<PAGE>   1
                       SECURITIES AND EXCHANGE COMMISSION

                             WASHINGTON, D.C. 20549

                                    FORM 10-K

(Mark One)        ANNUAL REPORT PURSUANT TO SECTION 13 OR 15 (d)

[X]          OF THE SECURITIES EXCHANGE ACT OF 1934 [NO FEE REQUIRED]
                   For the Fiscal Year Ended December 31, 2000
                       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)

<TABLE>
<S>                                                 <C>
                     DELAWARE                                       52-1823554
      ---------------------------------------         ---------------------------------------
          (State or other jurisdiction of               (IRS Employer Identification Number)
            incorporation or organization)


           210 W. PENNSYLVANIA AVENUE
              BALTIMORE, MARYLAND                                     21204
           --------------------------                           --------------------
</TABLE>

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
                                    ---      ---

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, 2000 there were
328,311.518 Units of Limited Partnership Interest issued and outstanding.

Total number of pages 33. Consecutive page numbers on which exhibits commence:
33.
---

<PAGE>   2



DOCUMENTS INCORPORATED BY REFERENCE

        Prospectus dated October 27, 2000 included within the Registration
Statement on Form S-1 (File No. 333-43250), incorporated by reference into Parts
I, II, III and IV.





































                                      - 2 -
<PAGE>   3



                                     PART I

ITEM 1.        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, forward and swap markets. Specifically, the Fund
trades a portfolio primarily focused on financial futures, which are instruments
designed to hedge or speculate on changes in interest rates, currency exchange
rates or stock index values. A secondary emphasis is on metals and energy
values. 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 $810,000,000 through March 2001. 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 $635,167,683 has been raised in the initial and continuing
offering periods through December 31, 2000.

        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 Registrant's commodity broker to be registered
and to comply with various reporting and recordkeeping requirements. Campbell &
Company and the Registrant's 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

                                      -3-
<PAGE>   4


practices tend to disrupt orderly market conditions, or as the result of
violations of the Commodity Exchange Act or rules and regulations promulgated
thereunder. 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.

        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
futures contract prices that may occur during a single trading day. The
Registrant also trades in dealer markets for forward and swap contracts, which
are 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," "The Risks You Face, "
"Investment Factors," "Campbell & Company, Inc.," "Conflicts of Interest," and
"The Futures, Forward and Swap 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 futures, forwards and swap 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 60 financial instrument contracts on domestic and international
markets. All of the Fund's assets are currently allocated to the Financial,
Metal & Energy Large Portfolio which is concentrated in the financial markets
such as interest rates, foreign exchange and stock indices, as well as metals
and energy products. Prior to September of 2000, Campbell & Company utilized 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. The Global Diversified Large Portfolio trades the same
forward and futures markets as the Financial, Metal & Energy Large Portfolio, as
well as agricultural markets. As of March 2001, the Fund's assets are allocated
to the different market sectors in approximately the following manner: 46% to
currencies, 19% to interest rates, 16% to stock indices, 18% to energy products
and 1% to metals. 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



                                      -4-

<PAGE>   5

        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.

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, 2000, there were 16,842 Limited Partners
in the Registrant and 328,311.518 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

<TABLE>
<CAPTION>

DOLLARS IN THOUSANDS, EXCEPT PER UNIT AMOUNTS
                                                        For the Year Ended December 31,
                                                ------------------------------------------------
                                         2000         1999               1998           1997              1996
                                      -----------   --------          ---------       --------         ---------
<S>                                 <C>           <C>              <C>              <C>               <C>
Total Assets...................     $  645,193    $   496,841      $    350,791      $   220,404      $ 111,367
Total Partners' Capital........        630,625        484,020           343,957          212,710        107,737
Total Income (Loss)............        108,122         57,598            68,510           40,234         26,624
Net Income (Loss)..............         61,827         23,306            40,695           24,011         19,058
Net Income (Loss) Per General
    and Limited Partner Unit...         208.13          95.52            232.33           208.78         327.00
Increase (Decrease) in Net Asset
Value per General and Limited
    Partner Unit...............         185.62          73.88            211.67           181.48         296.12
</TABLE>

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 Fund
commenced operations on April 18, 1994. The continuing offering period commenced
at the termination of the initial offering period and is ongoing.


CAPITAL RESOURCES

                                      -5-
<PAGE>   6


        The Fund 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 Fund's business, it will
make no capital expenditures and will have no capital assets which are not
operating capital or assets.

LIQUIDITY

        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 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
commodity 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 commodity futures trading operations, the Fund's assets
are expected to be highly liquid.

RESULTS OF OPERATIONS

        The returns for the years ended December 31, 2000, 1999 and 1998 were
10.70%, 4.45% and 14.60%, respectively. For 2000, all of the increase in net
asset value per unit occurred in the last quarter of the year. Of the 10.70%
increase, approximately 14.34% was due to trading gains (before commissions) and
approximately 5.83% was due to interest income, offset by approximately 9.47% in
brokerage fees, performance fees and operating costs borne by the Fund. An
analysis of the 14.34% trading gains by sector is as follows:

<TABLE>
<CAPTION>
SECTOR                                       % GAIN (LOSS)
--------                                     -------------
<S>                                            <C>
Energies                                       12.39%

Currencies                                      3.86

Metals                                         (2.44)

Interest Rates                                  2.45

Agricultural                                    (.27)

Stock Indices                                  (1.65)
                                               ------
                                               14.34%
                                               ======
</TABLE>

        The first month of 2000 provided a highly volatile environment, which
offered the Fund the opportunity to perform well in most markets. Long bond
positions held for security over the Y2K year-end were sold off early in the
month benefiting short positions. Rising interest rates with still moderate
inflation numbers helped push the dollar higher against the Swiss Franc, the Yen
and the Euro, which benefited currency positions. In February, the volatility
seen in January continued, providing profits in some markets, but eliminating
January's gains in others. Currencies and energy continued to be profitable, but
these gains were more than offset by losses in short positions in the long-term
interest rate sector. March was a difficult month as sharp reversals in the
energy sector and the Yen were the biggest factors in the loss for the month.

