<PAGE>   1
                                UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                            WASHINGTON, D.C. 20549

                                   FORM 10-Q


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

For the quarterly period ended      September 30, 1998
                               -------------------------------------------------

                                       or

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

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

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


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

           Delaware                                       52-1823554          
-------------------------------------       ------------------------------------
    (State of Organization)                 (IRS Employer Identification Number)
                                            
Court Towers Building,                      
210 West Pennsylvania Avenue,               
Baltimore, Maryland                                         21204             
------------------------------------------       -------------------------------
(Address of principal executive offices)                  (Zip Code)

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

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

                  Yes [ X ]         No [   ]

                           Total number of Pages:  17
                                                  ---
<PAGE>   2
                         PART I - FINANCIAL INFORMATION


Item 1.          Financial Statements

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

         Statements of Financial Condition as of September 30, 1998 and
             December 31, 1997

         Statements of Operations for the Three Months and
             Nine Months Ended September 30, 1998 and 1997

         Statements of Cash Flows for the Nine Months Ended
             September 30, 1998 and 1997

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





                                       2
<PAGE>   3
                  CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                      STATEMENTS OF FINANCIAL CONDITION
       September 30, 1998 (Unaudited) and December 31, 1997 (Audited)

<TABLE>
<CAPTION>
                                                                           September 30,            December 31,
                                                                                1998                    1997       
                                                                           -------------            ------------
<S>                                                                         <C>                     <C>
ASSETS
    Equity in broker trading accounts
       Cash                                                                 $ 13,587,364            $ 17,401,415
       United States government securities                                   161,698,140              37,851,369
       Unrealized gain on open futures contracts                              31,001,809               8,567,066
                                                                            ------------            ------------
 
                Deposits with broker                                         206,287,313              63,819,850

    Cash and cash equivalents                                                 42,937,986              27,976,771
    United States government securities                                       61,431,244             127,278,890
    Unrealized gain on open forward contracts                                    561,301               1,328,130
                                                                            ------------            ------------
 
                Total assets                                                $311,217,844            $220,403,641
                                                                            ============            ============

LIABILITIES
    Accounts payable                                                        $    151,885            $    165,183
    Brokerage fee                                                              1,951,184               1,354,551
    Performance fee                                                            2,433,709               2,537,134
    Offering costs payable                                                       172,294                 122,785
    Redemptions payable                                                        3,282,135               2,629,164
    Subscription deposits                                                          5,001                 885,105
                                                                            ------------            ------------

                Total liabilities                                              7,996,208               7,693,922
                                                                            ------------            ------------

PARTNERS' CAPITAL (NET ASSET VALUE)
    General Partner - 1,976.528 and 1,473.323 units
       outstanding at September 30, 1998 and                                   3,172,426               2,135,788
       December 31,1997
    Limited Partners - 186,940.231 and 145,259.520 units
       outstanding at September 30, 1998 and
       December 31, 1997                                                     300,049,210             210,573,931
                                                                            ------------            ------------

                Total partners' capital
                  (Net Asset Value)                                          303,221,636             212,709,719
                                                                            ------------            ------------

                                                                            $311,217,844            $220,403,641
                                                                            ============            ============
</TABLE>


                            See accompanying notes.

                                       3
<PAGE>   4
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                            STATEMENTS OF OPERATIONS
                      For the Three Months and Nine Months
                       Ended September 30, 1998 and 1997
                                  (Unaudited)


<TABLE>
<CAPTION>
                                                      Three Months Ended                Nine Months Ended
                                                        September 30,                     September 30,
                                                    1998            1997              1998              1997
                                                    ----            ----              ----              ----
<S>                                             <C>              <C>              <C>                <C>
INCOME
    Futures trading gains (losses)
       Realized                                  $10,678,426      $ 7,681,453    $ 26,666,162        $ 6,601,257
       Change in unrealized                       25,809,659        5,578,925      22,434,743          7,394,147
                                                 -----------      -----------    ------------        -----------

             Gain from futures trading            36,488,085       13,260,378      49,100,905         13,995,404

    Forward trading gains (losses)
       Realized                                 $(12,651,292)     $(2,519,055)    $(9,074,793)        $3,750,785
       Change in unrealized                        2,611,978        2,512,167        (766,829)        (2,383,087)
                                                 -----------      -----------    ------------        -----------
                                                                                    
