<PAGE>   1
                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549

(Mark One)
                                   FORM 10-K

                 ANNUAL REPORT PURSUANT TO SECTION 13 OR 15 (d)

[ X ]       OF THE SECURITIES EXCHANGE ACT OF 1934   [FEE REQUIRED]

                  For the Fiscal Year Ended December 31, 1997
                       Commission File Number 0-22260 and
                                    2-84126

                                       OR

[   ]       TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE

               SECURITIES EXCHANGE ACT OF 1934  [NO FEE REQUIRED]

            For the transition period from ___________ to __________


                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                    ----------------------------------------
             (Exact name of Registrant as specified in its charter)


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


     210 W. PENNSYLVANIA AVENUE
        BALTIMORE, MARYLAND                              21204               
  ---------------------------------      ------------------------------------


      Registrant's telephone number, including area code: (410)  296-3301
                                                          ---------------

       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 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      X       No
                              -----------    ------
<PAGE>   2
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 II of this Form 10-K or any
amendment to this Form 10-K.      [X]

The Registrant has no voting stock.  As of December 31, 1997 there were
146,732.843 Units of Limited Partnership Interest issued and outstanding.

Total number of pages 25. Consecutive page numbers on which exhibits commence:
25.
---




                                       2
<PAGE>   3
DOCUMENTS INCORPORATED BY REFERENCE

         Prospectus dated August 1, 1997 included within the Registration
Statement of Form S-1 (File No. 333-19117), incorporated by reference into
Parts I, II, III and IV.





                                       3
<PAGE>   4
                                     PART I

ITEM 1.          BUSINESS

         Campbell Strategic Allocation Fund, L.P. (the "Registrant") 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 buy, hold and trade in commodity
futures and options contracts and other commodity interests, with primary
emphasis on financial futures (including interest rates, foreign exchange and
stock indices) and metals and energy contracts, and with limited allocations to
grains, meats and softs contracts.  The objective is appreciation of assets
through speculative trading.  The general partner and trading advisor of the
Registrant is Campbell & Company, Inc. ("Campbell & Company").  The
Registrant's operations are regulated by the provisions of the Commodity
Exchange Act, the regulations of the Commodity Futures Trading Commission, and
the rules of the National Futures Association.

         The Registrant originally filed a registration statement with the U.S.
Securities and Exchange Commission for the sale of a minimum of $2,500,000 and
a maximum of $25,000,000 in Units of Limited Partnership at $1,000 each, which
registration statement was effective on January 12, 1994.  The Fund has since
filed additional registration statements with the U.S. Securities and Exchange
Commission to bring the sum of existing and offered Units of Limited
Partnership Interests to a maximum of  approximately $270,000,000. The Unit
selling price during the initial offering period, which lasted for
approximately 90 days and ended on April 15, 1994, was $1,000.  Since April
15, 1994, Units of Limited Partnership Interests of the Fund have been offered
on an ongoing basis during the Fund's continuing offering period.  During the
continuing offering period, subscriptions are accepted monthly and proceeds are
transferred to bank and brokerage accounts for trading purposes.  The unit
selling price during the continuing offering period is the net asset value per
unit as of the last business day of the month in which the subscription is
accepted.

         A total of $200,552,643 has been raised in the initial and continuing
offering periods through December 31, 1997.

         In addition to making all trading decisions in its capacity as trading
advisor, Campbell & Company controls all aspects of the business and
administration of the Registrant in its role as general partner.

         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; or  (d) any event which shall make unlawful the
continuing existence of the Registrant.

Regulation

         Under the Commodity Exchange Act, as amended (the "Act"), commodity
exchanges and commodity futures trading are subject to regulation by the
Commodity Futures Trading Commission (the 'CFTC").  The National Futures
Association ("NFA'), a registered futures association under the Act, is the
only non-exchange self-regulatory organization for commodity industry
professionals.  The CFTC has delegated to the NFA responsibility for the
registration of "commodity trading advisors," "commodity pool operators,"
"futures commission merchants," "introducing brokers" and their respective
associated persons and "floor brokers."  The Act requires "commodity pool
operators," and "commodity trading advisors" such as Campbell & Company and
commodity brokers or "futures commission merchants" such as the Commodity
Broker to be registered and to comply with various reporting and recordkeeping
requirements.  Campbell & Company and the Commodity Broker are members of the
NFA.  The CFTC may suspend a commodity pool operator's or trading advisor's
registration if it finds that its trading practices tend to disrupt orderly
market conditions or in certain other situations.  In the event Campbell &
Company's registration as a commodity pool operator or commodity trading
advisor were terminated or suspended, Campbell & Company would be unable to
continue to manage the business of the Registrant.  Should Campbell & Company's
registration be suspended, termination of the Registrant might result.





                                       4
<PAGE>   5
         In addition to such registration requirements, the CFTC and certain
commodity exchanges have established limits on the maximum net long and net
short positions which any person, including the Registrant, may hold or control
in particular commodities.  Most exchanges also limit the maximum changes in
commodity futures contract prices that may occur during a single trading day.
The Registrant also trades in dealer markets for forward contracts, which is
not regulated by the CFTC.  Federal and state banking authorities also do not
regulate forward trading or forward dealers.  In addition, the Registrant
trades on foreign commodity exchanges which are not subject to regulation by
any United States government agency.

Operations

         A description of the business of the Registrant, including trading
approach, rights and obligations of the Partners, and compensation arrangements
is contained in the Prospectus under "Summary," "Risk Factors," "Investment
Factors," "Campbell & Company, Inc.," "Conflicts of Interest," and "The Futures
and Forwards Markets," and such description is incorporated herein by reference
from the Prospectus.

         The Registrant conducts its business in one industry segment, the
speculative trading of commodity futures contracts.  The Registrant is a market
participant in the "managed futures" industry.  The managed futures industry
has grown substantially in the previous ten years.  Market participants include
all types of investors, such as corporations, employee benefit plans,
individuals and foreign investors.  Service providers of the managed futures
industry include (a) pool operators, which control all aspects of trading
funds such as the Registrant (except trading decisions), (b) trading advisors,
which make the specific trading decisions, and (c) commodity brokers, which
execute and clear the trades pursuant to the instructions of the trading
advisor.  The Registrant has no employees, and does not engage in the sale of
goods or services.

