<PAGE>   1


                                 UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                            WASHINGTON, D.C.  20549

                                   FORM 10-Q


[ X ]  QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934

For the quarterly period ended      March 31, 1998
                               ----------------------------------------------

                                       or

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

For the transition period from                     to
                               --------------------  ------------------------

Commission File number:           0-22260
                        -----------------------------------------------------


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


            Delaware                                  52-1823554
------------------------------------    -------------------------------------
     (State of Organization)             (IRS Employer Identification Number)

Court Towers Building,
210 West Pennsylvania Avenue,
Baltimore, Maryland                                            21204
------------------------------------------          -------------------------
(Address of principal executive offices)                     (Zip Code)

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

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, and (2) has been subject to such filing
requirements for the past 90 days.

                           Yes [ X ]         No [   ]

                          Total number of Pages:  16 
                                                ------

<PAGE>   2
                         PART I - FINANCIAL INFORMATION


Item 1.          Financial Statements

The following unaudited financial statements of  Campbell Strategic Allocation
Fund, L.P. are included in Item 1:

         Statements of Financial Condition as of March 31, 1998 and
             December 31, 1997

         Statements of Operations for the Three Months Ended
             March 31, 1998 and 1997

         Statements of Cash Flows for the Three Months Ended
             March 31, 1998 and 1997

         Statements of Changes in Partners' Capital for the Three Months Ended
             March 31, 1998 and 1997





                                       2
<PAGE>   3
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                       STATEMENTS OF FINANCIAL CONDITION
          March 31, 1998 (Unaudited) and December 31, 1997 (Audited)


<TABLE>
<CAPTION>
                                                                             March 31,              December 31,
                                                                                1998                    1997     
                                                                            ------------            ------------
<S>                                                                         <C>                     <C>
ASSETS
    Equity in broker trading accounts
       Cash                                                                 $ 80,519,160            $ 17,401,415
       United States government securities                                    68,233,193              37,851,369
       Unrealized gain on open futures contracts                               3,985,548               8,567,066
                                                                            ------------            ------------

                Deposits with broker                                         152,737,901              63,819,850

    Cash and cash equivalents                                                 12,872,477              27,976,771
    United States government securities                                       81,523,634             127,278,890
    Unrealized gain (loss) on open forward contracts                           7,636,130               1,328,130
                                                                            ------------            ------------

                Total assets                                                $254,770,142            $220,403,641
                                                                            ============            ============

LIABILITIES
    Accounts payable                                                        $     69,427            $    165,183
    Brokerage fee                                                              1,560,869               1,354,551
    Performance fee                                                            1,826,845               2,537,134
    Offering costs payable                                                       137,686                 122,785
    Redemptions payable                                                        1,643,651               2,629,164
    Subscription deposits                                                        317,654                 885,105
                                                                            ------------            ------------

                Total liabilities                                              5,556,132               7,693,922
                                                                            ------------            ------------

PARTNERS' CAPITAL (NET ASSET VALUE)
    General Partner - 1,675.553 and 1,473.323 units
       outstanding at March 31, 1998 and                                       2,538,798               2,135,788
       December 31,1997
    Limited Partners - 162,800.326 and 145,259.520
       units outstanding at March 31, 1998 and
       December 31, 1997                                                     246,675,212             210,573,931
                                                                            ------------            ------------

                Total partners' capital
                  (Net Asset Value)                                          249,214,010             212,709,719
                                                                            ------------            ------------

                                                                            $254,770,142            $220,403,641
                                                                            ============            ============
</TABLE>


                            See accompanying notes.





                                       3
<PAGE>   4
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                            STATEMENTS OF OPERATIONS
               For the Three Months Ended March 31, 1998 and 1997
                                  (Unaudited)



<TABLE>
<CAPTION>
                                                    1998                           1997
                                                    ----                           ----
<S>                                              <C>                            <C>
INCOME
   Trading gains (losses)
      Realized                                   $12,317,137                    $ 8,705,045
      Change in unrealized                         1,726,482                     (2,422,170)
                                                 -----------                    ----------- 

         Gain from trading                        14,043,619                      6,282,875

   Interest income                                 2,914,657                      1,407,149
                                                 -----------                    -----------

         Total income                             16,958,276                      7,690,024
                                                 -----------                    -----------

EXPENSES
   Brokerage fee                                   4,399,095                      2,418,103
   Performance fee                                 1,831,739                        816,384
   Operating expenses                                123,127                        101,835
                                                 -----------                    -----------

         Total expenses                            6,353,961                      3,336,322
                                                 -----------                    -----------

         NET INCOME                              $10,604,315                    $ 4,353,702
                                                 ===========                    ===========

NET INCOME PER GENERAL
AND LIMITED PARTNER UNIT
   (based on weighted average
    number of units outstanding
    during the period)                           $     69.63                    $     48.77
                                                 ===========                    ===========

INCREASE IN NET ASSET
VALUE PER GENERAL
AND LIMITED PARTNER UNIT                         $     65.56                    $     50.87
                                                 ===========                    ===========
</TABLE>





                            See accompanying notes.





