<PAGE>

                                  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 September 30, 2003

                                       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, including 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 [ ]

Indicate by check mark whether the registrant is an accelerated filer (as
defined in Exchange Act Rule 12b-2)

Yes [X]         No [ ]

                            Total number of Pages: 28

<PAGE>

<TABLE>
<CAPTION>
                                                                                              PAGE
                                                                                              ----
<S>                                                                                           <C>
PART I - FINANCIAL INFORMATION

          Item 1.  Financial Statements

                   Statements of Financial Condition as of September 30, 2003 (Unaudited)
                   and December 31, 2002 (Audited)                                              3

                   Condensed Schedule of Investments as of September 30, 2003 (Unaudited)       4

                   Statements of Operations for the Three Months and Nine Months Ended
                   September 30, 2003 and 2002 (Unaudited)                                      5

                   Statements of Cash Flows for the Nine Months Ended
                   September 30, 2003 and 2002 (Unaudited)                                      6

                   Statements of Changes in Partners' Capital (Net Asset Value)
                   for the Nine Months Ended September 30, 2003 and 2002 (Unaudited)            7

                   Notes to Financial Statements (Unaudited)                                    8

          Item 2.  Management's Discussion and Analysis of Financial Condition and
                   Results of Operations                                                       14

          Item 3.  Quantitative and Qualitative Disclosure About Market Risk                   20

          Item 4.  Controls and Procedures                                                     26

PART II - OTHER INFORMATION                                                                    27

SIGNATURES                                                                                     28

EXHIBIT INDEX                                                                                 E-1

EXHIBIT 31.01 Certification by Chief Executive Officer                                        E-2

EXHIBIT 31.02 Certification of Chief Financial Officer                                        E-4

EXHIBIT 32.01 Certification by Chief Executive Officer                                        E-6

EXHIBIT 32.02 Certification of Chief Financial Officer                                        E-7
</TABLE>

                                       -2-

<PAGE>

                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                        STATEMENTS OF FINANCIAL CONDITION
         September 30, 2003 (Unaudited) and December 31, 2002 (Audited)

<TABLE>
<CAPTION>
                                                           September 30,       December 31,
                                                               2003                2002
                                                          ---------------    ---------------
<S>                                                       <C>                <C>
ASSETS
    Equity in broker trading accounts
       Cash                                               $   107,424,008    $    41,776,698
       United States government securities                  1,049,558,146        734,598,883
       Unrealized gain (loss) on open futures contracts       (65,468,995)        16,807,266
                                                          ---------------    ---------------

              Deposits with broker                          1,091,513,159        793,182,847

    Cash and cash equivalents                                 386,608,923        314,337,785
    United States government securities                       849,238,972        518,161,351
    Unrealized gain (loss) on open swap contracts              (1,764,900)         5,108,650
    Unrealized gain on open forward contracts                 118,723,587         23,639,509
                                                          ---------------    ---------------

              Total assets                                $ 2,444,319,741    $ 1,654,430,142
                                                          ===============    ===============

LIABILITIES
    Accounts payable                                      $       566,287    $       604,807
    Brokerage fee                                              14,048,818          9,036,828
    Offering costs payable                                      1,254,958            666,954
    Redemptions payable                                         9,610,418          8,965,508
    Subscription deposits                                               0         17,206,853
                                                          ---------------    ---------------

              Total liabilities                                25,480,481         36,480,950
                                                          ---------------    ---------------

PARTNERS' CAPITAL (NET ASSET VALUE)
    General Partner - 9,995.446 and 7,262.904 units
       outstanding at September 30, 2003 and
       December 31, 2002                                       24,434,168         16,240,216
    Limited Partners - 979,494.264 and 716,313.085
       units outstanding at September 30, 2003 and
       December 31, 2002                                    2,394,405,092      1,601,708,976
                                                          ---------------    ---------------

              Total partners' capital

                 (Net Asset Value)                          2,418,839,260      1,617,949,192
                                                          ---------------    ---------------

                                                          $ 2,444,319,741    $ 1,654,430,142
                                                          ===============    ===============
</TABLE>

                             See accompanying notes.

                                       -3-

<PAGE>
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                        CONDENSED SCHEDULE OF INVESTMENTS
                               September 30, 2003
                                   (Unaudited)

UNITED STATES GOVERNMENT SECURITIES

<TABLE>
<CAPTION>
                                                                                          % of Net
Face Value     Description                                                  Value        Asset Value
------------   -----------                                             ---------------   -----------
<S>            <C>                                                     <C>               <C>
$675,000,000   U.S. Treasury Bills, 10/09/03                           $   674,873,972      27.90%
 400,000,000   U.S. Treasury Bills, 10/02/03                               399,990,611      16.54%
 300,000,000   U.S. Treasury Bills, 12/18/03                               299,421,500      12.38%
 150,000,000   U.S. Treasury Bills, 10/30/03                               149,891,250       6.20%
 150,000,000   U.S. Treasury Bills, 11/06/03                               149,866,500       6.19%
 125,000,000   U.S. Treasury Bills, 11/28/03                               124,807,673       5.16%
               Various other U.S. Treasury Bills                            99,945,612       4.13%
                                                                       ---------------      -----
               TOTAL UNITED STATES GOVERNMENT SECURITIES
                (COST, INCLUDING ACCRUED INTEREST, - $1,898,797,118)   $ 1,898,797,118      78.50%
                                                                       ===============      =====
</TABLE>

