<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, 2000
                               -------------------------------------------------

                                       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: 25
                                                   --





<PAGE>   2



                         PART I - FINANCIAL INFORMATION


Item 1. Financial Statements

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

      Statements of Financial Condition as of September 30, 2000 (Unaudited) and
        December 31, 1999 (Audited)

      Statements of Operations for the Three Months and Nine Months Ended
        September 30, 2000 and 1999 (Unaudited)

      Statements of Cash Flows for the Nine Months Ended
        September 30, 2000 and 1999 (Unaudited)

      Statements of Changes in Partners' Capital (Net Asset Value) for the Nine
        Months Ended September 30, 2000 and 1999 (Unaudited)



<PAGE>   3


                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                        STATEMENTS OF FINANCIAL CONDITION
         September 30, 2000 (Unaudited) and December 31, 1999 (Audited)


<TABLE>
<CAPTION>
                                                                September 30,       December 31,
                                                                    2000                1999
                                                                    ----                ----
<S>                                                            <C>                  <C>
ASSETS
    Equity in broker trading accounts
        Cash                                                   $  50,579,162        $  54,186,103
        United States government securities                      304,840,961          256,915,665
        Unrealized gain (loss) on open futures contracts         (16,795,795)          16,512,156
                                                               -------------        -------------

                Deposits with broker                             338,624,328          327,613,924

    Cash and cash equivalents                                     82,897,723           33,978,199
    United States government securities                          135,996,086          129,150,061
    Unrealized gain (loss) on open forward contracts              (8,675,221)           6,098,317
                                                               -------------        -------------

                Total assets                                   $ 548,842,916        $ 496,840,501
                                                               =============        =============

LIABILITIES
    Accounts payable                                           $     265,872        $     260,063
    Brokerage fee                                                  3,402,023            3,118,646
    Offering costs payable                                           284,986              259,595
    Redemptions payable                                            4,872,390            9,074,798
    Subscription deposits                                                  0              107,295
                                                               -------------        -------------

                Total liabilities                                  8,825,271           12,820,397
                                                               -------------        -------------

PARTNERS' CAPITAL (NET ASSET VALUE)
    General Partner - 3,201.572 and 2,904.862 units
        outstanding at September 30, 2000 and
        December 31, 1999                                          5,512,947            5,040,488
    Limited Partners - 310,406.618 and 276,039.045
        units outstanding at September 30, 2000 and
        December 31, 1999                                        534,504,698          478,979,616
                                                               -------------        -------------

                Total partners' capital
                   (Net Asset Value)                             540,017,645          484,020,104
                                                               -------------        -------------

                                                               $ 548,842,916        $ 496,840,501
                                                               =============        =============
</TABLE>

                             See accompanying notes.


                                      -3-
<PAGE>   4

                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                            STATEMENTS OF OPERATIONS
           For the Three Months Ended September 30, 2000 and 1999 and
              For the Nine Months Ended September 30, 2000 and 1999
                                   (Unaudited)




<TABLE>
<CAPTION>
                                                                 Three Months                             Nine Months
                                                                     Ended                                   Ended
                                                                 September 30,                           September 30,

                                                           2000                1999                 2000                1999
                                                           ----                ----                 ----                ----
<S>                                                    <C>                 <C>                 <C>                 <C>
INCOME
    Futures trading gains (losses)
        Realized                                       $ 23,738,500        $ 15,133,172        $ 37,898,040        $ 15,528,154
        Change in unrealized                            (30,545,102)         (8,538,272)        (33,307,951)         10,359,061
                                                       ------------        ------------        ------------        ------------

                Gain (loss) from futures trading         (6,806,602)          6,594,900           4,590,089          25,887,215
                                                       ------------        ------------        ------------        ------------

    Forward trading gains (losses)
        Realized                                          5,668,380          (3,374,275)         16,685,304             908,774
        Change in unrealized                            (11,988,621)         10,038,953         (14,773,538)          9,733,558
                                                       ------------        ------------        ------------        ------------