                                       4
<PAGE>   5
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                            STATEMENTS OF CASH FLOWS
               For the Three Months Ended March 31, 1998 and 1997
                                  (Unaudited)



<TABLE>
<CAPTION>
                                                                                                  1998                1997
                                                                                                  -----               ----
<S>                                                                                            <C>                 <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
  Net income                                                                                   $10,604,315         $ 4,353,702
         Adjustments to reconcile net income to net cash from
         operating activities
             Net change in unrealized                                                           (1,726,482)          2,422,170
             (Increase) decrease in accounts payable and accrued expenses                         (599,727)         (1,152,722)
                                                                                               -----------         ----------- 

                         Net cash from operating activities                                      8,278,106           5,623,150
                                                                                               -----------         -----------

CASH FLOWS FROM (FOR) INVESTING ACTIVITIES
  Net (purchases) maturities of investments in United States government
         and agency securities                                                                  15,373,432           9,597,218
                                                                                               -----------         -----------
                         Net cash from (for) investing activities                               15,373,432           9,597,218
                                                                                               -----------         -----------

CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
  Addition of units                                                                             29,594,615          22,508,396
  Increase in subscription deposits                                                               (567,451)             85,247
  Redemption of units                                                                           (3,281,581)           (717,508)
  Decrease in redemptions payable                                                                 (985,513)           (290,639)
  Offering costs charged                                                                          (413,058)           (222,791)
  Increase in offering costs payable                                                                14,901              17,640
                                                                                               -----------         -----------
                         Net cash from financing activities                                     24,361,913          21,380,345
                                                                                               -----------         -----------

Net increase (decrease) in cash and cash equivalents                                            48,013,451          36,600,713

CASH AND CASH EQUIVALENTS
  Beginning of period                                                                           45,378,186          62,885,065
                                                                                               -----------         -----------

  End of period                                                                                $93,391,637         $99,485,778
                                                                                               ===========         ===========

Three months ended cash & cash equivalents consist of:
  Cash in broker trading accounts                                                               80,519,160          14,027,589
  Cash and cash equivalents                                                                     12,872,477          85,458,189
                                                                                               -----------         -----------

         Total end of period cash and cash equivalents                                         $93,391,637         $99,485,778
                                                                                               ===========         ===========
</TABLE>

                            See accompanying notes.





                                       5
<PAGE>   6
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
          STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
               For the Three Months Ended March 31, 1998 and 1997
                                  (Unaudited)

<TABLE>
<CAPTION>
                                                                      Partners' Capital
                                     ---------------------------------------------------------------------------------
                                            General                       Limited                        Total       
                                     ---------------------          --------------------          --------------------
                                     Units          Amount          Units         Amount          Units         Amount
                                     -----          ------          -----         ------          -----         ------
<S>                                 <C>          <C>             <C>           <C>             <C>           <C>
THREE MONTHS ENDED
 MARCH 31, 1998
Balances at
   December 31, 1997                1,473.323    $ 2,135,788     145,259.520   $210,573,931    146,732.843   $212,709,719

Additions                             202.230        300,000      19,739.937     29,294,615     19,942.167     29,594,615

Net income for the three months
   ended March 31, 1998                              107,191                     10,497,124                    10,604,315

Redemptions                             0.000              0      (2,199.131)    (3,281,581)    (2,199.131)    (3,281,581)

Offering costs                                        (4,181)                      (408,877)                     (413,058)
                                  -----------    -----------    ------------   ------------   ------------   ------------ 

Balances at
   March 31, 1998                   1,675.553    $ 2,538,798     162,800.326   $246,675,212    164,475.879   $249,214,010
                                  ===========    ===========    ============   ============   ============   ============

THREE MONTHS ENDED
 MARCH 31, 1997
Balances at
   December 31, 1996                  885.938    $ 1,123,514      84,069.060   $106,613,289     84,954.998   $107,736,803

Additions                             134.967        180,000      16,778.890     22,328,396     16,913.857     22,508,396

Net income for the three months
   ended March 31, 1997                               45,356                      4,308,346                     4,353,702