         The Registrant engages in financial instrument trading in up to
approximately 40 financial instrument contracts on domestic and international
markets.  Campbell & Company utilizes its Financial, Metal and Energy Large
Portfolio (75% allocation of Fund assets) and the Global Diversified Large
Portfolio (25% allocation) in trading the Registrant's assets.  As of February,
1998, the Fund's assets are allocated to the different market sectors in
approximately the following manner:  46% to currencies, 22% to interest rates,
15% to stock indices, 11% to energy products, 4% to metals and 2% to
agricultural.  The contracts traded by the Registrant will fluctuate from time
to time

         The Registrant may, in the future, experience increased competition
for the commodity futures and other contracts in which it trades.  Campbell &
Company will recommend similar or identical trades for other accounts under its
management.  Such competition may also increase due to the widespread
utilization of computerized methods similar to those used by Campbell &
Company.

ITEM 2.          PROPERTIES

         The Registrant does not use any physical properties in the conduct of
its business.  Its assets currently consist of commodity futures and other
contracts and cash.





                                       5
<PAGE>   6
ITEM 3.          LEGAL PROCEEDINGS

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

ITEM 4.          SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

         None.

                                    PART II

ITEM 5.          MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED STOCKHOLDER
                 MATTERS

         Units of Limited Partnership Interest are not publicly traded.  Units
may be transferred or redeemed subject to the conditions imposed by the
Agreement of Limited Partnership.  As of December 31, 1997, there were 7,298
Limited Partners in the Registrant and 146,732.843 Units of Limited Partnership
Interest outstanding.

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

ITEM 6.          SELECTED FINANCIAL DATA

DOLLARS IN THOUSANDS, EXCEPT PER UNIT AMOUNTS

<TABLE>
<CAPTION>
                                                         For the Year Ended December 31,                                     
                                                   -----------------------------------------      Period Ended
                                                       1997           1996           1995      December 31, 1994
                                                   ------------   ------------   -----------   -----------------
<S>                                                <C>            <C>            <C>              <C>
Total Assets  . . . . . . . . . . . . . . . . . .  $   220,404    $   111,367    $   46,492       $  21,066
Total Partners' Capital . . . . . . . . . . . . .      212,710        107,737        45,074          20,599
Total Income (Loss) . . . . . . . . . . . . . . .       40,234         26,624         6,201          (1,215)
Net Income (Loss) . . . . . . . . . . . . . . . .       24,011         19,058         3,509          (2,236)
Net Income (Loss) Per General and Limited Partner                                            
     Unit . . . . . . . . . . . . . . . . . . . .       208.78         327.00        103.74         (133.42)
Increase (Decrease) in Net Asset Value per General                                           
     and Limited Partner Unit . . . . . . . . . .       181.48         296.12         88.27         (116.23)
</TABLE>

          NOTE:  The Fund commenced trading in April 1994; financial information
                 is provided since that inception date.

ITEM 7.          MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
                 RESULTS OF OPERATIONS.

Introduction

The offering of its Units of Limited Partnership Interests commenced on January
12, 1994.  The initial offering terminated on April 15, 1994 and the Registrant
commenced operations on April 18, 1994.  The continuing offering period
commenced at the termination of the initial offering period and is ongoing.

Capital Resources

The Registrant will raise additional capital only through the sale of Units
offered pursuant to the continuing offering, and does not intend to raise any
capital through borrowing.  Due to the nature of the Registrant's business, it
will make no capital expenditures and will have no capital assets which are not
operating capital or assets.

Liquidity





                                       6
<PAGE>   7
         Most United States commodity exchanges limit fluctuations in commodity
futures contracts prices 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.  Commodity futures prices
have occasionally moved the daily limit for several consecutive days with
little or no trading.  Similar occurrences could prevent the Registrant from
promptly liquidating unfavorable positions and subject the Registrant to
substantial losses which could exceed the margin initially committed to such
trades.  In addition, even if commodity futures prices have not moved the daily
limit, the Registrant 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 Registrant's commodity
futures trading operations, the Registrant's assets are expected to be highly
liquid.

RESULTS OF OPERATIONS

         The returns for the years ended December 31, 1997 and 1996 were 14.31%
and 30.46%, respectively. For 1997, the majority of the 14.31% increase
occurred in the second half of the year, when approximately 90% of the total
trading gains for the year were posted.  Unprecedented volatility in global
equity markets provided good trading opportunities,  particularly in the stock
indices and interest rates futures.  The long positions maintained in the
S&P500 Index and natural gas futures contracts proved to be the best performing
markets for the year.  Trading in the currencies sector also provided
significant contributions to the positive performance. The Registrant continues
to benefit from  new capital management strategies and more diverse portfolios.
The 14.31% increase was the result of an approximate 19.22% increase due to
trading gains (before commissions) and an approximate 4.76% increase due to
interest income, offset by an approximate 9.67% decrease as a result of
brokerage fees, performance fees, and operating costs borne by the Registrant.

         For 1996, the majority of the increase occurred in the last quarter of
the year, when approximately 70% of the total trading gains for the year were
posted.  Upward trends in foreign and domestic bonds, coupled with a strong
U.S. Dollar and British Pound were the star performers during this quarter,
with bullish trends in Natural Gas and Copper also providing profits on the
Registrant's long positions.  The long position maintained in the S&P 500 also
proved profitable in this quarter, although performance in this market was flat
for the Registrant for the year. Downside volatility was well contained, and
the largest draw-down for the year of 5.97% occurred in February 1996, when
long U.S. and Australian bond positions were covered and reversed in sharply
falling markets. The 30.46% increase was the result of an approximate 37.38%
increase due to trading gains (before commissions) and an approximate 5.18%
increase due to interest income, offset by an approximate 12.10% decrease as
the result of brokerage fees, performance fees and operating costs borne by the
Registrant.

OFF-BALANCE SHEET RISK

The Registrant 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 Registrant
(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 Registrant at the same time, and if the Registrant's trading
advisor was unable to offset futures interests positions of the Registrant, the
Registrant could lose all of its assets and the Limited Partners would realize
a 100% loss.  Campbell & Company, Inc., the General Partner (who also acts as
trading advisor), minimizes market risk through real-time monitoring of open
positions, diversification of the portfolio and maintenance of a
margin-to-equity ratio that rarely exceeds 30%.

