses were seen in stock index positions where trend following signals produced declines while non-trend signals produced some offsetting gains. Trend following strategies produced losses from long positioning on global stock indexes with the exception of Japan where a sharply weaker yen led the Nikkei index to solid gains. More nimble non-trend systems quickly initiated short positioning and benefited from the sell-off across Asia (ex-Japan) as the Chinese economic slowdown and unrest in Hong Kong near month-end pushed regional indexes sharply lower.

Interest rate and commodity gains led to a profitable October as profits from interest rate, commodity, and foreign exchange positions were somewhat offset by losses on stock index holdings.  The largest gains for October came from long global interest rate positions.  Global growth fears gripped markets early in the month and drove fixed income products higher.  Persistent economic weakness across Europe and Asia sparked concerns that the U.S. economic recovery could be negatively impacted.  Sharply falling energy prices also created concern over deflationary pressures which could keep U.S. interest rates lower for longer.  Central banks in Japan and Sweden enacted additional easing measures during the month to fight slow growth and deflationary forces.  Commodity positions, especially from the trend following strategies, were another source of profits during the month.  Short energy exposure was one of the best performing sub-sectors.  Abundant U.S. supplies linked with falling global demand pushed the energy complex lower.  Short positions on precious metals also added to gains as a stronger U.S. dollar and a dampening of geopolitical and Ebola fears caused a sell-off in gold and silver.  Grains were the worst performing commodity sub-sector during October.  Short positioning from the trend following strategies on corn and wheat was hurt by market short covering which pushed prices higher, reversing the recent multi-month downtrend.  Foreign exchange contributed small gains.  Long U.S. dollar positioning versus the Japanese yen and the euro proved profitable.  Diverging central bank policy paths created fresh opportunities for the strategies during October.  Stock index positioning, from both trend and non-trend strategies, experienced the largest offsetting losses during the month.  Global long holdings early in October suffered from the global stock sell-off.  Energy stocks led indexes lower as over-supply and a lack of global demand caused a rout in physical energy prices.  Stock index prices bounced during the second half of the month, but by then the strategies had reduced long positioning and were in a more defensive posture in equities overall.

Profits from all major sectors led to strong gains for November as the largest gains for November came from long global interest rate positions within the trend-following program.  Global central banks were again in focus as the European Central Bank head Draghi gave his strongest statements yet that the bank could begin a US-style quantitative easing program in the near future.  Additional stimulus is also expected from the Japanese central bank as they continue their long battle over slow growth and deflationary forces.  Commodity positions were another source of profits during the month.  Short energy exposure was the best performing sub-sector and dominated positive P&L within the sector overall.  Both trend following and non-trend following strategies contributed to the energy gains. The downtrend in prices within the crude complex continued during November.  The sell-off accelerated late in the month when OPEC announced that they would not cut production to address the sharply lower prices seen over the past several months.  The worst performing sub-sector was industrial metals where non-trend strategies showed most of the losses.  Long positioning on zinc and aluminum suffered as Chinese growth concerns linked with low global demand pushed the metals lower.  Foreign exchange contributed additional gains to the Fund.  Long US dollar positioning versus the Japanese yen proved profitable.  Falling Japanese inflation and some weaker than expected economic reports weakened the yen significantly versus the US dollar.  Stock index positioning, from both trend and non-trend strategies, proved profitable during the month.  Global long holdings rose as major central banks, namely within China, Europe, and Japan, continued to provide, or gave indications that they would provide, additional stimulus.

34

Solid gains were realized in December to close-out a year of strong performance. Profits came from interest rate, foreign exchange, and commodity holdings offset mostly by stock index position losses. The largest gains for December came from long global interest rate positions within both the trend-following and non-trend following strategies. Global interest rate products rallied during the month as the collapse in crude oil prices has led to a sharp decline in inflation expectations. Geo-political uncertainty also helped to boost prices as the Russian ruble crisis and uncertainty around the Greek political situation drove safe-haven buying. Gains were particularly strong within Japan and Europe as those central banks remain committed to additional quantitative easing measures. Foreign exchange contributed additional gains, driven by the trend following systems. Overall, long US dollar positioning proved profitable as the US FOMC dropped its pledge to keep interest rates near zero for a "considerable time" as the American economy continued to show signs of strengthening. Short positioning on the Mexican peso versus the US dollar was one of the best performing FX holdings. The peso sank in value as plunging oil prices damped speculation that a projected energy boom in the country would attract foreign investment and spur economic growth. Commodity positions were another source of profit during the month. Trend following strategies showed gains while non-trend programs produced offsetting losses. Short energy exposure was the best performing sub-sector and dominated returns in the sector as short positions in Brent and Gas Oil provided the largest gains. Oil prices continued to tumble amid the stronger US dollar and OPEC failed to intervene in the market to stop the slide. Some offsetting losses were seen within the grains and precious metal commodity sub-sectors. Stock index positioning, from both trend and non-trend systems, proved unprofitable during the month. Global stock index performance was mixed during the month with most indices losing value. The ongoing decline in the energy complex, the Russian ruble crisis, and Greek political uncertainty all fueled a general risk reduction in stocks.

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 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.

35

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

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

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

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

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

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

The following tables indicate the trading Value at Risk associated with the Fund's open positions by market category as of December 31, 2016, 2015 and 2014 and the trading gains/losses by market category for the years then ended.