Redemptions                             0.000              0        (538.203)      (717,508)      (538.203)      (717,508)

Offering costs                                        (2,262)                      (220,529)                     (222,791)
                                  -----------    -----------    ------------   ------------   ------------   ------------ 

Balances at
   March 31, 1997                   1,020.905    $ 1,346,608     100,309.747   $132,311,994    101,330.652   $133,658,602
                                  ===========    ===========    ============   ============   ============   ============
</TABLE>


<TABLE>
<CAPTION>
                                                 Net Asset Value Per Unit           
                                  ---------------------------------------------------------
                                   March 31,     December 31,      March 31,    December 31,
                                      1998          1997             1997           1996    
                                  -----------   ------------     -----------    -----------
                                  <S>           <C>              <C>            <C>
                                  $  1,515.20   $   1,449.64     $  1,319.03    $  1,268.16
                                  ===========   ============     ===========    ===========
</TABLE>

                            See accompanying notes.





                                       6
<PAGE>   7
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                         NOTES TO FINANCIAL STATEMENTS
                                  (Unaudited)


Note 1.  ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

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

         B.      Regulation
                 As a registrant with the Securities and Exchange Commission,
                 the Partnership is subject to the regulatory requirements
                 under the Securities Acts of 1933 and 1934.  As a commodity
                 investment pool, the Partnership is subject to the regulations
                 of the Commodity Futures Trading Commission, an agency of the
                 United States (U.S.) government which regulates most aspects
                 of the commodity futures industry, rules of the National
                 Futures Association, an industry self-regulatory organization,
                 and the requirements of the various commodity exchanges where
                 the Partnership executes transactions.  Additionally, the
                 Partnership is subject to the requirements of Futures
                 Commission Merchants (brokers) and interbank market makers
                 through which the Partnership trades.

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

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

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





                                       7
<PAGE>   8
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                   NOTES TO FINANCIAL STATEMENTS (CONTINUED)
                                  (Unaudited)

Note 1.  SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

         F.      Offering Costs
                 The General Partner has incurred total costs in connection
                 with the initial and continuous offering of Units of the
                 Partnership (offering costs) of $5,660,631 through March 31,
                 1998, $2,505,562 of which has already been reimbursed to the
                 General Partner by the Partnership. At March 31, 1998, the
                 Partnership reflects a liability in the statement of financial
                 condition offering costs payable to the General Partner of
                 $137,686.  The Partnership's liability for offering costs is
                 limited to the maximum of total offering costs incurred by the
                 General Partner or 2.5% of the aggregate subscriptions
                 accepted during the initial and continuous offerings; this
                 maximum is further limited by a pay-out schedule over 30
                 months.  The Partnership is only liable for payment of
                 offering costs on a monthly basis as calculated based on the
                 limitations stated above.  If the Partnership terminates prior
                 to completion of payment of the calculated amounts to the
                 General Partner, the General Partner will not be entitled to
                 any additional payments, and the Partnership will have no
                 further obligation to the General Partner.

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

         G.      Foreign Currency Transactions
                 The Partnership's functional currency is the U.S. dollar;
                 however, it transacts business in currencies other than the
                 U.S. dollar.  Assets and liabilities denominated in currencies
                 other than the U.S. dollar are translated into U.S. dollars at
                 the rates in effect at the date of the statement of financial
                 condition.  Income and expense items denominated in currencies
                 other than the U.S. dollar are translated into U.S. dollars at
                 the rates in effect during the period.  Gains and  losses
                 resulting from the translation to U.S. dollars are reported in
                 income currently.

Note 2.  GENERAL PARTNER AND COMMODITY TRADING ADVISOR

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

         The General Partner is required by the Amended Agreement of Limited
         Partnership to maintain a net worth equal to at least 5% of the
         capital contributed by all the limited partnerships for which it acts
         as general partner, including the Partnership. The minimum net





                                       8
<PAGE>   9
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                   NOTES TO FINANCIAL STATEMENTS (CONTINUED)
                                  (Unaudited)


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

         worth shall in no case be less than $50,000 nor shall net worth in
         excess of  $1,000,000 be required.

         The Partnership pays a monthly brokerage fee equal to 1/12 of 7.7%
         (7.7% annualized) of month-end net assets.  The General Partner
         receives 7% of this 7.7% fee, a portion (4%) of which is used to
         compensate selling agents for ongoing services rendered and a portion
         (3%) of which is retained by General Partner for trading and
         management services rendered.  The remainder of the brokerage fee
         (0.7%) is paid directly to the broker.  During the three months ended
         March 31, 1998 and 1997, the amounts paid directly to the broker
         amounted to $399,918 and $302,263 respectively.