        Although the Fund managed gains in U.S. equity indices during April, the
unprecedented volatility in global equity indices resulted in a small loss in
this sector overall. The crude market rallied on news that OPEC would not
drastically increase production, causing losses on short crude positions which
more than eliminated gains made on the upward trend of natural gas. Losses in
the interest rates


                                      -6-
<PAGE>   7

sectors provided the majority of the losses for the month, as the Fund's long
positions quickly became unprofitable as stability returned to the equity
markets. In May, the energy sector provided the majority of the profit as the
markets realized that OPEC production increases were still not meeting demand.
The continued economic strength caused the Federal Reserve to increase
short-term interest rates by 50 basis points mid-month as anticipated. The Fund
experienced a classic whipsaw as its interest rate positions flipped from long
to short, only to see the market rally hard again as softer economic numbers
triggered aggressive short covering. Higher interest rates pushed the Fund's
long U.S. Dollar positions up against the British Pound, New Zealand Dollar and
South African Rand. The energy sector continued to be the best performer in
June. Although the mid-month OPEC meeting increased the official supply of
crude, most of the increase was already being made available to the market
through quota cheating. This, together with the apparent solidarity of OPEC, led
to a strong rally that was profitable for the Fund's long positions. The rallies
in the S&P and NASDAQ indices at month-end contributed to a moderate gain in
this sector.

        In July, the Fund sustained losses in the energy sector due to increased
crude oil production in Saudi Arabia, but managed small gains in the currencies
and interest rates sectors. The volatility in the stock indices sector also
continued to provide gains in July after a profitable June. Energy prices
resumed a strong upward trend in August after the sell off in July. This sector
provided the substantially all of the gain for the month. Small losses in the
currencies and interest rates sectors offset some of this gain. In September,
the G7 intervened to support the Euro causing both the Euro and British Pound to
trade sharply higher against the dollar. This lead to loses in both the currency
and cross rates sectors. The U.S. interest rate sector suffered due to a
combination of weakness in the corporate sector, a surprisingly strong CPI
number, and a shift in the government's debt repurchase program. This, combined
with a sharp whipsaw in the Japanese Government Bond, caused interest rates to
be the worst performing sector for the month.

        Most of October's profit came from the currency sector. Significant
gains were earned in the Euro, British Pound and Japanese Yen, but were offset
by losses in the Swiss Franc and Australian Dollar. Ongoing hostilities in the
Middle East, further OPEC production promises, and relatively warm weather in
the northeastern U.S. caused whipsawing in the energy markets. While significant
gains were recorded in the energy sector early in October, the Fund closed the
month only marginally profitable in this sector. No other sector contributed
significantly to the return for the month. November proved to be the most
profitable month of the year. During November, bond prices strengthened on the
uncertainty surrounding the U.S. presidential election, poor corporate earnings
forecasts, and increasingly compelling signs of an economic slowdown. This
enabled the Fund to record substantial profits from its long interest rate
positions, but reciprocally, it caused losses in long U.S. equity index
positions. The Fund also recorded a gain in the energy sector as unseasonably
cold weather in the northeast US and continuing tension in the Middle East
combined to push prices higher which was positive for the Fund's long energy
positions. In December, currencies posted a profitable month reflecting the
continued strength of the U.S. Dollar. Negative equities performance contributed
to a rally in interest rate instruments that made this the most profitable
sector for December. The Fund's currency cross-rate positions were also
profitable, with short Yen against long European currency positions contributing
strongly. Positive performance in December contributed to a profitable fourth
quarter and to a profitable year.

1999

        For 1999, the majority of the 4.45% increase in net asset value per unit
occurred in the first half of the year, when approximately 60% of the total
trading gains for the year were posted. Of the 4.45% increase, approximately
9.19% was due to trading gains (before commissions) and approximately 4.68% was
due to interest income, offset by approximately 9.42% in brokerage fees,
performance fees and operating costs borne by the Fund. An analysis of the 9.19%
trading gains by sector is as follows:

<TABLE>
<CAPTION>
SECTOR                                       % GAIN (LOSS)
------                                      ---------------
<S>                                             <C>
Energies                                        8.88%
</TABLE>



                                      -7-
<PAGE>   8

<TABLE>
<S>                                             <C>
Currencies                                       2.48

Metals                                            .51

Interest Rates                                    .60

Agriculturals                                    (.22)

Stock Indices                                   (3.06)
                                                ------
                                                 9.19%
                                                ======
</TABLE>


        In January 1999, most markets the Fund trades in were trendless, yet
volatile enough to move it in and out of positions, incurring a string of
relatively small losses. The gain for February was earned primarily in the
currency and interest rate sectors. Short positions in U.S. treasury notes and
bonds yielded enough profits to compensate for the losses incurred in European
interest rates, which have been slower to turn from long to short. The yen was
volatile, trading both sharply higher and sharply lower against the U.S. dollar
during February, but it ended the month on a slide which appeared to have some
momentum. On balance the Fund's yen positions lost money during February, but
short positions in the European currencies, primarily the Swiss franc and the
Euro, were profitable. In March, the currency and energy sectors provided
positive returns. The U.S. dollar continued to appreciate against the Euro and
the Swiss franc, while weaker yen was profitable against sterling, the Swiss
franc, and the Euro. All other portfolio sectors showed small losses for the
month.

        April produced profitable results for the Fund with gains in the
currencies, stock indices, energy and metal sectors. The U.S. dollar continued
its strong upward trend against the Euro and Swiss franc which lead to the
Fund's gains in the currency sector. The Fund incurred losses in global interest
rates where the markets were too trendless to offer any real opportunity. In
May, the energy and metal sectors were down sharply causing losses on the Fund's
long positions in these two sectors contributing to our loss for the month.
Profits on short interest rate positions were offset by losses on long U.S.
dollar and foreign equity index positions. Interest rate positions were the
biggest contributor to the positive performance for June. The Fund's short
positions in this sector profited from the persistent increase in the U.S.
interest rates. The Fund also had strong performance in the energy and stock
indices sectors during the month.