                Gain (loss) from forward trading         (6,320,241)          6,664,678           1,911,766          10,642,332
                                                       ------------        ------------        ------------        ------------

    Interest income                                       7,949,985           5,133,358          21,605,596          13,141,100
                                                       ------------        ------------        ------------        ------------

                Total income (loss)                      (5,176,858)         18,392,936          28,107,451          49,670,647
                                                       ------------        ------------        ------------        ------------

EXPENSES
    Brokerage fee                                        10,176,831           8,455,263          29,551,365          22,821,715
    Performance fee                                               0             756,138              27,869           1,780,670
    Operating expenses                                      276,426             203,172             799,946             524,752
                                                       ------------        ------------        ------------        ------------

                Total expenses                           10,453,257           9,414,573          30,379,180          25,127,137
                                                       ------------        ------------        ------------        ------------

                NET INCOME (LOSS)                      $(15,630,115)       $  8,978,363        $ (2,271,729)       $ 24,543,510
                                                       ============        ============        ============        ============

NET INCOME (LOSS) PER GENERAL
AND LIMITED PARTNER UNIT
    (based on weighted average number of
    units outstanding during the period)               $     (51.83)       $      35.52        $      (7.83)       $     104.60
                                                       ============        ============        ============        ============

INCREASE (DECREASE) IN NET
    ASSET VALUE PER GENERAL
    AND LIMITED PARTNER UNIT                           $     (54.07)       $      31.96        $     (13.24)       $      84.29
                                                       ============        ============        ============        ============
</TABLE>

                             See accompanying notes.

                                      -4-
<PAGE>   5

                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                            STATEMENTS OF CASH FLOWS
              For the Nine Months Ended September 30, 2000 and 1999
                                   (Unaudited)


<TABLE>
<CAPTION>
                                                                             Nine Months
                                                                                Ended
                                                                             September 30,

                                                                       2000                 1999
                                                                       ----                 ----
<S>                                                              <C>                  <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
    Net income (loss)                                            $  (2,271,729)       $  24,543,510
    Adjustments to reconcile net income (loss) to net cash
    (for) operating activities
        Net change in unrealized                                    48,081,489          (20,092,619)
        Increase (decrease) in accounts payable and
            accrued expenses                                           289,186             (488,553)
        Net (purchases) of investments in United States
            government securities                                  (54,771,321)        (170,473,665)
                                                                 -------------        -------------

                Net cash (for) operating activities                 (8,672,375)        (166,511,327)
                                                                 -------------        -------------

CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
    Addition of units                                              112,657,998          120,616,846
    Increase (decrease) in subscription deposits                      (107,295)             395,012
    Redemption of units                                            (51,878,391)         (23,108,841)
    Increase (decrease) in redemptions payable                      (4,202,408)             749,645
    Offering costs charged                                          (2,510,337)          (2,068,158)
    Increase in offering costs payable                                  25,391               59,062
                                                                 -------------        -------------

                Net cash from financing activities                  53,984,958           96,643,566
                                                                 -------------        -------------

Net increase (decrease) in cash and cash equivalents                45,312,583          (69,867,761)

CASH AND CASH EQUIVALENTS
    Beginning of period                                             88,164,302          133,709,716
                                                                 -------------        -------------

    End of period                                                $ 133,476,885        $  63,841,955
                                                                 =============        =============

End of period cash and cash equivalents consists of:
    Cash in broker trading accounts                              $  50,579,162        $  30,881,723
    Cash and cash equivalents                                       82,897,723           32,960,232
                                                                 -------------        -------------

        Total end of period cash and cash equivalents            $ 133,476,885        $  63,841,955
                                                                 =============        =============
</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, 2000 and 1999
                                   (Unaudited)