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

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

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

	December 31, 2015
Market Sector	Value at Risk*			Trading Gain/(Loss)**
Commodities		0.91	%		1.94	%
Currencies		0.61	%		3.08	%
Interest Rates		0.66	%		(3.86	)%
Stock Indices		0.36	%		(0.76	)%
Aggregate/Total		1.82	%		0.40	%

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

** - Of the (7.37)% return for the year, approximately (8.11)% was due to brokerage fees, operating expenses and offering costs borne by the Fund, offset by approximately 0.40% due to trading gains (before commissions) and approximately 0.34% due to investment income .

36

	December 31, 2014
Market Sector	Value at Risk*			Trading Gain/(Loss)**
Commodities		0.63	%		3.65	%
Currencies		0.84	%		9.94	%
Interest Rates		0.94	%		15.53	%
Stock Indices		0.53	%		(3.20	)%
Aggregate/Total		1.31	%		25.92	%

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

 ** - Of the 18.01% return for the year, approximately 25.92% was due to trading gains (before commissions) and approximately 0.27% was due to investment income, offset by approximately (8.18)% due to brokerage fees, operating expenses and offering costs borne by the Fund.

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

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

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

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

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

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

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

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

Non-Trading Risk

The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Fund also has non-trading market risk as a result of investing a portion of its available assets in U.S. Treasury Bills held at the 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.

37

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, 2016, by market sector.

Currencies

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

Interest Rates

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

Stock Indices

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

Energy

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

Metals

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

Agricultural

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

38

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the non-trading risk exposures of the Fund as of December 31, 2016.

Foreign Currency Balances

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

Fixed Income Securities and Short Term Investments

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

U.S. Treasury Bill Positions for Margin Purposes

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

General

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

Item 8.  Financial Statements and Supplementary Data.

Financial statements meeting the requirements of Regulation S-X appear beginning on Page 47 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.

39

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, LP ("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 December 31, 2016. In making this assessment, Management used the framework established in Internal Control — Integrated Framework (2013) 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, 2016, the Fund's internal control over financial reporting was effective.

Management's report was not subject to attestation by the Partnership's independent registered public accounting firm pursuant to rules of the Securities and Exchange Commission that permit the company to provide only management's report in this annual report.

Item 9B.  Other Information.

None.

40

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. 

41

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.

Heidi L. Kaiser, born in 1975, joined Campbell & Company in May 2006 and is currently the Deputy General Counsel, Chief Compliance Officer, and Anti-Money Laundering Officer of both Campbell & Company and Campbell & Company Investment Adviser LLC, an SEC registered investment adviser, a wholly-owned subsidiary of Campbell & Company, and a registered commodity trading advisor. Ms. Kaiser also serves in this capacity for Campbell Financial Services, LLC, an SEC registered broker-dealer and FINRA member, and served in this capacity for The Campbell Multi-Strategy Trust, a registered investment company, until May 2015.  Ms. Kaiser is involved in all aspects of legal affairs, compliance and regulatory oversight.  Ms. Kaiser oversees the Legal, Compliance, and Audit teams.  From April 2006 to August 2013, Ms. Kaiser was the Deputy General Counsel, Director of Compliance and Anti-Money Laundering Officer for Campbell & Company.  From November 1998 to April 2006, Ms. Kaiser was employed by Deutsche Bank Securities Inc. ("DBSI"), a broker/dealer subsidiary of a global investment bank, in several positions, including Vice President and Counsel for Deutsche Bank Alex. Brown, the Private Client Division of DBSI.  While at DBSI, she represented the firm and its employees in securities litigation and NASD (n/k/a FINRA) and NYSE arbitrations.  Ms. Kaiser is a member of the Bar of the State of Maryland.  Ms. Kaiser became listed as a Principal of Campbell & Company and Campbell & Company Investment Adviser LLC effective August 13, 2014 and August 12, 2014, respectively.

Joseph D. Kelly, born in 1970,  joined Campbell & Company in September 2016 as Managing Director of the Client Solutions Group of Campbell & Company, a registered commodity trading advisor, and its wholly owned subsidiary Campbell & Company Investment Adviser LLC, an SEC registered investment adviser, since October 2016. In this capacity, Mr. Kelly is responsible for overseeing the institutional sales and consultant relations efforts.  Prior to joining Campbell & Company, Mr. Kelly held leadership roles at several alternative asset management firms.  Previously, he served as the head of alternative strategies covering liquid and private markets for Russell Investments' Americas Institutional business.  From 2005 – 2010, Mr. Kelly was the head of global business development at Rotella Capital Management, a Seattle-based CTA, where he worked with diversified trend, short-term, and emerging manager strategies. Earlier in his career, Mr. Kelly worked for the Hull Group as a Senior Derivatives Trader and was also the founder and EVP of fintech firm, iOptions Group, LLC. Joe holds a B.A. in International Relations from University of Pennsylvania.  Mr. Kelly became listed as a Principal of Campbell & Company, LP and of Campbell & Company Investment Adviser LLC effective October 28, 2016 and November 4, 2016, respectively. Mr. Kelly became registered as an Associated Person and NFA Associated Member of Campbell & Company, LP effective October 28, 2016 and October 17, 2016, respectively. Additionally, Mr. Kelly became registered as an Associated Person and NFA Associated Member of Campbell & Company Investment Adviser LLC effective November 4, 2016.

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.

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, an 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.

42

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, an 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 Fund does not itself have any officers, directors or employees. The directors and managing officers of Campbell & Company are remunerated by Campbell & Company in their respective positions. The directors and managing officers receive no "other compensation" from the Fund. There are no compensation plans or arrangements relating to a change in control of either the Fund or Campbell & Company.