        The trends that were in place at the end of June continued into July and
our portfolios showed strong profits at mid month. During the second half of the
July, every major trend failed and several markets turned sharply against us
eliminating the profits earned in the first half of the month. In August, the
most profitable sectors were the energy and currency sectors. Whipsawing
inflation expectations caused losses in the stock indices and interest rate
sectors. In September, continued perception of recovery in Asia pushed the Yen
higher against the U.S. dollar and European currencies and pushed energy and
base metal prices higher. The announcement of a coordinated change in European
central bank policy caused gold prices to rise significantly. Our gold position
is small and we switched from short to long positions early enough to stay flat
in this market.

        Price action was largely without direction in October until the end of
the month when the Employment Cost Index (ECI) numbers were released. Due to the
ECI being lower than expected, bond and equity prices rallied and base metal and
energy prices sold off causing losses in our long energy, long metal and short
energy positions. The standout feature of November was the continued divergence
in the energy markets. During the month, crude oil traded higher while natural
gas sold off. By month-end, these trends were in reverse, but we managed to hold
on to enough gains to register a small gain for the month. During December, the
air of uncertainty and apprehension left many market participants unwilling to
participate in global financial markets causing market liquidity to be greatly
reduced. Our response was to trim our portfolio to only the most liquid of
contracts. The sectors that performed well for us were energies, equities, and
interest rates. Performance was as good as we could have expected given the
unique circumstances in December.

                                      -8-
<PAGE>   9

1998

        For 1998, the majority of the 14.60% increase in net asset value per
unit occurred in the second half of the year, when approximately 77% of the
total trading gains for the year were posted. Of the 14.60% increase,
approximately 20.88% was due to trading gains (before commissions) and
approximately 4.81% was due to interest income, offset by approximately 11.09%
in brokerage fees, performance fees and operating costs borne by the Fund. An
analysis of the 20.88% trading gains by sector is as follows:

<TABLE>
<CAPTION>
SECTOR                                       % GAIN (LOSS)
------                                       --------------
<S>                                          <C>
Interest Rates                                  18.46%

Stock Indices                                    2.03

Currencies                                       2.41

Energies                                         (.11)

Agriculturals                                    (.62)

Metals                                          (1.29)
                                                ------

                                                20.88%
                                                ======
</TABLE>


        1998 began with positive performance being achieved in the interest
rates, stock indices and energy sectors. In January the interest rates were the
most profitable sector, with the deflationary implications of the Asian
financial crisis continuing to push U.S. and European yields lower. February was
a month of major trend transition. The significant losses in the currencies and
cross rates pulled returns down, most of which was attributable to the positions
held outright in Japanese yen and yen cross positions held against the other
major currencies. Currencies bounced back in March and stock indices were also
positive in March, as world equity markets continued their seemingly endless
ascent.

        April was a month in which most market sectors performed poorly. The
only sector to finish on a positive note was the stock indices sector, where
continued strong economic growth and the perception of low or non-existent
inflation pushed U.S. and European stock indices to new highs. May resulted in a
continuing decline in yen against the U.S. and European currencies. Long-term
interest rate instruments moved higher, as Japan tried to re-float its economy
by lowering interest rates even further. The winning sector for the month of
June was foreign exchange, with profits being realized in Japanese yen,
Malaysian ringgitt and South African rand. A combination of excess production
and declining Asian demand for crude oil pushed crude prices lower during the
first half of June, but the announcement of further cuts by OPEC producers
caused a sharp short covering rally in the middle of the month. The Fund was
modestly short the energy sector during June, and realized small gains overall.

        July was an unusual month in that the moderate negative result was
broadly dispersed over almost every market sector. Stock indices such as the S&P
and Nikkei had substantial negative results in July. With the situations in Asia
and Russia worsening, many global capital markets experienced a "flight to
safety" during August, as investors sold equities and bought government bonds.
In August virtually all returns for the month came from the global interest
rates sector. All other sectors showed small gains and losses, which were
largely offsetting. In September the interest rates sector returns dominated
again. The Fund's global bond positions did very well, and shorter-term interest
rate positions also contributed.

        In early October the Fed-led bail out of LTCM had a profound effect on
the currency and interest rate markets. Fears that other hedge funds had similar
exposure prompted banks and investment houses to reduce credit lines
aggressively. The shift of investment priority from profit potential to capital
preservation created severe market dislocations, as many large positions were
unwound. We recorded slight losses in the long-term interest rate sector, as
long-term interest rate instruments were initially bid to


                                      -9-
<PAGE>   10

record highs, and then collapsed. Currencies were the big winner for the month
with the majority of the gains coming from the Japanese yen, Deutsche mark, and
Swiss franc. November was a choppy month, with the exception of the energy
complex, which trended sharply lower posting gains for the month. The currency
sector was the biggest loser for the month. With the historic advent of the Euro
closing in, and the uncertainty that such a momentous event creates, there was
anticipation of illiquid and choppy currency markets through the end of the
year. December was a relatively slow month, largely as a result of the market
illiquidity. Global interest rates continued to decline except in the U.S. where
bond prices weakened. The yen continued to strengthen against the U.S. dollar
posting gains for the month. The strength of the yen was largely a result of the
sharp increase in Japanese interest rates, and our short positions in the
interest rate instruments benefited, although this was largely offset by losses
in our U.S. interest rate positions.

OFF-BALANCE SHEET RISK

        The Fund trades in futures, forward and swap contracts and is therefore
a party to financial instruments with elements of off-balance sheet market and
credit risk. In entering into these contracts there exists a risk to the Fund
(market risk) that such contracts may be significantly influenced by market
conditions, such as interest rate volatility, resulting in such contracts being
less valuable. If the markets should move against all of the futures interests
positions of the Fund at the same time, and if the Fund's trading advisor was
unable to offset futures interests positions of the Fund, the Fund could lose
all of its assets and the Limited Partners would realize a 100% loss. Campbell &
Company, Inc., the General Partner (who also acts as trading advisor), minimizes
market risk through real-time monitoring of open positions, diversification of
the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds
30%.

        In addition to market risk, in entering into futures, forward and swap
contracts there is a risk to the Fund (credit risk) that a counterparty will not
be able to meet its obligations to the Fund. The counterparty of the Fund for
futures contracts traded in the United States and most foreign exchanges on
which the Fund 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 Fund trades on exchanges where the clearinghouse is not backed by the
membership (i.e. some foreign exchanges) or when the Fund enters into
off-exchange contracts (i.e. forward and swap contracts) with a counterparty,
the sole recourse of the Fund will be the clearinghouse or the counterparty as
the case may be. Campbell & Company, 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 Fund and other clients. With
respect to forward and swap contract trading, the Fund trades with only those
counterparties which the General Partner has determined to be creditworthy. All
positions of the Fund 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 Fund.