             Gain from forward trading           (10,039,314)          (6,888)     (9,841,622)         1,367,698

    Interest income                                3,538,612        2,202,151       9,590,250          5,489,916
                                                 -----------      -----------    ------------        -----------
             Total income                         29,987,383       15,455,641      48,849,533         20,853,018
                                                 -----------      -----------    ------------        -----------

EXPENSES
    Brokerage fee                                  5,478,314        3,334,265      14,691,213          8,471,730
    Performance fee                                2,440,760          190,283       4,272,499          1,006,667
    Operating expenses                               123,473           81,110         363,623            283,523
                                                 -----------      -----------    ------------        -----------

             Total expenses                        8,042,547        3,605,658      19,327,335          9,761,920
                                                 -----------      -----------    ------------        -----------

             NET INCOME                          $21,944,836      $11,849,983    $ 29,522,198        $11,091,098
                                                 ===========      ===========    ============        ===========

NET INCOME (LOSS) PER GENERAL
AND LIMITED PARTNER UNIT
    (based on weighted average
    number of units outstanding
    during the period)                           $    119.62      $     95.36    $     116.69        $    103.66
                                                 ===========      ===========    ============        ===========

INCREASE (DECREASE) IN NET
ASSET VALUE PER GENERAL
AND LIMITED PARTNER UNIT                         $    114.62      $     95.50    $      95.50        $     92.35 
                                                 ===========      ===========    ============        ===========
</TABLE>



                            See accompanying notes.


                                       4
<PAGE>   5
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                            STATEMENTS OF CASH FLOWS
             For the Nine Months Ended September 30, 1998 and 1997
                                  (Unaudited)



<TABLE>
<CAPTION>
                                                                                           1998              1997 
                                                                                           -----             ----
<S>                                                                                 <C>                    <C>  
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
  Net income                                                                        $   29,522,198         $11,091,098
  Adjustments to reconcile net income to net cash from
     operating activities
        Net change in unrealized                                                       (21,667,914)         (5,011,060)
        Increase (decrease) in accounts payable and accrued expenses                       479,910          (1,418,336)
  Net (purchases) maturities of investments in United
     States government and agency securities                                           (57,999,125)        (52,555,130)
                                                                                       -----------         ----------- 
                 Net cash from (for) operating activities                              (49,664,931)        (47,893,428)
                                                                                       -----------         ----------- 
CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
  Addition of units                                                                     79,121,049          71,473,031
  Increase (decrease) in subscription deposits                                            (880,104)            424,279
  Redemption of units                                                                  (16,737,755)         (4,683,099)
  Increase in redemptions payable                                                          652,971              21,671
  Offering costs charged                                                                (1,393,575)           (804,095)
  Increase in offering costs payable                                                        49,509              47,944
                                                                                       -----------         -----------
                 Net cash from financing activities                                     60,812,095          66,479,731
                                                                                       -----------         -----------

Net increase in cash and cash equivalents                                               11,147,164          18,586,303
CASH AND CASH EQUIVALENTS
  Beginning of period                                                                   45,378,186          62,885,065
                                                                                       -----------         -----------

  End of period                                                                        $56,525,350         $81,471,368
                                                                                       ===========         ===========

End of period cash & cash equivalents consist of:
  Cash in broker trading accounts                                                       13,587,364          15,174,547
  Cash and cash equivalents                                                             42,937,986          66,296,821
                                                                                       -----------         -----------

     Total end of period cash and cash equivalents.                                     56,525,350          81,471,368
                                                                                       ===========         ===========
</TABLE>

                            See accompanying notes.