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, 2016, there are no beneficial owners of the Limited Partnership.

(b) Security Ownership of Management. As of December 31, 2016, Campbell & Company owned 234.340 Units of General Partnership Interest having a value of $559,798. 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:

Title of Class	Name of Beneficial Owner	Amount and Nature of Beneficial Ownership	Percentage of Class
Units of General Partnership Interest	Campbell & Company, L.P.	234.340 Units	0.15% 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.

43

Item 14.  Principal Accounting Fees and Services.

The principal accountant for the years ended December 31, 2016 and 2015 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, 2016 and 2015 were $117,435 and $162,500, 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.

44

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 47 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) (1)
4.01	Limited Partner Privacy Notice (as included in the Prospectus) (2)
10.01	Advisory Agreement between Campbell Strategic Allocation Fund, L.P. and Campbell & Company, LP (2)
10.02	Global Institutional Master Custody Agreement (1)
10.03	Non-Custody Investment Advisory Agreement with PNC Capital Advisors LLC, as cash manager (3)
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, 2016 and 2015, (ii) Statements of Financial Condition December 31, 2016 and 2015, (iii) Statements of Operations For the Years Ended December 31, 2016, 2015 and 2014, (iv) Statements of Cash Flows For the Years Ended December 31, 2016, 2015 and 2014, (v) Statements of Changes in Partners' Capital (Net Asset Value) For the Years Ended December 31, 2016, 2015 and 2014, (vi) Financial Highlights For the Years Ended December 31, 2016, 2015 and 2014, (vii) Notes to Financial Statements.

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

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

(3) Previously filed as an exhibit to the Quarterly Report on Form 10-Q on May 15, 2014 and incorporated herein by reference.

Item 16.  Form 10-K Summary.

None.

45

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 March 29, 2017.

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
By:	CAMPBELL & COMPANY, LP General Partner
By:	/s/ G. William Andrews
	G. William Andrews
	Chief Executive Officer

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, LP, General Partner of the Registrant, indicated on March 29, 2017.

Signature	Capacity
/s/ G. William Andrews	Chief Executive Officer
G. William Andrews
/s/ Michael S. Harris	President
Michael S. Harris
/s/ Thomas P. Lloyd	General Counsel
Thomas P. Lloyd
/s/ Gregory T. Donovan	Chief Financial Officer, Principal Accounting Officer
Gregory T. Donovan

46

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

ANNUAL REPORT

December 31, 2016

47

CAMPBELL STRATEGIC ALLOCATION FUND, L.P

INDEX

	PAGES
Report of Independent Registered Public Accounting Firm	49
Financial Statements
Condensed Schedules of Investments December 31, 2016 and 2015	50 - 53
Statements of Financial Condition December 31, 2016 and 2015	54
Statements of Operations For the Years Ended December 31, 2016, 2015 and 2014	55
Statements of Cash Flows For the Years Ended December 31, 2016, 2015 and 2014	56
Statements of Changes in Partners' Capital (Net Asset Value) For the Years Ended December 31, 2016, 2015 and 2014	57
Financial Highlights For the Years Ended December 31, 2016, 2015 and 2014	58
Notes to Financial Statements	59 - 69

48

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, 2016 and 2015, 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, 2016. 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, 2016 and 2015, 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, 2016, in conformity with accounting principles generally accepted in the United States of America.

/s/ DELOITTE & TOUCHE LLP

McLean, Virginia

March 29, 2017

49

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

 CONDENSED SCHEDULE OF INVESTMENTS

 DECEMBER 31, 2016

FIXED INCOME SECURITIES
Maturity Face Value		Description	Fair Value ($)		% of Net Asset Value
		Asset Backed Securities
		United States
		Auto Loans	$	10,427,066		2.77	%
		Credit Cards		14,170,357		3.76	%
		Equipment Loans		2,433,096		0.65	%
		Utility Rate Reduction Bonds		219,728		0.06	%
		Total Asset Backed Securities (cost $27,280,879)		27,250,247		7.24	%
		Bank Deposits
		United States
		Financials		10,908,573		2.90	%
		Total Bank Deposits (cost $10,902,138)		10,908,573		2.90	%
		Commercial Paper
		United States
		Communications		12,379,777		3.29	%
		Consumer Discretionary		26,198,780		6.96	%
		Consumer Staples		2,919,692		0.77	%
		Energy		8,232,187		2.19	%
		Financials		28,265,886		7.50	%
		Health Care		9,700,928		2.58	%
		Technology		12,508,718		3.32	%
		Utilities		26,182,763		6.95	%
		Total Commercial Paper (cost $126,374,599)		126,388,731		33.56	%
		Corporate Bonds
		United States
		Communications		12,835,604		3.41	%
		Consumer Discretionary		24,982,372		6.63	%
		Consumer Staples		1,611,401		0.43	%
		Energy		3,440,000		0.91	%
		Financials		68,213,206		18.11	%
		Industrials		4,069,108		1.08	%
		Technology		5,203,538		1.38	%
		Total Corporate Bonds (cost $120,357,792)		120,355,229		31.95	%
		Government And Agency Obligations
		United States
		U.S. Treasury Bills
$	7,825,000	U.S. Treasury Bills Due 01/19/2017*		7,823,584		2.08	%
$	7,922,500	U.S. Treasury Bills Due 01/26/2017*		7,920,416		2.10	%
$	7,700,000	U.S. Treasury Bills Due 02/02/2017*		7,697,328		2.04	%
$	21,500,000	U.S. Treasury Bills Due 02/23/2017*		21,485,810		5.70	%
$	6,100,000	U.S. Treasury Bills Due 03/09/2017*		6,094,809		1.62	%
$	9,470,000	U.S. Treasury Bills Due 03/16/2017*		9,460,625		2.51	%
$	23,472,500	U.S. Treasury Bills Due 03/23/2017*		23,447,079		6.23	%
		Total Government And Agency Obligations (cost $83,928,449)		83,929,651		22.28	%
		Total Fixed Income Securities ** (cost $368,843,857)	$	368,832,431		97.93	%
SHORT TERM INVESTMENTS
Maturity Face Value		Description	Fair Value ($)		% of Net Asset Value
		Money Market Funds
		United States
		Money Market Funds (cost $2,301)	$	2,301		0.00	%
		Total Short Term Investments (cost $2,301)	$	2,301		0.00	%