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
substantially all 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.


                                      -10-
<PAGE>   11

        Market movements result in frequent changes in the fair market 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.

        Value at Risk is a measure of the maximum amount which the Fund could
reasonably be expected to lose in a given market sector. However, the inherent
uncertainty of the Fund's speculative trading and the recurrence in the markets
traded by the Fund of market movements far exceeding expectations could result
in actual trading or non-trading losses far beyond the indicated Value at Risk
or the Fund's experience to date (i.e., "risk of ruin"). In light of the
foregoing as well as the risks and uncertainties intrinsic to all future
projections, the inclusion of the quantification included in this section should
not be considered to constitute any assurance or representation that the Fund's
losses in any market sector will be limited to Value at Risk or by the Fund's
attempts to manage its market risk.

Standard of Materiality

        Materiality as used in this section, "Qualitative and Quantitative
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 by
Campbell & Company is quantified below in terms of Value at Risk. Due to the
Fund's mark-to-market accounting, any loss in the fair value of the Fund's open
positions is directly reflected in the Fund's earnings (realized or unrealized).

        Exchange maintenance margin requirements have been used by the Fund as
the measure of its Value at Risk. Maintenance margin requirements are set by
exchanges to equal or exceed the maximum losses reasonably expected to be
incurred in the fair value of any given contract in 95%-99% of any one-day
intervals. The maintenance margin levels are established by dealers and
exchanges using historical price studies as well as an assessment of current
market volatility and economic fundamentals to provide a probabilistic estimate
of the maximum expected near-term one-day price fluctuation. Maintenance margin
has been used rather than the more generally


                                      -11-
<PAGE>   12


available initial margin, because initial margin includes a credit risk
component which is not relevant to Value at Risk.

        In the case of market sensitive instruments which are not
exchange-traded (which includes currencies and some energy products and metals
in the case of the Fund), the margin requirements for the equivalent futures
positions have been used as Value at Risk. In those cases in which a
futures-equivalent margin is not available, dealers' margins have been used.

        In the case of contracts denominated in foreign currencies, the Value at
Risk figure include foreign margin amounts converted into U.S. Dollars with an
incremental adjustment to reflect the exchange rate risk inherent to the
Dollar-based Fund in expressing Value at Risk in a functional currency other
than Dollars.

        In quantifying the Fund's Value at Risk, 100% positive correlation in
the different positions held in each market risk category has been assumed.
Consequently, the margin requirements applicable to the open contracts have
simply been aggregated to determine each trading category's aggregate Value at
Risk. The diversification effects resulting from the fact that the Fund's
positions are rarely, if ever, 100% positively correlated have not been
reflected.


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, 2000, December
31, 1999 and December 31, 1998 and the trading gains/losses by market category
for the years ended December 31, 2000 and 1999. All open position trading risk
exposures of the Fund have been included in calculating the figures set forth
below. As of December 31, 2000, December 31, 1999 and December 31, 1998, the
Fund's total capitalization was approximately $631 million, $484 million and
$344 million, respectively.

<TABLE>
<CAPTION>

                                        DECEMBER 31, 2000

                                                  % OF TOTAL             TRADING
MARKET SECTOR                VALUE AT RISK       CAPITALIZATION        GAIN/(LOSS)*
-------------                -------------       --------------        -----------
<S>                         <C>                  <C>                   <C>
Interest Rates               $23.16 million        3.67%                  2.45%
Currencies                   $16.58 million        2.63%                  3.86%
Stock Indices                $13.99 million        2.22%                 (1.65%)
Energy                       $10.75 million        1.70%                 12.39%
Metals                       $ 1.24 million         .20%                 (2.44%)
Agriculturals                $    0 million           0%                  (.27%)
                            ---------------       ------                  ------

   Total                     $65.72 million       10.42%                  14.34%
                             ==============       ======                  ======
</TABLE>


* - Of the 10.70% return for the year ended December 31, 2000, approximately
14.34% was due to trading gains (before commissions) and approximately 5.83% was
due to interest income, offset by approximately 9.47% in brokerage fees,
performance fees and operating costs borne by the Fund.

<TABLE>
<CAPTION>
                                     DECEMBER 31, 1999
                                    --------------------
                                                    % OF TOTAL            TRADING
<S>                          <C>                    <C>                     <C>

</TABLE>



                                      -12-
<PAGE>   13

<TABLE>
<CAPTION>
 MARKET SECTOR                VALUE AT RISK      CAPITALIZATION        GAIN/(LOSS)*
 -------------                -------------      --------------        ------------
<S>                          <C>                 <C>                   <C>
Interest Rates               $12.32 million         2.55%                   .60%
Stock Indices                $ 7.81 million         1.61%                 (3.06%)
Currencies                   $ 7.65 million         1.58%                  2.48%
Energy                       $ 4.80 million          .99%                  8.88%
Metals                       $ 2.27 million          .47%                   .51%
Agriculturals                $  .19 million          .04%                  (.22%)
                             --------------          -----                 -----

   Total                     $35.04 million          7.24%                 9.19%
                             ==============          =====                 =====
</TABLE>


* - Of the 4.45% return for the year ended December 31, 1999, approximately
9.19% was due to trading gains (before commissions) and approximately 4.68% was
due to interest income, offset by approximately 9.42% in brokerage fees,
performance fees and operating costs borne by the Fund.