                                       5
<PAGE>   6
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
          STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
             For the Nine Months Ended September 30, 1998 and 1997
                                  (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, 1998
Balances at
   December 31, 1997               1,473.323    $2,135,788     145,259.520   $210,573,931   146,732.843    $212,709,719

Additions                            503.205       750,000      52,812.331     78,371,049    53,315.536      79,121,049

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

Redemptions                            0.000             0      (11,131.62)   (16,737,755)   (11,131.62)    (16,737,755)

Offering costs                                     (14,211)                    (1,379,364)                   (1,393,575)
                                   ---------    ----------     -----------   ------------   -----------    ------------
Balances at
 September 30, 1998                1,976.528    $3,172,426     186,940.231   $300,049,210   188,916.759    $303,221,636
                                   =========    ==========     ===========   ============   ===========    ============

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

Additions                            480.775       630,000       53,996.40     70,843,031    54,477.175      71,473,031

Net income for the nine months
   ended September 30, 1997                        114,114                     10,976,984                    11,091,098

Redemptions                            0.000             0      (3,591.010)    (4,683,099)   (3,591.010)     (4,683,099)

Offering costs                                      (8,201)                      (795,894)                     (804,095)
                                   ---------    ----------     -----------   ------------   -----------    ------------

Balances at
 September 30, 1997                1,366.713   $ 1,859,427     134,474.450   $182,954,311   135,841.163    $184,813,738
                                   =========   ===========     ===========   ============   ===========    ============
</TABLE>



<TABLE>
<CAPTION>
                                                            Net Asset Value Per Unit
                                 --------------------------------------------------------------------------
                                 September 30,        December 31,        September 30,        December 31,
                                     1998                 1997                1997                 1996
                                 ------------         -----------          -----------         ----------- 
                                 <S>                  <C>                  <C>                 <C>
                                 $   1,605.05         $  1,449.64          $  1,360.51         $  1,268.16
                                 ============         ===========          ===========         ===========
</TABLE>

                            See accompanying notes.

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


Note 1.      ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

             A. General Description of the Partnership
                
                Campbell Strategic Allocation Fund, L.P. (the Partnership) is a
                Delaware limited partnership which operates as a commodity
                investment pool.
                
             B. Regulation
                
                As a registrant with the Securities and Exchange Commission, the
                Partnership is subject to the regulatory requirements under the
                Securities Acts of 1933 and 1934. As a commodity investment
                pool, the Partnership is subject to the regulations of the
                Commodity Futures Trading Commission, an agency of the United
                States (U.S.) government which regulates most aspects of the
                commodity futures industry, rules of the National Futures
                Association, an industry self-regulatory organization, and the
                requirements of the various commodity exchanges where the
                Partnership executes transactions.  Additionally, the
                Partnership is subject to the requirements of Futures Commission
                Merchants (brokers) and interbank market makers through which
                the Partnership trades.
                
             C. Method of Reporting
                
                The Partnership's financial statements are presented in
                accordance with generally accepted accounting principles, which
                require the use of certain estimates made by the Partnership's
                management.  Transactions are accounted for on the trade date. 
                Gains or losses are realized when contracts are liquidated.
                Unrealized gain or losses on open contracts (the difference
                between contract purchase price and market price) are reported
                in the statement of financial condition as a net gain or loss,
                as there exists a right of offset of unrealized gains or losses
                in accordance with Financial Accounting Standards Board
                Interpretation No. 39 - "Offsetting of Amounts Related to
                Certain Contracts."  Any change in net unrealized gain or loss
                from the  preceding period is reported in the statement of
                operations.  United States government and agency securities are
                stated at market value.
                
                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, other demand deposits
                and short-term time deposits held at the financial institutions.
                
             E. Income Taxes
                
                The Partnership prepares calendar year U.S. and state
                information tax returns and reports to the partners their
                allocable shares of the Partnership's income, expenses and
                trading gains or losses.





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

Note 1.      SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

             F. Offering Costs
                
                The General Partner has incurred total costs in connection with
                the initial and continuous offering of Units of the Partnership
                (offering costs) of $6,924,926 through September 30, 1998,
                $3,451,471 of which has already been reimbursed to the General
                Partner by the Partnership. At September 30, 1998, the
                Partnership reflects a liability in the statement of financial
                condition for offering costs payable to the General Partner of
                $172,294.  The Partnership's liability for offering costs is
                limited to the maximum of total offering costs incurred by the
                General Partner or 2.5% of the aggregate subscriptions accepted
                during the initial and continuous offerings; this maximum is
                further limited by a pay-out schedule over 30 months.  The
                Partnership is only liable for payment of offering costs on a
                monthly basis as calculated based on the limitations stated
                above.  If the Partnership terminates prior to completion of
                payment of the calculated amounts to the General Partner, the
                General Partner will not be entitled to any additional payments
                and the Partnership will have no further obligation to the
                General Partner.
                