<TABLE>
<CAPTION>
                                                                Partners' Capital                          Partners' Capital
                                         ----------------------------------------------------------   ----------------------------
                                                   General                         Limited                        Total
                                         --------------------------     ---------------------------   ----------------------------
                                           Units          Amount          Units          Amount          Units           Amount
                                           -----          ------          -----          ------          -----           ------
<S>                                      <C>          <C>               <C>           <C>             <C>            <C>
NINE MONTHS ENDED SEPTEMBER 30, 2000

Balances at
       December 31, 1999                 2,904.862    $   5,040,488     276,039.045   $ 478,979,616   278,943.907    $ 484,020,104

Net (loss) for the nine months
       ended September 30, 2000                             (30,382)                     (2,241,347)                    (2,271,729)

Additions                                  296.710          530,000      63,896.789     112,127,998    64,193.499      112,657,998

Redemptions                                  0.000                0     (29,529.216)    (51,878,391)  (29,529.216)     (51,878,391)

Offering costs                                              (27,159)                     (2,483,178)                    (2,510,337)
                                         ---------    -------------     -----------   -------------   -----------    -------------

Balances at
       September 30, 2000                3,201.572    $   5,512,947     310,406.618   $ 534,504,698   313,608.190    $ 540,017,645
                                         =========    =============     ===========   =============   ===========    =============

NINE MONTHS ENDED SEPTEMBER 30, 1999

Balances at
       December 31, 1998                 2,096.643    $   3,483,174     204,942.359   $ 340,473,474   207,039.002    $ 343,956,648

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

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

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

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

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




<TABLE>
<CAPTION>
                      Net Asset Value Per General and Limited Partner Unit
          --------------------------------------------------------------------------
           September 30,        December 31,         September 30,        December 31,
               2000                1999                 1999                 1998
               ----                ----                 ----                 ----
           <S>                 <C>                  <C>                  <C>
            $1,721.95           $1,735.19            $1,745.60            $1,661.31
            =========           =========            =========            =========
</TABLE>

                             See accompanying notes.

                                      -6-
<PAGE>   7

                    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 and forward contracts.

        B.      Regulation

                As a registrant with the Securities and Exchange Commission, the
                Fund is subject to the regulatory requirements under the
                Securities Acts of 1933 and 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 market makers through which the Fund trades.

        C.      Method of Reporting

                The Fund's financial statements are presented in accordance with
                generally accepted accounting principles, which require the use
                of certain estimates made by the Fund's management. Transactions
                are accounted for on the trade date. Gains or losses are
                realized when contracts are liquidated. Unrealized gains and
                losses on open contracts (the difference between contract
                purchase price and market price) are reported in the statement
                of financial condition as a net gain or loss, as there exists a
                right of offset of unrealized gains or losses in accordance with
                Financial Accounting Standards Board Interpretation No. 39 -
                "Offsetting of Amounts Related to Certain Contracts." Any change
                in net unrealized gain or loss from the preceding period is
                reported in the statement of operations. United States
                government securities are stated 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.



                                      -7-
<PAGE>   8

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


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

        E.      Income Taxes

                The Fund prepares calendar year U.S. and 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 total
                costs in connection with the initial and continuous offering of
                units of the Fund (offering costs) of $14,126,071 through
                September 30, 2000, $9,251,995 of which has already been
                reimbursed to Campbell & Company by the Fund. At September 30,
                2000, the Fund reflects a liability in the statement of
                financial condition for offering costs payable to Campbell &
                Company of $284,986. 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. 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.

                The amount of monthly reimbursement due to Campbell & Company is
                charged directly to partners' capital.

        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.



                                      -8-
<PAGE>   9


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


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.

        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.

        Commencing August 1, 2000, the Fund pays a monthly brokerage fee equal
        to 1/12 of 7.65% (7.65% annualized) of month-end net assets. Campbell &
        Company receives 7% of this 7.65% 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 Campbell & Company for trading and
        management services rendered. The remainder of the brokerage fee (0.65%)
        is paid directly to the broker. Prior to August 1, 2000, the monthly
        brokerage fee was equal to 1/12 of 7.7% (7.7% annualized) of month-end
        net assets, with the amount paid directly to the broker equal to 1/12 of
        .7% (.7% annualized) of month-end net assets. During the nine months
        ended September 30, 2000 and 1999, the amounts paid directly to the
        broker amounted to $2,645,711 and $2,074,701, respectively. During the
        three months ended September 30, 2000 and 1999, the amounts paid
        directly to the broker amounted to $884,390 and $766,660, respectively.