<TABLE>
<CAPTION>

                                            DECEMBER 31, 1998
                                            -----------------
                                                               % OF TOTAL
 MARKET SECTOR                VALUE AT RISK                  CAPITALIZATION
 -------------                -------------                  --------------
<S>                          <C>                             <C>
Currencies                   $10.60 million                         3.08%
Interest Rates               $ 6.95 million                         2.02%
Stock Indices                $ 5.06 million                         1.47%
Metals                       $ 2.82 million                          .82%
Energy                       $ 1.81 million                          .53%
Agriculturals                $  .38 million                          .11%
                            ----------------                       ------

   Total                     $27.62 million                        8.03%
                             ==============                        =====
</TABLE>


MATERIAL LIMITATIONS ON VALUE AT RISK AS AN ASSESSMENT OF MARKET RISK

        The face value of the market sector instruments held by the Fund is
typically many times the applicable maintenance margin requirement (maintenance
margin requirements generally ranging between approximately 1% and 10% of
contract face value) as well as many times the capitalization of the Fund. The
magnitude of the Fund's open positions creates a "risk of ruin" not typically
found in most other investment vehicles. Because of the size of its positions,
certain market conditions -- unusual, but historically recurring from time to
time -- could cause the Fund to incur severe losses over a short period of time.
The foregoing Value at Risk tables -- as well as the past performance of the
Fund -- give no indication of this "risk of ruin."

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 substantial portion of the its available assets in U.S. Treasury
Bills. The market risk represented by these investments is immaterial.




                                      -13-
<PAGE>   14




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, 2000, by market sector.

Currencies

        Exchange rate risk is the principal market exposure of the Fund. The
Fund's currency exposure is to 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 risk is a significant market exposure of the Fund.
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. However, the Fund
also takes positions in the government debt of Switzerland. Campbell & Company
anticipates that G-7 interest rates will remain the primary market exposure of
the Fund for the foreseeable future. The changes in interest rates which have
the most effect on the Fund are changes in long-term, as opposed to short-term
rates. Most of the speculative positions held by the Fund are in medium- to
long-term instruments. Consequently, even a material change in short-term rates
would have little effect on the Fund were the medium- to long-term rates to
remain steady.

Stock Indices

        The Fund's primary equity exposure is to equity price risk in the G-7
countries and several other countries (Hong Kong and Spain). The stock index
futures traded by the Fund are by law limited to futures on broadly based
indices. As of December 31, 2000, the Fund's primary exposures were in the
Nikkei (Japan), NASDAQ (USA), Hang Seng (Hong Kong), S&P 500 (USA) and DAX
(Germany) stock indices. The Fund is primarily exposed to the risk of adverse
price



                                      -14-
<PAGE>   15

trends or static markets in the major U.S., European and Japanese indices.
(Static markets would not cause major market changes but would make it difficult
for the Fund to avoid being "whipsawed" into numerous small losses.)



Energy

        The Fund's primary energy market exposure is to gas and oil price
movements, often resulting from political developments in the Middle East. As of
December 31, 2000, crude oil and heating oil are the dominant energy market
exposures of the Fund. Gas and oil 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 and zinc. Campbell & Company's gold trading has
been increasingly limited due to the long-lasting and mainly non-volatile
decline in the price of gold over the last 10-15 years.



QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE

        The following were the only non-trading risk exposures of the Fund as of
December 31, 2000.

Foreign Currency Balances

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

Treasury Bill Positions

        The Fund's only market exposure in instruments held other than for
trading is in its Treasury Bill portfolio. The Fund holds Treasury Bills
(interest bearing and credit risk-free) with durations no longer than six
months. Violent fluctuations in prevailing interest rates could cause immaterial
mark-to-market losses on the Fund'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 imposing "stop-loss" points
at which open positions must be closed out.




                                      -15-
<PAGE>   16

        Campbell & Company controls the risk of the Fund's non-trading
instruments (Treasury Bills held for cash management purposes) by limiting the
duration of such instruments to no more than six months.

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 commodity 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 20 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:


THERESA D. BECKS, born in 1963, joined Campbell & Company in 1991 and serves as
the CHIEF FINANCIAL OFFICER, SECRETARY, TREASURER, and a DIRECTOR. In addition
to her role as CFO, Ms. Becks also oversees administration and compliance. From
December 1987 to June 1991, she was employed by Bank of Maryland Corporation, a
publicly held company, as a Vice President and Chief Financial Officer. Prior to
that time, she worked with Ernst & Young. Ms. Becks is a C.P.A. and has a B.S.
in Accounting from the University of Delaware. Ms. Becks is an Associated Person
of Campbell & Company.

RICHARD M. BELL, born in 1952, 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 graduated from Lehigh University with a B.S. in Finance.
Mr. Bell is an Associated Person of Campbell & Company.

D. KEITH CAMPBELL, born in 1942, 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


                                      -16-
<PAGE>   17

January 1, 1998. Mr. Campbell is the majority 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 of the Fund. 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 is
an Associated Person of Campbell & Company.

WILLIAM C. CLARKE, III, born in 1951, joined Campbell & Company in June 1977 and
serves as an EXECUTIVE VICE PRESIDENT and DIRECTOR. 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, born in 1947, joined Campbell & Company in January 1993 and
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
served in various principal roles with the following firms: President,
Institutional Brokerage Corporation, a floor broker; President, Institutional
Advisory Corporation, a commodity trading advisor and commodity pool operator;
President, F&G Management, Inc., a commodity trading advisor; President, Hewlett
Trading Corporation, a commodity pool operator. 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, born in 1963, serves as a VICE PRESIDENT - RESEARCH and has been
employed by Campbell & Company since 1994. 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 Toyohashi, Mr. Hu was also a Visiting
Researcher in Computer Science and Operations Research and published several
research papers.

PHIL LINDNER, born in 1954, serves as VICE PRESIDENT - INFORMATION TECHNOLOGY.
He has been employed by Campbell & Company since October 1994. He was appointed
the IT Director in March 1996 and Vice President in January 1998. 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, born in 1946, joined Campbell & Company in April 1990 and
serves as EXECUTIVE VICE PRESIDENT - CLIENT DEVELOPMENT and a DIRECTOR. 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 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.

V. TODD MILLER, born in 1962, serves as a VICE PRESIDENT - RESEARCH and has been
employed by Campbell & Company since 1994. 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, including an Associates
degree in architecture and a B.A. in Business with a concentration in computer
science. In 1988, he received his M.A. in Engineering with a


                                      -17-
<PAGE>   18

concentration in artificial intelligence. Mr. Miller completed his education in
1993 with a Ph.D. in Engineering with a concentration in computer simulation.