LONG FUTURES CONTRACTS

<TABLE>
<CAPTION>
                                                                                      % of Net
           Description                                                  Value        Asset Value
           -----------                                             ---------------   -----------
           <S>                                                     <C>                <C>
           Metals                                                  $       323,765       0.01%
           Stock index                                                 (41,946,532)     (1.73)%
           Short-term interest rate                                      6,141,895       0.25%
           Long-term interest rate                                       1,959,043       0.08%
                                                                   ---------------      -----
           TOTAL LONG FUTURES CONTRACTS                            $   (33,521,829)     (1.39)%
                                                                   ---------------      -----
</TABLE>

SHORT FUTURES CONTRACTS

<TABLE>
<CAPTION>
                                                                                      % of Net
           Description                                                  Value        Asset Value
           -----------                                             ---------------   -----------
           <S>                                                     <C>                 <C>
           Metals                                                  $        (7,969)      0.00%
           Energy                                                      (26,940,776)     (1.12)%
           Short-term interest rate                                     (1,051,151)     (0.04)%
           Long-term interest rate                                      (3,947,270)     (0.16)%
                                                                   ---------------      -----
           TOTAL SHORT FUTURES CONTRACTS                           $   (31,947,166)     (1.32)%
                                                                   ---------------      -----
           TOTAL FUTURES CONTRACTS                                 $   (65,468,995)     (2.71)%
                                                                   ===============      =====
</TABLE>

LONG FORWARD CURRENCY CONTRACTS

<TABLE>
<CAPTION>
                                                                                      % of Net
           Description                                                  Value        Asset Value
           -----------                                             ---------------   -----------
           <S>                                                     <C>                 <C>
           VARIOUS LONG FORWARD CURRENCY CONTRACTS                 $   263,765,252      10.90%
                                                                   ---------------      -----
</TABLE>

SHORT FORWARD CURRENCY CONTRACTS

<TABLE>
<CAPTION>
                                                                                          % of Net
    Amount     Description                                                  Value        Asset Value
-------------  -----------                                             --------------    -----------
<S>            <C>                                                     <C>               <C>
3,093,800,000  Swiss Franc, 12/17/03                                   $  (132,516,137)     (5.48)%
               Other short forward currency contracts                      (12,525,528)     (0.51)%
                                                                       ---------------      -----
               TOTAL SHORT FORWARD CURRENCY CONTRACTS                  $  (145,041,665)     (5.99)%
                                                                       ---------------      -----
               TOTAL FORWARD CURRENCY CONTRACTS                        $   118,723,587       4.91%
                                                                       ===============      =====
</TABLE>

SWAP CONTRACTS

<TABLE>
<CAPTION>
                                                                                      % of Net
           Description                                                  Value        Asset Value
           -----------                                               ------------    ------------
           <S>                                                     <C>               <C>
           Long metal contracts                                    $     2,436,900       0.10 %
           Short metal contracts                                        (4,201,800)     (0.17)%
                                                                   ---------------      -----
           TOTAL SWAP CONTRACTS                                    $    (1,764,900)     (0.07)%
                                                                   ===============      =====
</TABLE>

                             See accompanying notes.

                                       -4-

<PAGE>

                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                            STATEMENTS OF OPERATIONS
      For the Thee Months and Nine Months Ended September 30, 2003 and 2002
                                   (Unaudited)

<TABLE>
<CAPTION>
                                                           Three Months                        Nine Months
                                                               Ended                              Ended
                                                           September 30,                      September 30,
                                                      2003              2002              2003              2002
                                                 --------------    --------------    --------------    --------------
<S>                                              <C>               <C>               <C>               <C>
INCOME
    Futures trading gains (losses)
       Realized                                  $  (59,771,612)   $  223,808,867    $  114,426,128    $  184,735,093
       Change in unrealized                         (34,945,149)       29,907,930       (82,276,261)       64,357,394
                                                 --------------    --------------    --------------    --------------

              Gain (loss) from futures trading      (94,716,761)      253,716,797        32,149,867       249,092,487
                                                 --------------    --------------    --------------    --------------

    Forward and swap trading gains (losses)
       Realized                                     (61,040,197)        4,558,619       173,975,041        74,992,427
       Change in unrealized                          94,186,903       (36,109,074)       88,210,528       (47,445,370)
                                                 --------------    --------------    --------------    --------------

              Gain (loss) from forward
                 and swap trading                    33,146,706       (31,550,455)      262,185,569        27,547,057
                                                 --------------    --------------    --------------    --------------

    Interest income                                   5,245,538         5,321,909        16,522,306        13,307,710
                                                 --------------    --------------    --------------    --------------

              Total income (loss)                   (56,324,517)      227,488,251       310,857,742       289,947,254
                                                 --------------    --------------    --------------    --------------

EXPENSES
    Brokerage fee                                    41,974,327        23,515,816       116,329,516        60,829,158
    Performance fee                                           0        30,713,833        45,436,354        30,713,833
    Operating expenses                                  587,069           397,755         1,786,038         1,089,441
                                                 --------------    --------------    --------------    --------------

              Total expenses                         42,561,396        54,627,404       163,551,908        92,632,432
                                                 --------------    --------------    --------------    --------------

              NET INCOME (LOSS)                  $  (98,885,913)   $  172,860,847    $  147,305,834    $  197,314,822
                                                 ==============    ==============    ==============    ==============

NET INCOME (LOSS) PER GENERAL
AND LIMITED PARTNER UNIT
    (based on weighted average number of
    units outstanding during the period)         $      (105.80)   $       310.14    $       174.09    $       375.85
                                                 ==============    ==============    ==============    ==============

INCREASE (DECREASE) IN
NET ASSET VALUE PER GENERAL
AND LIMITED PARTNER UNIT                         $      (112.80)   $       308.94    $       208.48    $       338.37
                                                 ==============    ==============    ==============    ==============
</TABLE>

                             See accompanying notes.

