<PAGE>   1

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

                                    FORM 10-Q

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

For the quarterly period ended      June 30, 1999
                              --------------------------------------------------
                                       or

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

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

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


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


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

Court Towers Building
210 West Pennsylvania Avenue
Baltimore, Maryland                                     21204
-------------------------------           ------------------------------------
(Address of principal executive offices)              (Zip Code)

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

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

                              Yes [X]      No [ ]

                            Total number of Pages: 19
                                                   --

<PAGE>   2



                         PART I - FINANCIAL INFORMATION

Item 1.       Financial Statements

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

            Statements of Financial Condition as of June 30, 1999 and
                December 31, 1998

            Statements of Operations for the Three Months and
                 Six Months Ended June 30, 1999 and 1998

            Statements of Cash Flows for the Six months Ended
                June 30, 1999 and 1998

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




                                       2
<PAGE>   3


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

<TABLE>
<CAPTION>
                                                                            June 30,                 December 31,
                                                                              1999                       1998
                                                                         -------------              --------------
<S>                                                                       <C>                       <C>
ASSETS
   Equity in broker trading accounts
     Cash                                                                 $ 16,166,563              $  88,830,060
     United States government securities                                   233,980,529                114,491,286
     Unrealized gain on open futures contracts                              22,815,050                  3,917,717
                                                                          ------------              -------------

            Deposits with broker                                           272,962,142                207,239,063

   Cash                                                                     33,778,164                 44,879,656
   United States government securities                                     126,279,139                 99,677,514
   Unrealized loss on open forward contracts                                (1,310,821)                (1,005,425)
                                                                          -------------             --------------

            Total assets                                                  $431,708,624               $350,790,808
                                                                          ============              =============

LIABILITIES
   Accounts payable                                                       $    137,906              $     222,124
   Brokerage fee                                                             2,680,103                  2,164,020
   Performance fee                                                           1,018,497                  1,985,393
   Offering costs payable                                                      237,274                    185,312
   Redemptions payable                                                       3,345,648                  2,260,525
   Subscription deposits                                                       175,699                     16,786
                                                                          ------------              -------------

            Total liabilities                                                7,595,127                  6,834,160
                                                                          ------------              -------------

PARTNERS' CAPITAL (NET ASSET VALUE)
  General Partner - 2,541.937 and 2,096.643 units
      outstanding at June 30, 1999 and                                       4,355,965                  3,483,174
      December 31, 1998
  Limited Partners - 244,950.700 and 204,942.359
      units outstanding at June 30, 1999 and
      December 31, 1998                                                    419,757,532                340,473,474
                                                                          ------------              -------------

            Total partners' capital

              (Net Asset Value)                                            424,113,497                343,956,648
                                                                          ------------              -------------

                                                                          $431,708,624              $ 350,790,808
                                                                          ============              =============
</TABLE>




                             See accompanying notes.


                                       3
<PAGE>   4


                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                            STATEMENTS OF OPERATIONS
                       For the Three Months and Six Months
                          Ended June 30, 1999 and 1998
                                   (Unaudited)
<TABLE>
<CAPTION>

                                                   Three Months Ended                   Six Months Ended
                                                        June 30,                            June 30,
                                                1999               1998              1999           1998
                                                ----               ----              ----           ----
<S>                                          <C>               <C>              <C>             <C>
INCOME
  Futures trading gains (losses)
    Realized                                 $12,008,887       $(5,651,457)     $   394,982     $15,987,736
    Change in unrealized                      12,115,832         1,206,602       18,897,333      (3,374,916)
                                             -----------      ------------      -----------     -----------

       Gain (loss) from futures
            trading                           24,124,719        (4,444,855)      19,292,315      12,612,820

  Forward trading gains (losses)
    Realized                                   9,139,049        12,898,555        4,283,050       3,576,499
    Change in unrealized                      (3,757,172)       (9,686,807)        (305,396)     (3,378,807)
                                             -----------      -------------     -----------     -----------

       Gain from forward
            trading                            5,381,877         3,211,748        3,977,654         197,692

  Interest income                              4,240,493         3,136,981        8,007,742       6,051,638
                                             -----------      ------------      -----------     -----------

       Total income                           33,747,089         1,903,874       31,277,711      18,862,150
                                             -----------      ------------      -----------     -----------