In addition to market risk, in entering into futures and forward contracts
there is a risk to the Registrant (credit risk) that a counterparty will not be
able to meet its obligations to the Registrant.  The counterparty of the
Registrant for futures contracts traded in the United States and most foreign
exchanges on which the Registrant trades is the clearinghouse associated with
such exchange.  In general, clearinghouses are backed by the membership of the
exchange and will  act in the event of non-performance by one of its members or
one of its members' customers, and as such, should significantly reduce this
credit risk.  In cases where the





                                       7
<PAGE>   8
Registrant trades on exchanges where the clearinghouse is not backed by the
membership (i.e. some foreign exchanges) or when the Registrant enters into
off-exchange contracts (i.e. forward contracts) with a counterparty, the sole
recourse of the Registrant will be the clearinghouse or the counterparty as the
case may be.  Campbell & Company, Inc., in its business as a commodity trading
advisor and through its many relationships with brokers, monitors the
creditworthiness of the exchanges and the  clearing members of the foreign
exchanges with which it does business for the Registrant and other clients.
With respect to forward contract trading, the Registrant trades with only those
counterparties which the General Partner has determined to be creditworthy.
All positions of the Registrant are valued each day on a mark-to-market basis.
While the General Partner monitors the creditworthiness and risks involved in
dealing on the various exchanges and with counterparties, there can be no
assurance that an exchange or counterparty will be able to meet its obligations
to the Registrant.

General

The Registrant 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 commodity futures contracts.  Because
the Registrant generally will use a small percentage of assets as margin, the
Registrant does not believe that any increase in margin requirements, as
proposed, will have a material effect on the Registrant's operations.

ITEM 8.  FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

         Financial statements meeting the requirements of Regulation S-X appear
beginning on Page 12 of this report.  The supplementary financial information
specified by Item 302 of Regulation S-K is not applicable.

ITEM 9.           CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING
                  AND FINANCIAL DISCLOSURE

         None.

                                    PART II

ITEM 10.          DIRECTORS AND OFFICERS OF THE REGISTRANT

         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 210 West
Pennsylvania Avenue, Baltimore, Maryland 21204, (410) 296-3301.  Campbell &
Company's directors and executive officers are as follows:

         Richard M. Bell, 45, began his employment with Campbell & Company in
May, 1990 and serves as a Senior Vice President -- Trading. His duties include
managing daily trade execution for the assets under Campbell's management. From
September, 1986 through May, 1990, Mr. Bell was the managing general partner of
several partnerships registered as broker-dealers involved in market making on
the floor of the Philadelphia Stock Exchange ("PHLX") and Philadelphia Board of
Trade ("PBOT"). From July, 1975 through September, 1986 Mr. Bell was a
stockholder and Executive Vice-President of Tague Securities, Inc., a
registered broker-dealer. Mr.  Bell owns a PHLX seat and a Philadelphia
Currency Participation, which are leased out.  Mr. Bell graduated from Lehigh
University with a B.S. in Finance.

         D. Keith Campbell, 55, has served as the Chairman of the Board of
Directors of Campbell & Company since it began operations, was President until
January 1, 1994, and Chief Executive Officer until January 1, 1998.  Mr.
Campbell is the sole voting stockholder.  From 1971 through June, 1978 he was a
registered representative of a futures commission merchant.  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
behalf





                                       8
<PAGE>   9
of the Fund.  Since then he has applied various technical trading models to
numerous discretionary commodity trading accounts.  Mr. Campbell is registered
with the CFTC and NFA as a commodity pool operator. He is an Associated Person
of Campbell & Company.

         William C. Clarke, III, 46, joined Campbell & Company in June, 1977.
He is an Executive Vice President and a Director of Campbell & Company.  Mr.
Clarke holds a B.S. in Finance from Lehigh University where he graduated in
1973.  Mr. Clarke currently oversees all aspects of research which involves the
development of proprietary trading models and portfolio management methods. Mr.
Clarke is an Associated Person of Campbell & Company.

         Bruce L. Cleland, 50, joined Campbell & Company in January, 1993. Mr.
Cleland serves as President, Chief Executive Officer and a Director.  Prior to
1994, he was Executive Vice President.  From May, 1986 through December, 1992,
Mr. Cleland had served in various principal roles with the following firms:
president, F&G Management, Inc., a commodity trading advisor; President,
Institutional Brokerage Corp., a floor broker; President, Institutional
Advisory Corp., a commodity trading advisor and commodity pool operator;
President, Hewlett Trading Corporation, a commodity pool operator; Principal of
Institutional Energy Corporation, an introducing broker. Prior to this, Mr.
Cleland was employed by Rudolf Wolff Futures Inc., a futures commission
merchant, where he served as President until 1986.  Mr. Cleland graduated in
1969 from Victoria University in Wellington, New Zealand where he received a
Bachelor of Commerce and Administration degree.  Mr. Cleland is an Associated
Person of Campbell & Company.

         Xiaohua Hu, 34, serves as a Vice President - Research.  He has been
employed by Campbell & Company since 1994 in the Research Department, where he
has a major role in the ongoing research and development of Campbell's trading
systems. From 1992 to 1994 he was employed in Japan by Line System as a
software engineer, where he participated in the research and development of
computer software, including programs for production systems control and
software development.  Mr. Hu received his B.A. in Manufacturing Engineering
from Changsha University of Technology in China in 1982.  He went on to receive
an M.A. and Ph.D. in Systems and Information Engineering from the Toyohashi
University of Technology, in Japan, in 1987 and 1992 respectively.  During his
studies at Toyohasi, Xiaohua was also a Visiting Researcher in Computer Science
and Operations Research and published several research papers.

         Phil Lindner, 43, serves as Vice President - Information Technology.
He has been employed by Campbell & Company since October, 1994, became the IT
Director in March, 1996, and Vice President in January, 1998.  He oversees
Campbell & Company's computer and telecommunications systems, including a staff
of programmers that program proprietary applications for Campbell's Trading,
Fund Administration, and Accounting functions, and provide complete computer
systems support to all Campbell & Company employees.  Prior to joining Campbell
& Company, Mr. Lindner worked as a programmer and manager for Amtote, a
provider of race-track computer systems.

