<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      September 30, 1999
                              ------------------------------------------------

                                       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: 18





<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 September 30, 1999 and
        December 31, 1998

   Statements of Operations for the Three Months and
        Nine Months Ended September 30, 1999 and 1998

   Statements of Cash Flows for the Nine Months Ended
        September 30, 1999 and 1998

   Statements of Changes in Partners' Capital for the Nine Months Ended
        September 30, 1999 and 1998



                                       2
<PAGE>   3


                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                        STATEMENTS OF FINANCIAL CONDITION
         September 30, 1999 (Unaudited) and December 31, 1998 (Audited)

<TABLE>
<CAPTION>
                                                                  September 30,        December 31,
                                                                      1999                1998
                                                                  -------------       -------------
<S>                                                               <C>                 <C>
ASSETS
       Equity in broker trading accounts
           Cash                                                   $  30,881,723       $  88,830,060
           United States government securities                      255,401,651         114,491,286
           Unrealized gain on open futures contracts                 14,276,778           3,917,717
                                                                  -------------       -------------

                       Deposits with broker                         300,560,152         207,239,063

       Cash                                                          32,960,232          44,879,656
       United States government securities                          129,240,814          99,677,514
       Unrealized gain (loss) on open forward contracts               8,728,133          (1,005,425)
                                                                  -------------       -------------

                       Total assets                               $ 471,489,331       $ 350,790,808
                                                                  =============       =============

LIABILITIES
       Accounts payable                                           $     196,719       $     222,124
       Brokerage fee                                                  2,930,127           2,164,020
       Performance fee                                                  756,138           1,985,393
       Offering costs payable                                           244,374             185,312
       Redemptions payable                                            3,010,170           2,260,525
       Subscription deposits                                            411,798              16,786
                                                                  -------------       -------------

                       Total liabilities                              7,549,326           6,834,160
                                                                  -------------       -------------

PARTNERS' CAPITAL (NET ASSET VALUE)
       General Partner - 2,750.443 and 2,096.643 units
           outstanding at September 30, 1999 and                      4,801,173           3,483,174
           December 31,1998
       Limited Partners - 263,026.040 and 204,942.359 units
           outstanding at September 30, 1999 and
           December 31, 1998                                        459,138,832         340,473,474
                                                                  -------------       -------------

                       Total partners' capital
                          (Net Asset Value)                         463,940,005         343,956,648
                                                                  -------------       -------------

                                                                  $ 471,489,331       $ 350,790,808
                                                                  =============       =============
</TABLE>





                             See accompanying notes.

                                       3
<PAGE>   4


                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                            STATEMENTS OF OPERATIONS
                      For the Three Months and Nine Months
                        Ended September 30, 1999 and 1998
                                   (Unaudited)


<TABLE>
<CAPTION>
                                                         Three Months Ended                    Nine Months Ended
                                                            September 30,                          September 30,
                                                      1999                1998                1999               1998
                                                      ----                ----                ----               ----
<S>                                               <C>                 <C>                 <C>                <C>
INCOME
       Futures trading gains (losses)
           Realized                               $ 15,133,172        $ 10,678,426        $ 15,528,154       $ 26,666,162
           Change in unrealized                     (8,538,272)         25,809,659          10,359,061         22,434,743
                                                  ------------        ------------        ------------       ------------

                  Gain from futures trading          6,594,900          36,488,085          25,887,215         49,100,905

       Forward trading gains (losses)
           Realized                                 (3,374,275)        (12,651,292)            908,774         (9,074,793)
           Change in unrealized                     10,038,953           2,611,978           9,733,558           (766,829)
                                                  ------------        ------------        ------------       ------------

                  Gain (loss) from forward
                      trading                        6,664,678         (10,039,314)         10,642,332         (9,841,622)

       Interest income                               5,133,358           3,538,612          13,141,100          9,590,250
                                                  ------------        ------------        ------------       ------------

                  Total income                      18,392,936          29,987,383          49,670,647         48,849,533
                                                  ------------        ------------        ------------       ------------

EXPENSES
       Brokerage fee                                 8,455,263           5,478,314          22,821,715         14,691,213
       Performance fee                                 756,138           2,440,760           1,780,670          4,272,499
       Operating expenses                              203,172             123,473             524,752            363,623
                                                  ------------        ------------        ------------       ------------

                  Total expenses                     9,414,573           8,042,547          25,127,137         19,327,335
                                                  ------------        ------------        ------------       ------------

                  NET INCOME                      $  8,978,363        $ 21,944,836        $ 24,543,510       $ 29,522,198
                                                  ============        ============        ============       ============

NET INCOME PER GENERAL
AND LIMITED PARTNER UNIT
       (based on weighted average
        number of units outstanding
        during the period)                        $      35.52        $     119.62        $     104.60       $     175.03
                                                  ============        ============        ============       ============

INCREASE IN NET ASSET
VALUE PER GENERAL
AND LIMITED PARTNER UNIT                          $      31.96        $     114.62        $      84.29       $     155.41
                                                  ============        ============        ============       ============
</TABLE>

                             See accompanying notes.