                                       -5-

<PAGE>

                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                            STATEMENTS OF CASH FLOWS
              For the Nine Months Ended September 30, 2003 and 2002
                                   (Unaudited)

<TABLE>
<CAPTION>
                                                                 2003            2002
                                                            -------------    -------------
<S>                                                         <C>              <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
    Net income                                              $ 147,305,834    $ 197,314,822
    Adjustments to reconcile net income to
       net cash (for) operating activities
          Net change in unrealized                             (5,934,267)     (16,912,024)
          Increase in accounts payable and
              accrued expenses                                  4,973,470       33,261,599
          Net (purchases) of investments in United States
              government securities                          (646,036,884)    (256,533,109)
                                                            -------------    -------------

                 Net cash (for) operating activities         (499,691,847)     (42,868,712)
                                                            -------------    -------------

CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
    Addition of units                                         767,570,216      325,729,941
    Increase (decrease) in subscription deposits              (17,206,853)         626,822
    Redemption of units                                      (104,290,738)     (73,453,040)
    Increase in redemptions payable                               644,910        4,170,403
    Offering costs charged                                     (9,695,244)      (4,772,748)
    Increase in offering costs payable                            588,004          150,145
                                                            -------------    -------------

                 Net cash from financing activities           637,610,295      252,451,523
                                                            -------------    -------------

Net increase in cash and cash equivalents                     137,918,448      209,582,811

CASH AND CASH EQUIVALENTS
    Beginning of period                                       356,114,483      195,988,685
                                                            -------------    -------------

    End of period                                           $ 494,032,931    $ 405,571,496
                                                            =============    =============

End of period cash and cash equivalents consists of:
    Cash in broker trading accounts                         $ 107,424,008    $ 150,209,606
    Cash and cash equivalents                                 386,608,923      255,361,890
                                                            -------------    -------------

       Total end of period cash and cash equivalents        $ 494,032,931    $ 405,571,496
                                                            =============    =============
</TABLE>

                             See accompanying notes.

                                       -6-

<PAGE>

                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
          STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
              For the Nine Months Ended September 30, 2003 and 2002
                                   (Unaudited)

<TABLE>
<CAPTION>
                                                                          Partners' Capital
                                      -----------------------------------------------------------------------------------------
                                               General                       Limited                           Total
                                      -------------------------   ------------------------------   ----------------------------
                                        Units         Amount          Units           Amount          Units          Amount
                                      ----------   ------------   -------------   --------------   -----------   --------------
<S>                                   <C>          <C>            <C>             <C>              <C>           <C>
NINE MONTHS ENDED SEPTEMBER 30, 2003

Balances at
    December 31, 2002                  7,262.904   $ 16,240,216     716,313.085   $1,601,708,976   723,575.989   $1,617,949,192
Net income for the nine months
    ended September 30, 2003                          1,477,899                      145,827,935                    147,305,834
Additions                              2,732.542      6,813,502     304,805.148      760,756,714   307,537.690      767,570,216
Redemptions                                0.000              0     (41,623.969)    (104,290,738)  (41,623.969)    (104,290,738)
Offering costs                                          (97,449)                      (9,597,795)                    (9,695,244)
                                       ---------   ------------   -------------   --------------   -----------   --------------
Balances at
    September 30, 2003                 9,995.446   $ 24,434,168     979,494.264   $2,394,405,092   989,489.710   $2,418,839,260
                                       =========   ============   =============   ==============   ===========   ==============

NINE MONTHS ENDED SEPTEMBER 30, 2002

Balances at
    December 31, 2001                  4,881.720   $  9,649,832     472,279.945   $  933,569,040   477,161.665   $  943,218,872
Net income for the nine months
    ended September 30, 2002                          1,981,711                      195,333,111                    197,314,822
Additions                              1,160.309      2,395,760     157,545.149      323,334,181   158,705.458      325,729,941
Redemptions                              (59.001)      (127,571)    (36,250.448)     (73,325,469)  (36,309.449)     (73,453,040)
Offering costs                                          (48,424)                      (4,724,324)                    (4,772,748)
                                       ---------   ------------   -------------   --------------   -----------   --------------
Balances at
    September 30, 2002                 5,983.028   $ 13,851,308     593,574.646   $1,374,186,539   599,557.674   $1,388,037,847
                                       =========   ============   =============   ==============   ===========   ==============
</TABLE>

<TABLE>
<CAPTION>
       Net Asset Value Per General and Limited Partner Unit
-------------------------------------------------------------------
September 30,     December 31,      September 30,    December 31,
    2003              2002              2002             2001
-------------     ------------      -------------    -------------
<S>               <C>               <C>              <C>
  $2,444.53         $2,236.05         $2,315.10        $1,976.73
  =========         =========         =========        =========
</TABLE>

                             See accompanying notes.