         James M. Little, 51, joined Campbell & Company in April, 1990 and
serves as Executive Vice President--Marketing and as a Director of Campbell &
Company.  Mr. Little holds a B.S. in Economics and Psychology from Purdue
University. From March, 1989 through April, 1990 Mr. Little was a registered
representative of A.G. Edwards & Sons, Inc.  From January, 1984 through March,
1989 he was the Chief Executive Officer of James Little & Associates, Inc., a
registered, commodity pool operator and registered broker-dealer.  Mr. Little
has extensive experience in the futures  industry having worked in the areas of
hedging, floor trading and managed futures.  He is the co-author of The
Handbook of Financial Futures, and is a frequent contributor to investment
industry publications.  Mr. Little is an Associated Person of Campbell &
Company.

         Theresa D. Livesey, 34, joined Campbell & Company in 1991 and serves
as the Chief Financial Officer, Secretary, Treasurer, and a Director of
Campbell & Company.  In addition to her role as CFO, Ms. Livesey also oversees
administration and compliance at Campbell & Company.  From December, 1987 to
June, 1991 she was employed by Bank Maryland Corp, a publicly held company.
When she left she was Vice President and Chief Financial Officer.  Prior to
that time, she worked with Ernst & Young.  Ms. Livesey is a C.P.A. and has a
B.S. in Accounting from the University of Delaware.

         V. Todd Miller, 35, serves as a Vice President - Research.  He has
been employed by Campbell & Company since 1994 in the Research Department,
where he has a major role in the ongoing research and





                                       9
<PAGE>   10
development of Campbell's trading systems. From 1993 to 1994, Mr. Miller was an
assistant professor in the department of Computer Information Science at the
University of Florida, where he taught classes in object oriented programming,
numerical analysis, and programming in C, C++ and LISP.  Mr. Miller holds a
variety of degrees from the University of Florida, beginning with an Associates
degree in architecture.  He followed that in 1986 with a B.A. in Business with
a concentration in computer science.  In 1988 he received his M.A. in
Engineering with a concentration in artificial intelligence.  He completed his
education in 1993 with a Ph.D. in Engineering with a concentration in computer
simulation.

         Albert Nigrin, 36, serves as a Vice President - Research.  He has been
employed by Campbell & Company since 1995 in the Research Department, where he
has a major role in the ongoing research and development of Campbell's trading
systems. From 1991-1995 Mr. Nigrin was an assistant professor in the department
of Computer Science and Information Systems at American University in
Washington D.C., where he taught classes in artificial intelligence, computer
programming and algorithms to both graduate and undergraduate students.  While
teaching, he also wrote and published a book with MIT Press, Neural Networks
for Pattern Recognition.  Mr. Nigrin received a B.A. in Electrical Engineering
in 1984 from Drexel University.  He than proceeded directly to a Ph.D. program
and received his degree in Computer Science in 1990 from Duke University, where
his doctoral studies concentrated in the areas of artificial intelligence and
neural networks.

         Markus Rutishauser, 36, serves as Vice President - Trading, and has
been employed by Campbell & Company since October, 1993, with responsibility
for day-to-day foreign exchange trading. Prior to joining Campbell, Mr.
Rutishauser worked two years at Maryland National Bank in Baltimore as an
Assistant Vice President in Foreign Exchange trading.  Prior to that, he was
employed by Union Bank of Switzerland, spending four years in their Zurich
office and another four years in their New York office, in the Foreign Exchange
Department. Mr. Rutishauser graduated from the University of Fairfield with a
degree in Finance.  He subsequently completed his MBA at the University of
Baltimore in January,1996.

         David M. Salmon, 56, is a Director of Campbell & Company.  Since
January, 1976 Mr. Salmon has participated actively as a consultant in the
development and implementation of research and trading software at Campbell &
Company.  During this time, Mr. Salmon has not been an employee of Campbell,
but has worked under a consulting contract with his own computer consulting
firm, David Salmon, Inc.  Prior to his work with Campbell & Company, Mr. Salmon
worked in the field of systems development and optimization with Systems
Control, Inc. and Stanford Research Institute.  Mr. Salmon holds a B.S.E.E.
from the University of Auckland, New Zealand, an M.S.E.E. from Northeastern
University and a Ph.D. in Electrical Engineering from the University of
Illinois, Urbana.

         C. Douglas York, 39, has been employed by Campbell & Company since
November, 1992.  He serves as a Senior Vice President - Trading.  His duties
include managing daily trade execution for foreign exchange markets and forward
contracts on precious metals and energy markets.  From January 1991 to November
1992, Mr. York was the Global Foreign Exchange Manager for Black & Decker.  He
holds a B.A. in Government from Franklin and Marshall College.  Mr. York is
registered as an Associated Person of Campbell & Company.

         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.

ITEM 11.         EXECUTIVE COMPENSATION

         The Registrant is managed by its general partner, Campbell & Company.
Campbell & Company receives from the Registrant a Brokerage Fee equal to up to
8% of the Registrant's month-end Net Assets per year.  From such 8% Brokerage
Fee, Campbell & Company remits up to 1% to the Commodity Broker for execution
and clearing costs, and 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





                                       10
<PAGE>   11
Asset Value per unit at the end of each calendar quarter, exclusive of the
appreciation attributable to interest income.

ITEM 12.         SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT

         (a)     Security Ownership of Certain Beneficial Owners.  As of
                 December 31, 1997, no Units of Limited Partnership are
                 owned or held by an officer of Campbell & Company.

         (b)     Security Ownership of Management.  As of December 31, 1997,
                 Campbell & Company owned 1,473.323 Units of General
                 Partnership Interest having a value of $2,135,788.  Units of
                 General Partnership will always be owned by Campbell & Company
                 in its capacity as general partner.

ITEM 13.         CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS

         See Item 11, Executive Compensation and Item 12, Security Ownership of
Certain Beneficial Owners and Management.

                                    PART IV

ITEM 14.         EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON FORM
                 8-K

         (a)     The Following documents are filed as part of this report:

                 (1)      See Financial Statements beginning on page 13 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)      The exhibits listed in the "Index to Exhibits."

         (b) Reports on Form 8-K

             None.





                                       11
<PAGE>   12
                                   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
24, 1998.

                                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                              
                                    By:  CAMPBELL & COMPANY, INC.
                                    General Partner
                              
                                    By:  /s/ Theresa D. Livesey       
                                         -----------------------------
                                            Theresa D. Livesey
                                            Chief Financial Officer, Secretary,
                                            Treasurer and Director

         Pursuant to the requirements of the Securities Exchange Act of 1934,
this report has been signed below by the following persons on behalf of the
Registrant in the capacities indicated on March 24, 1998.


