<PAGE>

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

                                    FORM 10-Q

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

                For the quarterly period ended September 30, 2004

                                       or

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

         For the transition period from _______________to______________

                         Commission File number: 0-22260

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

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

                              Court Towers Building
                          210 West Pennsylvania Avenue,
                            Baltimore, Maryland 21204
                            -------------------------
          (Address of principal executive offices, including zip code)

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

Indicate by check mark whether the registrant (1) has filed all reports required
to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during
the preceding 12 months, and (2) has been subject to such filing requirements
for the past 90 days.

Yes [ X ] No [ ]

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

Yes [ ] No [X]

                           Total number of Pages: 29

<PAGE>

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

             Item 1.    Financial Statements

                        Statements of Financial Condition as of September 30, 2004 (Unaudited)
                        and December 31, 2003 (Audited)                                                    3

                        Condensed Schedule of Investments as of September 30, 2004 (Unaudited)
                        and December 31, 2003 (Audited)                                                   4-5

                        Statements of Operations for the Three Months and Nine Months Ended
                        September 30, 2004 and 2003 (Unaudited)                                            6

                        Statements of Cash Flows for the Nine Months Ended
                        September 30, 2004 and 2003 (Unaudited)                                            7

                        Statements of Changes in Partners' Capital (Net Asset Value)
                        for the Nine Months Ended September 30, 2004 and 2003 (Unaudited)                  8

                        Notes to Financial Statements (Unaudited)                                         9-14

             Item 2.    Management's Discussion and Analysis of Financial Condition and
                        Results of Operations                                                            15-21

             Item 3.    Quantitative and Qualitative Disclosure About Market Risk                        21-27

             Item 4.    Controls and Procedures                                                           27

PART II - OTHER INFORMATION                                                                               28

             Item 6.    Exhibits and Reports on Form 8-K                                                  28
SIGNATURES

CERTIFICATIONS
</TABLE>

                                      -2-

<PAGE>

                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                        STATEMENTS OF FINANCIAL CONDITION
         September 30, 2004 (Unaudited) and December 31, 2003 (Audited)

<TABLE>
<CAPTION>
                                                            September 30,      December 31,
                                                               2004                2003
                                                           --------------     --------------
<S>                                                        <C>                <C>
ASSETS
    Equity in broker trading accounts
       Cash                                                $  105,298,251     $  189,245,425
       United States government securities                  1,747,814,905      1,024,483,288
       Unrealized gain on open futures contracts               14,491,509         43,858,230
                                                           --------------     --------------
              Deposits with broker                          1,867,604,665      1,257,586,943
    Cash and cash equivalents                                 363,907,035        627,405,479
    United States government securities                     1,399,454,262        899,206,764
    Unrealized gain on open forward contracts                  59,391,963         93,767,551
                                                           --------------     --------------
              Total assets                                 $3,690,357,925     $2,877,966,737
                                                           ==============     ==============
LIABILITIES
    Accounts payable                                       $      671,178     $      773,818
    Brokerage fee                                              21,110,747         16,243,599
    Commissions and other trading fees
       on open contracts                                          602,111            373,638
    Performance fee                                                     0         16,492,232
    Offering costs payable                                      2,118,671          1,387,938
    Redemptions payable                                        18,285,610         14,594,887
    Subscription deposits                                         450,010                  0
                                                           --------------     --------------
              Total liabilities                                43,238,327         49,866,112
                                                           --------------     --------------
PARTNERS' CAPITAL (NET ASSET VALUE)
    General Partner - 14,428.744 and 10,815.994 units
       outstanding at September 30, 2004 and
       December 31, 2003                                       37,146,801         28,460,882
    Limited Partners - 1,402,205.131 and 1,063,947.539
       units outstanding at September 30, 2004 and
       December 31, 2003                                    3,609,972,797      2,799,639,743
                                                           --------------     --------------
              Total partners' capital
                 (Net Asset Value)                          3,647,119,598      2,828,100,625
                                                           --------------     --------------
                                                           $3,690,357,925     $2,877,966,737
                                                           ==============     ==============
</TABLE>

                             See accompanying notes.

                                      -3-

<PAGE>

                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                        CONDENSED SCHEDULE OF INVESTMENTS
                               September 30, 2004
                                   (Unaudited)

UNITED STATES GOVERNMENT SECURITIES

<TABLE>
<CAPTION>
                                                                                                                      % OF NET
  FACE VALUE     MATURITY DATE       DESCRIPTION                                                       VALUE         ASSET VALUE
  ----------     -------------       -----------                                                       -----         -----------
<S>              <C>             <C>                                                              <C>                <C>
$1,700,000,000     10/06/04      U.S. Treasury Bills                                              $1,699,702,003       46.60%
$  450,000,000     10/14/04      U.S. Treasury Bills                                                 449,795,997       12.33%
$  400,000,000     12/16/04      U.S. Treasury Bills                                                 398,640,445       10.93%
$  200,000,000     10/28/04      U.S. Treasury Bills                                                 199,791,500        5.48%
$  200,000,000     11/04/04      U.S. Treasury Bills                                                 199,729,889        5.48%
$  200,000,000     11/18/04      U.S. Treasury Bills                                                 199,609,333        5.47%
                                                                                                  --------------        ----

                                 TOTAL UNITED STATES GOVERNMENT SECURITIES
                                 (COST, INCLUDING ACCRUED INTEREST, - $3,147,269,167)             $3,147,269,167       86.29%
                                                                                                  ==============       =====
</TABLE>

LONG FUTURES CONTRACTS

<TABLE>
<CAPTION>
                                                                                                                     % OF NET
                                 DESCRIPTION                                                           VALUE        ASSET VALUE
                                 -----------                                                           -----        -----------
<S>                              <C>                                                              <C>               <C>
                                 Energy                                                             $    889,780        0.02 %
                                 Metals                                                               10,763,479        0.30 %
                                 Stock index                                                          (8,353,489)      (0.23)%
                                 Short-term interest rates                                              (729,198)      (0.02)%
                                 Long-term interest rates                                             27,849,942        0.76 %
                                                                                                    ------------       -----
                                 TOTAL LONG FUTURES CONTRACTS                                       $ 30,420,514        0.83 %
                                                                                                    ------------       -----
</TABLE>