ALBERT NIGRIN, born in 1961, serves as a VICE PRESIDENT - RESEARCH and has been
employed by Campbell & Company since 1995. From 1991 to 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 Neural
Networks for Pattern Recognition. Mr. Nigrin received a B.A. in Electrical
Engineering in 1984 from Drexel University. He then 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, born in 1961, serves as VICE PRESIDENT - DATA OPERATIONS and
has been employed by Campbell & Company since October 1993. 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. Mr. Rutishauser is an Associated Person of Campbell &
Company.


C. DOUGLAS YORK, born in 1958, has been employed by Campbell & Company since
November 1992 and serves as a SENIOR VICE PRESIDENT - TRADING. His duties
include managing daily trade execution for foreign exchange 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 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 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, 2000, no Units of Limited Partnership are owned or
               held by an officer of Campbell & Company.

        (b)    Security Ownership of Management. As of December 31, 2000,
               Campbell & Company owned 3,306.761 Units of General Partnership
               Interest having a value of $6,351,669. Units of General
               Partnership will always be owned by Campbell & Company in its
               capacity as general partner.

ITEM 13.       CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS




                                      -18-
<PAGE>   19

        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 20 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.


















                                      -19-
<PAGE>   20





                                   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 26, 2001.

                                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

                                    By:  CAMPBELL & COMPANY, INC.
                                    General Partner



                                    By:  /s/ Theresa D. Becks
                                         ---------------------------

                                         Theresa D. Becks
                                         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 26, 2001.

<TABLE>
<CAPTION>

           Signature                               Capacity
          ----------                               ---------

<S>                                             <C>


/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. Becks
----------------------
Theresa D. Becks                                   Chief Financial Officer, Secretary,
                                                   Treasurer and Director



/s/ James M. Little
-------------------
James M. Little                                    Executive Vice President and Director


</TABLE>





                                      -20-
<PAGE>   21



                          CAMPBELL STRATEGIC ALLOCATION
                                   FUND, L.P.

                                  ANNUAL REPORT

                                December 31, 2000
































                                      -21-
<PAGE>   22




                     CAMPBELL STRATEGIC ALLOCATION FUND, L.P



                                      INDEX
<TABLE>
<CAPTION>

                                                                                       PAGES
                                                                                      -------
<S>                                                                                   <C>
INDEPENDENT AUDITOR'S REPORT                                                             23

FINANCIAL STATEMENTS

Statements of Financial Condition
December 31, 2000 and 1999                                                               24


Statements of Operations For  the Years
Ended December 31, 2000, 1999 and 1998                                                   25



Statements of Cash Flows For the Years
Ended December 31, 2000, 1999 and 1998                                                   26



Statements of Changes in Partners Capital (Net Asset Value)
For the Years Ended December 31, 2000, 1999 and 1998                                     27



Notes to Financial Statements                                                           28-32


</TABLE>













                                      -22-
<PAGE>   23


                    ARTHUR F. BELL, JR. & ASSOCIATES, L.L.C.

                          CERTIFIED PUBLIC ACCOUNTANTS

                                 (410) 821-8000

                               FAX (410) 321-8359
<TABLE>
<CAPTION>

Member:
<S>                                                                     <C>

American Institute of Certified Public Accountants                                          Suite 200
   SEC Practice Section                                                      201 International Circle
Maryland Association of Certified Public Accountants                     Hunt Valley, Maryland  21030
</TABLE>


                          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, 2000 and 1999, and the
related statements of operations, cash flows and changes in partners' capital
(net asset value) for the years ended December 31, 2000, 1999 and 1998. These
financial statements are the responsibility of the Fund'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, 2000 and 1999, and the results of its operations,
cash flows and the changes in its net asset values for the years ended December
31, 2000, 1999 and 1998, in conformity with generally accepted accounting
principles.



/s/ Arthur F. Bell, Jr. & Associates, L.L.C.


Hunt Valley, Maryland
February 2, 2001

















                                      -23-
<PAGE>   24



                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                        STATEMENTS OF FINANCIAL CONDITION
                           December 31, 2000 and 1999



<TABLE>
<CAPTION>
                                                                       2000              1999
                                                                       ----              ----
<S>                                                              <C>               <C>
ASSETS
   Equity in broker trading accounts
      Cash                                                       $    46,527,143     $  54,186,103
      United States government securities                            318,819,970       256,915,665
      Unrealized gain on open futures contracts                       24,297,352        16,512,156
                                                                  --------------    --------------

           Deposits with broker                                      389,644,465       327,613,924

   Cash and cash equivalents                                          87,655,535        33,978,199
   United States government securities                               163,798,866       129,150,061
   Unrealized gain on open swap contracts                              5,341,674                 0
   Unrealized gain (loss) on open forward contracts                   (1,247,873)        6,098,317
                                                                 ---------------   ---------------

           Total assets                                          $   645,192,667      $496,840,501
                                                                 ===============      ============

LIABILITIES
   Accounts payable                                              $       330,386     $     260,063
   Brokerage fee                                                       3,998,772         3,118,646
   Performance fee                                                     4,180,241                 0
   Offering costs payable                                                299,500           259,595
   Redemptions payable                                                 5,631,710         9,074,798
   Subscription deposits                                                 127,046           107,295
                                                                 ---------------  ----------------

           Total liabilities                                          14,567,655        12,820,397
                                                                 ---------------    --------------

PARTNERS' CAPITAL (NET ASSET VALUE)
   General Partner - 3,306.761 and 2,904.862 units
      outstanding at December 31, 2000 and 1999                        6,351,669         5,040,488
   Limited Partners - 325,004.757 and 276,039.045 units
      outstanding at December 31, 2000 and 1999                      624,273,343       478,979,616
                                                                 ---------------     -------------

           Total partners' capital
               (Net Asset Value)                                     630,625,012       484,020,104
                                                                 ---------------     -------------

                                                                 $   645,192,667     $ 496,840,501
                                                                 ===============     =============
</TABLE>




                             See accompanying notes.