EXPENSES
  Brokerage fee                                7,700,321         4,813,804       14,366,452       9,212,899
  Performance fee                              1,024,532                 0        1,024,532       1,831,739
  Operating expenses                             147,484           117,023          321,580         240,150
                                             -----------      ------------      -----------     -----------

       Total expenses                          8,872,337         4,930,827       15,712,564      11,284,788
                                             -----------      ------------      -----------     -----------

       NET INCOME (LOSS)                     $24,874,752      $(3,026,953)      $15,565,147     $ 7,577,362
                                             ===========      ============      ===========     ===========

NET INCOME (LOSS) PER GENERAL
AND LIMITED PARTNER UNIT
  (based on weighted average
   number of units outstanding
   during the period)                        $    105.44      $    (17.78)      $     69.00     $     46.99
                                             ===========      ============      ===========     ===========

INCREASE (DECREASE) IN NET
ASSET VALUE PER GENERAL
AND LIMITED PARTNER UNIT                     $    101.99      $    (24.77)      $     52.33     $     40.79
                                             ===========      ============      ===========     ===========
</TABLE>

                             See accompanying notes.

                                       4
<PAGE>   5


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

<TABLE>
<CAPTION>
                                                                                     1999                    1998
                                                                                     ----                    ----
<S>                                                                           <C>                      <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
 Net income                                                                   $   15,565,147           $   7,577,362
  Adjustments to reconcile net income to net cash for
  operating activities
      Net change in unrealized                                                   (18,591,937)              6,753,723
      Decrease in accounts payable and accrued expenses                             (535,031)             (2,265,704)
      Net purchases of investments in United States government
       and agency securities                                                    (146,090,868)            (86,021,413)
                                                                              --------------            ------------

                      Net cash for operating activities                         (149,652,689)            (73,956,032)
                                                                              --------------            ------------

CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
 Addition of units                                                                79,843,496              57,786,355
 Increase (decrease) in subscription deposits                                        158,913                (692,882)
 Redemption of units                                                             (13,916,758)             (9,220,782)
 Increase (decrease) in redemptions payable                                        1,085,123                (438,183)
 Offering costs charged                                                           (1,335,036)               (876,693)
 Increase in offering costs payable                                                   51,962                  31,760
                                                                              --------------            ------------

                      Net cash from financing activities                          65,887,700              46,589,575
                                                                              --------------            ------------

Net decrease in cash                                                             (83,764,989)            (27,366,457)

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

 End of period                                                                $   49,944,727            $ 18,011,729
                                                                              ==============            ============

End of period cash consists of:
  Cash in broker trading accounts                                                 16,166,563               5,877,349
  Cash                                                                            33,778,164              12,134,380
                                                                              --------------            ------------

        Total end of period cash                                              $   49,944,727            $ 18,011,729
                                                                              ==============            ============
</TABLE>




                             See accompanying notes.

                                       5
<PAGE>   6



                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
          STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
                For the Six Months Ended June 30, 1999 and 1998
                                   (Unaudited)
<TABLE>
<CAPTION>

                                                                    Partners' Capital
                                  ------------------------------------------------------------------------------------
                                            General                     Limited                       Total
                                  ------------------------------------------------------------------------------------
                                     Units         Amount        Units           Amount        Units        Amount
                                     -----         ------        -----           ------        -----        ------
<S>                               <C>            <C>          <C>            <C>            <C>           <C>
SIX MONTHS ENDED
 JUNE 30, 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 gain for the six months
  ended June 30, 1999                               156,241                    15,408,906                   15,565,147

Additions                           445.294         730,000    48,430.419      79,113,496    48,875.713     79,843,496

Redemptions                           0.000               0    (8,422.078)    (13,916,758)   (8,422.078)   (13,916,758)

Offering costs                                      (13,450)                   (1,321,586)                  (1,335,036)
                                  ---------      ----------   -----------    ------------   -----------   ------------

Balances at
  June 30, 1999                   2,541.937      $4,355,965   244,950.700    $419,757,532   247,492.637   $424,113,497
                                  =========      ==========   ===========    ============   ===========   ============