SHORT FUTURES CONTRACTS

<TABLE>
<CAPTION>
                                                                                                                     % OF NET
                                 DESCRIPTION                                                           VALUE        ASSET VALUE
                                 -----------                                                           -----        -----------
<S>                              <C>                                                              <C>               <C>
                                 Energy                                                           $   (6,164,900)      (0.17)%
                                 Metals                                                               (8,870,173)      (0.25)%
                                 Stock index                                                            (839,162)      (0.02)%
                                 Short-term interest rates                                               (54,770)      (0.00)%
                                                                                                  --------------       -----
                                 TOTAL SHORT FUTURES CONTRACTS                                    $  (15,929,005)      (0.44)%
                                                                                                  --------------       -----
                                 TOTAL FUTURES CONTRACTS                                          $   14,491,509        0.39 %
                                                                                                  ==============       =====
</TABLE>

FORWARD CURRENCY CONTRACTS

<TABLE>
<CAPTION>
                                                                                                                     % OF NET
                                 DESCRIPTION                                                           VALUE        ASSET VALUE
                                 -----------                                                           -----        -----------
<S>                              <C>                                                              <C>               <C>
                                 Various long forward currency contracts                          $  174,614,445        4.79 %
                                 Various short forward currency contracts                           (115,222,482)      (3.16)%
                                                                                                  --------------      ------
                                 TOTAL FORWARD CURRENCY CONTRACTS                                 $   59,391,963        1.63 %
                                                                                                  ==============      ======
</TABLE>

                             See accompanying notes.

                                      -4-

<PAGE>

                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                        CONDENSED SCHEDULE OF INVESTMENTS
                                December 31, 2003
                                    (Audited)

UNITED STATES GOVERNMENT SECURITIES

<TABLE>
<CAPTION>
                                                                                                                      % OF NET
  FACE VALUE     MATURITY DATE       DESCRIPTION                                                       VALUE         ASSET VALUE
  ----------     -------------       -----------                                                       -----         -----------
<S>              <C>             <C>                                                              <C>                <C>
$1,050,000,000     1/08/04       U.S. Treasury Bills                                              $1,049,820,260       37.12 %
$  350,000,000     3/18/04       U.S. Treasury Bills                                                 349,378,653       12.35 %
$  200,000,000     1/29/04       U.S. Treasury Bills                                                 199,860,000        7.07 %
$  175,000,000     2/05/04       U.S. Treasury Bills                                                 174,843,472        6.18 %
$  150,000,000     2/26/04       U.S. Treasury Bills                                                 149,787,667        5.30 %
                                                                                                  --------------       -----
                                 TOTAL UNITED STATES GOVERNMENT SECURITIES
                                   (COST, INCLUDING ACCRUED INTEREST, - $1,923,690,052)           $1,923,690,052       68.02 %
                                                                                                  ==============       =====
</TABLE>

LONG FUTURES CONTRACTS

<TABLE>
<CAPTION>
                                                                                                                     % OF NET
                                 DESCRIPTION                                                           VALUE        ASSET VALUE
                                 -----------                                                           -----        -----------
<S>                              <C>                                                              <C>               <C>
                                 Energy                                                           $   12,526,378        0.44 %
                                 Metals                                                                4,106,216        0.15 %
                                 Stock index                                                          34,144,656        1.21 %
                                 Short-term interest rates                                             5,097,901        0.18 %
                                 Long-term interest rates                                             (8,943,827)      (0.32)%
                                                                                                  --------------       -----
                                 TOTAL LONG FUTURES CONTRACTS                                     $   46,931,324        1.66 %
                                                                                                  --------------       -----
</TABLE>

SHORT FUTURES CONTRACTS

<TABLE>
<CAPTION>
                                                                                                                     % OF NET
                                 DESCRIPTION                                                           VALUE        ASSET VALUE
                                 -----------                                                           -----        -----------
<S>                              <C>                                                              <C>               <C>
                                 Metals                                                           $     (354,021)      (0.01)%
                                 Short-term interest rates                                               183,300        0.00 %
                                 Long-term interest rates                                             (2,902,373)      (0.10)%
                                                                                                  --------------       -----
                                 TOTAL SHORT FUTURES CONTRACTS                                    $   (3,073,094)      (0.11)%
                                                                                                  --------------       -----
                                 TOTAL FUTURES CONTRACTS                                          $   43,858,230        1.55 %
                                                                                                  ==============       =====
</TABLE>

FORWARD CURRENCY CONTRACTS

<TABLE>
<CAPTION>
                                                                                                                     % OF NET
                                 DESCRIPTION                                                           VALUE        ASSET VALUE
                                 -----------                                                           -----        -----------
<S>                              <C>                                                              <C>               <C>

                                 Various long forward currency contracts                          $  187,420,185        6.63 %
                                 Various short forward currency contracts                            (93,652,634)      (3.31)%
                                                                                                  --------------       -----
                                 TOTAL FORWARD CURRENCY CONTRACTS                                 $   93,767,551        3.32 %
                                                                                                  ==============       =====
</TABLE>

                             See accompanying notes.

                                      -5-

<PAGE>

                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                            STATEMENTS OF OPERATIONS
     For the Three Months and Nine Months Ended September 30, 2004 and 2003
                                   (Unaudited)

<TABLE>
<CAPTION>
                                                           Three Months Ended                   Nine Months Ended
                                                              September 30,                       September 30,
                                                       2004                2003              2004               2003
                                                   -------------      ------------      -------------      -------------
<S>                                                <C>                <C>               <C>                <C>
TRADING GAINS (LOSSES)
    Futures trading gains (losses)
       Realized                                    $ (67,286,260)     $(59,771,612)     $ 183,216,522      $ 114,426,128
       Change in unrealized                           38,667,830       (34,945,149)       (29,366,721)       (82,276,261)
       Brokerage commissions                          (1,643,945)       (1,361,584)        (4,928,906)        (2,961,387)
                                                   -------------      ------------      -------------      -------------
              Gain (loss) from futures trading       (30,262,375)      (96,078,345)       148,920,895         29,188,480
                                                   -------------      ------------      -------------      -------------
    Forward and swap trading gains (losses)
       Realized                                     (164,500,572)      (61,040,197)        25,221,010        173,975,041
       Change in unrealized                          112,072,767        94,186,903        (34,375,588)        88,210,528
       Brokerage commissions                            (255,640)         (219,624)          (637,894)          (809,495)
                                                   -------------      ------------      -------------      -------------
              Gain (loss) from forward and
                  swap trading                       (52,683,445)       32,927,082         (9,792,472)       261,376,074
                                                   -------------      ------------      -------------      -------------
              Total trading gains (losses)           (82,945,820)      (63,151,263)       139,128,423        290,564,554
                                                   -------------      ------------      -------------      -------------