See Accompanying Notes to Financial Statements.

50

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

 CONDENSED SCHEDULE OF INVESTMENTS

 DECEMBER 31, 2016

LONG FUTURES CONTRACTS
Description	Fair Value ($)			% of Net Asset Value
Agriculture	$	(220,625	)		(0.06	)%
Energy		1,226,623			0.32	%
Metals		(3,700,055	)		(0.98	)%
Stock indices		2,256,474			0.60	%
Short-term interest rates		31,277			0.01	%
Long-term interest rates		1,673,572			0.44	%
Net unrealized gain (loss) on long futures contracts		1,267,266			0.33	%
SHORT FUTURES CONTRACTS
Description	Fair Value ($)			% of Net Asset Value
Agriculture		1,172,631			0.31	%
Metals		525,656			0.14	%
Stock indices		(248,060	)		(0.07	)%
Short-term interest rates		(279,188	)		(0.07	)%
Long-term interest rates		(540,866	)		(0.14	)%
Net unrealized gain (loss) on short futures contracts		630,173			0.17	%
Net unrealized gain (loss) on open futures contracts	$	1,897,439			0.50	%
FORWARD CURRENCY CONTRACTS
Description	Fair Value ($)			% of Net Asset Value
Various long forward currency contracts	$	(3,320,320	)		(0.88	)%
Various short forward currency contracts		6,351,986			1.68	%
Net unrealized gain (loss) on open forward currency contracts	$	3,031,666			0.80	%

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

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

See Accompanying Notes to Financial Statements.

51

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

 CONDENSED SCHEDULE OF INVESTMENTS

 DECEMBER 31, 2015

FIXED INCOME SECURITIES
Maturity Face Value		Description	Fair Value ($)		% of Net Asset Value
		Asset Backed Securities
		United States
		Auto Loans	$	20,040,567		3.67	%
		Credit Cards		8,818,510		1.62	%
		Equipment Loans		3,029,800		0.55	%
		Utility Rate Reduction Bonds		685,878		0.13	%
		Total Asset Backed Securities (cost $32,635,227)		32,574,755		5.97	%
		Commercial Paper
		United States
		Communications		11,030,011		2.02	%
		Consumer Discretionary		23,279,813		4.27	%
		Consumer Staples		16,122,016		2.96	%
		Energy		10,074,868		1.85	%
		Financials		28,619,747		5.25	%
		Health Care		20,178,845		3.70	%
		Industrials		6,574,969		1.20	%
		Technology		14,047,005		2.57	%
		Utilities		23,474,688		4.30	%
		Total Commercial Paper (cost $153,390,527)		153,401,962		28.12	%
		Corporate Bonds
		Japan
		Consumer Discretionary (cost $4,322,342)		4,300,581		0.79	%
		United States
		Communications		15,690,868		2.88	%
		Consumer Discretionary		37,805,699		6.93	%
		Consumer Staples		12,918,157		2.37	%
		Financials		90,334,411		16.56	%
		Health Care		8,890,619		1.63	%
		Technology		3,902,981		0.71	%
		Total United States (cost $169,821,304)		169,542,735		31.08	%
		Total Corporate Bonds (cost $174,143,646)		173,843,316		31.87	%
		Government And Agency Obligations
		United States
		U.S. Treasury Bills
$	45,000,000	U.S. Treasury Bills Due 01/28/2016*		44,996,310		8.25	%
$	21,020,000	U.S. Treasury Bills Due 02/04/2016*		21,018,360		3.85	%
$	77,000,000	U.S. Treasury Bills Due 02/25/2016*		76,992,454		14.12	%
		Total Government And Agency Obligations (cost $143,017,647)		143,007,124		26.22	%
		Total Fixed Income Securities ** (cost $503,187,047)	$	502,827,157		92.18	%
SHORT TERM INVESTMENTS
Maturity Face Value		Description	Fair Value ($)		% of Net Asset Value
		Money Market Funds
		United States
		Money Market Funds (cost $1,939)	$	1,939		0.00	%
		Total Short Term Investments (cost $1,939)	$	1,939		0.00	%

See Accompanying Notes to Financial Statements.