     Signature                           Capacity
     ---------                           --------
                                  
                                  
/s/ D. Keith Campbell             
---------------------             
 D.Keith Campbell                        Chairman of the Board
     

                             
/s/ William C. Clarke, III        
--------------------------        
William, C. Clarke, III                  Executive Vice President and Director


                                  
/s/ Bruce L. Cleland              
--------------------              
Bruce L. Cleland                         President, Chief Executive Officer and
                                         Director

                                  
                                  
/s/ Theresa D. Livesey            
----------------------            
Theresa D. Livesey                       Chief Financial Officer, Secretary,
                                         Treasurer and Director
                                  
/s/ James M. Little               
-------------------               
James M. Little                          Executive Vice President and Director
                                  




                                       12
<PAGE>   13

                         CAMPBELL STRATEGIC ALLOCATION
                                   FUND, L.P.
                                 ANNUAL REPORT
                               December 31, 1997





                                       13
<PAGE>   14
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P

                                     INDEX

<TABLE>
<CAPTION>
                                                                        PAGES
                                                                        -----
<S>                                                                      <C>
INDEPENDENT AUDITOR'S REPORT                                              14
                                                                
FINANCIAL STATEMENTS                                            
                                                                
Statements of Financial Condition                               
December 31, 1997 and 1996                                                15
                                                                
Statements of Operations For the Years                         
Ended December 31, 1997, 1996, and 1995                                   16
                                                                
Statements of Cash Flows For the Years                          
Ended December 31, 1996, 1996, and 1995                                   17
                                                                
Statements of Changes in Partners Capital (Net Asset Value)     
For the years Ended December 31, 1997, 1996, and 1995                     18
                                                                
                                                                
Notes to Financial Statements                                            19-23
</TABLE>





                                      14
<PAGE>   15
                    ARTHUR F. BELL, JR. & ASSOCIATES, L.L.C.

                          CERTIFIED PUBLIC ACCOUNTANTS

                                 (410) 821-8000

                               FAX (410) 321-8359

Member:                                                            Heaver Plaza

American Institute of Certified Public Accountants                    Suite 200

  SEC Practice Section                                           1301 York Road

Maryland Association of Certified 
Public Accountants                                 Lutherville, Maryland  21093


                          INDEPENDENT AUDITOR'S REPORT


To the Partners
Campbell Strategic Allocation Fund, L.P.


We have audited the accompanying statements of financial condition of Campbell
Strategic Allocation Fund, L.P. as of December 31, 1997 and 1996, and the
related statements of operations, cash flows and changes in partners' capital
(net asset value) for the years ended December 31, 1997, 1996 and 1995. These
financial statements are the responsibility of the Partnership's management.
Our responsibility is to express an opinion on these financial statements based
on our audits.

We conducted our audits in accordance with generally accepted auditing
standards.  Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement.  An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements.  An audit
also includes 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 referred to above present fairly, in
all material respects, the financial position of Campbell Strategic Allocation
Fund, L.P. as of December 31, 1997 and 1996, and the results of its operations,
cash flows and the changes in its net asset values for the years ended December
31, 1997, 1996 and 1995, in conformity with generally accepted accounting
principles.





Lutherville, Maryland
February 13, 1998





                                       15
<PAGE>   16

                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                       STATEMENTS OF FINANCIAL CONDITION
                           December 31, 1997 and 1996


<TABLE>
<CAPTION>
                                                                         1997                  1996
                                                                         ----                  ----
<S>                                                                  <C>                   <C>
ASSETS                                                     
   Equity in broker trading accounts                       
      Cash                                                           $ 17,401,415          $ 15,907,914
      United States government securities                              37,851,369            10,583,946
      Unrealized gain on open futures contracts                         8,567,066               304,907
                                                                     ------------          ------------
                                                           
             Deposits with broker                                      63,819,850            26,796,767
                                                           
   Cash and cash equivalents                                           27,976,771            46,977,151
   United States government and agency securities                     127,278,890            35,925,168
   Unrealized gain on open forward contracts                            1,328,130             1,667,873
                                                                     ------------          ------------
                                                           
             Total assets                                            $220,403,641          $111,366,959
                                                                     ============          ============
                                                           
LIABILITIES                                                
   Accounts payable                                                  $    165,183          $    117,865
   Brokerage fee                                                        1,354,551               662,993
   Performance fee                                                      2,537,134             2,082,519
   Offering costs payable                                                 122,785                56,627
   Redemptions payable                                                  2,629,164               577,116
   Subscription deposits                                                  885,105               133,036
                                                                     ------------          ------------
                                                           
             Total liabilities                                          7,693,922             3,630,156
                                                                     ------------          ------------
                                                           
PARTNERS' CAPITAL (NET ASSET VALUE)                        
   General Partner - 1,473.323 and 885.938 units           
      outstanding at December 31, 1997 and 1996                         2,135,788             1,123,514
   Limited Partners - 145,259.520 and 84,069.060 units                            
      outstanding at December 31, 1997 and 1996                       210,573,931           106,613,289
                                                                     ------------          ------------
                                                                                  
             Total partners' capital                                              
                (Net Asset Value)                                     212,709,719           107,736,803
                                                                     ------------          ------------
                                                                                  
                                                                     $220,403,641          $111,366,959
                                                                     ============          ============
</TABLE>





                            See accompanying notes.