SIX MONTHS ENDED
 JUNE 30, 1998
Balances at
  December 31, 1997               1,473.323      $2,135,788   145,259.520    $210,573,931   146,732.843   $212,709,719

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

Additions                           374.034         550,000    38,951.755      57,236,355    39,325.789     57,786,355

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

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

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

<TABLE>
<CAPTION>
                                                               Net Asset Value Per Unit
                                       ----------------------------------------------------------------------
                                           June 30,         December 31,         June 30,        December 31,
                                            1999               1998                1998             1997
                                       -------------       --------------      ------------     -------------
                                       <S>                 <C>                 <C>              <C>
                                       $    1,713.64       $     1,661.31      $   1,490.43     $    1,449.64
                                       =============       ==============      ============     =============
</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 Partnership

               Campbell Strategic Allocation Fund, L.P. (the Partnership) is a
               Delaware limited partnership which operates as a commodity
               investment pool. The Partnership's objective is the appreciation
               of its assets through speculative trading of futures contracts
               and other financial instruments.

          B.   Regulation

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

          C.   Method of Reporting

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

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


                                       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)

          D.   Income Taxes

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

          E.   Offering Costs

               The General Partner has incurred total costs in connection with
               the initial and continuous offering of Units of the Partnership
               (offering costs) of $9,498,620 through June 30, 1999, $5,277,463
               of which has already been reimbursed to the General Partner by
               the Partnership. At June 30, 1999, the Partnership reflects a
               liability in the statement of financial condition for offering
               costs payable to the General Partner of $237,274. The
               Partnership's liability for offering costs is limited to the
               maximum of total offering costs incurred by the General Partner
               or 2.5% of the aggregate subscriptions accepted during the
               initial and continuous offerings; this maximum is further limited
               by 30 month pay-out schedules. The Partnership is only liable for
               payment of offering costs on a monthly basis as calculated based
               on the limitations stated above. If the Partnership terminates
               prior to completion of payment of the calculated amounts to the
               General Partner, the General Partner will not be entitled to any
               additional payments, and the Partnership will have no further
               obligation to the General Partner.

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

          F.   Foreign Currency Transactions

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


                                       8
<PAGE>   9


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

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

          G.   Reclassification

               Certain amounts in the 1998 financial statements were
               reclassified to conform with the 1999 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.

          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 six months ended
          June 30, 1999 and 1998, the amounts paid directly to the broker
          amounted to $1,273,345 and $837,536, respectively.

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

Note 3.   DEPOSITS WITH BROKER

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


                                       9
<PAGE>   10


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

Note 4.   OPERATING EXPENSES

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

Note 5.   SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

          Investments in the Partnership are made by subscription agreement,
          subject to acceptance by the General Partner. As of June 30, 1999 and
          December 31, 1998, amounts received by the Partnership from
          prospective limited partners who have not yet been admitted to the
          Partnership by the General Partner total $175,699 and $16,786,
          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, subject to restrictions
          in the Amended Agreement of Limited Partnership. Redemption fees apply
          through the first twelve month-ends following purchase as follows: 4%
          of Net Asset Value per Unit redeemed through the third month-end, 3%
          of Net Asset Value per Unit redeemed through the sixth month-end, 2%
          of Net Asset Value per Unit redeemed through the ninth month-end and
          1% of Net Asset Value per Unit redeemed through the twelfth month-end.
          After the twelfth month-end following purchase of a Unit, no
          redemption fees apply.

Note 6.   TRADING ACTIVITIES AND RELATED RISKS

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

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


                                       10
<PAGE>   11


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

Note 6.   TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)

          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 June 30, 1999 and December 31, 1998 was $360,259,668
          and $214,168,800, respectively, which equals 85% and 62% of Net Asset
          Value, respectively.