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

Note 3. DEPOSITS WITH BROKER

        The Fund deposits 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 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, 2000 and 1999.


                                      -9-
<PAGE>   10

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


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, 2000 and December
        31, 1999, amounts received by the Fund from prospective limited partners
        who have not yet been admitted to the Fund by Campbell & Company total
        $0 and $107,295, respectively.

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

Note 6. TRADING ACTIVITIES AND RELATED RISKS

        The Fund engages in the speculative trading of U.S. and foreign futures
        contracts and forward contracts (collectively, "derivatives"). These
        derivatives include both financial and non-financial contracts held as
        part of a diversified trading program. 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 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, 2000 and December 31, 1999 was $440,837,047 and
        $386,065,726, respectively, which equals 82% and 80% of Net Asset Value,
        respectively.


                                      -10-
<PAGE>   11



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




Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)

        The Fund 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 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 value of futures and forward contracts purchased and unlimited
        liability on such contracts sold short.

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

<TABLE>
<CAPTION>
                                                       Futures Contracts                           Forward Contracts
                                                       (exchange traded)                         (non-exchange traded)
                                            September 30, 2000   December 31, 1999      September 30, 2000    December 31, 1999
                                            ------------------   -----------------      ------------------    -----------------
<S>                                           <C>                     <C>                  <C>                   <C>
          Gross unrealized gains              $   4,801,702           $16,698,403          $ 15,713,187          $  7,528,691
          Gross unrealized (losses)             (21,597,497)             (186,247)          (24,388,408)           (1,430,374)
                                               -------------          -----------          -------------         ------------

          Net unrealized gain (loss)           $(16,795,795)          $16,512,156          $ (8,675,221)         $  6,098,317
                                               =============          ===========          =============         ============
</TABLE>

        Open contracts generally mature within three months; as of September 30,
        2000, the latest maturity date for open futures contracts is June 2001,
        and the latest maturity date for open forward contracts is December
        2000. 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
        they 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.


                                      -11-
<PAGE>   12


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

Note 7. INTERIM FINANCIAL STATEMENTS

        The statement of financial condition as of September 30, 2000, the
        statements of operations for the three months and nine months ended
        September 30, 2000 and 1999, and the statements of cash flows and
        changes in partners' capital (net asset value) for the nine months ended
        September 30, 2000 and 1999 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, 2000, the results of operations
        for the three months and nine months ended September 30, 2000 and 1999,
        and cash flows for the nine months ended September 30, 2000 and 1999.


                                      -12-
<PAGE>   13


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

Introduction

The offering of Campbell Strategic Allocation Fund's (the "Fund") Units of
Limited Partnership Interest commenced on January 12, 1994, and the initial
offering terminated on April 15, 1994 with proceeds of $9,692,439. The
continuing offering period commenced immediately after the termination of the
initial offering period; additional subscriptions totaling $579,857,560 have
been accepted during the continuing offering period as of October 1, 2000.
Redemptions over the same time period total $146,067,219. The Fund commenced
operations on April 18, 1994.

Effective September 1, 2000, the Fund began trading exclusively in accordance
with Campbell & Company's Financial Metal & Energy Large Portfolio. The
elimination of the Global Diversified Large Portfolio only resulted in a 2%
allocation away from agricultural products.