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

Note 3.  DEPOSITS WITH BROKER

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

Note 4.  OPERATING EXPENSES

         Operating expenses of the Partnership are limited by the Amended
         Agreement of Limited Partnership to 0.5% per year of the average
         month-end Net Asset Value of the Partnership. Actual operating
         expenses were less than 0.5% (annualized) for the three months ended
         March 31, 1998 and 1997.

Note 5.  SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

         Investments in the Partnership are made by subscription agreement,
         subject to acceptance by the General Partner.  As of March 31, 1998
         and December 31, 1997 amounts received by the Partnership by
         prospective limited partners who have not yet been admitted to the
         Partnership by the General Partner amount to $317,654 and $885,105,
         respectively.

         The Partnership is not required to make distributions, but may do so
         at the sole discretion of the General Partner.  A Limited Partner may
         request and receive redemption of Units owned after the sixth full
         month after the units are sold, subject to restrictions in the Amended





                                       9
<PAGE>   10
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                   NOTES TO FINANCIAL STATEMENTS (CONTINUED)
                                  (Unaudited)

Note 5.  SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS (CONTINUED)

         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 twelth month-end.  After the
         twelth month-end following purchase of a Unit, no redemption fees
         apply.

Note 6.  TRADING ACTIVITIES AND RELATED RISKS

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

         Purchase and sale of futures contracts requires margin deposits with
         the broker.  The Commodity Exchange Act requires a broker to segregate
         all customer transactions and assets from such broker's proprietary
         activities.  A customer's cash and other property (for example, U.S.
         Treasury bills) deposited with a broker are considered commingled with
         all other customer funds subject to the broker's segregation
         requirements.  In the event of a broker's insolvency, recovery may be
         limited to a pro rata share of segregated funds available.  It is
         possible that the recovered amount could be less than total cash and
         other property deposited.

         The amount of required margin and good faith deposits with the broker
         and interbank market makers usually range from 10% to 30% of Net Asset
         Value.  The market value of securities held to satisfy such
         requirements at March 31, 1998 and December 31, 1997 was $149,756,827
         and $110,574,485, respectively, which equals 60% and 52% of Net Asset
         Value, respectively.

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

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





                                       10
<PAGE>   11
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                   NOTES TO FINANCIAL STATEMENTS (CONTINUED)
                                  (Unaudited)

Note 6.  TRADING ACTIVITIES AND RELATED  RISKS (CONTINUED)

         For derivatives, risks arise from changes in the market value of the
         contracts.  Theoretically, the Partnership is exposed to a market risk
         equal to the value of futures and forward contracts purchased and
         unlimited liability on such contracts sold short. The fair value of
         derivatives represents unrealized gains and losses on open futures and
         forward contracts.  The average fair value of derivatives during the
         three months ended March 31, 1998 and 1997 was approximately
         $7,073,000 and $5,912,000, respectively and the related period end
         fair values are approximately $11,622,000 and $(449,000),
         respectively.

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

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


<TABLE>
<CAPTION>
                                                          March 31, 1998                     December 31, 1997         
                                                 --------------------------------    --------------------------------
                                                  Contracts to      Contracts to      Contracts to      Contracts to
                                                    Purchase            Sell             Purchase           Sell       
                                                 ---------------    -------------    ---------------   --------------
              <S>                               <C>                 <C>              <C>               <C>
              Derivatives:
                Futures contracts:
                  - Long-term interest rates    $    695,400,000     $129,600,000     $  759,600,000   $            0
                  - Short-term interest rates        568,200,000                0        485,700,000      437,100,000
                  - Currencies                                 0                0                  0                0
                  - Stock indices                  1,296,900,000                0         21,000,000       13,000,000
                  - Softs/Fibers                       5,000,000        1,500,000          2,500,000        1,000,000
                  - Grains                                     0        1,600,000                  0        2,200,000
                  - Meats                                      0          200,000                  0          400,000
                  - Metals                            25,600,000       28,900,000          2,800,000       32,400,000
                  - Energy                             9,000,000        7,200,000                  0       49,600,000

                Forward contracts:
                  - Currencies                       507,800,000      737,900,000        284,900,000      472,800,000
                                                 ---------------    -------------    ---------------   --------------

                                                 $ 3,107,900,000    $ 906,900,000    $ 1,556,500,000   $1,008,500,000
                                                 ===============    =============    ===============   ==============
</TABLE>

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





                                       11
<PAGE>   12
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                   NOTES TO FINANCIAL STATEMENTS (CONTINUED)
                                  (Unaudited)


Note 6.  TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)

         The General Partner has established procedures to actively monitor and
         minimize market and credit risk.  The Limited Partners bear the risk
         of loss only to the extent of the market value of their respective
         investments and, in certain specific circumstances, distributions and
         redemptions received.