                                       4
<PAGE>   5


                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                            STATEMENTS OF CASH FLOWS
              For the Nine Months Ended September 30, 1999 and 1998
                                   (Unaudited)



<TABLE>
<CAPTION>
                                                                                      1999                 1998
                                                                                      ----                 ----
<S>                                                                             <C>                  <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
   Net income                                                                   $  24,543,510        $  29,522,198
      Adjustments to reconcile net income to net cash for
      operating activities
            Net change in unrealized                                              (20,092,619)         (21,667,914)
            Increase (decrease) in accounts payable and accrued expenses             (488,553)             479,910
            Net purchases of investments in United States government
               and agency securities                                             (170,473,665)         (57,999,125)
                                                                                -------------        -------------

                                       Net cash for operating activities         (166,511,327)         (49,664,931)
                                                                                -------------        -------------
CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
   Addition of units                                                              120,616,846           79,121,049
   Increase (decrease) in subscription deposits                                       395,012             (880,104)
   Redemption of units                                                            (23,108,841)         (16,737,755)
   Increase in redemptions payable                                                    749,645              652,971
   Offering costs charged                                                          (2,068,158)          (1,393,575)
   Increase in offering costs payable                                                  59,062               49,509
                                                                                -------------        -------------

                                       Net cash from financing activities          96,643,566           60,812,095
                                                                                -------------        -------------
Net increase (decrease) in cash                                                   (69,867,761)          11,147,164

CASH
   Beginning of period                                                            133,709,716           45,378,186
                                                                                -------------        -------------

   End of period                                                                $  63,841,955        $  56,525,350
                                                                                =============        =============

End of period cash consist of:
   Cash in broker trading accounts                                                 30,881,723           13,587,364
   Cash                                                                            32,960,232           42,937,986
                                                                                -------------        -------------

            Total end of period cash                                            $  63,841,955        $  56,525,350
                                                                                =============        =============
</TABLE>




                             See accompanying notes.




                                       5
<PAGE>   6


                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
          STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
              For the Nine Months Ended September 30, 1999 and 1998
                                   (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, 1999
Balances at
     December 31, 1998             2,096.643   $   3,483,174       204,942.359    $ 340,473,474       207,039.002    $ 343,956,648

Additions                            653.800       1,090,000        71,840.603      119,526,846        72,494.403      120,616,846

Net income for the nine months
     ended September 30, 1999                        249,008                         24,294,502                         24,543,510

Redemptions                            0.000               0       (13,756.922)     (23,108,841)      (13,756.922)     (23,108,841)

Offering costs                                       (21,009)                        (2,047,149)                        (2,068,158)
                                   ---------   -------------       -----------    -------------       -----------    --------------

Balances at
     September 30, 1999            2,750.443   $   4,801,173       263,026.040    $ 459,138,832       265,776.483    $ 463,940,005
                                   =========   =============       ===========    =============       ===========    =============

NINE MONTHS ENDED
 SEPTEMBER 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                            503.205         750,000        52,812.331       78,371,049        53,315.536       79,121,049

Net income for the nine months
     ended September 30, 1998                        300,849                         29,221,349                         29,522,198

Redemptions                            0.000               0       (11,131.620)     (16,737,755)      (11,131.620)     (16,737,755)

Offering costs                                       (14,211)                        (1,379,364)                        (1,393,575)
                                   ---------   -------------       -----------    -------------       -----------    --------------

Balances at
     September 30, 1998            1,976.528   $   3,172,426       186,940.231    $ 300,049,210       188,916.759    $ 303,221,636
                                   =========   =============       ===========    =============       ===========    =============
</TABLE>



<TABLE>
<CAPTION>
                                   Net Asset Value Per Unit
       ----------------------------------------------------------------------------------
       September 30,           December 31,             September 30,       December 31,
            1999                   1998                     1998                1997
       ------------            ------------             ------------        -------------
<S>     <C>                     <C>                      <C>                 <C>
        $ 1,745.60              $ 1,661.31               $ 1,605.05          $ 1,449.64
        ==========              ==========               ==========          ==========
</TABLE>




                             See accompanying notes.


                                       6
<PAGE>   7

                    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. The
                        Partnership's objective is the appreciation of its
                        assets through speculative trading of futures contracts
                        and other financial instruments.