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 returns for the nine months ending September 30, 2000 and 1999 were (.76%)
and 5.07%, respectively. Of the .76% loss, approximately 1.45% was due to
trading gains (before commissions) and approximately 4.24% was due to interest
income, offset by approximately 6.45% in brokerage




                                      -13-
<PAGE>   14

fees, performance fees, operating costs and offering costs borne by the Fund. An
analysis of the 1.45% trading gains by sector is as follows:

<TABLE>
<CAPTION>
SECTOR             % GAIN (LOSS)
------             -------------
<S>                   <C>
Interest Rates          (7.33)%

Stock Indices             .84

Currencies                .38

Metals                  (1.80)

Agriculturals            (.28)

Energy                   9.64
                         ----

                         1.45%
                         ----
</TABLE>

The first month of the New Year provided a highly volatile environment, which
offered the Fund the opportunity to perform well in most markets. Long bond
positions held for security over the Y2K year-end were sold off early in the
month benefiting short positions. Rising interest rates with still moderate
inflation numbers helped push the dollar higher against the Swiss Franc, the Yen
and the Euro, which benefited currency positions. In February, the volatility
seen in January continued, providing profits in some markets, but eliminating
January's gains in others. Currencies and energy continued to be profitable, but
these gains were more than offset by losses in short positions in the long-term
interest rate sector. March was a difficult month as sharp reversals in the
energy sector and the Yen were the biggest factors in the loss for the month.

Although the Fund managed gains in U.S. equity indices during April, the
unprecedented volatility in global equity indices resulted in a small loss in
this sector overall. The crude market rallied on news that OPEC would not
drastically increase production, causing losses on short crude positions which
more than eliminated gains made on the upward trend of natural gas. Losses in
the interest rates sectors provided the majority of the losses for the month, as
the Fund's long positions quickly became unprofitable as stability returned to
the equity markets. In May, the energy sector provided the majority of the
profit as the markets realized that OPEC production increases were still not
meeting demand. The continued economic strength caused the Federal Reserve to
increase short-term interest rates by 50 basis points mid-month as anticipated.
The Fund experienced a classic whipsaw as its interest rate positions flipped
from long to short, only to see the market rally hard again as softer economic
numbers triggered aggressive short covering. Higher interest rates pushed the
Fund's long U.S. Dollar positions up against the British Pound, New Zealand
Dollar and South African Rand. The energy sector continued to be the best
performer in June. Although the mid-month OPEC meeting increased the official
supply of crude, most of the increase was already being made available to the
market through quota cheating. This, together with the apparent solidarity of
OPEC, led to a strong rally




                                      -14-
<PAGE>   15

that was profitable for the Fund's long positions. The rallies in the S&P and
NASDAQ indices at month-end contributed to a moderate gain in this sector.

In July, the Fund sustained losses in the energy sector due to increased crude
oil production in Saudi Arabia, but managed small gains in the currencies and
interest rates sectors. The volatility in the stock indices sector also
continued to provide gains in July after a profitable June. Energy prices
resumed a strong upward trend in August after the sell off in July. This sector
provided the substantially all of the gain for the month. Small losses in the
currencies and interest rates sectors offset some of this gain. In September,
the G7 intervened to support the Euro causing both the Euro and British Pound to
trade sharply higher against the dollar. This lead to loses in both the currency
and cross rates sectors. The U.S. interest rate sector suffered due to a
combination of weakness in the corporate sector, a surprisingly strong CPI
number, and a shift in the government's debt repurchase program. This, combined
with a sharp whipsaw in the Japanese Government Bond, caused interest rates to
be the worst performing sector for the month.

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

Off-Balance Sheet Risk

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

In addition to market risk, in entering into futures and forward contracts there
is a risk to the Fund (credit risk) that a counterparty will not be able to meet
its obligations to the Fund. The counterparty of the Fund for futures contracts
traded in the United States and most foreign



                                      -15-
<PAGE>   16

exchanges on which the Fund trades is the clearinghouse associated with such
exchange. In general, clearinghouses are backed by the membership of the
exchange and will act in the event of non-performance by one of its members or
one of its members' customers, and as such, should significantly reduce this
credit risk. In cases where the Fund trades on exchanges where the clearinghouse
is not backed by the membership (i.e. some foreign exchanges) or when the Fund
enters into off-exchange contracts (i.e. forward contracts) with a counterparty,
the sole recourse of the Fund will be the clearinghouse or the counterparty as
the case may be. Campbell & Company, 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 Campbell & Company has determined to be creditworthy. All
positions of the Fund are valued each day on a mark-to-market basis. While
Campbell & Company 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.