                                       -7-

<PAGE>

                    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 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
            accounting principles generally accepted in the United States of
            America, 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 trade 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." The market
            value of futures (exchange-traded) contracts is determined by the
            various futures exchanges, and reflects the settlement price for
            each contract as of the close of the last business day of the
            reporting period. The market value of swap and forward (non-exchange
            traded) contracts is extrapolated on a forward basis from the spot
            prices quoted as of 5:00 P.M. (E.T.) of the last business day of the
            reporting period or based on the market value of its exchange-traded
            equivalent. Any change in net unrealized gain or loss from the
            preceding period is reported in the statement of operations.
            Brokerage commissions and other trading fees paid directly to the
            broker are included in "brokerage fee" and are charged to expense
            when contracts are opened. 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.

                                       -8-

<PAGE>

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

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

        E.  Income Taxes

            The Fund prepares calendar year U.S. and applicable 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 all costs
            in connection with the initial and continuous offering of units of
            the Fund (offering costs). 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. At September 30, 2003, the Fund
            reflects a liability in the statement of financial condition for
            offering costs payable to Campbell & Company of $1,254,958. The
            amount of monthly reimbursement due to Campbell & Company is charged
            directly to partners' capital.

            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. At September 30, 2003,
            the amount of unreimbursed offering costs incurred by Campbell &
            Company is $9,990,686.

        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.

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.

                                       -9-

<PAGE>

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

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

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

        The Fund pays a monthly brokerage fee equal to 1/12 of 7% (7%
        annualized) of month-end net assets to Campbell & Company and
        approximately $6 per round turn to the broker for execution and clearing
        costs, the total of which is reported as brokerage fee in the statement
        of operations. From the 7% fee, a portion (4%) is used to compensate
        selling agents for ongoing services rendered and a portion (3%) is
        retained by Campbell & Company for trading and management services
        rendered. The amount paid to the broker and interbank market makers for
        execution and clearing costs is limited to 1/12 of 1% (1% annualized) of
        month-end net assets. During the nine months ended September 30, 2003
        and 2002, the amounts paid directly to the broker and interbank market
        makers amounted to $3,770,882 and $4,469,024, respectively. During the
        three months ended September 30, 2003 and 2002, the amounts paid
        directly to the broker and interbank market makers amounted to
        $1,581,208 and $1,212,325, 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%
        (annualized) of average month-end Net Asset Value for the three months
        and nine months ended September 30, 2003 and 2002.

Note 5. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

        Investments in the Fund are made by subscription agreement, subject to
        acceptance by Campbell & Company. In December 2002, the Fund received
        deposits from prospective limited partners totaling $17,206,853. These
        deposits were returned to the prospective investors in January 2003.

                                      -10-

<PAGE>

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

Note 5. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS (CONTINUED)

        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 September 30, 2003 and December 31, 2002 was
        $1,898,797,118 and $1,252,760,234, respectively, which equals 79% and
        77% of Net Asset Value, respectively. The cash deposited with interbank
        and other market makers at September 30, 2003 and December 31, 2002 was
        $303,026,517 and $176,597,790, respectively, which equals 13% and 11% of
        Net Asset Value, respectively. These amounts are included in cash and
        cash equivalents.

        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.

        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.

                                      -11-

<PAGE>

                    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 Fund is exposed to a market risk equal to
        the notional contract 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)
                            September 30,  December 31,   September 30,   December 31,
                                2003           2002          2003             2002
                            ------------   ------------   -------------   -------------
<S>                         <C>            <C>            <C>             <C>
Gross unrealized gains      $  8,694,145   $ 28,128,413   $ 272,956,378   $ 141,686,377
Gross unrealized losses      (74,163,140)   (11,321,147)   (155,997,691)   (112,938,218)
                            ------------   ------------   -------------   -------------
Net unrealized gain (loss)  $(65,468,995)  $ 16,807,266   $ 116,958,687   $  28,748,159
                            ============   ============   =============   =============
</TABLE>

        Open contracts generally mature within three months; as of September 30,
        2003, the latest maturity date for open futures contracts is June 2004,
        and the latest maturity date for open forward and swap contracts is
        December 2003. 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
        it will, in fact, succeed in doing so. Campbell & Company's basic market
        risk control procedures consist of continuously monitoring open
        positions, diversification of the portfolio and maintenance of a
        margin-to-equity ratio that rarely exceeds 30%. Campbell & Company 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.

Note 7. INTERIM FINANCIAL STATEMENTS

        The statement of financial condition as of September 30, 2003, including
        the September 30, 2003 condensed schedule of investments, the statements
        of operations for the three months and nine months ended September 30,
        2003 and 2002, and the statements of cash flows and changes in partners'
        capital (Net Asset Value) for the nine months ended September 30, 2003
        and 2002 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
        September 30, 2003, and the results of operations for the three months
        and nine months ended September 30, 2003 and 2002, and cash flows for
        the nine months ended September 30, 2003 and 2002.

                                      -12-

<PAGE>

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

Note 8. FINANCIAL HIGHLIGHTS

        The following information presents per unit operating performance data
        and other supplemental financial data for the three months and nine
        months ended September 30, 2003 and 2002. This information has been
        derived from information presented in the financial statements.

