<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      June 30, 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 June 30, 1998 and
               December 31, 1997

           Statements of Operations for the Three Months and
              Six Months Ended June 30, 1998 and 1997

           Statements of Cash Flows for the Six Months Ended
               June 30, 1998 and 1997

           Statements of Changes in Partners' Capital for the Six Months Ended
               June 30, 1998 and 1997

<PAGE>   3
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                        STATEMENTS OF FINANCIAL CONDITION
            June 30, 1998 (Unaudited) and December 31, 1997 (Audited)

<TABLE>
<CAPTION>

                                                                    June 30,              December 31,
                                                                      1998                   1997
                                                              ---------------            ---------------
<S>                                                           <C>                         <C>
ASSETS
      Equity in broker trading accounts
         Cash                                                 $     5,877,349              $  17,401,415
         United States government securities                      156,970,085                 37,851,369
         Unrealized gain on open futures contracts                  5,192,150                  8,567,066
                                                              ---------------            ---------------

                    Deposits with broker                          168,039,584                 63,819,850

      Cash and cash equivalents                                    12,134,380                 27,976,771
      United States government securities                          94,181,587                127,278,890
      Unrealized gain (loss) on open forward contracts             (2,050,677)                 1,328,130
                                                              ---------------            ---------------

                    Total assets                                 $272,304,874               $220,403,641
                                                              ===============            ===============

LIABILITIES
      Accounts payable                                        $       104,677            $       165,183
      Brokerage fee                                                 1,686,487                  1,354,551
      Performance fee                                                     -0-                  2,537,134
      Offering costs payable                                          154,545                    122,785
      Redemptions payable                                           2,190,981                  2,629,164
      Subscription deposits                                           192,223                    885,105
                                                              ---------------            ---------------

                    Total liabilities                               4,328,913                  7,693,922
                                                              ---------------            ---------------

PARTNERS' CAPITAL (NET ASSET VALUE)
      General Partner - 1,847.357 and 1,473.323 units
         outstanding at June 30, 1998 and                           2,753,361                  2,135,788
         December 31,1997
      Limited Partners - 177,949.940 and 145,259.520 units
         outstanding at June 30, 1998 and
         December 31, 1997                                        265,222,600                210,573,931
                                                              ---------------            ---------------

                    Total partners' capital
                       (Net Asset Value)                          267,975,961                212,709,719
                                                              ---------------            ---------------

                                                                 $272,304,874               $220,403,641
                                                              ===============            ===============
</TABLE>



                             See accompanying notes.

                                       3

<PAGE>   4


                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                            STATEMENTS OF OPERATIONS
                       For the Three Months and Six Months
                          Ended June 30, 1998 and 1997
                                   (Unaudited)

<TABLE>
<CAPTION>
                                                        Three Months Ended                    Six Months Ended
                                                             June 30,                              June 30,
                                                     1998               1997                1998              1997
                                                     ----               ----                ----              ----
<S>                                           <C>              <C>                   <C>                  <C>
INCOME
      Trading gains (losses)
         Realized                             $ 7,247,098      $  (3,515,401)        $ 19,564,235         $ 5,189,644
         Change in unrealized                  (8,480,205)          (657,862)          (6,753,723)         (3,080,032)
                                              -----------      -------------          -----------         -----------

                Gain from trading              (1,233,107)        (4,173,263)          12,810,512           2,109,612

      Interest income                           3,136,981          1,880,616            6,051,638           3,287,765
                                              -----------      -------------          -----------         -----------
                Total income                    1,903,874         (2,292,647)          18,862,150           5,397,377
                                              -----------      -------------         ------------           ---------

EXPENSES
      Brokerage fee                             4,813,804          2,719,362            9,212,899           5,137,465
      Performance fee                                   0                  0            1,831,739             816,384
      Operating expenses                          117,023            100,578              240,150             202,413
                                              -----------      -------------          -----------         -----------

                Total expenses                  4,930,827          2,819,940           11,284,788           6,156,262
                                              -----------        -----------           ----------          ----------

                NET INCOME (LOSS)             $(3,026,953)       $(5,112,587)         $ 7,577,362         $  (758,885)
                                             ============       ============          ===========        ============
NET INCOME (LOSS) PER GENERAL
AND LIMITED PARTNER UNIT
      (based on weighted average
      number of units outstanding
      during the period)                     $     (17.78)      $     (47.57)         $     46.99        $      (7.71)
                                             ============       ============          ===========        ============

INCREASE (DECREASE) IN NET
ASSET VALUE PER GENERAL
AND LIMITED PARTNER UNIT                  $        (24.77)    $       (54.02)       $       40.79      $        (3.15)
                                          ===============     ==============        =============      ==============
</TABLE>
                            See accompanying notes.