52

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

 CONDENSED SCHEDULE OF INVESTMENTS

 DECEMBER 31, 2015

LONG FUTURES CONTRACTS
Description	Fair Value ($)			% of Net Asset Value
Agriculture	$	18,361			0.00	%
Energy		60,602			0.01	%
Metals		278,027			0.05	%
Stock indices		(470,212	)		(0.09	)%
Short-term interest rates		(394,828	)		(0.07	)%
Long-term interest rates		468,177			0.09	%
Net unrealized gain (loss) on long futures contracts		(39,873	)		(0.01	)%
SHORT FUTURES CONTRACTS
Description	Fair Value ($)			% of Net Asset Value
Agriculture		575,270			0.11	%
Energy		(5,755,777	)		(1.05	)%
Metals		(2,661,677	)		(0.49	)%
Stock indices		(87,595	)		(0.02	)%
Short-term interest rates		(44,997	)		(0.01	)%
Long-term interest rates		(77,056	)		(0.01	)%
Net unrealized gain (loss) on short futures contracts		(8,051,832	)		(1.47	)%
Net unrealized gain (loss) on open futures contracts	$	(8,091,705	)		(1.48	)%
FORWARD CURRENCY CONTRACTS
Description	Fair Value ($)			% of Net Asset Value
Various long forward currency contracts	$	(6,621,688	)		(1.21	)%
Various short forward currency contracts		8,052,240			1.47	%
Net unrealized gain (loss) on open forward currency contracts	$	1,430,552			0.26	%

* 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 $89,991,900 deposited with the futures brokers and $53,015,224 deposited with the interbank market makers.

See Accompanying Notes to Financial Statements.

53

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

STATEMENTS OF FINANCIAL CONDITION

DECEMBER 31, 2016 AND 2015

	2016		2015
ASSETS
Equity in futures broker trading accounts
Cash	$	22,788,659	$	51,239,065
Restricted cash		0		5,107,473
Fixed income securities (cost $56,075,557 and $89,998,647, respectively)		56,077,722		89,991,900
Net unrealized gain (loss) on open futures contracts		1,897,439		(8,091,705	)
Total equity in futures broker trading accounts		80,763,820		138,246,733
Cash and cash equivalents		627,303		644,164
Short term investments (cost $2,301 and $1,939, respectively)		2,301		1,939
Fixed income securities (cost $312,768,300 and $413,188,400, respectively)		312,754,709		412,835,257
Net unrealized gain (loss) on open forward currency contracts		3,031,666		1,430,552
Interest receivable		572,148		716,514
Total assets	$	397,751,947	$	553,875,159
LIABILITIES
Accounts payable	$	311,891	$	401,392
Brokerage fee payable		2,317,641		3,227,278
Accrued commissions and other trading fees on open contracts		42,406		95,209
Offering costs payable		87,768		130,828
Redemptions payable		18,345,797		4,557,645
Total liabilities		21,105,503		8,412,352
PARTNERS' CAPITAL (Net Asset Value)
General Partner - 234.340 and 235.103 redeemable units outstanding at December 31, 2016 and December 31, 2015, respectively		559,798		658,220
Limited Partners - 157,435.256 and 194,593.327 redeemable units outstanding at December 31, 2016 and December 31, 2015, respectively		376,086,646		544,804,587
Total partners' capital (Net Asset Value)		376,646,444		545,462,807
Total liabilities and partners' capital (Net Asset Value)	$	397,751,947	$	553,875,159

See Accompanying Notes to Financial Statements.

54

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

 STATEMENTS OF OPERATIONS

 FOR THE YEARS ENDED DECEMBER 31, 2016, 2015 AND 2014

	2016			2015			2014
TRADING GAINS (LOSSES)
Futures trading gains (losses)
Realized	$	(44,859,201	)	$	8,064,703		$	87,560,065
Change in unrealized		9,989,144			(25,556,045	)		1,585,681
Brokerage commissions		(2,347,985	)		(3,108,902	)		(3,515,221	)
Net gain (loss) from futures trading		(37,218,042	)		(20,600,244	)		85,630,525
Forward currency trading gains (losses)
Realized		(5,536,450	)		32,474,560			48,874,368
Change in unrealized		1,601,114			(12,146,215	)		9,962,940
Brokerage commissions		(150,935	)		(231,090	)		(221,887	)
Net gain (loss) from forward currency trading		(4,086,271	)		20,097,255			58,615,421
Total net trading gain (loss)		(41,304,313	)		(502,989	)		144,245,946
NET INVESTMENT INCOME (LOSS)
Investment income
Interest income		3,426,834			2,527,095			2,097,352
Realized gain (loss) on fixed income securities		56,108			25,691			8,776
Change in unrealized gain (loss) on fixed income securities		348,464			(385,194	)		(388,152	)
Total investment income		3,831,406			2,167,592			1,717,976
Expenses
Brokerage fee		33,665,203			44,538,157			44,356,653
Operating expenses		1,184,160			1,493,196			1,155,305
Total expenses		34,849,363			46,031,353			45,511,958
Net investment income (loss)		(31,017,957	)		(43,863,761	)		(43,793,982	)
NET INCOME (LOSS)	$	(72,322,270	)	$	(44,366,750	)	$	100,451,964
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT
(based on weighted average number of units outstanding during the year)	$	(397.20	)	$	(208.71	)	$	398.71
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT	$	(410.88	)	$	(222.65	)	$	461.28
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE YEAR		182,079.450			212,574.520			251,943.822

See Accompanying Notes to Financial Statements.