EXPENSES NET OF INTEREST INCOME
    Income
       Interest income                                11,803,463         5,245,538         27,313,159         16,522,306
                                                   -------------      ------------      -------------      -------------
    Expenses
       Brokerage fee                                  63,202,092        40,393,119        182,773,907        112,558,634
       Performance fee                                         0                 0        102,769,447         45,436,354
       Operating expenses                                736,120           587,069          2,079,829          1,786,038
                                                   -------------      ------------      -------------      -------------
              Total expenses                          63,938,212        40,980,188        287,623,183        159,781,026
                                                   -------------      ------------      -------------      -------------
              Expenses net of interest income        (52,134,749)      (35,734,650)      (260,310,024)      (143,258,720)
                                                   -------------      ------------      -------------      -------------

              NET INCOME (LOSS)                    $(135,080,569)     $(98,885,913)     $(121,181,601)     $ 147,305,834
                                                   =============      ============      =============      =============

NET INCOME (LOSS) PER GENERAL
    AND LIMITED PARTNER UNIT
    (based on weighted average number of
    units outstanding during the period)           $      (98.46)     $    (105.80)     $      (96.52)     $      174.09
                                                   =============      ============      =============      =============

INCREASE (DECREASE) IN NET
    ASSET VALUE PER GENERAL
    AND LIMITED PARTNER UNIT                       $     (102.60)     $    (112.80)     $      (56.87)     $      208.48
                                                   =============      ============      =============      =============
</TABLE>

                             See accompanying notes.

                                      -6-

<PAGE>

                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                            STATEMENTS OF CASH FLOWS
              For the Nine Months Ended September 30, 2004 and 2003
                                   (Unaudited)

<TABLE>
<CAPTION>
                                                                   2004                  2003
                                                               ---------------      -------------
<S>                                                            <C>                  <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
    Net income (loss)                                          $  (121,181,601)     $ 147,305,834
    Adjustments to reconcile net income (loss) to net cash
       (for) operating activities
          Net change in unrealized                                  63,742,309         (5,934,267)
          Increase (decrease) in accounts payable and
              accrued expenses                                     (11,499,251)         4,973,470
          Net (purchases) of investments in United
              States government securities                      (1,223,579,115)      (646,036,884)
                                                               ---------------      -------------

                 Net cash (for) operating activities            (1,292,517,658)      (499,691,847)
                                                               ---------------      -------------

CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
    Addition of units                                            1,120,275,862        767,570,216
    Increase (decrease) in subscription deposits                       450,010        (17,206,853)
    Redemption of units                                           (163,405,101)      (104,290,738)
    Increase in redemptions payable                                  3,690,723            644,910
    Offering costs charged                                         (16,670,187)        (9,695,244)
    Increase in offering costs payable                                 730,733            588,004
                                                               ---------------      -------------

                 Net cash from financing activities                945,072,040        637,610,295
                                                               ---------------      -------------

Net increase (decrease) in cash and cash equivalents              (347,445,618)       137,918,448

CASH AND CASH EQUIVALENTS
    Beginning of period                                            816,650,904        356,114,483
                                                               ---------------      -------------

    End of period                                              $   469,205,286      $ 494,032,931
                                                               ===============      =============

End of period cash and cash equivalents consists of:
    Cash in broker trading accounts                            $   105,298,251      $ 107,424,008
    Cash and cash equivalents                                      363,907,035        386,608,923
                                                               ---------------      -------------

       Total end of period cash and cash equivalents           $   469,205,286      $ 494,032,931
                                                               ===============      =============
</TABLE>

                             See accompanying notes.

                                      -7-

<PAGE>

                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
          STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
              For the Nine Months Ended September 30, 2004 and 2003
                                   (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, 2004

Balances at
   December 31, 2003                   10,815.994   $28,460,882   1,063,947.539   $2,799,639,743   1,074,763.533   $2,828,100,625
Net (loss) for the nine months
   ended September 30, 2004                          (1,258,890)                    (119,922,711)                    (121,181,601)
Additions                               3,612.750    10,114,000     397,719.441    1,110,161,862     401,332.191    1,120,275,862
Redemptions                                 0.000             0     (59,461.849)    (163,405,101)    (59,461.849)    (163,405,101)
Offering costs                                         (169,191)                     (16,500,996)                     (16,670,187)
                                       ----------   -----------   -------------   --------------   -------------   --------------
Balances at
   September 30, 2004                  14,428.744   $37,146,801   1,402,205.131   $3,609,972,797   1,416,633.875   $3,647,119,598
                                       ==========   ===========   =============   ==============   =============   ==============

NINE MONTHS ENDED SEPTEMBER 30, 2003

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

<TABLE>
<CAPTION>
     Net Asset Value Per General and Limited Partner Unit
 ---------------------------------------------------------------
September 30,     December 31,      September 30,    December 31,
    2004             2003              2003             2002
    ----             ----              ----             ----
<S>               <C>               <C>              <C>
 $ 2,574.50         $2,631.37         $2,444.53        $2,236.05
 ==========         =========         =========        =========
</TABLE>

                             See accompanying notes.

                                      -8-

<PAGE>

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

                                   (Unaudited)

Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

      A.    General Description of the Fund

            Campbell Strategic Allocation Fund, L.P. (the Fund) is a Delaware
            limited partnership which operates as a commodity investment pool.
            The Fund engages in the speculative trading of futures contracts,
            forward contracts and swap contracts.

      B.    Regulation

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

      C.    Method of Reporting

            The Fund's financial statements are presented in accordance with
            accounting principles generally accepted in the United States of
            America, which require the use of certain estimates made by the
            Fund's management. Investment transactions are accounted for on the
            trade date. Gains or losses are realized when contracts are
            liquidated. Unrealized gains and losses on open contracts (the
            difference between contract trade price and market price) are
            reported in the statement of financial condition as a net gain or
            loss, as there exists a right of offset of unrealized gains or
            losses in accordance with Financial Accounting Standards Board
            Interpretation No. 39 - "Offsetting of Amounts Related to Certain
            Contracts." The market value of futures (exchange-traded) contracts
            is determined by the various futures exchanges, and reflects the
            settlement price for each contract as of the close of the last
            business day of the reporting period. The market value of swap and
            forward (non-exchange traded) contracts is extrapolated on a forward
            basis from the spot prices quoted as of 5:00 P.M. (E.T.) of the last
            business day of the reporting period or based on the market value of
            its exchange-traded equivalent. Any change in net unrealized gain or
            loss from the preceding period is reported in the statement of
            operations. Brokerage commissions include other trading fees and are
            charged to expense when contracts are opened. United States
            government securities are stated at cost plus accrued interest,
            which approximates market value.