                                       16
<PAGE>   17
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                            STATEMENTS OF OPERATIONS
              For the Years Ended December 31, 1997, 1996 and 1995




<TABLE>
<CAPTION>
                                                               1997                   1996                  1995
                                                               ----                   ----                  ----
<S>                                                          <C>                   <C>                 <C>
INCOME
   Trading gains (losses)
      Realized                                               $24,334,181           $23,984,026         $  1,760,402
      Change in unrealized                                     7,922,416              (598,661)           2,654,113
                                                             -----------           -----------         ------------
                                                             
             Gain from trading                                32,256,597            23,385,365            4,414,515
                                                             
   Interest income                                             7,977,840             3,238,486            1,786,353
                                                             -----------           -----------         ------------
                                                             
             Total income                                     40,234,437            26,623,851            6,200,868
                                                             -----------           -----------         ------------
                                                             
EXPENSES                                                     
   Brokerage fee                                              12,288,681             5,209,726            2,536,004
   Performance fee                                             3,565,668             2,121,981                    0
   Operating expenses                                            368,925               234,090              155,631
                                                             -----------           -----------         ------------
                                                             
             Total expenses                                   16,223,274             7,565,797            2,691,635
                                                             -----------           -----------         ------------
                                                             
             NET INCOME                                      $24,011,163           $19,058,054         $  3,509,233
                                                             ===========           ===========         ============
                                                             
NET INCOME PER GENERAL AND                                   
   LIMITED PARTNER UNIT                                      
      (based on weighted average number                      
      of units outstanding during the year)                  $    208.78           $    327.00         $     103.74
                                                             ===========           ===========         ============
                                                                                                        
INCREASE IN NET ASSET VALUE                                                                             
   PER GENERAL AND LIMITED                                                                              
   PARTNER UNIT                                              $    181.48           $    296.12         $      88.27
                                                             ===========           ===========         ============
</TABLE>





                            See accompanying notes.





                                       17
<PAGE>   18

                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                            STATEMENTS OF CASH FLOWS
              For the Years Ended December 31, 1997, 1996 and 1995


<TABLE>
<CAPTION>
                                                                      1997              1996              1995
                                                                      ----              ----              ----
<S>                                                              <C>               <C>               <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
  Net income                                                     $   24,011,163    $   19,058,054    $    3,509,233
     Adjustments to reconcile net income to
         net cash from operating activities
            Net change in unrealized                                 (7,922,416)          598,661        (2,654,113)
            Increase in accounts payable and
               accrued expenses                                       1,193,491         2,530,672           190,151
                                                                 --------------    --------------    --------------

                  Net cash from operating activities                 17,282,238        22,187,387         1,045,271
                                                                 --------------    --------------    --------------

CASH FLOWS FROM (FOR) INVESTING ACTIVITIES
  Net (purchases) maturities of investments in
     United States government and agency securities                (118,621,145)      (36,318,412)        8,112,415
                                                                 --------------    --------------    --------------

                  Net cash from (for) investing activities         (118,621,145)      (36,318,412)        8,112,415
                                                                 --------------    --------------    --------------

CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
  Addition of units                                                  96,000,283        52,969,550        27,182,425
  Increase (decrease) in subscription deposits                          752,069           102,882          (222,071)
  Redemption of units                                               (13,866,080)       (8,743,067)       (5,885,426)
  Increase (decrease) in redemptions payable                          2,052,048          (440,891)          963,172
  Offering costs charged                                             (1,172,450)         (621,268)         (332,094)
  Increase in offering costs payable                                     66,158            19,440            20,557
                                                                 --------------    --------------    --------------

                  Net cash from financing activities                 83,832,028        43,286,646        21,726,563
                                                                 --------------    --------------    --------------

Net increase (decrease) in cash and cash equivalents                (17,506,879)       29,155,621        30,884,249

CASH AND CASH EQUIVALENTS
  Beginning of year                                                  62,885,065        33,729,444         2,845,195
                                                                 --------------    --------------    --------------

  End of year                                                    $   45,378,186    $   62,885,065    $   33,729,444
                                                                 ==============    ==============    ==============

End of year cash and cash equivalents consists of:
  Cash in broker trading accounts                                $   17,401,415    $   15,907,914    $    1,238,207
  Cash and cash equivalents                                          27,976,771        46,977,151        32,491,237
                                                                 --------------    --------------    --------------

                  Total end of year cash and
                      cash equivalents                           $   45,378,186    $   62,885,065    $   33,729,444
                                                                 ==============    ==============    ==============
</TABLE>


                            See accompanying notes.





                                       18
<PAGE>   19

                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
          STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
              For the Years Ended December 31, 1997, 1996 and 1995


<TABLE>
<CAPTION>
                                                                    Partners' Capital               
                                  --------------------------------------------------------------------------------------------
                                          General                         Limited                             Total 
                                 --------------------------     ------------------------------     ---------------------------
                                   Units          Amount           Units             Amount           Units          Amount
                                   -----          ------           -----             ------           -----          ------
<S>                              <C>           <C>              <C>              <C>               <C>           <C>
Balances at                                                                                    
   December 31, 1994               253.300     $   223,859       23,055.320      $  20,375,537      23,308.620   $  20,599,396
                                                                                               
Net income for the year                                                                        
   ended December 31, 1995                          33,569                           3,475,664                       3,509,233
                                                                                               
Additions                          218.922         205,000       29,148.037         26,977,425      29,366.959      27,182,425
                                                                                               
Redemptions                          0.000               0       (6,305.463)        (5,885,426)     (6,305.463)     (5,885,426)
                                                                                               
Offering costs                                      (3,410)                           (328,684)                       (332,094)
                                 ---------      ----------      -----------       ------------     -----------    ------------ 
Balances at                                                                                    
   December 31, 1995               472.222         459,018       45,897.894         44,614,516      46,370.116      45,073,534
                                                                                               
Net income for the year                                                                        
   ended December 31, 1996                         190,771                          18,867,283                      19,058,054
                                                                                               
Additions                          413.716         480,000       46,205.096         52,489,550      46,618.812      52,969,550
                                                                                               
Redemptions                          0.000               0       (8,033.930)        (8,743,067)     (8,033.930)     (8,743,067)
                                                                                               
Offering costs                                      (6,275)                           (614,993)                       (621,268)
                                 ---------      ----------      -----------       ------------     -----------    ------------ 
Balances at                                                                                    
   December 31, 1996               885.938       1,123,514       84,069.060        106,613,289      84,954.998     107,736,803
                                                                                               
Net income for the year                                                                        
   ended December 31, 1997                         244,185                          23,766,978                      24,011,163
                                                                                               
Additions                          587.385         780,007       71,325.080         95,220,276      71,912.465      96,000,283
                                                                                               
Redemptions                          0.000               0      (10,134.620)       (13,866,080)    (10,134.620)    (13,866,080)
                                                                                               
Offering costs                                     (11,918)                         (1,160,532)                     (1,172,450)
                                 ---------      ----------      -----------       ------------     -----------    ------------ 
Balances at                                                                                    
   December 31, 1997             1,473.323      $2,135,788      145,259.520       $210,573,931     146,732.843    $212,709,719
                                 =========      ==========      ===========       ============     ===========    ============
</TABLE>


<TABLE>
<CAPTION>
                                              Net Asset Value Per General and Limited Partner Unit
                                              ----------------------------------------------------

                                                                  December 31,
                                                   1997               1996               1995
                                                   ----               ----               ----
                                                 <S>                <C>                 <C>
                                                 $1,449.64          $1,268.16           $972.04
                                                 =========          =========           =======
</TABLE>


                            See accompanying notes.