<TABLE>
<CAPTION>
                                                         Three months ended        Nine months ended
                                                           September 30,              September 30,
                                                         2003          2002         2003         2002
                                                      (Unaudited)  (Unaudited)  (Unaudited)  (Unaudited)
                                                      -----------  -----------  -----------  -----------
<S>                                                   <C>          <C>          <C>          <C>
PER UNIT PERFORMANCE
(for a unit outstanding throughout the entire period)

Net asset value per unit at beginning of period        $2,557.33    $2,006.16    $2,236.05    $1,976.73
                                                       ---------    ---------    ---------    ---------
Income (loss) from operations:
       Net realized and change in unrealized gain
           (loss) from trading (2), (3)                   (70.54)      398.27       389.24       490.05
       Expenses net of interest income (1), (3)           (38.23)      (86.29)     (169.30)     (142.59)
                                                       ---------    ---------    ---------    ---------

              Total income (loss) from operations        (108.77)      311.98       219.94       347.46
                                                       ---------    ---------    ---------    ---------
Offering costs (3)                                         (4.03)       (3.04)      (11.46)       (9.09)
                                                       ---------    ---------    ---------    ---------
Net asset value per unit at end of period              $2,444.53    $2,315.10    $2,444.53    $2,315.10
                                                       =========    =========    =========    =========
TOTAL RETURN (4)                                           (4.41)%      15.40%        9.32%       17.12%
                                                       =========    =========    =========    =========

SUPPLEMENTAL DATA

Ratios to average net asset value:
       Expenses prior to performance fee (1), (5)          (7.03)%      (7.41)%      (7.18)%      (7.17)%
       Performance fee (5)                                  0.00%      (10.03)%      (2.85)%      (3.83)%
                                                       ---------    ---------    ---------    ---------
              Total expenses (1), (5)                      (7.03)%     (17.44)%     (10.03)%     (11.00)%
                                                       =========    =========    =========    =========
       Expenses net of interest income (1), (5), (6)       (6.13)%      (5.68)%      (6.14)%      (5.51)%
                                                       =========    =========    =========    =========
</TABLE>

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

        ---------------------
        (1) Excludes brokerage commissions and other trading fees paid
            directly to the broker.

        (2) Includes brokerage commissions and other trading fees paid directly
            to the broker.

        (3) Expenses net of interest income per unit and offering costs per unit
            are calculated by dividing the expenses net of interest income and
            offering costs by the average number of units outstanding during the
            period. The net realized and change in unrealized gain (loss) from
            trading is a balancing amount necessary to reconcile the change in
            net asset value per unit with the other per unit information.

        (4) Not annualized

        (5) Annualized

        (6) Excludes performance fee

                                      -13-

<PAGE>

ITEM 2.  MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
         OF OPERATIONS

INTRODUCTION

The offering of Campbell Strategic Allocation Fund L.P.'s (the "Fund") Units of
Limited Partnership Interest 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 $2,367,898,737 have
been accepted during the continuing offering period as of September 30, 2003.
Redemptions over the same time period total $430,753,050. The Fund commenced
operations on April 18, 1994.

Gains or losses are realized when contracts are liquidated. Net unrealized gains
or losses on open contracts (the difference between contract price and market
price) are reflected in the statement of financial condition. 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.

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.

The entire offering proceeds, without deductions, will be credited to the Fund's
bank and brokerage accounts to engage in trading activities and as reserves for
that trading. The Fund meets its margin requirements by depositing U.S.
government securities with the futures broker and the over-the-counter
counterparties. In this way, substantially all (i.e., 95% or more) of the Fund's
assets, whether

                                      -14-

<PAGE>

used as margin for trading purposes or as reserves for such trading, can be
invested in U.S. government securities and time deposits with U.S. banks.
Investors should note that maintenance of the Fund's assets in U.S. government
securities and banks does not reduce the risk of loss from trading futures and
forward contracts. The Fund receives all interest earned on its assets. No other
person shall receive any interest or other economic benefits from the deposit of
Fund assets.

Approximately 10% to 30% of the Fund's assets normally are committed as required
margin for futures contracts and held by the futures broker, although the amount
committed may vary significantly. Such assets are maintained in the form of cash
or U.S. Treasury bills in segregated accounts with the futures broker pursuant
to the Commodity Exchange Act and regulations thereunder. Approximately 10% to
30% of the Fund's assets will be deposited with over-the-counter counterparties
in order to initiate and maintain forward and swap contracts. Such assets are
not held in segregation or otherwise regulated under the Commodity Exchange Act,
unless such over-the-counter counterparty is registered as a futures commission
merchant. These assets are held either in U.S. government securities or
short-term time deposits with U.S.-regulated bank affiliates of the
over-the-counter counterparties. The remaining 40% to 80% of the Fund's assets
will normally be invested in cash equivalents such as U.S. Treasury bills and
held by the futures broker or the over-the-counter counterparties.

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

RESULTS OF OPERATIONS

The returns for the nine months ending September 30, 2003 and 2002 were 9.32%
and 17.12%, respectively. Of the 9.32% increase, approximately 16.69% was due to
trading gains (before commissions) and approximately 0.78% was due to interest
income, offset by approximately 8.15% due to brokerage fees, performance fees,
operating cost and offering costs borne by the Fund. An analysis of the 16.69%
trading gains by sector is as follows:

<TABLE>
<CAPTION>
SECTOR                      % GAIN (LOSS)
------                      ------------
<S>                         <C>
Currencies                     13.52%

Energy                          1.95

Stock Indices                   1.73

Interest Rates                  0.08

Metals                         (0.59)
                               -----
                               16.69%
                               =====
</TABLE>

The long-term trends that created so much opportunity for the Fund in 2002
continued in January 2003. Profits were earned in every sector other than stock
indices. However, the environment was one where a single event, the prospect of
war with Iraq, was driving the Fund's whole portfolio.

                                      -15-

<PAGE>

While the Fund's systematic and disciplined trading strategies continued to keep
it engaged, leverage was subsequently decreased to protect against significant
losses which could result from potential sharp and extended reversals in core
positions.