                The amount of monthly reimbursement due to the General          
                Partner is charged directly to Partners' capital.
                
             G. Foreign Currency Transactions
                
                The Partnership's functional currency is the U.S. dollar;
                however, it transacts business in currencies other than the U.S.
                dollar.  Assets and liabilities denominated in currencies other
                than the U.S. dollar are translated into U.S. dollars at the
                rates in effect at the date of the statement of financial
                condition.  Income and expense items denominated in currencies
                other than the U.S. dollar are translated into U.S. dollars at
                the rates in effect during the period.  Gains and losses
                resulting from the translation to U.S. dollars are reported in
                income currently.
                
             H. Reclassification
                
                Certain amounts in the 1997 financial statements were           
                reclassified to conform with the 1998 presentation.

Note 2.      GENERAL PARTNER AND COMMODITY TRADING ADVISOR

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

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





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


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

             The Partnership pays a monthly brokerage fee equal to 1/12 of 7.7%
             (7.7% annualized) of month-end net assets.  The General Partner
             receives 7% of this 7.7% fee, a portion (4%) of which is used to
             compensate selling agents for ongoing services rendered and a
             portion (3%) of which is retained by the General Partner for
             trading and management services rendered.  The remainder of the
             brokerage fee (0.7%) is paid directly to the broker.  During
             the nine months ended September 30, 1998 and 1997, the amounts
             paid directly to the broker amounted to $1,335,565 and $1,019,762
             respectively.

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

Note 3.      DEPOSITS WITH BROKER

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

Note 4.      OPERATING EXPENSES

             Operating expenses of the Partnership are limited by the Amended
             Agreement of Limited Partnership to 0.5% per year of the average
             month-end Net Asset Value of the Partnership. Actual operating
             expenses were less than 0.5% (annualized) for the nine months
             ended September 30, 1998 and 1997.

Note 5.      SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

             Investments in the Partnership are made by subscription agreement,
             subject to acceptance by the General Partner.  As of September 30,
             1998 and December 31, 1997 amounts received by the Partnership by
             prospective limited partners who have not yet been admitted to the
             Partnership by the General Partner amount to $5,001 and $885,105,
             respectively.

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





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


Note 6.      TRADING ACTIVITIES AND RELATED RISKS

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

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

             The amount of required margin and good faith deposits with brokers
             and interbank market makers usually range from 10% to 30% of Net
             Asset Value.  The market value of securities held to satisfy such
             requirements at September 30, 1998 and December 31, 1997 was
             $223,129,384 and $110,574,485, respectively, which equals 74% and
             52% of the Fund's Net Assets, respectively.

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

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

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

             The fair value of derivatives represents unrealized gains and
             losses on open futures and forward contracts.  The average fair
             value of derivatives during the nine months ended September 30,1998
             and 1997 and the related fair values as of September 30, 1998 and
             December 31, 1997 are as follows:





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


Note 6.      TRADING ACTIVITIES AND RELATED  RISKS (CONTINUED)


<TABLE>
<CAPTION>
                                                Average Fair Value For                   Fair Value as of
                                        ------------------------------------   ------------------------------------
                                           Nine Months Ended September 30,       September 30,         December 31,
                                        ------------------------------------   ------------------------------------
                                           1998                    1997              1998                  1997         
                                        --------------        --------------   ---------------       --------------
             <S>                          <C>                  <C>               <C>                    <C>
             Futures Contracts            $10,357,000          $3,391,000        $31,002,000            $8,567,000
             Forward Contract                (757,000)           (265,000)           561,300             1,328,000
</TABLE>


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

             Open contracts generally mature within three months; as of
             September 30, 1998 the latest maturity date for both open futures
             and forward contracts is February 1999.  However, the Partnership
             intends to close all contracts prior to maturity.  At September
             30, 1998 and December 31, 1997, the notional amount of open
             contracts is as follows:

<TABLE>
<CAPTION>
                                                September 30, 1998                      December 31, 1997          
                                         ---------------------------------     ----------------------------------
                                         Contracts to       Contracts to        Contracts to       Contracts to
                                           Purchase             Sell               Purchase            Sell       
                                        ---------------   ----------------     ----------------   ---------------
   <S>                                   <C>              <C>                   <C>                <C>
   Derivatives:
     Futures contracts (exchange traded):
       - Long-term interest rates          $1,133,800,000 $              0      $ 759,600,000     $          0
       - Short-term interest rates            356,100,000                0        485,700,000      437,100,000
       - Stock indices                                  0       70,200,000         21,000,000       13,000,000
       - Softs/Fibers                                   0        3,400,000          2,500,000        1,000,000
       - Grains                                    20,000       34,500,000                  0        2,200,000
       - Meats                                          0          200,000                  0          400,000
       - Metals                                21,800,000       33,000,000          2,800,000       32,400,000
       - Energy                                48,700,000                0                  0       49,600,000
                                                                                                              
     Forward contracts                                                                                        
     (non-exchange traded):                                                                                   
       - Currencies                         1,184,600,000      889,100,000        284,900,000      472,800,000
                                           --------------  ---------------    ---------------   --------------
                                           $2,745,020,000  $ 1,030,400,000    $ 1,556,500,000   $1,008,500,000
                                           ==============  ===============    ===============   ==============
</TABLE>


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


Note 6.        TRADING ACTIVITIES AND RELATED  RISKS (CONTINUED)

               The above amounts do not represent the Partnership's risk of
               loss due to market and credit risk, but rather represent the
               Partnership's extent of involvement in derivatives at the date
               of the statement of financial condition.  The General Partner
               has established procedures to actively monitor and minimize
               market and credit risk.  The Limited Partners bear the risk of
               loss only to the extent of the market value of their respective
               investments and, in certain specific circumstances,
               distributions and redemptions received.

Note 7.        INTERIM FINANCIAL STATEMENTS

               The Statement of Financial Condition as of September 30, 1998,
               the Statements of Operations for the three months and nine
               months ended September 30, 1998 and 1997, the Statements of Cash
               Flows for the nine months ended September 30, 1998 and 1997 and
               the Statements of Changes in Partners' Capital (Net Asset Value)
               for the nine months ended September 30, 1998 and 1997 are
               unaudited.  In the opinion of management, such financial
               statements reflect all adjustments, which were of a normal and
               recurring nature, necessary for a fair  presentation of
               financial position as of September 30, 1998 and the results of
               operations for the three months and nine months ended September
               30, 1998 and 1997.





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

Introduction

The offering of the Campbell Strategic Allocation Fund's (the "Fund") Units of
Limited Partnership Interests commenced on January 12, 1994, and the initial
offering terminated on April 15, 1994 with proceeds of $9,692,439.  The
continuing offering period commenced immediately after the termination of the
initial offering period; additional subscriptions totaling $269,981,254 have
been accepted during the continuing offering period as of October 1, 1998.
Redemptions over the same time period total $46,693,302.  The Fund commenced
operations on April 18, 1994.

Capital Resources

The Fund will raise additional capital only through the sale of Units offered
pursuant to the continuing offering, and does not intend to raise any capital
through borrowing.  Due to the nature of the Fund's business, it will make no
capital expenditures and will have no capital assets which are not operating
capital or assets.

Liquidity

Most United States commodity exchanges limit fluctuations in commodity futures
contracts prices during a single day by regulations referred to as "daily price
fluctuation limits" or "daily limits".  During a single trading day, no trades
may be executed at prices beyond the daily limit.  Once the price of a futures
contract has reached the daily limit for that day, positions in that contract
can neither be taken nor liquidated.  Commodity futures prices have
occasionally moved to the daily limit for several consecutive days with little
or no trading.  Similar occurrences could prevent the Fund from promptly
liquidating unfavorable positions and subject the Fund to substantial losses
which could exceed the margin initially committed to such trades.  In addition,
even if commodity futures prices have not moved the daily limit, the Fund may
not be able to execute futures trades at favorable prices, if little trading in
such contracts is taking place.  Other than these limitations on liquidity,
which are inherent in the Fund's commodity futures trading operations, the
Fund's assets are expected to be highly liquid.