            For purposes of both financial reporting and calculation of
            redemption value, Net Asset Value per unit is calculated by dividing
            Net Asset Value by the number of outstanding units.

      D.    Cash and Cash Equivalents

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

                                      -9-

<PAGE>

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

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

      E.    Income Taxes

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

      F.    Offering Costs

            Campbell & Company, Inc. (Campbell & Company) has incurred all costs
            in connection with the initial and continuous offering of units of
            the Fund (offering costs). The Fund's liability for offering costs
            is limited to the maximum of total offering costs incurred by
            Campbell & Company or 2.5% of the aggregate subscriptions accepted
            during the initial and continuous offerings; this maximum is further
            limited by 30 month pay-out schedules. The Fund is only liable for
            payment of offering costs on a monthly basis as calculated based on
            the limitations stated above. At September 30, 2004, the Fund
            reflects a liability in the statement of financial condition for
            offering costs payable to Campbell & Company of $2,118,671. The
            amount of monthly reimbursement due to Campbell & Company is charged
            directly to partners' capital.

            If the Fund terminates prior to completion of payment of the
            calculated amounts to Campbell & Company, Campbell & Company will
            not be entitled to any additional payments, and the Fund will have
            no further obligation to Campbell & Company. At September 30, 2004,
            the amount of unreimbursed offering costs incurred by Campbell &
            Company is $6,092,074.

      G.    Foreign Currency Transactions

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

      H.    Reclassification

            Certain amounts in the 2003 financial statements were reclassified
            to conform with the 2004 presentation.

Note 2. GENERAL PARTNER AND COMMODITY TRADING ADVISOR

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

                                      -10-

<PAGE>

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

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

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

        The Fund pays a monthly brokerage fee equal to 1/12 of 7% (7%
        annualized) of month-end net assets to Campbell & Company and
        approximately $6 per round turn to the broker for execution and clearing
        costs. From the 7% fee, a portion (4%) is used to compensate selling
        agents for ongoing services rendered and a portion (3%) is retained by
        Campbell & Company for trading and management services rendered. The
        amount paid to the broker for execution and clearing costs is limited to
        1/12 of 1% (1% annualized) of month-end net assets.

        Campbell & Company is also paid a quarterly performance fee of 20% of
        the Fund's aggregate cumulative appreciation in the Net Asset Value per
        unit, exclusive of appreciation attributable to interest income.

Note 3. DEPOSITS WITH BROKER

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

Note 4. OPERATING EXPENSES

        Operating expenses of the Fund are limited by the Amended Agreement of
        Limited Partnership to 0.5% per year of the average month-end Net Asset
        Value of the Fund. Actual operating expenses were less than 0.5%
        (annualized) of average month-end Net Asset Value for the three months
        and nine months ended September 30, 2004 and 2003.

Note 5. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

        Investments in the Fund are made by subscription agreement, subject to
        acceptance by Campbell & Company. As of September 30, 2004, amounts
        received by the Fund from prospective limited partners who have not yet
        been admitted to the Fund by Campbell & Company totaled $450,010. These
        amounts were returned to prospective investors in October 2004.

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

                                      -11-

<PAGE>

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

Note 6. TRADING ACTIVITIES AND RELATED RISKS

        The Fund engages in the speculative trading of U.S. and foreign futures
        contracts, forward contracts and swap contracts (collectively,
        "derivatives"). The Fund is exposed to both market risk, the risk
        arising from changes in the market value of the contracts, and credit
        risk, the risk of failure by another party to perform according to the
        terms of a contract.

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

        The amount of required margin and good faith deposits with the broker
        and interbank and other market makers usually range from 10 to 30% of
        Net Asset Value. The market value of securities held to satisfy such
        requirements at September 30, 2004 and December 31, 2003 was
        $3,147,269,167 and $1,923,690,052, respectively, which equals 86% and
        68% of Net Asset Value, respectively. The cash deposited with interbank
        and other market makers included in cash and cash equivalents at
        September 30, 2004 and December 31, 2003 was $294,236,185 and
        $535,480,647, respectively, which equals 8% and 19% of Net Asset Value,
        respectively.

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

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

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

                                      -12-

<PAGE>

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

Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)

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

<TABLE>
<CAPTION>
                                 Futures Contracts          Forward and Swap Contracts
                                 (exchange traded)            (non-exchange traded)
                          September 30,   December 31,    September 30,    December 31,
                              2004            2003            2004             2003
                          ------------    ------------    -------------    -------------
<S>                       <C>             <C>             <C>              <C>
Gross unrealized gains    $ 46,918,605    $ 59,494,849    $ 177,926,936    $ 200,933,202
Gross unrealized losses    (32,427,096)    (15,636,619)    (118,534,973)    (107,165,651)
                          ------------    ------------    -------------    -------------

Net unrealized gain       $ 14,491,509    $ 43,858,230    $  59,391,963    $  93,767,551
                          ============    ============    =============    =============
</TABLE>

        Open contracts generally mature within three months; as of September 30,
        2004, the latest maturity date for open futures contracts is June 2005,
        and the latest maturity date for open forward and swap contracts is
        December 2004. However, the Fund intends to close all contracts prior
        to maturity.

        Campbell & Company has established procedures to actively monitor market
        risk and minimize credit risk, although there can be no assurance that
        it will, in fact, succeed in doing so. Campbell & Company's basic market
        risk control procedures consist of continuously monitoring open
        positions, diversification of the portfolio and maintenance of a
        margin-to-equity ratio that rarely exceeds 30%. Campbell & Company seeks
        to minimize credit risk primarily by depositing and maintaining the
        Fund's assets at financial institutions and brokers which Campbell &
        Company believes to be creditworthy. The limited partners bear the risk
        of loss only to the extent of the market value of their respective
        investments and, in certain specific circumstances, distributions and
        redemptions received.

Note 7. INTERIM FINANCIAL STATEMENTS

        The statement of financial condition as of September 30, 2004, including
        the September 30, 2004 condensed schedule of investments, the statements
        of operations for the three months and nine months ended September 30,
        2004 and 2003, and the statements of cash flows and changes in partners'
        capital (Net Asset Value) for the nine months ended September 30, 2004
        and 2003 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, 2004, and the results of operations for the three months
        and nine months ended September 30, 2004 and 2003, and cash flows for
        the nine months ended September 30, 2004 and 2003.