55

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

 STATEMENTS OF CASH FLOWS

 FOR THE YEARS ENDED DECEMBER 31, 2016, 2015 AND 2014

	2016			2015			2014
Cash flows from (for) operating activities
Net income (loss)	$	(72,322,270	)	$	(44,366,750	)	$	100,451,964
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
Net change in unrealized on futures, forwards and investments		(11,938,722	)		38,087,454			(11,160,469	)
(Increase) decrease in restricted cash		5,107,473			(5,107,473	)		0
(Increase) decrease in interest receivable		144,366			(272,509	)		540,970
Increase (decrease) in accounts payable and accrued expenses		(1,051,941	)		(781,916	)		(256,113	)
Purchases of investments		(5,323,635,527	)		(8,308,799,690	)		(12,769,700,361	)
Sales/maturities of investments		5,457,978,355			8,387,099,245			12,856,536,261
Net cash from (for) operating activities		54,281,734			65,858,361			176,412,252
Cash flows from (for) financing activities
Redemption of units		(81,421,815	)		(89,732,053	)		(135,215,565	)
Offering costs paid		(1,327,186	)		(1,900,312	)		(1,950,645	)
Net cash from (for) financing activities		(82,749,001	)		(91,632,365	)		(137,166,210	)
Net increase (decrease) in cash and cash equivalents		(28,467,267	)		(25,774,004	)		39,246,042
Unrestricted cash
Beginning of year		51,883,229			77,657,233			38,411,191
End of year	$	23,415,962		$	51,883,229		$	77,657,233
End of year cash and cash equivalents consists of:
Cash in futures broker trading accounts	$	22,788,659		$	51,239,065		$	77,340,700
Cash and cash equivalents		627,303			644,164			316,533
Total end of year cash and cash equivalents	$	23,415,962		$	51,883,229		$	77,657,233

See Accompanying Notes to Financial Statements.

56

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

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

FOR THE YEARS ENDED DECEMBER 31, 2016, 2015 AND 2014

	Partners' Capital
	General Partner						Limited Partners						Total
	Units			Amount			Units			Amount			Units			Amount
Balances at December 31, 2013		1,106.508		$	2,833,856			276,246.741		$	707,491,381			277,353.249		$	710,325,237
Net income (loss)					456,833						99,995,131						100,451,964
Redemptions		(516.721	)		(1,500,000	)		(53,010.589	)		(130,806,681	)		(53,527.310	)		(132,306,681	)
Offering costs					(8,140	)					(1,979,918	)					(1,988,058	)
Balances at December 31, 2014		589.787		$	1,782,549			223,236.152		$	674,699,913			223,825.939		$	676,482,462
Net income (loss)					(85,061	)					(44,281,689	)					(44,366,750	)
Transfers in		0.000			0			12.403			34,725			12.403			34,725
Transfers out		(12.403	)		(34,725	)		0.000			0			(12.403	)		(34,725	)
Redemptions		(342.281	)		(1,000,000	)		(28,655.228	)		(83,924,201	)		(28,997.509	)		(84,924,201	)
Offering costs					(4,543	)					(1,724,161	)					(1,728,704	)
Balances at December 31, 2015		235.103		$	658,220			194,593.327		$	544,804,587			194,828.430		$	545,462,807
Net income (loss)					(94,946	)					(72,227,324	)					(72,322,270	)
Transfers in		0.000			0			0.763			1,822			0.763			1,822
Transfers out		(0.763	)		(1,822	)		0.000			0			(0.763	)		(1,822	)
Redemptions		0.000			0			(37,158.834	)		(95,209,967	)		(37,158.834	)		(95,209,967	)
Offering costs					(1,654	)					(1,282,472	)					(1,284,126	)
Balances at December 31, 2016		234.340		$	559,798			157,435.256		$	376,086,646			157,669.596		$	376,646,444

Net Asset Value per General and Limited Partner Unit
December 31, 2016			December 31, 2015			December 31, 2014
	$	2,388.83		$	2,799.71		$	3,022.36

See Accompanying Notes to Financial Statements.

57

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

FINANCIAL HIGHLIGHTS

FOR THE YEARS ENDED DECEMBER 31, 2016, 2015 AND 2014

The following information presents per unit operating performance data and other supplemental financial data for the years ended December 31, 2016, 2015 and 2014. This information has been derived from information presented in the financial statements. 

	2016			2015			2014
Per Unit Performance
(for a unit outstanding throughout the entire year)
Net asset value per unit at beginning of year	$	2,799.71		$	3,022.36		$	2,561.08
Income (loss) from operations:
Total net trading gains (losses) (1)		(233.48	)		(8.17	)		642.99
Net investment income (loss) (1)		(170.35	)		(206.35	)		(173.82	)
Total net income (loss) from operations		(403.83	)		(214.52	)		469.17
Offering costs (1)		(7.05	)		(8.13	)		(7.89	)
Net asset value per unit at end of year	$	2,388.83		$	2,799.71		$	3,022.36
Total Return		(14.68	)%		(7.37	)%		18.01	%
Supplemental Data
Ratios to average net asset value:
Expenses prior to performance fee		7.30	%		7.31	%		7.26	%
Performance fee		0.00	%		0.00	%		0.00	%
Total expenses		7.30	%		7.31	%		7.26	%
Net investment income (loss) (2)		(6.50	)%		(6.97	)%		(6.99	)%

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 transfers and redemptions.

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

58

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

DECEMBER 31, 2016

Note 1.  ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

A.  General Description of the Fund

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

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

B.  Regulation

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

C.  Method of Reporting

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

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

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

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

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

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

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.

59

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

DECEMBER 31, 2016

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, 2016 and December 31, 2015, and for the years ended December 31, 2016 and 2015, 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, 2016 and December 31, 2015.