                                      -24-
<PAGE>   25


                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                            STATEMENTS OF OPERATIONS
              For the Years Ended December 31, 2000, 1999 and 1998




<TABLE>
<CAPTION>
                                                     2000              1999               1998
                                                     ----              ----               ----
<S>                                            <C>                <C>             <C>
INCOME
   Futures trading gains (losses)
      Realized                                   $  59,418,153     $  15,028,356     $  53,795,803
      Change in unrealized                           7,785,196        12,594,439        (4,649,349)
                                                 -------------     -------------     -------------

           Gain from futures trading                67,203,349        27,622,795        49,146,454
                                                 -------------     -------------     -------------

   Forward and swap trading gains (losses)
      Realized                                      12,338,257         4,085,047         8,873,435
      Change in unrealized                          (2,004,516)        7,103,742        (2,333,555)
                                                 -------------     -------------     -------------

           Gain from forward and swap trading       10,333,741        11,188,789         6,539,880
                                                 -------------     -------------     -------------

   Interest income                                  30,585,256        18,786,307        12,823,294
                                                 -------------     -------------     -------------

           Total income                            108,122,346        57,597,891        68,509,628
                                                 -------------     -------------     -------------

EXPENSES
   Brokerage fee                                    40,968,168        31,758,700        21,002,047
   Performance fee                                   4,226,508         1,780,671         6,303,339
   Operating expenses                                1,101,119           752,312           509,686
                                                 -------------     -------------     -------------

           Total expenses                           46,295,795        34,291,683        27,815,072
                                                 -------------     -------------     -------------

           NET INCOME                            $  61,826,551     $  23,306,208     $  40,694,556
                                                 =============     =============     =============

NET INCOME PER GENERAL AND
   LIMITED PARTNER UNIT
      (based on weighted average number
      of units outstanding during the year)      $      208.13     $       95.52     $      232.33
                                                 =============     =============     =============

INCREASE IN NET ASSET VALUE
   PER GENERAL AND LIMITED
   PARTNER UNIT                                  $      185.62     $       73.88     $      211.67
                                                 =============     =============     =============


</TABLE>

                             See accompanying notes.


                                      -25-
<PAGE>   26


                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                            STATEMENTS OF CASH FLOWS
              For the Years Ended December 31, 2000, 1999 and 1998




<TABLE>
<CAPTION>
                                                            2000           1999           1998
                                                            ----           ----           ----
<S>                                                   <C>            <C>             <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
  Net income                                          $  61,826,551  $  23,306,208   $  40,694,556
     Adjustments to reconcile net income to
        net cash (for) operating activities
          Net change in unrealized                       (5,780,680)   (19,698,181)      6,982,904
          Increase (decrease) in accounts payable
             and accrued expenses                         5,130,690       (992,828)        314,669
          Net (purchases) of investments
             in United States government and agency
             securities                                 (96,553,110)  (171,896,926)    (49,038,541)
                                                      -------------  -------------   -------------

                Net cash (for) operating activities     (35,376,549)  (169,281,727)     (1,046,412)
                                                      -------------  -------------   --------------

CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
  Addition of units                                     158,275,344    158,931,214     117,408,144
  Increase (decrease) in subscription deposits               19,751         90,509        (868,319)
  Redemption of units                                   (70,088,150)   (39,327,023)    (24,906,260)
  Increase (decrease) in redemptions payable             (3,443,088)     6,814,273        (368,639)
  Offering costs charged                                 (3,408,837)    (2,846,943)     (1,949,511)
  Increase in offering costs payable                         39,905         74,283          62,527
                                                      -------------- --------------- -------------

                Net cash from financing activities       81,394,925    123,736,313      89,377,942
                                                      -------------  -------------   -------------

Net increase (decrease) in cash and cash equivalents     46,018,376    (45,545,414)     88,331,530

CASH AND CASH EQUIVALENTS
  Beginning of year                                      88,164,302    133,709,716      45,378,186
                                                      -------------  -------------   -------------

  End of year                                         $ 134,182,678  $  88,164,302   $ 133,709,716
                                                      =============  ==============  =============


End of year cash and cash equivalents consists of:
  Cash in broker trading accounts                     $  46,527,143  $  54,186,103   $  88,830,060
  Cash and cash equivalents                              87,655,535     33,978,199      44,879,656
                                                      -------------- -------------   -------------

                Total end of year cash and
                    cash equivalents                  $ 134,182,678  $  88,164,302   $ 133,709,716
                                                      =============  =============   =============

</TABLE>




                             See accompanying notes.



                                      -26-
<PAGE>   27




                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
          STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
              For the Years Ended December 31, 2000, 1999 and 1998
<TABLE>
<CAPTION>


                                                        Partners' Capital
                             ------------------------------------------------------------------------------
                                   General                   Limited                       Total
                             --------------------      ----------------------      ------------------------

                               Units       Amount       Units          Amount         Units          Amount
                               -----       ------       -----          ------         -----          ------
<S>                          <C>         <C>          <C>           <C>            <C>            <C>
Balances at
   December 31, 1997         1,473.323   $2,135,788   145,259.520   $210,573,931   146,732.843    $212,709,719

Net income for the year
   ended December 31, 1998                  417,357                   40,277,199                    40,694,556

Additions                      623.320      950,000    75,725.965    116,458,144    76,349.285     117,408,144

Redemptions                      0.000            0   (16,043.126)   (24,906,260)  (16,043.126)    (24,906,260)

Offering costs                              (19,971)                  (1,929,540)                   (1,949,511)
                             ----------  -----------  -----------    ------------  -----------    ------------

Balances at
   December 31, 1998         2,096.643    3,483,174    204,942.359   340,473,474   207,039.002     343,956,648

Net income for the year
   ended December 31, 1999                  236,380                   23,069,828                    23,306,208

Additions                      808.219    1,350,000     94,344.964   157,581,214    95,153.183     158,931,214

Redemptions                      0.000            0    (23,248.278)  (39,327,023)  (23,248.278)    (39,327,023)

Offering costs                              (29,066)                  (2,817,877)                   (2,846,943)
                             ----------  -----------   ------------  -----------    ----------    ------------

Balances at
   December 31, 1999         2,904.862    5,040,488    276,039.045   478,979,616   278,943.907     484,020,104

Net income for the year
   ended December 31, 2000                  617,436                   61,209,115                    61,826,551

Additions                      401.899      730,000     88,328.360   157,545,344    88,730.259     158,275,344

Redemptions                      0.000            0    (39,362.648)  (70,088,150)  (39,362.648)    (70,088,150)

Offering costs                              (36,255)                  (3,372,582)                   (3,408,837)
                             ----------  -----------   ------------  -----------    ----------    ------------

Balances at
   December 31, 2000         3,306.761   $6,351,669    325,004.757  $624,273,343   328,311.518    $630,625,012
                             =========   ==========    ===========  ============   ===========    ============



<CAPTION>
                                    Net Asset Value Per General and Limited Partner Unit
                                    ----------------------------------------------------
                                                        December 31,
                                           2000             1999            1998
                                           ----             ----            ----

<S>                                      <C>              <C>             <C>
                                         $1,920.81        $1,735.19       $1,661.31
                                         =========        =========       =========
</TABLE>





                             See accompanying notes.