                                      -13-

<PAGE>

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

Note 8. FINANCIAL HIGHLIGHTS

        The following information presents per unit operating performance data
        and other supplemental financial data for the three months and nine
        months ended September 30, 2004 and 2003. This information has been
        derived from information presented in the financial statements.

<TABLE>
<CAPTION>
                                                              Three months ended          Nine months ended
                                                                 September 30,              September 30,
                                                             2004          2003          2004          2003
                                                          (Unaudited)   (Unaudited)   (Unaudited)   (Unaudited)
                                                          -----------   -----------   -----------   -----------
<S>                                                       <C>           <C>           <C>           <C>
PER UNIT PERFORMANCE
(for a unit outstanding throughout the entire period)
Net asset value per unit at beginning of period            $2,677.10     $2,557.33     $2,631.37     $2,236.05
                                                           ---------     ---------     ---------     ---------
Income (loss) from operations:
   Total trading gains (losses) (1)                           (59.97)       (70.54)       163.74        389.24
   Expenses net of interest income (1)                        (38.00)       (38.23)      (207.33)      (169.30)
                                                           ---------     ---------     ---------     ---------

      Total income (loss) from operations                     (97.97)      (108.77)       (43.59)       219.94
                                                           ---------     ---------     ---------     ---------
Offering costs (1)                                             (4.63)        (4.03)       (13.28)       (11.46)
                                                           ---------     ---------     ---------     ---------
Net asset value per unit at end of period                  $2,574.50     $2,444.53     $2,574.50     $2,444.53
                                                           =========     =========     =========     =========
TOTAL RETURN (3)                                               (3.83)%       (4.41)%       (2.16)%        9.32%
                                                           =========     =========     =========     =========
SUPPLEMENTAL DATA

Ratios to average net asset value:
   Expenses prior to performance fee (4)                       (7.05)%       (7.03)%       (7.11)%       (7.18)%
   Performance fee (3)                                          0.00 %        0.00 %       (2.96)%       (2.14)%
                                                           ---------     ---------     ---------     ---------
      Total expenses                                           (7.05)%       (7.03)%      (10.07)%       (9.32)%
                                                           =========     =========     =========     =========
   Expenses net of interest income (2), (4)                    (5.75)%       (6.13)%       (6.06)%       (6.14)%
                                                           =========     =========     =========     =========
</TABLE>

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

----------
(1)     Expenses net of interest income per unit and offering costs per unit are
        calculated by dividing the expenses net of interest income and offering
        costs by the average number of units outstanding during the period.
        Total trading gains (losses) is a balancing amount necessary to
        reconcile the change in net asset value per unit with the other per unit
        information.

(2)     Excludes performance fees.

(3)     Not annualized.

(4)     Annualized.

                                      -14-

<PAGE>

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

Introduction

The offering of Campbell Strategic Allocation Fund L.P.'s (the "Fund") Units of
Limited Partnership Interest commenced on January 12, 1994, and the initial
offering period terminated, with the receipt of the required minimum aggregate
subscription amount, 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 $3,749,204,833 have
been accepted during the continuing offering period as of September 30, 2004.
Redemptions over the same time period total $637,158,811. The Fund commenced
operations on April 18, 1994.

Critical Accounting Policies

The preparation of financial statements in conformity with accounting principles
generally accepted in the United States requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and
disclosures of contingent assets and liabilities at the date of the financial
statements and the reported amounts of income and expense during the reporting
period. Management believes that the estimates utilized in preparing the
financial statements are reasonable and prudent; however, actual results could
differ from those estimates. The Fund's significant accounting policies are
described in detail in Note 1 of the Financial Statements.

The Fund records all investments at fair value in its financial statements, with
changes in fair value reported as a component of realized and change in
unrealized trading gain (loss) in the Statements of Operations. Generally, fair
values are based on market prices; however, in certain circumstances, estimates
are involved in determining fair value in the absence of an active market
closing price (e.g. swap and forward contracts which are traded in the
inter-bank market).

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

                                      -15-

<PAGE>

exceed the margin initially committed to such trades. In addition, even if
commodity futures prices have not moved the daily limit, the Fund may not be
able to execute futures trades at favorable prices, if little trading in such
contracts is taking place. Other than these limitations on liquidity, which are
inherent in the Fund's commodity futures trading operations, the Fund's assets
are expected to be highly liquid.

The entire offering proceeds, without deductions, will be credited to the Fund's
bank and brokerage accounts to engage in trading activities and as reserves for
that trading. The Fund meets its margin requirements by depositing U.S.
government securities with the futures broker and the over-the-counter
counterparties. In this way, substantially all (i.e., 95% or more) of the Fund's
assets, whether used as margin for trading purposes or as reserves for such
trading, can be invested in U.S. government securities and time deposits with
U.S. banks. Investors should note that maintenance of the Fund's assets in U.S.
government securities and banks does not reduce the risk of loss from trading
futures, forward and swap contracts. The Fund receives all interest earned on
its assets. No other person shall receive any interest or other economic
benefits from the deposit of Fund assets.

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

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

Results of Operations

The returns for the nine months ending September 30, 2004 and 2003 were (2.16)%
and 9.32%, respectively.

2004

For the 2004 year-to-date decrease of (2.16)%, approximately 5.99% was due to
trading gains (before commissions) and approximately 0.79% was due to interest
income, offset by approximately 8.94% due to brokerage fees, performance fees,
and operating and offering costs borne by the Fund. An analysis of the 5.99%
trading gains by sector is as follows:

                                      -16-

<PAGE>

<TABLE>
<CAPTION>
SECTOR                           % GAIN (LOSS)
------                           -------------
<S>                              <C>
Interest Rates                       8.13%

Energy                               1.53

Currencies                           0.90

Metals                              (0.30)

Stock Indices                       (4.27)
                                    -----
                                     5.99%
                                    =====
</TABLE>

The year began with the Fund posting a positive return in January despite
significant volatility throughout the month. The weak U.S. Dollar continued to
drive most global markets, including many that had no apparent or direct
connection to the Dollar, and in circumstances such as this, subtle shifts in
perception can have a disproportionate impact on prices. The Dollar traded lower
throughout the month, which was profitable for the Fund's currency positions.
Much of the gain reversed late in the month when markets reacted violently when
the Federal Open Market Committee (FOMC) slightly restated its short-term
interest rate bias. The interest rate sector was slightly positive despite also
having suffered a reversal of earlier gains following the FOMC announcement. The
stock index and metals sectors had small losses for the month.