The Fund was positive again in February with metals being the only negative
sector. Strong momentum in energy, fixed income, currencies and stock indices
continued, largely as a result of the troubled global geopolitical outlook. In
order to mitigate the risk of potential sharp reversals in trends, the Fund
maintained a lower-than-normal level of leverage during the month.

The long awaited market reversal occurred in March. Initially energy, precious
metals and fixed income markets all sold off sharply, while equities and the
U.S. Dollar rallied. Several days into this correction, these markets all sold
off suddenly, as hopes of a quick victory in Iraq subsided. With significantly
reduced leverage, the losses the Fund sustained were relatively modest, giving
the Fund a positive first quarter.

In April, the Fund's leverage was returned to a more normal level, but the
portfolio was not fully engaged in many markets due to the lack of strong
trends. Many markets had calmed significantly at this time, but uncertainty was
still prevalent in global markets due to the many unresolved geopolitical
issues. A strong performance in the currencies sector was partially offset by
negative performances in the metals and stock index sectors.

In May, the uncertainty that remained in April dominated the markets the Fund
trades and led to another positive month. While corporate earnings looked
stronger, unemployment, overcapacity and the ongoing threat of terrorism still
loomed large over the global financial markets. The US dollar weakened further
against the other major currencies despite the concern expressed by the United
States' trade partners over the impact this would have on global trade. Interest
rates were the best performing sector for the Fund particularly at the long end
of the yield curve, where higher prices reflected lower rates. Currency cross
rates were also positive, while losses in the energy, stock index and currency
sectors offset some of those gains.

With a small negative result for June, the Fund finished the first half of 2003
with a solid double-digit return. Profits for the month were earned in the
currency sector while long-term interest rates lost value as yield curves
steepened, particularly the Japanese government bond. Short-term interest rates
and stock index sectors contributed modest gains for the month, while the
energy, metals and currency cross-rates contributed small losses. While the
global economy was looking better than it had for several years, many
substantive uncertainties remained.

The Fund's performance for July was negative due to significant price reversals
in the Fund's largest positions. The U.S. Dollar's strong rally caused losses in
the Fund's currency and cross rate sectors. In addition, the sudden sharp
sell-off in long-term bonds resulted in losses in the Fund's long positions.
These losses were partially offset by gains in the Fund's long equity index
positions as investor confidence grew in the economic recovery and the potential
for improved growth.

The stock indices sector was the best performing sector for the month of August
as the U.S. equity markets posted their sixth straight month of gains. Much of
this was attributed to improving consumer confidence, federal tax cuts and
increased defense spending. The energy sector contributed

                                      -16-

<PAGE>

positive returns as crude oil remained above the thirty-dollar level on
continuing supply concerns. Also, the Fund's short positions in the Japanese
Government Bond provided a significant portion of the month's gains.

In September, the currency sector was the only significantly positive sector as
short U.S. Dollar positions benefited from continued weakness in the U.S.
Dollar. After showing positive returns for most of the month, sudden reversals
in the fixed income, equity and energy markets washed out the gains in the
currency sector and put the Fund's portfolio into negative territory late in the
month. The Fund finished the 3rd quarter with a negative return, but was
positive year-to-date.

2002

The return for the nine months ending September 30, 2002 was 17.12%. Of the
17.12% increase, approximately 24.99% was due to trading gains (before
commissions) and approximately 1.25% was due to interest income, offset by
approximately 9.12% due to brokerage fees, performance fees, operating cost and
offering costs borne by the Fund. An analysis of the 24.99% trading gains by
sector is as follows:

<TABLE>
<CAPTION>
SECTOR                        % GAIN (LOSS)
------                        -------------
<S>                           <C>
Interest Rates                    15.21%

Stock Indices                      5.10

Currencies                         3.24

Energy                             1.94

Metals                             (.50)
                                  -----
                                  24.99%
                                  =====
</TABLE>

During January, the Enron and Global Crossing bankruptcies took a toll on the
U.S. equities markets that were already under pressure and resulted in a
stumbling start to the New Year, as layoffs, earnings restatements and revenue
declines continued to dominate the business news. Internationally, the Japanese
economy continued to deteriorate, while the full extent of any Argentinean
contagion is yet to be acknowledged in Brazil or other parts of South America.
On the positive side, U.S. consumer spending continued to be robust. The Fund
posted a small loss for January, largely as a result of volatility in the global
currency markets. Energy and short stock index positions contributed small
gains.

The high market volatility in January continued into February. Further Enron
revelations radiated concern about the accounting practices of other large
companies and caused the equity markets to decline early in the month. Sentiment
reversed abruptly on positive economic news on home sales, manufacturing and
consumer spending. The Fund's performance was negative in February with losses
in energy, stock indices and long-term interest rates partially offset by gains
in short-term interest rates.

                                      -17-

<PAGE>

March was a mixed month in which positive performance in the energy and interest
rate sectors were more than offset by losses in stock indices and currencies,
which make up a substantial part of the Fund's portfolio. The Japanese Yen
produced the largest loss when it rallied in reaction to Bank of Japan
intervention in preparation for their March 31st fiscal year-end as the Fund was
maintaining a short position. Energy was the strongest performing sector
profiting from long positions in crude oil and unleaded gas. The loss in the
stock indices sector came from short positions in the Nikkei and Hang Seng
indices as Asian equities rallied. The overall loss for the month occurred
independently of the equity and bond markets demonstrating the volatility
reducing effect of blending assets whose returns are largely uncorrelated.