Results of Operations

The return for the nine months ending September 30, 1998 and 1997 was 10.72%
and 7.28%, respectively. The 10.72% increase was the result of an approximate
15.39% increase due to





                                       13
<PAGE>   14
trading gains (before commissions) and an approximate 3.47% increase was due to
interest income, offset by an approximate 8.14% decrease as the result of
brokerage fees, performance fees and operating costs borne by the Fund.  An
analysis of the components of the 15.39% trading gains by sector is as
follows:


<TABLE>
<CAPTION>
Sector                                    % Gain (Loss) 
--------------                            ----------------
 <S>                                          <C>    
 Interest Rates                               19.36% 
 Stock Indices                                 3.05  
 Currencies                                   (4.10) 
 Metals                                       (1.87) 
 Agriculturals                                (0.66) 
 Energy                                       (0.39) 
                                              ------
                                              15.39%
                                              ======
</TABLE>


1998 began with positive performance being achieved in the interest rates,
stock indices, and energy sectors.  In January the interest rates were the most
profitable sector, with the deflationary implications of the Asian financial
crisis continuing to push U.S. and European yields lower.   February was a
month of major trend transition.  The significant losses in the currencies and
cross rates pulled returns down, most of which was attributable to the
positions held outright in Japanese Yen and Yen cross positions held against
the other major currencies. Currencies bounced back in March, and left us with
respectable results for the first quarter 1998.  Stock indices were also
positive in March, as world equity markets continued their seemingly endless
ascent.

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





                                       14
<PAGE>   15
July was an unusual month in that the moderate negative result was broadly
dispersed over almost every market sector.  Stock Indices such as the S&P and
Nikkei had substantial negative results in July.  With the situations in Asia
and Russia worsening, many global capital markets experienced a "flight to
safety" during August, as investors sold equities and bought government bonds.
In August virtually all of our returns for the month came from global interest
rates sector.  All other sectors showed small gains and losses, which were
largely offsetting.  In September the interest rates sector returns dominated
again.  Our global bond positions did very well, and our shorter-term interest
rate positions also contributed.

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

Off-Balance Sheet Risk

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

In addition to market risk, in entering into futures and forward contracts
there is a risk to the Fund (credit risk) that a counterparty will not be able
to meet its obligations to the Fund.  The counterparty of the Fund for futures
contracts traded in the United States and most foreign exchanges on which the
Fund trades is the clearinghouse associated with such exchange.  In general,
clearinghouses are backed by the membership of the exchange and will  act in
the event of non-performance by one of its members or one of its members'
customers, and as 





                                       15
<PAGE>   16
such, should significantly reduce this credit risk.  In cases where the
Fund trades on exchanges where the clearinghouse is not backed by the
membership (i.e. some foreign exchanges) or when the Fund enters into
off-exchange contracts (i.e. forward contracts) with a counterparty, the sole
recourse of the  Fund will be the clearinghouse or the counterparty as the case
may be.  Campbell & Company, Inc., in its business as a commodity-trading
advisor and through its many relationships with brokers, monitors the
creditworthiness of the exchanges and the  clearing members of the foreign
exchanges with which it does business for the Fund and other clients.  With
respect to forward contract trading, the Fund trades with only those
counterparties which the General Partner has determined to be creditworthy. All
positions of the Fund  are valued each day on a mark-to-market basis. While the
General Partner monitors the creditworthiness and risks involved in dealing on
the various exchanges and with counterparties, there can be no assurance that
an exchange or counterparty will be able to meet its obligations to the Fund.





                                       16
<PAGE>   17
                           PART II-OTHER INFORMATION


Item 1.          Legal Proceedings.

                 None

Item 2.          Changes in Securities

                 None

Item 3.          Defaults Upon Senior Securities

                 Not applicable.

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

                 None

Item 5.          Other Information

                 None

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

                 None

                 There are no exhibits to this Form 10-Q.





                                       17
<PAGE>   18
                                   SIGNATURES





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


                           CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                             (Registrant)
                             
                                 By: Campbell & Company, Inc.
                                     General Partner
                                     
                                     
Date:November 10, 1998           By: /s/Theresa D. Livesey                  
                                     -------------------------------------------
                                     Theresa D. Livesey
                                     Chief Financial Officer/Treasurer/Director
                                
                                



                                       18