The Fund had a strong positive return in February as the trends that were in
place at the end of January persisted. The continued concern over the record
U.S. budget deficit and current account imbalance kept downward pressure on the
U.S. Dollar and resulted in strong gains in the currency sector. The weak Dollar
in return reinforced several related trends, including the continued rise in
energy prices, resulting in positive returns in the energy sector. The interest
rates sector was also profitable for the month as European interest rate
instruments traded higher.

All of the gain for the month of March came from the interest rate sector as
U.S. Treasuries continued to trade higher, while a weakening U.S. Dollar also
contributed solid returns. The energy sector was moderately positive, while the
equity index sector was moderately negative.

In April, interest rates finally reversed course and started to head higher in
response to a perceived change in stance by the U.S. Federal Reserve. In the
days that followed, most major market trends also reversed. Fixed income
instruments sold off hard and the U.S. Dollar rallied, while precious and base
metals and many other physical commodities traded sharply lower. The equities
markets also fell. Only the continued rise in energy prices provided modest
gains for the Fund in April.

May was a difficult month for systematic trend following strategies and the Fund
finished the month with slightly negative performance. Crude oil set record high
prices during the month, which led to gains for the Fund in the energy sector.
Most fixed income and currency contracts experienced a classic whipsaw. They
began the month with the continuation of April's reversals, but ended the month
with a strong rally. Equity prices continued to weaken in the face of higher
energy prices and global political uncertainty, which led to losses in the stock
indices sector.

                                      -17-

<PAGE>

June was another month of choppy, range-bound trading, which resulted in
negative performance for the Fund in all sectors. The market impact of unfolding
events in Iraq had diminished greatly, and many traders were reluctant to take
positions ahead of the Federal Reserve Bank's June 30 interest rate
announcement. Absent any other significant news, the markets remained trendless
and did not provide the opportunities needed to produce positive returns.

July was a slightly negative month as most markets the Fund traded continued to
oscillate in relatively narrow ranges. Interest rate instruments traded lower
and then rallied on weaker than expected economic statistics, while equity
indices rallied and then declined amid broad earnings disappointments. The U.S.
dollar traded in a narrow range. The only sector to show any real life was the
energy sector, where in classic whipsaw fashion the Fund exited most of its long
positions just before crude oil prices rallied to all-time highs.

August performance was negative as most financial markets continued to be bound
by the ranges which had been in place previously. Fixed income instruments
rallied profitably during the month, but these gains were quickly offset by
losses in the currency sector as the U.S. Dollar strengthened. Small losses
resulted from stock index trading as a six-week downtrend reversed sharply,
mirroring the rise and fall of crude oil prices. The Fund's exposure to the
highly volatile energy sector was minor as a result of filters that kept the
Fund out of that sector.

The losses for the Fund continued in September as listless market conditions
persisted. While U.S. Dollar and interest rate instruments traded in narrow
ranges, the Fund managed small profits in these sectors. These gains were
largely offset by losses in the Fund's small positions in the volatile energy
sector. The largest losses for the month came from the equity index positions as
positive economic reports late in the month caused stocks to rally towards
90-day highs.

2003

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

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

Energy                             1.95

Stock Indices                      1.73

Interest Rates                     0.08

Metals                            (0.59)
                                  -----

                                  16.69%
                                  =====
</TABLE>

                                      -18-

<PAGE>

The long-term trends that created opportunity for the Fund in 2002 continued in
January 2003, in which profits were earned in every sector. However, the
environment was one where a single event, the prospect of war with Iraq, was
driving the Fund's whole portfolio. While the Fund's systematic and disciplined
trading strategies continued to keep it engaged, leverage was subsequently
decreased to protect against significant losses which could result from
potential sharp and extended reversals in core positions.

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

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

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

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

Even with a negative result for June, the Fund finished the first half of 2003
with a double-digit return. Long-term interest rates lost value as yield curves
steepened, particularly the Japanese government bond. Short-term interest rates
and stock index sectors contributed very modest gains for the month, while all
other sectors contributed losses. While the global economy was looking better
than it had for several years, many substantive uncertainties remained.

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

                                      -19-

<PAGE>

The stock indices sector was the best performing sector for the month of August
as the U.S. equity markets posted their sixth straight month of gains. Much of
this was attributed to improving consumer confidence, federal tax cuts and
increased defense spending. The energy sector contributed positive returns as
crude oil remained above the thirty-dollar level on continuing supply concerns.
Also, the Fund's short positions in the Japanese Government Bond provided a
significant portion of the month's gains.

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

Off-Balance Sheet Risk

The term "off-balance sheet risk" refers to an unrecorded potential liability
that, even though it does not appear on the balance sheet, may result in future
obligation or loss. The Fund trades in futures, forward and swap contracts and
is therefore a party to financial instruments with elements of off-balance sheet
market and credit risk. In entering into these contracts there exists a risk to
the Fund, market risk, that such contracts may be significantly influenced by
market conditions, such as interest rate volatility, resulting in such contracts
being less valuable. If the markets should move against all of the futures
interests positions of the Fund at the same time, and if the Fund's trading
advisor was unable to offset futures interests positions of the Fund, the Fund
could lose all of its assets and the Limited Partners would realize a 100% loss.
Campbell & Company, Inc., the General Partner (who also acts as trading
advisor), minimizes market risk through real-time monitoring of open positions,
diversification of the portfolio and maintenance of a margin-to-equity ratio
that rarely exceeds 30%.

In addition to market risk, in entering into futures, forward and swap contracts
there is a credit risk that a counterparty will not be able to meet its
obligations to the Fund. The counterparty for futures contracts traded in the
United States and on most foreign exchanges is the clearinghouse associated with
such exchange. In general, clearinghouses are backed by the corporate members of
the clearinghouse who are required to share any financial burden resulting from
the non-performance by one of their members and, as such, should significantly
reduce this credit risk. In cases where the clearinghouse is not backed by the
clearing members, like some foreign exchanges, it is normally backed by a
consortium of banks or other financial institutions.

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

                                      -20-

<PAGE>

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

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

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

INTRODUCTION

Past Results Not Necessarily Indicative of Future Performance

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

      Market movements result in frequent changes in the fair market value of
the Fund's open positions and, consequently, in its earnings and cash flow. The
Fund's market risk is influenced by a wide variety of factors, including the
level and volatility of exchange rates, interest rates, equity price levels, the
market value of financial instruments and contracts, the diversification effects
among the Fund's open positions and the liquidity of the markets in which it
trades.

      The Fund rapidly acquires and liquidates both long and short positions in
a wide range of different markets. Consequently, it is not possible to predict
how a particular future market scenario will affect performance, and the Fund's
past performance is not necessarily indicative of its future results.