April was one of the most difficult trading months since the Fund began trading.
The Fund ended the month down over 4.5%. The fixed income sector was whip-lashed
as hopes of imminent economic recovery sputtered causing the majority of the
trading losses for the month. Broad-based selling of the three leading US equity
indices put them at their lowest levels since October 2001 and contributed to
the Fund's losses for the month. The energy sector was battered by reports of
unfolding events in both Venezuela and the Middle East. Many areas of concern
remain including continued instability in the Middle East, weak corporate
earnings, continued revelations of corporate accounting issues, fear of a
collapse in the residential real estate market, high energy costs and a growing
federal budget deficit due to lower tax receipts.

The month of May finally provided some trending opportunities that the Fund was
able to profit from. The currencies and interest rates sectors provided the
gains for the month, but these were offset by losses in the energy and stock
indices sectors. While the equities markets remained nervous, many alternative
investment strategies, including managed futures, were able to provide positive
returns.

Strong performance in the month of June contributed to a positive second quarter
and more than made up for losses during the beginning of the year. All major US
equity indices made new cycle lows as domestic and international investor
confidence was battered by reports of scandalous corporate leadership conduct.
The long awaited US economic recovery looked sluggish at best. In this troubled
environment, the US dollar lost ground against most major trading partners,
while interest rate futures rose and stock indices declined. These three sectors
contributed significantly to the profits in June, while small losses were
recorded in the metals and energy sectors.

The Fund's positive performance continued in July posting similar numbers as
June. This is the third consecutive month of positive performance and was mainly
attributable to profits in short stock indices and long interest rate positions.
These gains were reduced by small negative performances in metals, currencies
and cross rates as the dollar strengthened against other major currencies, again
rising above parity with the Euro.

In August, the Fund recorded another month of positive performance with profits
in the interest rates, currencies, stock indices and energy sectors. Global
markets continued to respond to weak US economic data and concerns over
geopolitical developments. The much-anticipated US economic recovery continues
to be elusive, while economies in Europe and Japan appear to be stagnant. The
quickened pace of US plans to invade Iraq aroused much international criticism
and concern, which impacted energy prices and investor confidence.

                                      -18-

<PAGE>

September was the fifth consecutive month of positive returns for the Fund as
traditional investment strategies continued to struggle. Profits were earned in
the stock indices, interest rates and energy sectors offset by losses in the
currencies sector. Further reports of corporate governance and accounting
failures, the possibility of an unpopular war in the Middle East, rising jobless
claims, disappointing earnings and a gloomy retail outlook were compounded by
high energy prices and systemic instability in Japan and Brazil. In this time of
global economic weakness and uncertainty, the Fund's ability to trade both the
long and short side of a diverse portfolio of international markets proved to be
a beneficial tool.

OFF-BALANCE SHEET RISK

The term "off-balance sheet risk" refers to an unrecorded potential liability
that, even though it does not appear on the balance sheet, may result in future
obligation or loss. The Fund trades in futures, 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 credit risk that a counterparty will not be able to meet its
obligations to the Fund. The counterparty for futures contracts traded in the
United States and on most foreign exchanges is the clearinghouse associated with
such exchange. In general, clearinghouses are backed by the corporate members of
the clearinghouse who are required to share any financial burden resulting from
the non-performance by one of their members and, as such, should significantly
reduce this credit risk. In cases where the clearinghouse is not backed by the
clearing members, like some foreign exchanges, it is normally backed by a
consortium of banks or other financial institutions.

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

DISCLOSURES ABOUT CERTAIN TRADING ACTIVITIES THAT INCLUDE NON-EXCHANGE TRADED
CONTRACTS ACCOUNTED FOR AT FAIR VALUE

                                      -19-

<PAGE>

The Fund invests in futures, swap and forward currency contracts. The market
value of futures (exchange-traded) contracts is determined by the various
futures exchanges, and reflects the settlement price for each contract as of the
close of the last business day of the reporting period. The market value of swap
and forward (non-exchange traded) contracts is extrapolated on a forward basis
from the spot prices quoted as of 5:00 P.M. (E.T.) of the last business day of
the reporting period or based on the market value of its exchange-traded
equivalent.

ITEM 3.  QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

INTRODUCTION

Past Results Not Necessarily Indicative of Future Performance

The Fund is a speculative commodity pool. The market sensitive instruments held
by it are acquired for speculative trading purposes, and all or a substantial
amount of the Fund's assets are subject to the risk of trading loss. Unlike an
operating company, the risk of market sensitive instruments is integral, not
incidental, to the Fund's main line of business.

Market movements result in frequent changes in the fair 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"). Risk of ruin is defined to be
no more than a 5% chance of losing 20% or more on a monthly basis. 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.

                                      -20-

<PAGE>

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 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 figures 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.

                                      -21-

<PAGE>

         Value at Risk as calculated herein may not be comparable to similarly
titled measures used by others.

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 September 30, 2003 and
December 31, 2002 and the trading gains/losses by market category for the nine
months ended September 30, 2003 and the year ended December 31, 2002. All open
position trading risk exposures of the Fund have been included in calculating
the figures set forth below. As of September 30, 2003 and December 31, 2002, the
Fund's total capitalization was approximately $2,419 million and $1,618 million,
respectively.