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

	Fair Value at December 31, 2015
Description	Level 1			Level 2		Level 3		Total
Investments
Short term investments	$	1,939		$	0	$	0	$	1,939
Fixed income securities		0			502,827,157		0		502,827,157
Other Financial Instruments
Exchange-traded futures contracts		(8,091,705	)		0		0		(8,091,705	)
Forward currency contracts		0			1,430,552		0		1,430,552
Total	$	(8,089,766	)	$	504,257,709	$	0	$	496,167,943

There were no transfers to or from Level 1 to Level 2 for the years ended December 31, 2016 and 2015.

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

E.  Cash and Cash Equivalents

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

60

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

DECEMBER 31, 2016

F.  Income Taxes

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

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

G.  Offering Costs

Campbell & Company, LP ("Campbell & Company") has incurred all costs in connection with the initial and continuous offering of units of the Fund ("offering costs"). In addition, Campbell & Company continues to compensate wholesalers for services rendered to Limited Partners. The Fund's liability for offering costs is limited to the maximum of total offering costs incurred by Campbell & Company, not to exceed 2.5% of the aggregate subscriptions accepted during the initial and continuous offerings. As of December 31, 2016 and December 31, 2015, the Fund has the potential remaining reimbursement amount of approximately $37.4 million and $38.6 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, 2016 and December 31, 2015, the amount of unreimbursed offering costs incurred by Campbell & Company is $88,660 and $123,499, respectively. At December 31, 2016, and December 31, 2015, the Fund reflects a liability in the Statements of Financial Condition for offering costs payable to Campbell & Company of $87,768 and $130,828, respectively. The amount of monthly reimbursement due to Campbell & Company is charged directly to partners' capital.

H.  Foreign Currency Transactions

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

I.  Recently Issued Accounting Pronouncements

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

61

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

DECEMBER 31, 2016

Note 2.  GENERAL PARTNER AND COMMODITY TRADING ADVISOR

The general partner of the Fund is Campbell & Company, LP, which conducts and manages the business of the Fund. Campbell & Company is also the commodity trading advisor of the Fund. Effective December 2, 2014, Campbell & Company, Inc. changed its name and form of entity to Campbell & Company, LP.  Campbell & Company refers to either Campbell & Company, Inc. or Campbell & Company, LP depending on the applicable period discussed.  The Amended Agreement of Limited Partnership provides that Campbell & Company may make withdrawals of its units, provided that such withdrawals do not reduce Campbell & Company's aggregate percentage interest in the Fund to less than 1% of the net aggregate contributions.

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

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

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

Note 3.  ADMINISTRATOR

Northern Trust Hedge Fund Services LLC became the Administrator of the Fund effective January 1, 2015. The Administrator receives fees at rates agreed upon between the Fund and the Administrator and is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties. The Administrator's primary responsibilities are portfolio accounting and fund accounting services.

Note 4.  CASH MANAGER AND CUSTODIAN

Prior to March 2014, Horizon Cash Management, LLC served as the cash manager under the Investment Advisory Agreement to manage and control the liquid assets of the Fund. 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. Horizon Cash Management, LLC was and PNC Capital Advisors, LLC is registered as investment advisers with the SEC of the United States under the Investment Advisers Act of 1940.

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

Note 5.  DEPOSITS WITH FUTURES BROKERS

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

Note 6.  DEPOSITS WITH INTERBANK MARKET MAKERS

The Fund's counterparties with regard to its forward currency transactions are The Royal Bank of Scotland PLC ("RBS") and UBS AG ("UBS"). The Fund has entered into an International Swap and Derivatives Association, Inc. agreement ("ISDA Agreement") with RBS and UBS which governs these transactions. The credit ratings reported by the three major rating agencies for UBS were considered investment grade as of December 31, 2016, while RBS was rated investment grade by two of the three major rating agencies and rated at the top-tier of non-investment grade by the third rating agency. Margin requirements are satisfied by the deposit of U.S. Treasury bills and cash with RBS and UBS. The Fund typically earns interest income on its assets deposited with RBS and UBS.

62

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

DECEMBER 31, 2016

Note 7.  OPERATING EXPENSES

Operating expenses of the Fund are limited by the Amended Agreement of Limited Partnership to 0.5% per year of the average month-end Net Asset Value of the Fund. Actual operating expenses were less than 0.5% of average month-end Net Asset Value for the years ended December 31, 2016, 2015 and 2014.

Note 8.  SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

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

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

Note 9.  TRADING ACTIVITIES AND RELATED RISKS

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

Market Risk

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

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

63

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

DECEMBER 31, 2016

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, 2016 and 2015 is as follows:

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

* Derivatives not designated as hedging instruments under ASC 815

Type of Instrument *	Statements of Financial Condition Location	Asset Derivatives at December 31, 2015 Fair Value		Liability Derivatives at December 31, 2015 Fair Value			Net
Agriculture Contracts	Net unrealized gain (loss) on open futures contracts	$	2,502,717	$	(1,909,086	)	$	593,631
Energy Contracts	Net unrealized gain (loss) on open futures contracts		1,249,322		(6,944,497	)		(5,695,175	)
Metal Contracts	Net unrealized gain (loss) on open futures contracts		1,370,476		(3,754,126	)		(2,383,650	)
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts		560,183		(1,117,990	)		(557,807	)
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		10,868		(450,693	)		(439,825	)
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		1,590,634		(1,199,513	)		391,121
Forward Currency Contracts	Net unrealized gain (loss) on open forward currency contracts		31,083,991		(29,653,439	)		1,430,552
Totals		$	38,368,191	$	(45,029,344	)	$	(6,661,153	)