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 substantially
all 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


                                      -16-
<PAGE>   17

indicated Value at Risk or the Fund's experience to date (i.e., "risk of ruin").
In light of the foregoing as well as the risks and uncertainties intrinsic to
all future projections, the inclusion of the quantification included in this
section should not be considered to constitute any assurance or representation
that the Fund's losses in any market sector will be limited to Value at Risk or
by the Fund's attempts to manage its market risk.

Standard of Materiality

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

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



                                      -17-
<PAGE>   18

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
figure includes foreign margin amounts converted into U.S. Dollars with an
incremental adjustment to reflect the exchange rate risk inherent to the
Dollar-based Fund in expressing Value at Risk in a functional currency other
than Dollars.

In quantifying the Fund's Value at Risk, 100% positive correlation in the
different positions held in each market risk category has been assumed.
Consequently, the margin requirements applicable to the open contracts have
simply been aggregated to determine each trading category's aggregate Value at
Risk. The diversification effects resulting from the fact that the Fund's
positions are rarely, if ever, 100% positively correlated have not been
reflected.

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, 2000 and December
31, 1999 and the trading gains/losses by market category for the nine months
ended September 30, 2000 and the year ended December 31, 1999. All open position
trading risk exposures of the Fund have been included in calculating the figures
set forth below. As of September 30, 2000 and December 31, 1999, the Fund's
total capitalization was approximately $540 million and $484 million,
respectively.

                               SEPTEMBER 30, 2000
<TABLE>
<CAPTION>
                                            % OF TOTAL                   TRADING
MARKET SECTOR     VALUE AT RISK           CAPITALIZATION              GAIN/(LOSS)*
-------------     -------------           --------------              ------------
<S>               <C>                     <C>                         <C>
Currencies        $25.98 million              4.81%                       .38%
Energy            $15.43 million              2.86%                      9.64%
Stock Indices     $12.54 million              2.32%                       .84%
Interest Rates    $10.41 million              1.93%                     (7.33%)
Metals            $ 4.09 million               .76%                     (1.80%)
Agriculturals     $            0                 0%                      (.28%)
                  --------------                 --                      ------

   Total          $68.45 million             12.68%                      1.45%
                  ==============             ======                      =====
</TABLE>


                                      -18-
<PAGE>   19

* - Of the .76% loss for the nine months ended September 30, 2000, approximately
1.45% was due to trading gains (before commissions) and approximately 4.24% was
due to interest income, offset by approximately 6.45% in brokerage fees,
performance fees and operating costs borne by the Fund.



                               DECEMBER 31, 1999

<TABLE>
<CAPTION>
                                            % OF TOTAL                  TRADING
MARKET SECTOR     VALUE AT RISK           CAPITALIZATION              GAIN/(LOSS)*
-------------     -------------           --------------              ------------
<S>               <C>                     <C>                         <C>
Interest Rates    $12.32 million             2.55%                        .60%
Stock Indices     $ 7.81 million             1.61%                      (3.06%)
Currencies        $ 7.65 million             1.58%                       2.48%
Energy            $ 4.80 million              .99%                       8.88%
Metals            $ 2.27 million              .47%                        .51%
Agriculturals     $  .19 million              .04%                       (.22%)
                  ----------------           -----                      ------

   Total          $35.04 million             7.24%                       9.19%
                  ==============             =====                       =====
</TABLE>

* - Of the 4.45% return for the year ended December 31, 1999, approximately
9.19% was due to trading gains (before commissions) and approximately 4.68% was
due to interest income, offset by approximately 9.42% in brokerage fees,
performance fees and operating 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."