      Value at Risk is a measure of the maximum amount which the Fund could
reasonably be expected to lose in a given market sector. However, the inherent
uncertainty of the Fund's speculative trading and the recurrence in the markets
traded by the Fund of market movements far exceeding expectations could result
in actual trading or non-trading losses far beyond the indicated Value at Risk
or the Fund's experience to date (i.e., "risk of ruin"). Risk of ruin is defined
to be no more than a 5% chance of losing 20% or more on a monthly basis. In
light of the foregoing as well as the risks and uncertainties intrinsic to all
future projections, the inclusion of the quantification included in this section
should not be considered to constitute any assurance or representation that the
Fund's losses in any market sector will be limited to Value at Risk or by the
Fund's attempts to manage its market risk.


                                      -21-

<PAGE>
Standard of Materiality

      Materiality as used in this section, "Quantitative and Qualitative
Disclosures About Market Risk," is based on an assessment of reasonably possible
market movements and the potential losses caused by such movements, taking into
account the leverage, and multiplier features of the Fund's market sensitive
instruments.

QUANTIFYING THE FUND'S TRADING VALUE AT RISK

Quantitative Forward-Looking Statements

      The following quantitative disclosures regarding the Fund's market risk
exposures contain "forward-looking statements" within the meaning of the safe
harbor from civil liability provided for such statements by the Private
Securities Litigation Reform Act of 1995 (set forth in Section 27A of the
Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934).
All quantitative disclosures in this section are deemed to be forward-looking
statements for purposes of the safe harbor, except for statements of historical
fact (such as the dollar amount of maintenance margin required for market risk
sensitive instruments held at the end of the reporting period).

      The Fund's risk exposure in the various market sectors traded by Campbell
& Company is quantified below in terms of Value at Risk. Due to the Fund's
mark-to-market accounting, any loss in the fair value of the Fund's open
positions is directly reflected in the Fund's earnings (realized or unrealized).

      Exchange maintenance margin requirements have been used by the Fund as the
measure of its Value at Risk. Maintenance margin requirements are set by
exchanges to equal or exceed the maximum losses reasonably expected to be
incurred in the fair value of any given contract in 95% - 99% of any one-day
intervals. The maintenance margin levels are established by dealers and
exchanges using historical price studies as well as an assessment of current
market volatility and economic fundamentals to provide a probabilistic estimate
of the maximum expected near-term one-day price fluctuation. Maintenance margin
has been used rather than the more generally available initial margin, because
initial margin includes a credit risk component which is not relevant to Value
at Risk.

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

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

      In quantifying the Fund's Value at Risk, 100% positive correlation in the
different positions held in each market risk category has been assumed.
Consequently, the margin requirements applicable to the open contracts have
simply been aggregated to determine each trading category's

                                      -22-

<PAGE>

aggregate Value at Risk. The diversification effects resulting from the fact
that the Fund's positions are rarely, if ever, 100% positively correlated have
not been reflected.

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

THE FUND'S TRADING VALUE AT RISK IN DIFFERENT MARKET SECTORS

      The following tables indicate the trading Value at Risk associated with
the Fund's open positions by market category as of September 30, 2004 and
December 31, 2003 and the trading gains/losses by market category for the nine
months ended September 30, 2004 and the year ended December 31, 2003. All open
position trading risk exposures of the Fund have been included in calculating
the figures set forth below. As of September 30, 2004 and December 31, 2003, the
Fund's total capitalization was approximately $3.647 billion and $2.828 billion,
respectively.

                               SEPTEMBER 30, 2004

<TABLE>
<CAPTION>
                                      % OF TOTAL          TRADING
MARKET SECTOR     VALUE AT RISK     CAPITALIZATION      GAIN/(LOSS)*
-------------     -------------     --------------      ------------
<S>              <C>                <C>                 <C>
Currencies       $121.42 million        3.33%              0.90 %
Interest Rates    105.36 million        2.89%              8.13 %
Stock Indices      76.99 million        2.11%             (4.27)%
Metals              8.18 million        0.22%             (0.30)%
Energy              5.39 million        0.15%              1.53 %
                 ---------------        ----              -----

   Total         $317.34 million        8.70%              5.99 %
                 ===============        ====              =====
</TABLE>

* - Of the (2.16)% return for the nine months ended September 30, 2004,
approximately 5.99% was due to trading gains (before commissions) and
approximately 0.79% due to interest income, offset by approximately 8.94% due to
brokerage fees, performance fees and operating and offering costs borne by the
Fund.

                                      -23-

<PAGE>

                                DECEMBER 31, 2003

<TABLE>
<CAPTION>
                                     % OF TOTAL          TRADING
MARKET SECTOR     VALUE AT RISK    CAPITALIZATION       GAIN/(LOSS)*
-------------     -------------    --------------       ------------
<S>              <C>               <C>                  <C>
Currencies       $123.33 million        4.36%              26.22 %
Interest Rates     91.50 million        3.23%              (3.32)%
Stock Indices      83.05 million        2.94%               5.70 %
Energy             27.94 million        0.99%              (0.80)%
Metals              0.73 million        0.03%              (0.34)%
                 ---------------       -----               -----

   Total         $326.55 million       11.55%              27.46%
                 ===============       =====               =====
</TABLE>

* - Of the 17.68% return for the year ended December 31, 2003, approximately
27.46% was due to trading gains (before commissions) and approximately 0.98% was
due to interest income, offset by approximately 10.76% due to brokerage fees,
performance fees and operating and offering costs borne by the Fund.

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

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

NON-TRADING RISK

      The Fund has non-trading market risk on its foreign cash balances not
needed for margin. However, these balances (as well as the market risk they
represent) are immaterial. The Fund also has non-trading market risk as a result
of investing a substantial portion of its available assets in U.S. Treasury
Bills. The market risk represented by these investments is immaterial.

QUALITATIVE DISCLOSURES REGARDING PRIMARY TRADING RISK EXPOSURES

      The following qualitative disclosures regarding the Fund's market risk
exposures -- except for (i) those disclosures that are statements of historical
fact and (ii) the descriptions of how the Fund manages its primary market risk
exposures -- constitute forward-looking statements within the meaning of Section
27A of the Securities Act of 1933, as amended (the "Securities Act of 1933") and
Section 21E of the Securities Exchange Act of 1934, as amended (the "Securities
Exchange Act of 1934"). The Fund's primary market risk exposures as well as the
strategies used and to be used by Campbell & Company for managing such exposures
are subject to numerous uncertainties, contingencies and risks, any one of which
could cause the actual results of the Fund's risk controls to differ materially
from the objectives of such strategies. Government interventions, defaults and
expropriations, illiquid markets, the emergence of dominant fundamental factors,
political upheavals, changes in historical price relationships, an influx of new

                                      -24-

<PAGE>

market participants, increased regulation and many other factors could result in
material losses as well as in material changes to the risk exposures and the
risk management strategies of the Fund. There can be no assurance that the
Fund's current market exposure and/or risk management strategies will not change
materially or that any such strategies will be effective in either the short- or
long-term. Investors must be prepared to lose all or substantially all of their
investment in the Fund.