                               SEPTEMBER 30, 2003

<TABLE>
<CAPTION>
                                         % OF TOTAL         TRADING
MARKET SECTOR        VALUE AT RISK     CAPITALIZATION     GAIN/(LOSS)*
-------------       ---------------    --------------     ------------
<S>                 <C>                <C>                <C>
Currencies          $ 99.26 million         4.10%           13.52%
Stock Indices       $ 63.30 million         2.62%            1.73%
Energy              $ 43.62 million         1.80%            1.95%
Interest Rates      $ 30.10 million         1.24%            0.08%
Metals              $  0.58 million         0.03%           (0.59)%
                    ---------------         ----           ------
   Total            $236.86 million         9.79%           16.69%
                    ===============         ====           ======
</TABLE>

* - Of the 9.32% return for the nine months ended September 30, 2003,
approximately 16.69% was due to trading gains (before commissions) and
approximately 0.78% due to interest income, offset by approximately 8.15% due to
brokerage fees, performance fees and operating and offering costs borne by the
Fund.

                                DECEMBER 31, 2002

<TABLE>
<CAPTION>
                                         % OF TOTAL         TRADING
MARKET SECTOR        VALUE AT RISK     CAPITALIZATION     GAIN/(LOSS)*
--------------      ---------------    --------------     ------------
<S>                 <C>                <C>                <C>
Currencies          $ 52.32 million        3.23%             6.20%
Energy              $ 39.05 million        2.41%            (1.96)%
Interest Rates      $ 23.75 million        1.47%            14.98%
Stock Indices       $ 13.28 million        0.82%             3.42%
Metals              $  3.00 million        0.19%            (0.34)%
                    ---------------        ----             -----
   Total            $131.40 million        8.12%            22.30%
                    ===============        ====             =====
</TABLE>

                                      -22-
<PAGE>

* - Of the 13.12% return for the year ended December 31, 2002, approximately
22.30% was due to trading gains (before commissions) and approximately 1.62% was
due to interest income, offset by approximately 10.80% due to brokerage fees,
performance fees and operating and offering costs borne by the Fund.


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

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
September 30, 2003, by market sector.

Currencies

                                      -23-

<PAGE>

         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. Additionally, the
Fund 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, Spain and Taiwan). The stock
index futures traded by the Fund are by law limited to futures on broadly based
indices. As of September 30, 2003, the Fund's primary exposures were in the S&P
500 (USA), DAX (Germany), NASDAQ (USA), FTSE (U.K.), IBEX (Spain), Euro STOXX 50
and Nikkei (Japan) stock indices. The Fund is primarily exposed to the risk of
adverse price trends or static markets in the major U.S., European and Japanese
indices. (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 and ongoing conflicts in
the Middle East. As of September 30, 2003, crude oil, heating oil and natural
gas are the dominant energy market exposures of the Fund. Oil and gas prices can
be volatile and substantial profits and losses have been and are expected to
continue to be experienced in this market.

Metals

                                      -24-

<PAGE>

         The Fund's metals market exposure is to fluctuations in the price of
aluminum, copper, gold, nickel and zinc. The risk allocation to the metal sector
has not exceeded 3% of the Fund's portfolio during the nine months ended
September 30, 2003.

QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE

         The following were the only non-trading risk exposures of the Fund as
of September 30, 2003.

Foreign Currency Balances

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

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 Campbell & Company attempts 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.

         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 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.

                                      -25-

<PAGE>

ITEM 4. CONTROLS AND PROCEDURES

         Campbell & Company, Inc., the general partner of the Fund, with the
participation of the general partner's Chief Executive Officer and Chief
Financial Officer, has evaluated the effectiveness of the design and operation
of its disclosure controls and procedures with respect to the Fund within 90
days of the filing date of this quarterly report, and, based on their
evaluation, have concluded that these disclosure controls and procedures are
effective. There were no significant changes in the general partner's internal
controls with respect to the Fund or in other factors applicable to the Fund
that could significantly affect these controls subsequent to the date of their
evaluation.

                                      -26-

<PAGE>

                            PART II-OTHER INFORMATION

Item 1.           Legal Proceedings.

                  None

Item 2.           Changes in Securities and Use of Proceeds

                  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.

                  (a)      Exhibits

                  Exhibit Number    Description of Document

                  31.01             Certification of Bruce L. Cleland, Chief
                                    Executive Officer, pursuant to Rules 13a-14
                                    and 15d-14 of the Securities Exchange Act of
                                    1934.

                  31.02             Certification of Theresa D. Becks, Chief
                                    Financial Officer, pursuant to Rules 13a-14
                                    and 15d-14 of the Securities Exchange Act of
                                    1934.

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

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

                  (c)      Reports of Form 8-K

                           None

                                      -27-

<PAGE>

                                   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, on the 13th day of November 2003.

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

                                          By: Campbell & Company, Inc.
                                              General Partner

                                          By: /s/  Theresa D. Becks
                                              ----------------------------------
                                              Theresa D. Becks
                                              Chief Financial Officer/Treasurer/
                                              Director

                                      -28-

<PAGE>

                                  EXHIBIT INDEX

<TABLE>
<CAPTION>
Exhibit Number                     Description of Document                      Page Number
--------------                     -----------------------                      -----------
<S>                        <C>                                                  <C>
    31.01                  Certification by Chief Executive Officer                 E 2
    31.02                  Certification by Chief Financial Officer                 E 3
    32.01                  Certification by Chief Executive Officer                 E 4
    32.02                  Certification by Chief Financial Officer                 E 5
</TABLE>

                                      -E 1-