               B.       Regulation

                        As a registrant with the Securities and Exchange
                        Commission, the Partnership 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 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. Transactions are
                        accounted for on the trade date. Gains or losses are
                        realized when contracts are liquidated. Unrealized gains
                        and losses on open contracts (the difference between
                        contract purchase price and market price) are reported
                        in the statement of financial condition as a net gain or
                        loss, as there exists a right of offset of unrealized
                        gains or losses in accordance with Financial Accounting
                        Standards Board Interpretation No. 39 - "Offsetting of
                        Amounts Related to Certain Contracts." Any change in net
                        unrealized gain or loss from the preceding period is
                        reported in the statement of operations. United States
                        government securities are stated cost plus accrued
                        interest which approximate 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.       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.        ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
               (CONTINUED)

               E.       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 $10,276,575
                        through September 30, 1999, $6,003,485 of which has
                        already been reimbursed to the General Partner by the
                        Partnership. At September 30, 1999, the Partnership
                        reflects a liability in the statement of financial
                        condition for offering costs payable to the General
                        Partner of $244,374. The Partnership's liability for
                        offering costs is limited to the maximum of total
                        offering costs incurred by the General Partner or 2.5%
                        of the aggregate subscriptions accepted during the
                        initial and continuous offerings; this maximum is
                        further limited by 30 month pay-out schedules. The
                        Partnership is only liable for payment of offering costs
                        on a monthly basis as calculated based on the
                        limitations stated above. If the Partnership terminates
                        prior to completion of payment of the calculated amounts
                        to the General Partner, the General Partner will not be
                        entitled to any additional payments, and the Partnership
                        will have no further obligation to the General Partner.

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

               F.       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.



                                       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 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.

               The Partnership pays a monthly brokerage fee equal to 1/12 of
               7.7% (7.7% annualized) of month-end net assets. The General
               Partner receives 7% of this 7.7% fee, a portion (4%) of which is
               used to compensate selling agents for ongoing services rendered
               and a portion (3%) of which is retained by the General Partner
               for trading and management services rendered. The remainder of
               the brokerage fee (0.7%) is paid directly to the broker. During
               the nine months ended September 30, 1999 and 1998, the amounts
               paid directly to the broker amounted to $2,074,701 and
               $1,335,565, respectively.

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

Note 3.        DEPOSITS WITH BROKER

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

Note 4.        OPERATING EXPENSES

               Operating expenses of the Partnership are limited by the Amended
               Agreement of Limited Partnership to 0.5% per year of the average
               month-end Net Asset Value of the Partnership. Actual operating
               expenses were less than 0.5% of average month-end Net Asset Value
               for nine months ended September 30, 1999 and 1998.

Note 5.        SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

               Investments in the Partnership are made by subscription
               agreement, subject to acceptance by the General Partner. As of
               September 30, 1999 and December 31, 1998, amounts received by the
               Partnership from prospective limited partners who have not yet
               been admitted to the Partnership by the General Partner total
               $411,798 and $16,786, respectively.



                                       9
<PAGE>   10


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


Note 5.        SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS (CONTINUED)

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

Note 6.        TRADING ACTIVITIES AND RELATED RISKS

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

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

               The amount of required margin and good faith deposits with the
               broker and interbank market makers usually range from 10% to 30%
               of Net Asset Value. The market value of securities held to
               satisfy such requirements at September 30, 1999 and December 31,
               1998 was $384,642,465 and $214,168,800, respectively, which
               equals 83% and 62% of Net Asset Value, respectively.

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

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

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


                                       10
<PAGE>   11


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


Note 6.        TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)

               The fair value of derivatives represents unrealized gains and
               losses on open futures and forward contracts. The average fair
               value of derivatives during the nine months ended September 30,
               1999 and 1998 and the related fair values as of September 30,
               1999 and December 31, 1998 are as follows:


<TABLE>
<CAPTION>
                              Average Fair Value
                              As of September 30,                               Fair Value as of
                            ----------------------               -----------------------------------------------
                            1999               1998              September 30, 1999            December 31, 1998
                            ----               ----              ------------------            -----------------
<S>                     <C>               <C>                        <C>                           <C>
Futures contracts       $10,448,000       $ 7,768,000                $14,277,000                   $ 3,918,000
Forward contracts           413,000          (567,000)                 8,728,000                    (1,005,000)
</TABLE>


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

<TABLE>
<CAPTION>
                                             Futures Contracts                             Forward Contracts
                                             (exchange traded)                          (non-exchange traded)
                                -----------------------------------------       -------------------------------------------
                                September 30, 1999      December 31, 1998       September 30, 1999        December 31, 1998
                                ------------------      -----------------       ------------------        -----------------
<S>                                  <C>                     <C>                 <C>                        <C>
Gross unrealized gains               $19,093,251             $6,289,815          $ 17,355,354               $   7,377,712
Gross unrealized losses               (4,816,473)            (2,372,098)           (8,627,221)                 (8,383,137)
                                    ------------            -----------           ------------              -------------