                                      -19-
<PAGE>   20

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


QUALITATIVE DISCLOSURES REGARDING PRIMARY TRADING RISK EXPOSURES

The following qualitative disclosures regarding the Fund's market risk exposures
-- except for (i) those disclosures that are statements of historical fact and
(ii) the descriptions of how the Fund manages its primary market risk exposures
-- constitute forward-looking statements within the meaning of Section 27A of
the Securities Act and Section 21E of the Securities Exchange Act. The Fund's
primary market risk exposures as well as the strategies used and to be used by
Campbell & Company for managing such exposures are subject to numerous
uncertainties, contingencies and risks, any one of which could cause the actual
results of the Fund's risk controls to differ materially from the objectives of
such strategies. Government interventions, defaults and expropriations, illiquid
markets, the emergence of dominant fundamental factors, political upheavals,
changes in historical price relationships, an influx of new market participants,
increased regulation and many other factors could result in material losses as
well as in material changes to the risk exposures and the risk management
strategies of the Fund. There can be no assurance that the Fund's current market
exposure and/or risk management strategies will not change materially or that
any such strategies will be effective in either the short- or long-term.
Investors must be prepared to lose all or substantially all of their investment
in the Fund.

The following were the primary trading risk exposures of the Fund as of
September 30, 2000, by market sector.

Currencies

Exchange rate risk is the principal market exposure of the Fund. The Fund's
currency exposure is to exchange rate fluctuations, primarily fluctuations which
disrupt the historical pricing relationships between different currencies and
currency pairs. These fluctuations are influenced by interest rate changes as
well as political and general economic conditions. The Fund trades in a large
number of currencies, including cross-rates -- i.e., positions between two
currencies other than the U.S. Dollar. Campbell & Company does not anticipate
that the risk profile of the Fund's currency sector will change significantly in
the future.

Interest Rates

Interest rate risk is a significant market exposure of the Fund. Interest rate
movements directly affect the price of the sovereign bond positions held by the
Fund and indirectly the value of its



                                      -20-
<PAGE>   21

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. However, the
Fund also takes positions in the government debt of Switzerland. Campbell &
Company anticipates that G-7 interest rates will remain the primary market
exposure of the Fund for the foreseeable future. The changes in interest rates
which have the most effect on the Fund are changes in long-term, as opposed to
short-term rates. Most of the speculative positions held by the Fund are in
medium- to long-term instruments. Consequently, even a material change in
short-term rates would have little effect on the Fund were the medium- to
long-term rates to remain steady.

Stock Indices

The Fund's primary equity exposure is to equity price risk in the G-7 countries
and several other countries (Hong Kong and Spain). The stock index futures
traded by the Fund are by law limited to futures on broadly based indices. As of
September 30, 2000, the Fund's primary exposures were in the Nikkei (Japan),
NASDAQ (USA), Hang Seng (Hong Kong), S&P 500 (USA) and DAX (Germany) 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 in the Middle East. As of September
30, 2000, crude oil, heating oil and natural gas are the dominant energy market
exposures of the Fund. Gas and oil prices 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 aluminum,
copper, gold, nickel and zinc. Campbell & Company's gold trading has been
increasingly limited due to the long-lasting and mainly non-volatile decline in
the price of gold over the last 10-15 years.

QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE

The following were the only non-trading risk exposures of the Fund as of
September 30, 2000.


                                      -21-
<PAGE>   22

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 the Fund and Campbell & Company, severally, attempt 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.


                                      -22-
<PAGE>   23


                            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.

           A. Exhibits

              27  Financial Data Schedule

           B. Reports on Form 8-K

              None



                                      -23-
<PAGE>   24



                                   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 8, 2000          By:  /s/Theresa D. Becks
                                     ------------------------------------------
                                     Theresa D. Becks
                                     Chief Financial Officer/Treasurer/Director



                                      -24-