                                       19
<PAGE>   20
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                         NOTES TO FINANCIAL STATEMENTS



Note 1.    ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

           A.    General Description of the Partnership

                 Campbell Strategic Allocation Fund, L.P. (the Partnership) is
                 a Delaware limited partnership which operates as a commodity
                 investment pool.

           B.    Regulation

                 As a registrant with the Securities and Exchange Commission,
                 the Partnership is subject to the regulatory requirements
                 under the Securities Acts of 1933 and 1934.  As a commodity
                 investment pool, the Partnership 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 Partnership executes transactions.  Additionally, the
                 Partnership is subject to the requirements of Futures
                 Commission Merchants (brokers) and interbank market makers
                 through which the Partnership trades.

           C.    Method of Reporting

                 The Partnership's financial statements are presented in
                 accordance with generally accepted accounting principles,
                 which require the use of certain estimates made by the
                 Partnership's management.  Gains or losses are realized when
                 contracts are liquidated.  Unrealized gains and losses on open
                 contracts (the difference between contract purchase price and
                 market price) are reported in the statement of financial
                 condition as a net gain or loss, as there exists a right of
                 offset of unrealized gains or losses in accordance with
                 Financial Accounting Standards Board Interpretation No. 39 -
                 "Offsetting of Amounts Related to Certain Contracts."  Any
                 change in net unrealized gain or loss from the preceding
                 period is reported in the statement of operations. United
                 States government and agency securities are stated at market
                 value.

           D.    Cash and Cash Equivalents

                 Cash and cash equivalents includes cash, other demand deposits
                 and short-term time deposits held at financial institutions.

           E.    Income Taxes

                 The Partnership prepares calendar year U.S. and state
                 information tax returns and reports to the partners their
                 allocable shares of the Partnership's income, expenses and
                 trading gains or losses.





                                       20
<PAGE>   21
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                   NOTES TO FINANCIAL STATEMENTS (CONTINUED)



Note 1.    ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
           (CONTINUED)

           F.    Offering Costs

                 The General Partner has incurred total costs in connection
                 with the initial and continuous offering of Units of the
                 Partnership (offering costs) of $5,196,390 through December
                 31, 1997, $2,107,405 of which has already been reimbursed to
                 the General Partner by the Partnership.  At December 31, 1997,
                 the Partnership reflects a liability in the statement of
                 financial condition for offering costs payable to the General
                 Partner of $122,785.  The Partnership's liability for offering
                 costs is limited to the maximum of total offering costs
                 incurred by the General Partner or 2.5% of the aggregate
                 subscriptions accepted during the initial and continuous
                 offerings; this maximum is further limited by 30 month pay-out
                 schedules.  The Partnership is only liable for payment of
                 offering costs on a monthly basis as calculated based on the
                 limitations stated above.  If the Partnership terminates prior
                 to completion of payment of the calculated amounts to the
                 General Partner, the General Partner will not be entitled to
                 any additional payments, and the Partnership will have no
                 further obligation to the General Partner.

                 The amount of monthly reimbursement due to the General Partner
                 is charged directly to partners' capital.

           G.    Foreign Currency Transactions

                 The Partnership'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 statement 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 currently.

Note 2.    GENERAL PARTNER AND COMMODITY TRADING ADVISOR

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

           The General Partner 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 Partnership.  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.





                                       21
<PAGE>   22

                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                   NOTES TO FINANCIAL STATEMENTS (CONTINUED)




Note 2.    GENERAL PARTNER AND COMMODITY TRADING ADVISOR (CONTINUED)

           Commencing September 1, 1997, the Partnership pays a monthly
           brokerage fee equal to 1/12 of 7.7% (7.7% annualized) of month-end
           net assets.  The General Partner receives 7% of this 7.7% fee, a
           portion (4%) of which is used to compensate selling agents for
           ongoing services rendered and a portion (3%) of which is retained by
           the General Partner for trading and management services rendered.
           The remainder of the brokerage fee (0.7%) is paid directly to the
           broker.  Prior to September 1, 1997, the monthly brokerage fee was
           equal to 1/12 of 8% (8% annualized) of month-end net assets, with
           the amount paid directly to the broker equal to 1/12 of 1% (1%
           annualized) of month-end net assets.  During 1997, 1996 and 1995,
           the amounts paid directly to the broker amounted to $1,366,757,
           $651,216 and $317,000, respectively.

           The General Partner is also paid a quarterly performance fee of 20%
           of the Partnership's aggregate cumulative appreciation in the Net
           Asset Value per Unit, exclusive of appreciation attributable to
           interest income.

Note 3.    DEPOSITS WITH BROKER

           The Partnership deposits funds with a broker subject to Commodity
           Futures Trading Commission regulations and various exchange and
           broker requirements.  Margin requirements are satisfied by the
           deposit of U.S. Treasury bills and cash with such broker.  The
           Partnership earns interest income on its assets deposited with the
           broker.

Note 4.    OPERATING EXPENSES

           Operating expenses of the Partnership are limited by the Amended
           Agreement of Limited Partnership to 0.5% per year of the average
           month-end Net Asset Value of the Partnership.  Actual operating
           expenses were less than 0.5% of average month-end Net Asset Value
           for the years ended December 31, 1997, 1996 and 1995.

Note 5.    SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

           Investments in the Partnership are made by subscription agreement,
           subject to acceptance by the General Partner.  As of December 31,
           1997 and 1996, amounts received by the Partnership by prospective
           limited partners who have not yet been admitted to the Partnership
           by the General Partner total $885,105 and $133,036, respectively.