Net unrealized gain (loss)           $14,276,778             $3,917,717           $ 8,728,133               $  (1,005,425)
                                     ===========             ==========           ===========               =============
</TABLE>



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

               Open contracts generally mature within three months; as of
               September 30, 1999 the latest maturity date for open futures
               contracts is June 2000, and the latest maturity date for open
               forward contracts is December 1999. However, the Partnership
               intends to close all contracts prior to maturity. At September
               30, 1999 and December 31, 1998, the notional amount of open
               contracts is as follows:


                                       11
<PAGE>   12



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


Note 6.        TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)


<TABLE>
<CAPTION>
                                                             September 30, 1999                          December 31, 1998
                                                             ------------------                          -----------------
                                                     Contracts to         Contracts to         Contracts to         Contracts to
                                                       Purchase              Sell                Purchase               Sell
                                                       --------              ----                --------               ----
<S>                                                <C>                  <C>                  <C>                  <C>
    Futures contracts (exchange traded):
         - Long-term interest rates                $  294,100,000       $  711,800,000       $  460,500,000       $  148,700,000
         - Short-term interest rates                  461,600,000        1,283,700,000          305,900,000          307,900,000
         - Stock indices                               74,100,000           95,000,000           67,900,000           11,200,000
         - Agricultural                                   200,000            4,100,000            2,000,000            8,700,000
         - Metals                                     106,800,000            4,600,000            6,500,000           47,500,000
         - Energy                                      68,900,000                    0                    0           17,100,000

    Forward contracts (non-exchange traded):
         - Currencies                                 930,300,000          565,500,000          435,100,000          386,200,000
                                                   --------------       --------------       --------------       --------------

                                                   $1,936,000,000       $2,664,700,000       $1,277,900,000       $  927,300,000
                                                   ==============       ==============       ==============       ==============
</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, although there can
               be no assurance that they will, in fact, succeed in doing so. The
               General Partner'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%. The General Partner seeks to minimize credit risk
               primarily by depositing and maintaining the Partnership's assets
               at financial institutions and brokers which the General Partner
               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, 1999,
               the Statements of Operations for the three months and nine months
               ended September 30, 1999 and 1998, the Statements of Cash Flows
               for the nine months ended September 30, 1999 and 1998 and the
               Statements of Changes in Partners' Capital (Net Asset Value) for
               the nine months ended September 30, 1999 and 1998 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, 1999 and the results of operations for the three
               months and nine months ended September 30, 1999 and 1998.


                                       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 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 $428,885,195 have
been accepted during the continuing offering period as of October 1, 1999.
Redemptions over the same time period total $77,970,648. 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.




                                       13
<PAGE>   14




Results of Operations


The returns for the nine months ending September 30, 1999 and 1998 were 5.07%
and 10.72%, respectively. Of the 5.07% increase in 1999, approximately 8.55% was
due to trading gains (before commissions) and approximately 3.26% was due to
interest income, offset by approximately 6.74% in brokerage fees, performance
fees, operating costs and offering costs borne by the Fund. An analysis of the
8.55% trading gains by sector is as follows:

<TABLE>
<CAPTION>
SECTOR                                                % GAIN (LOSS)
------                                                -------------
<S>                                                  <C>
Interest Rates                                           3.10%

Stock Indices                                           (5.88)

Currencies                                               2.44

Metals                                                    .81

Agriculturals                                            (.24)

Energy                                                   8.32
                                                         ----

                                                         8.55%
                                                         ====
</TABLE>


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

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



                                       14
<PAGE>   15

were the biggest contributor to the positive performance for June. The Fund's
short positions in this sector profited from the persistent increase in the U.S.
interest rates. The Fund also had strong performance in the energy and stock
indices sectors during the month.

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

The Fund is unaware of any (i) anticipated known demands, commitments or capital
expenditures; (ii) material trends, favorable or unfavorable, in its capital
resources; or (iii) trends or uncertainties that will have a material effect on
operations. From time to time, certain regulatory agencies have proposed
increased margin requirements on commodity futures contracts. Because the Fund
generally uses a small percentage of assets for margin, the Fund does not
believe that any increase in margin requirements, if adopted as proposed, will
have a material effect on the Fund's operations. Management cannot predict
whether the Fund's Net Asset Value per Unit will increase or decrease. Inflation
is not a significant factor in the Fund's operations, except to the extent that
inflation may affect futures' prices.

Off-Balance Sheet Risk

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

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


                                       15
<PAGE>   16

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.


                                       16
<PAGE>   17


            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.








                                       17
<PAGE>   18






                                   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:  November 11, 1999        By: /s/Theresa D. Livesey
                                    -----------------------
                                    Theresa D. Livesey
                                    Chief Financial Officer/Treasurer/Director


                                       18