                                       4
<PAGE>   5


                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                            STATEMENTS OF CASH FLOWS
                 For the Six Months Ended June 30, 1998 and 1997
                                   (Unaudited)


<TABLE>
<CAPTION>
                                                                                            1998                  1997
                                                                                            -----                -----
<S>                                                                                   <C>                   <C>

CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
   Net income (loss)                                                                  $    7,577,362         $    (758,885)
           Adjustments to reconcile net income (loss) to net cash from
           operating activities
                  Net change in unrealized                                                 6,753,723             3,080,032
                  Increase (decrease) in accounts payable and accrued expenses            (2,265,704)           (1,814,925)
                                                                                        ------------         -------------

                                  Net cash from (for) operating activities               (86,021,413)              506,222
                                                                                        ------------         -------------
CASH FLOWS FROM (FOR) INVESTING ACTIVITIES
   Net (purchases) maturities of investments in United States government
           and agency securities                                                         (86,021,413)          (54,748,059)
                                                                                        ------------         -------------
                                  Net cash from (for) investing activities               (86,021,413)          (54,748,059)
                                                                                        ------------         -------------
CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
   Addition of units                                                                      57,786,355            45,338,293
   Increase (decrease) in subscription deposits                                             (692,882)              373,414
   Redemption of units                                                                    (9,220,782)           (2,603,329)
   Decrease in redemptions payable                                                          (438,183)             (190,834)
   Offering costs charged                                                                   (876,693)             (490,382)
   Increase in offering costs payable                                                         31,760                32,570
                                                                                       -------------        --------------
                                  Net cash from financing activities                      46,589,575            42,459,732
                                                                                       -------------        --------------
Net decrease in cash and cash equivalents                                                (27,366,457)          (11,782,105)


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

   End of period                                                                         $18,011,729           $51,102,960
                                                                                         ===========           ===========

End of period cash & cash equivalents consist of:
   Cash in broker trading accounts                                                         5,877,349             5,525,641
   Cash and cash equivalents                                                              12,134,380            45,577,319
                                                                                        ------------            ----------

           Total end of period cash and cash equivalents.                                 18,011,729            51,102,960
                                                                                         ===========           ===========
</TABLE>
                             See accompanying notes.

                                       5
<PAGE>   6
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
          STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
                 For the Six Months Ended June 30, 1998 and 1997
                                   (Unaudited)
<TABLE>
<CAPTION>
                                                                     Partners' Capital
                                      -------------------------------------------------------------------------------------------
                                             General                      Limited                             Total
                                      ----------------------    -------------------------------   -------------------------------
                                      Units         Amount         Units           Amount            Units          Amount
                                      -----         ------         -----           ------            -----          ------ 
<S>                                <C>            <C>            <C>               <C>                <C>           <C>
SIX MONTHS ENDED
 JUNE 30, 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                            374.034         550,000      38,951.755         57,236,355        39,325.789      57,786,355

Net income for the six months
    ended June 30, 1998                               76,477                          7,500,885                         7,577,362

Redemptions                            0.000               0      (6,261.335)        (9,220,782)       (6,261.335)     (9,220,782)

Offering costs                                        (8,904)                          (867,789)                         (876,693)
                                   ---------    ------------   -------------       ------------       -----------    ------------

Balances at
    June 30, 1998                  1,847.357      $2,753,361     177,949.940       $265,222,600       179,797.297    $267,975,961
                                   =========    ============   =============       ============       ===========    ============

SIX MONTHS ENDED
 JUNE 30, 1997
Balances at
    December 31, 1996                885.938    $  1,123,514      84,069.060       $106,613,289        84,954.998    $107,736,803

Additions                            333.167         430,000      34,718.090         44,908,293        35,051.257      45,338,293

Net loss for the six months
    ended June 30, 1997                               (6,367)                          (752,518)                         (758,885)

Redemptions                            0.000               0      (2,044.735)        (2,603,329)       (2,044.735)     (2,603,329)

Offering costs                                        (4,968)                          (485,414)                         (490,382)
                                   ---------    ------------   -------------       ------------       -----------    ------------

Balances at
    June 30, 1997                  1,219.105    $  1,542,179   1,116,742.415       $147,680,321       117,961.520    $149,222,500
                                   =========    ============   =============       ============       ===========    ============

</TABLE>

<TABLE>
<CAPTION>
                                                                    Net Asset Value Per Unit
                                                  ----------------------------------------------------------------
                                                      June 30,     December 31,       June 30,        December 31,
                                                       1998           1997             1997              1996
                                                   ----------       --------          -------         -----------
                                                 <S>             <C>                <C>               <C>
                                                 $ 1,490.43      $ 1,449.64         $ 1,265.01        $ 1,268.16
                                                  ==========      ==========         ==========        ==========
</TABLE>


                                       6
<PAGE>   7


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


Note 1.   ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

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

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

          C. Method of Reporting 
             The Partnership's financial statements are presented in accordance
             with generally accepted accounting principles, which require the
             use of certain estimates made by the Partnership's management.
             Gains or losses are realized when contracts are liquidated.
             Unrealized gain or 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 the 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 $6,336,817 through June 30, 1998, $2,952,338 of
             which has already been reimbursed to the General Partner by the
             Partnership. At June 30, 1998, the Partnership reflects a liability
             in the statement of financial condition for offering costs payable
             to the General Partner of $154,545. 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
             worth shall in no case be less than $50,000 nor shall net worth in
             excess of $1,000,000 be required. 