                                      -27-
<PAGE>   28



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




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, forward contracts and swap contracts.

         B.    Regulation

               As a registrant with the Securities and Exchange Commission, the
               Fund is subject to the regulatory requirements under the
               Securities Act of 1933 and the Securities Exchange Act of 1934.
               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 (brokers) and interbank and other market makers through
               which the Fund trades.

         C.    Method of Reporting

               The Fund's financial statements are presented in accordance with
               generally accepted accounting principles, which require the use
               of certain estimates made by the Fund's management. 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 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 securities
               are stated at cost plus accrued interest, which approximates
               market value.

               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.    Cash and Cash Equivalents

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

                                      -28-
<PAGE>   29



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




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

         E.    Income Taxes

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

         F.    Offering Costs

               Campbell & Company, Inc. (Campbell & Company) has incurred total
               costs in connection with the initial and continuous offering of
               units of the Fund (offering costs) of $15,485,205 through
               December 31, 2000, $10,135,981 of which has already been
               reimbursed to Campbell & Company by the Fund. At December 31,
               2000, the Fund reflects a liability in the statement of financial
               condition for offering costs payable to Campbell & Company of
               $299,500. The Fund's liability for offering costs is limited to
               the maximum of total offering costs incurred by Campbell &
               Company 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 Fund is only liable
               for payment of offering costs on a monthly basis as calculated
               based on the limitations stated above. 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 amount of monthly reimbursement due to Campbell & Company is
               charged directly to partners' capital.

         G.    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 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.











                                      -29-
<PAGE>   30


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




Note 2.  GENERAL PARTNER AND COMMODITY TRADING ADVISOR


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

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

         Commencing August 1, 2000, the Fund pays a monthly brokerage fee equal
         to 1/12 of 7.65% (7.65% annualized) of month-end net assets. Campbell &
         Company receives 7% of this 7.65% 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 Campbell & Company for trading and
         management services rendered. The remainder of the brokerage fee
         (0.65%) is paid directly to the broker. Prior to August 1, 2000, the
         monthly brokerage fee was equal to 1/12 of 7.7% (7.7% annualized) of
         month-end net assets, with the amount paid directly to the broker equal
         to 1/12 of 0.7% (0.7% annualized) of month-end net assets. During 2000,
         1999 and 1998, the amounts paid directly to the broker amounted to
         $3,615,766, $2,887,155 and $1,909,277, respectively.

         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.

Note 3.  DEPOSITS WITH BROKER


         The Fund deposits assets 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 Fund earns interest
         income on its assets deposited with the broker.

Note 4.  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,
         2000, 1999 and 1998.


                                      -30-
<PAGE>   31




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




Note 5.  SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS


         Investments in the Fund are made by subscription agreement, subject to
         acceptance by Campbell & Company. As of December 31, 2000 and 1999,
         amounts received by the Fund from prospective limited partners who have
         not yet been admitted to the Fund by Campbell & Company total $127,046
         and $107,295, respectively.

         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. 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.

Note 6.  TRADING ACTIVITIES AND RELATED RISKS

         The Fund engages in the speculative trading of U.S. and foreign futures
         contracts, forward contracts and swap contracts (collectively,
         "derivatives"). The Fund 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. Additional deposits may be necessary for any loss on
         contract value. 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 and other 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, 2000 and 1999 was $482,618,836 and
         $386,065,726, respectively, which equals 77% and 80% of Net Asset
         Value, respectively.

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


                                      -31-
<PAGE>   32



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


Note 6.  TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)


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

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

         The unrealized gain (loss) on open futures, forward and swap contracts
         is comprised of the following:

<TABLE>
<CAPTION>
                                          Futures Contracts         Forward and Swap Contracts
                                          (exchange traded)            (non-exchange traded)
                                            December 31,                   December 31,
                                         2000          1999            2000            1999
                                         ----          ----            ----            ----
<S>                                   <C>             <C>           <C>            <C>
             Gross unrealized gains   $ 30,981,485    $ 16,698,403  $  47,234,539  $   7,528,691
             Gross unrealized losses    (6,684,133)       (186,247)   (43,140,738)    (1,430,374)
                                      ------------    ------------   ------------  -------------

             Net unrealized gain      $ 24,297,352    $ 16,512,156  $   4,093,801  $   6,098,317
                                      ============    ============  =============  =============
</TABLE>

         Open contracts generally mature within three months; as of December 31,
         2000, the latest maturity date for open futures contracts is September
         2001, and the latest maturity date for open forward and swap contracts
         is March 2001. However, the Fund intends to close all contracts prior
         to maturity.

         Campbell & Company has established procedures to actively monitor
         market risk and minimize credit risk, although there can be no
         assurance that they 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 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 creditworthy. 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.






                                      -32-
<PAGE>   33








                                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 *(1)

3.02                    Certificate of Limited Partnership of the Registrant *              n/a

3.03                    Amended Agreement of Limited Partnership of the Registrant ***(1)   n/a

10.01                   Form of Advisory Agreement between the Registrant and               n/a
(Amended)               Campbell & Company *(1)

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 on Form S-1 (No. 333-67164) filed on
        August 9, 1993.

**      Incorporated by reference to the respective exhibit to the Registrant's
        Registration Statement on Form S-1 (No. 333-80933) filed on
        June 17, 1999.

***     Incorporated by reference to the respective exhibit as Post-Effective
        Amendment No. 1 to the Registrant's Registration Statement on Form S-1
        (No. 333-80933) filed on December 15, 1999.

(1)     Management contract or compensatory plan or arrangement.



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






                                      -33-