Note 7.  INTERIM FINANCIAL STATEMENTS

         The Statement of Financial Condition as of March 31, 1998, the
         Statements of Operations for the three months ended March 31,1998 and
         1997, the Statements of Cash Flows for the three months ended March
         31, 1998 and 1997 and the Statements of Changes in Partners' Capital
         (Net Asset Value) for the three months ended March 31, 1998 and 1997
         are unaudited.  In the opinion of management, such financial
         statements reflect all adjustments, which were of a normal and
         recurring nature, necessary for a fair presentation of financial
         position as of March 31, 1998 and the results of operations for the
         three months ended March 31, 1998 and 1997.





                                       12
<PAGE>   13
Item 2.          Management's Discussion and Analysis of Financial Condition
                          and Results of Operations

Introduction

The offering of the Campbell Strategic Allocation Fund's (the "Fund") Units of
Limited Partnership Interests commenced on January 12, 1994, and the initial
offering terminated on April 15, 1994 with proceeds of $9,692,439.  The
continuing offering period commenced immediately after the termination of the
initial offering period; additional subscriptions totaling $220,454,819 have
been accepted during the continuing offering period as of April 1, 1998.
Redemptions over the same time period total $33,237,127.  The Fund commenced
operations on April 18, 1994.

Capital Resources

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 to the daily limit for several consecutive days with little
or no trading.  Similar occurrences could prevent the Fund from promptly
liquidating unfavorable positions and subject the Fund to substantial losses
which could exceed the margin initially committed to such trades.  In addition,
even if 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 return for the three months ending March 31, 1998 and 1997 was 4.52% and
4.01%, respectively. The 4.52% increase was the result of an approximate 6.22%
increase due to





                                       12
<PAGE>   14
trading gains (before commissions) and an approximate 1.22% increase due to
interest income, offset by an approximate 2.92% decrease as the result of
brokerage fees, performance fees and operating costs borne by the Fund.

1998 began with positive performance being achieved in the interest rates,
stock indices, and the 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 tansition.  The significant losses in the currencies
and cross rates pulled returns down, most of which was attributable to the
Japanese yen outrights, and the crosses of the yen against the other major
currencies.  Currencies bounced back in March, and left us with respectable
results for the first quarter 1998.  As long as the economy drifts, Japanese
interest rates will remain low, and these low rates, combined with the
deregulation of the financial markets have finally pushed the yen decisively
lower.  Stock indices were also positive in March, as world equity markets
continued their seemingly endless ascent.

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 uses a small percentage of assets for margin, the Fund does
not believe that any increase in margin requirements, if adopted as proposed,
will have a material effect on the Fund's operations.  Management cannot
predict whether the Fund's Net Asset Value per Unit will increase or decrease.
Inflation is not a significant factor in the Fund's operations, except to the
extent that inflation may affect futures' prices.

Off-Balance Sheet Risk

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





                                       13
<PAGE>   15
In addition to market risk, in entering into futures and forward 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 contracts) with a counterparty, the sole
recourse of the Fund will be the clearinghouse or the counterparty as the case
may be.  Campbell & Company, Inc., in its business as a commodity trading
advisor and through its many relationships with brokers, monitors the
creditworthiness of the exchanges and the clearing members of the foreign
exchanges with which it does business for the Fund and other clients.  With
respect to forward 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.





                                       14
<PAGE>   16
                           PART II-OTHER INFORMATION


Item 1.          Legal Proceedings.

                 None

Item 2.          Changes in Securities

                 None

Item 3.          Defaults Upon Senior Securities

                 Not applicable.

Item 4.          Submissions of Matters to a vote of Security Holders.

                 None

Item 5.          Other Information

                 None

Item 6.          Exhibits and Reports on Form 8-K.

                 None

                 There are no exhibits to this Form 10-Q.





                                       15
<PAGE>   17

                                   SIGNATURES

Pursuant to the requirements 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.

                 CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                     (Registrant)

                          By:     Campbell & Company, Inc.
                                  General Partner


Date: May 7, 1998         By:      /s/Theresa D. Livesey                    
                                  ------------------------------------------
                                  Theresa D. Livesey
                                  Chief Financial Officer/Treasurer/Director





                                       16