                                       8

<PAGE>   9

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


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

             The Partnership pays a monthly brokerage fee equal to 1/12 of 7.7%
             (7.7% annualized) of month-end net assets. The General Partner
             receives 7% of this 7.7% fee, a portion (4%) of which is used to
             compensate selling agents for ongoing services rendered and a
             portion (3%) of which is retained by the General Partner for
             trading and management services rendered. The remainer of the
             brokerage fee (0.7%) is paid directly to the broker. During the six
             months ended June 30, 1998 and 1997, the amounts paid directly to
             the broker amounted to $837,536 and $642,183 respectively.

             The General Partner is also paid a quarterly performance fee of 20%
             of the Partnership's aggregate cumulative appreciation in the Net
             Assets 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 six months ended
             June 30, 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 June 30, 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 $192,223 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 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.

                                       9
<PAGE>   10

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


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 brokers
             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 June 30, 1998 and December 31, 1997 was
             $251,151,672 and $110,574,485, respectively, which equals 94% and
             52% of the Fund's Net Assets, respectively.

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

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

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

             The fair value of derivatives represents unrealized gains and
             losses on open futures and forward contracts. The average fair
             value of derivatives during the six months ended June 30,1998 and
             1997 was approximately $6,417,438 and $1,532,091, respectively and
             the related fair

                                       10
<PAGE>   11

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


Note 6.      TRADING ACTIVITIES AND RELATED  RISKS (CONTINUED)

             values as of June 30, 1998 and December 31, 1997 are approximately
             $3,141,000 and $9,895,000, 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 June 30, 1998 is September
             1998. However, the Partnership intends to close all contracts prior
             to maturity. At June 30, 1998 and December 31, 1997, the notional
             amount of open contracts is as follows:
<TABLE>
<CAPTION>
                                                         June 30, 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              $   963,300,000     $    79,400,000         $  759,600,000     $              0
     -  Short-term interest rates                           0         454,500,000            485,700,000          437,100,000
     -  Stock indices                              61,900,000          29,300,000             21,000,000           13,000,000
     -  Softs/Fibers                                4,400,000           2,300,000              2,500,000            1,000,000
     -  Grains                                     33,000,000           2,800,000                      0            2,200,000
     -  Meats                                         900,000                   0                      0              400,000
     -  Metals                                              0          28,400,000              2,800,000           32,400,000
     -  Energy                                     10,400,000          46,400,000                      0           49,600,000

   Forward contracts:
     -  Currencies                                694,100,000         877,800,000            284,900,000          472,800,000
                                              ---------------     ---------------        ---------------      ---------------

                                               $1,768,000,000    $  1,520,900,000       $  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. 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.

                                       11

<PAGE>   12

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

Note 7.      INTERIM FINANCIAL STATEMENTS

             The Statement of Financial Condition as of June 30, 1998, the
             Statements of Operations for the three months and six months ended
             June 30, 1998 and 1997, the Statements of Cash Flows for the six
             months ended June 30, 1998 and 1997 and the Statements of Changes
             in Partners' Capital (Net Asset Value) for the six months ended
             June 30, 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 June 30, 1998 and the results of
             operations for the three months and six months ended June 30, 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 $248,646,560 have
been accepted during the continuing offering period as of July 1, 1998.
Redemptions over the same time period total $39,176,329. 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 six months ending June 30, 1998 and 1997 was 2.81% and
(.25)%, respectively. The 2.81% increase was the result of an approximate 4.91%
increase due to 

                                       13
<PAGE>   14

trading gains (before commissions) and an approximate 2.29%
increase due to interest income, offset by an approximate 4.39% 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 energy sectors. In January the interest rates were the most
profitable sector, with the deflationary implications of the Asian financial
crisis continuing to push U.S. and European yields lower. February was a month
of major trend transition. The significant losses in the currencies and cross
rates pulled returns down, most of which was attributable to the positions held
outright in Japanese Yen and Yen cross positions held against the other major
currencies. Currencies bounced back in March, and left us with respectable
results for the first quarter 1998. Stock indices were also positive in March,
as world equity markets continued their seemingly endless ascent.

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

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

                                       14

<PAGE>   15

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%.

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.

                                       15
<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.

                                       16

<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: August 3, 1998          By:  /s/Theresa D. Livesey
                                   -----------------------
                                   Theresa D. Livesey
                                   Chief Financial Officer/Treasurer/Director