           The Partnership is not required to make distributions, but may do so
           at the sole discretion of the General Partner.  A Limited Partner
           may request and receive redemption of Units owned, subject to
           restrictions in the Amended Agreement of Limited Partnership.
           Redemption fees apply through the first twelve month-ends following
           purchase as follows:  4% of Net Asset Value per Unit redeemed
           through the third month-end, 3% of Net Asset Value per Unit redeemed
           through the sixth month-end, 2% of Net Asset Value per Unit redeemed
           through the ninth month-end and 1% of Net Asset Value per Unit
           redeemed through the twelfth month-end.  After the twelfth month-end
           following purchase of a Unit, no redemption fees apply.





                                       22
<PAGE>   23
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                   NOTES TO FINANCIAL STATEMENTS (CONTINUED)



Note 6.    TRADING ACTIVITIES AND RELATED RISKS

           The Partnership engages in the speculative trading of U.S. and
           foreign futures contracts and forward contracts (collectively,
           "derivatives").  These derivatives include both financial and
           non-financial contracts held as part of a diversified trading
           program.  The Partnership is exposed to both market risk, the risk
           arising from changes in the market value of the contracts, and
           credit risk, the risk of failure by another party to perform
           according to the terms of a contract.

           Purchase and sale of futures contracts requires margin deposits with
           the broker.  The Commodity Exchange Act requires a broker to
           segregate all customer transactions and assets from such broker's
           proprietary activities.  A customer's cash and other property (for
           example, U.S. Treasury bills) deposited with a broker are considered
           commingled with all other customer funds subject to the broker's
           segregation requirements.  In the event of a 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 amount of required margin and good faith deposits with the
           broker and interbank market makers usually range from 10% to 30% of
           Net Asset Value.  The market value of securities held to satisfy
           such requirements at December 31, 1997 and 1996 was $110,574,485 and
           $13,763,550, respectively, which equals 52% and 13% of Net Asset
           Value, respectively.

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

           The Partnership has a substantial portion of its assets on deposit
           with financial institutions.  In the event of a financial
           institution's insolvency, recovery of Partnership assets on deposit
           may be limited to account insurance or other protection afforded
           such deposits.  In the normal course of business, the Partnership
           requires collateral for repurchase agreements.

           For derivatives, risks arise from changes in the market value of the
           contracts.  Theoretically, the Partnership is exposed to a market
           risk equal to the value of futures and forward contracts purchased
           and unlimited liability on such contracts sold short.

           The fair value of derivatives represents unrealized gains and losses
           on open futures and forward contracts.  The average fair value of
           derivatives during 1997, 1996 and 1995 was approximately $4,180,000,
           $4,850,000 and $830,000, respectively, and the related fair values
           as of December 31, 1997 and 1996 are approximately $9,895,000 and
           $1,973,000, respectively.

           Net trading results from derivatives are reflected in the statement
           of operations and equal gain from trading less the portion of the
           brokerage fee paid directly to the broker.  Such trading results
           reflect the net gain arising from the Partnership's speculative
           trading of futures and forward contracts.





                                       23
<PAGE>   24
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                   NOTES TO FINANCIAL STATEMENTS (CONTINUED)



Note 6.    TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)

           Open contracts generally mature within three months; the latest
           maturity date for open contracts as of December 31, 1997 is March
           1998.  However, the Partnership intends to close all contracts prior
           to maturity.  At December 31, 1997 and 1996, the notional amount of
           open contracts is as follows:

<TABLE>
<CAPTION>
                                                        1997                              1996
                                                        ----                              ----
                                           Contracts to      Contracts to     Contracts to     Contracts to
                                              Purchase           Sell           Purchase           Sell
                                              --------           ----           --------           ----
      <S>                                <C>                <C>               <C>               <C>
      Futures contracts:                                                                   
        - Long-term interest rates       $   759,600,000     $           0    $154,000,000      $118,100,000
        - Short-term interest rates          485,700,000       437,100,000     134,200,000                 0
        - Currencies                                   0                 0      11,400,000        21,200,000
        - Stock indices                       21,000,000        13,000,000         600,000        12,200,000
        - Softs/Fibers                         2,500,000         1,000,000       1,000,000                 0
        - Grains                                       0         2,200,000               0                 0
        - Meats                                        0           400,000         400,000                 0
        - Metals                               2,800,000        32,400,000      16,500,000         9,300,000
        - Energy                                       0        49,600,000      18,300,000                 0
                                                                                           
      Forward contracts:                                                                   
        - Currencies                         284,900,000       472,800,000     119,900,000       155,700,000
                                          --------------    --------------    ------------      ------------
                                                                                           
                                          $1,556,500,000    $1,008,500,000    $456,300,000      $316,500,000
                                          ==============    ==============    ============      ============
</TABLE>


      The above amounts do not represent the Partnership's risk of loss due to
      market and credit risk, but rather represent the Partnership's extent of
      involvement in derivatives at the date of the statement of financial
      condition.

      The General Partner has established procedures to actively monitor and
      minimize market and credit risk.  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.





                                       24
<PAGE>   25
                               INDEX TO EXHIBITS

<TABLE>
<CAPTION>
                                                                                                 Sequentially
                                                                                                   Numbered  
Exhibit No.                                      Exhibit                                            Page *   
-----------                                      -------                                         ------------
<S>                         <C>                                                                       <C>
1.01                        Form of Selling Agreement among the Registrant, Campbell &                n/a
                            Company, PaineWebber Incorporated and the Selling Agent

1.02                        Form of Auxiliary Selling Agreement                                       n/a

3.01                        Agreement of Limited Partnership of the Registrant dated                  n/a
                            May 11, 1993 **

3.02                        Certificate of Limited Partnership of the Registrant                      n/a

3.03                        Amended Agreement of Limited Partnership of the Registrant                n/a
                            (included as Exhibit A to the Prospectus)**

10.01                       Form of Advisory Agreement between the Registrant and                     n/a
(Amended)                   Campbell & Company **

10.02                       Form of Customer Agreement between the Registrant and                     n/a
                            PaineWebber Incorporated

10.04                       Escrow Agreement between the Registrant and                               n/a
                            Mercantile Safe Deposit & Trust Company
</TABLE>

---------------------------------------                            

        *                   Incorporated by reference to the respective exhibit
                            to the Registrant's Registration Statement No.
                            33-98056.

                            Upon request, the Registrant will furnish a copy of
                            any Exhibit to this report upon payment of
                            reasonable copying and mailing expenses.

      **                    Management contract or compensatory plan or
                            arrangement.





                                      -25-