      The following were the primary trading risk exposures of the Fund as of
September 30, 2004, by market sector.

Currencies

      Exchange rate risk is a significant market exposure of the Fund. The
Fund's currency exposure is to exchange rate fluctuations, primarily
fluctuations which disrupt the historical pricing relationships between
different currencies and currency pairs. These fluctuations are influenced by
interest rate changes as well as political and general economic conditions. The
Fund trades in a large number of currencies, including cross-rates -- i.e.,
positions between two currencies other than the U.S. Dollar.

Interest Rates

      Interest rate risk is a significant market exposure of the Fund. Interest
rate movements directly affect the price of the sovereign bond positions held by
the Fund and indirectly the value of its stock index and currency positions.
Interest rate movements in one country as well as relative interest rate
movements between countries materially impact the Fund's profitability. The
Fund's primary interest rate exposure is to interest rate fluctuations in the
United States and the other G-7 countries. Additionally, the Fund takes
positions in the government debt of Switzerland and Australia. Campbell &
Company anticipates that these interest rates will remain a primary market
exposure of the Fund for the foreseeable future. A material change in long-term
or short-term interest rates could have a significant effect on the performance
of the Fund.

Stock Indices

      The Fund's primary equity exposure is to equity price risk in the G-7
countries and several other countries (Hong Kong, Spain and Taiwan). The stock
index futures traded by the Fund are limited to futures on broadly based
indices. As of September 30, 2004, the Fund's primary exposures were in the S&P
500 (USA), Euro STOXX 50 (Europe), DAX (Germany), Hang Seng (Hong Kong) and FTSE
(UK), and Taiwan stock indices. The Fund is primarily exposed to the risk of
adverse price trends or static markets in the major U.S., European and Japanese
indices. (Static markets would not cause major market changes but would make it
difficult for the Fund to avoid being "whipsawed" into numerous small losses.)

Energy

      The Fund's primary energy market exposure is to gas and oil price
movements, often resulting from political developments and ongoing conflicts in
the Middle East. Oil and gas prices

                                      -25-

<PAGE>

can be volatile and substantial profits and losses have been and are expected to
continue to be experienced in this market.

Metals

      The Fund's metals market exposure is to fluctuations in the price of
copper, nickel and zinc. The risk allocation to the metal sector has not
exceeded 3% of the Fund's portfolio during the nine months ended September 30,
2004.

QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE

      The following were the only non-trading risk exposures of the Fund as of
September 30, 2004.

Foreign Currency Balances

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

Treasury Bill Positions

      The Fund's only market exposure in instruments held other than for trading
is in its Treasury Bill portfolio. The Fund holds Treasury Bills (interest
bearing and credit risk-free) with durations no longer than six months. Violent
fluctuations in prevailing interest rates could cause immaterial mark-to-market
losses on the Fund's Treasury Bills, although substantially all of these
short-term investments are held to maturity.

QUALITATIVE DISCLOSURES REGARDING MEANS OF MANAGING RISK EXPOSURE

      The means by which Campbell & Company attempts to manage the risk of the
Fund's open positions is essentially the same in all market categories traded.
Campbell & Company applies risk management policies to its trading which
generally limit the total exposure that may be taken per "risk unit" of assets
under management. In addition, Campbell & Company follows diversification
guidelines (often formulated in terms of the balanced volatility between markets
and correlated groups), as well as imposing "stop-loss" points at which open
positions must be closed out.

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


                                      -26-

<PAGE>
General

      The Fund is unaware of any (i) anticipated known demands, commitments or
capital expenditures; (ii) material trends, favorable or unfavorable, in its
capital resources; or (iii) trends or uncertainties that will have a material
effect on operations. From time to time, certain regulatory agencies have
proposed increased margin requirements on futures contracts. Because the Fund
generally will use a small percentage of assets as margin, the Fund does not
believe that any increase in margin requirements, as proposed, will have a
material effect on the Fund's operations.

ITEM 4. CONTROLS AND PROCEDURES

      Campbell & Company, Inc., the general partner of the Fund, with the
participation of the general partner's chief executive officer and chief
financial officer, has evaluated the effectiveness of the design and operation
of its disclosure controls and procedures (as defined in the Securities Exchange
Act of 1934 Rules 13a-15(e) or 15d-15(e)) with respect to the Fund as of the end
of the period covered by this quarterly report. Based on their evaluation, the
chief executive officer and chief financial officer have concluded that these
disclosure controls and procedures are effective. There were no changes in the
general partner's internal control over financial reporting applicable to the
Fund identified in connection with the evaluation required by paragraph (d) of
Exchange Act Rules 13a-15 or 15d-15 that occurred during the last fiscal quarter
that have materially affected, or is reasonably likely to materially affect,
internal control over financial reporting applicable to the Fund.

                                      -27-

<PAGE>

                            PART II-OTHER INFORMATION

Item 1.      Legal Proceedings.

             None

Item 2.      Changes in Securities and Use of Proceeds

             None

Item 3.      Defaults Upon Senior Securities

             Not applicable.

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

             None

Item 5.      Other Information

             None

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

             (a)     Exhibits

             Exhibit
             Number        Description of Document

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

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

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

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

             (b)     Reports of Form 8-K

                     None

                                      -28-

<PAGE>

                                   SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned, thereunto duly authorized, on the 12th day of November 2004.

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

                                By:   Campbell & Company, Inc.
                                      General Partner

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

                                      -29-

<PAGE>

                                  EXHIBIT INDEX

<TABLE>
<CAPTION>
Exhibit Number                        Description of Document                  Page Number
--------------                        -----------------------                  -----------
<S>                        <C>                                                  <C>
31.01                      Certification by Chief Executive Officer              E 2 - E 3
31.02                      Certification by Chief Financial Officer              E 4 - E 5
32.01                      Certification by Chief Executive Officer                 E 6
32.02                      Certification by Chief Financial Officer                 E 7
</TABLE>

                                     -E 1-