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

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

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

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

<TABLE>
<CAPTION>
                                                  Average Fair Value
                                                    As of June 30,                        Fair Value as of
                                               -----------------------           ------------------------------------
                                               1999               1998           June 30, 1999      December 31, 1998
                                               ----               ----           -------------      -----------------
                <S>                        <C>                <C>                 <C>                 <C>
                Futures contracts          $10,296,000        $6,237,000          $22,815,000         $ 3,918,000
                Forward contracts              323,000           180,000           (1,311,000)         (1,005,000)
</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 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)
                                                       -----------------------------------   ---------------------------------
                                                       June 30, 1999     December 31, 1998   June 30, 1999   December 31, 1998
                                                       -------------     -----------------   -------------   -----------------
                <S>                                     <C>               <C>               <C>                <C>
                Gross unrealized gains                   $28,201,474        $6,289,815       $ 5,127,972        $ 7,377,712
                Gross unrealized losses                   (5,386,424)       (2,372,098)       (6,438,793)        (8,383,137)
                                                        ------------      ------------      ------------       ------------

                Net unrealized gain (loss)               $22,815,050        $3,917,717       $(1,310,821)      $ (1,005,425)
                                                         ===========        ==========       ============      =============
</TABLE>

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

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

<TABLE>
<CAPTION>
                                                               June 30, 1999                           December 31, 1998
                                                               -------------                           -----------------
                                                     Contracts to        Contracts to         Contracts to        Contracts to
                                                       Purchase              Sell               Purchase              Sell
                                                       --------              ----               --------              ----
    <S>                                               <C>                <C>                  <C>                <C>
    Futures contracts (exchange traded):
         - Long-term interest rates                   $           0      $1,343,400,000       $  460,500,000     $ 148,700,000
         - Short-term interest rates                              0       2,314,100,000          305,900,000       307,900,000
         - Stock indices                                169,600,000           4,400,000           67,900,000        11,200,000
         - Agricultural                                           0           9,800,000            2,000,000         8,700,000
         - Metals                                        61,400,000          26,200,000            6,500,000        47,500,000
         - Energy                                        72,900,000                   0                    0        17,100,000

    Forward contracts (non-exchange traded):
         - Currencies                                   506,900,000         779,200,000          435,100,000       386,200,000
                                                      -------------      --------------       --------------     -------------

                                                      $ 810,800,000      $4,477,100,000       $1,277,900,000     $ 927,300,000
                                                      =============      ==============       ==============     =============
</TABLE>

                                       12
<PAGE>   13


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

Note 7.   INTERIM FINANCIAL STATEMENTS

          The Statement of Financial Condition as of June 30, 1999, the
          Statements of Operations for the three months and six months ended
          June 30, 1999 and 1998, the Statements of Cash Flows for the six
          months ended June 30, 1999 and 1998 and the Statements of Changes in
          Partners' Capital (Net Asset Value) for the six months ended June 30,
          1999 and 1998 are unaudited. In the opinion of management, such
          financial statements reflect all adjustments, which were of a normal
          and recurring nature, necessary for a fair presentation of financial
          position as of June 30, 1999 and the results of operations for the
          three months and six months ended June 30, 1999 and 1998.


                                       13
<PAGE>   14



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

Introduction

The offering of the Campbell Strategic Allocation Fund's (the "Fund") Units of
Limited Partnership Interest commenced on January 12, 1994, and the initial
offering terminated on April 15, 1994 with proceeds of $9,692,439. The
continuing offering period commenced immediately after the termination of the
initial offering period; additional subscriptions totaling $388,111,845 have
been accepted during the continuing offering period as of July 1, 1999.
Redemptions over the same time period total $68,778,565. 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.


                                       14
<PAGE>   15

Results of Operations

The returns for the six months ending June 30, 1999 and 1998 were 3.15% and
2.81%, respectively. Of the 3.15% increase, approximately 5.14% was due to
trading gains (before commissions) and approximately 2.18% was due to interest
income, offset by approximately 4.17% in brokerage fees, performance fees,
operating costs and offering costs borne by the Fund. An analysis of the 5.14%
trading losses by sector is as follows:

<TABLE>
<CAPTION>
SECTOR                              % GAIN (LOSS)
------                              -------------
<S>                                    <C>
Interest Rates                         2.39%

Stock Indices                           .15

Currencies                              .77

Metals                                 (.69)

Agriculturals                          (.24)

Energy                                 2.76
                                       ----
                                       5.14%
                                       ====
</TABLE>

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

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

                                       15
<PAGE>   16

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

The 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
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


                                       16
<PAGE>   17

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.



                                       17
<PAGE>   18


                            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.



                                       18
<PAGE>   19

                                   SIGNATURES

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

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

                                By:   Campbell & Company, Inc.
                                      General Partner

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


                                       19