* Derivatives not designated as hedging instruments under ASC 815

64

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

DECEMBER 31, 2016

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, 2016, 2015 and 2014 is as follows:

Type of Instrument	Trading Gains / (Losses) for the Year Ended December 31, 2016			Trading Gains / (Losses) for the Year Ended December 31, 2015			Trading Gains / (Losses) for the Year Ended December 31, 2014
Agriculture Contracts	$	(13,356,428	)	$	(20,319,363	)	$	(2,200,448	)
Energy Contracts		(28,402,841	)		20,019,783			32,892,573
Metal Contracts		(13,161,193	)		5,700,680			(10,916,860	)
Stock Indices Contracts		2,224,293			(216,341	)		(25,537,308	)
Short-Term Interest Rate Contracts		(3,042,015	)		(3,213,786	)		(8,780,750	)
Long-Term Interest Rate Contracts		20,940,454			(19,540,126	)		103,697,054
Forward Currency Contracts		(3,935,336	)		20,328,345			58,837,308
Total	$	(38,733,066	)	$	2,759,192		$	147,991,569

Line Item in the Statements of Operations	Trading Gains / (Losses) for the Year Ended December 31, 2016			Trading Gains / (Losses) for the Year Ended December 31, 2015			Trading Gains / (Losses) for the Year Ended December 31, 2014
Futures trading gains (losses):
Realized **	$	(44,786,874	)	$	7,986,892		$	87,568,580
Change in unrealized		9,989,144			(25,556,045	)		1,585,681
Forward currency trading gains (losses):
Realized		(5,536,450	)		32,474,560			48,874,368
Change in unrealized		1,601,114			(12,146,215	)		9,962,940
Total	$	(38,733,066	)	$	2,759,192		$	147,991,569

** 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, 2016, 2015 and 2014, the monthly average of futures contracts bought and sold was approximately 51,500; 67,100 and 75,900, respectively, and the monthly average of notional value of forward currency contracts was $2,607,000,000; $3,705,000,000 and $5,298,000,000, respectively.

Open contracts generally mature within twelve months; as of December 31, 2016, the latest maturity date for open futures contracts is March 2018 and the latest maturity date for open forward currency contracts is March 2017. However, the Fund intends to close all futures and offset all forward currency contracts prior to maturity.

65

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

DECEMBER 31, 2016

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

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

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

The amount of required margin and good faith deposits with the futures brokers and interbank market makers usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at December 31, 2016 and 2015 was $83,929,651 and $143,007,124, respectively, which equals approximately 22% and 26% of Net Asset Value, respectively. The cash deposited with the interbank market makers at December 31, 2016 and 2015 was $138,161 and $207,883, respectively, which equals approximately 0% and 0% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents. Included in cash deposits with the futures brokers and interbank market makers at December 31, 2016 and 2015 was restricted cash for margin requirements of $0 and $5,107,473, respectively, which equals approximately 0% and 1% of Net Asset Value, respectively.

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

66

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

DECEMBER 31, 2016

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

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

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

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

67

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

DECEMBER 31, 2016

Offsetting of Derivative Assets
As of December 31, 2015
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	$	3,688,786	$	(3,688,786	)	$	0
Futures contracts	Goldman Sachs		3,595,414		(3,595,414	)		0
Total futures contracts			7,284,200		(7,284,200	)		0
Forward currency contracts	UBS AG		15,542,073		(14,826,720	)		715,353
Forward currency contracts	Royal Bank of Scotland		15,541,918		(14,826,719	)		715,199
Total forward currency contracts			31,083,991		(29,653,439	)		1,430,552
Total derivatives		$	38,368,191	$	(36,937,639	)	$	1,430,552

Derivatives Assets and Collateral Received by Counterparty
As of December 31, 2015
				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		$	0		$	0		$	0		$	0
Goldman Sachs			0			0			0			0
UBS AG			715,353			0			0			715,353
Royal Bank of Scotland			715,199			0			0			715,199
Total		$	1,430,552		$	0		$	0		$	1,430,552

Offsetting of Derivative Liabilities
As of December 31, 2015
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	$	7,516,750	$	(3,688,786	)	$	3,827,964
Futures contracts	Goldman Sachs		7,859,155		(3,595,414	)		4,263,741
Total futures contracts			15,375,905		(7,284,200	)		8,091,705
Forward currency contracts	UBS AG		14,826,720		(14,826,720	)		0
Forward currency contracts	Royal Bank of Scotland		14,826,719		(14,826,719	)		0
Total forward currency contracts			29,653,439		(29,653,439	)		0
Total derivatives		$	45,029,344	$	(36,937,639	)	$	8,091,705

Derivatives Liabilities and Collateral Pledged by Counterparty
As of December, 2015
				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		$	3,827,964		$	0		$	(3,827,964	)		$	0
Goldman Sachs			4,263,741			0			(4,263,741	)			0
UBS AG			0			0			0				0
Royal Bank of Scotland			0			0			0				0
Total		$	8,091,705		$	0		$	(8,091,705	)		$	0

68

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

DECEMBER 31, 2016

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

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

Note 10. INDEMNIFICATIONS

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

Note 11. SUBSEQUENT EVENTS

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

69

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