<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      March 31, 1999
                               ---------------------------------------

                                       or


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

For the transition period from ____________________to________________________

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


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


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

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

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

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

                            Yes [ X ]         No [   ]

                            Total number of Pages: 18
                                                   --
<PAGE>   2

                         PART I - FINANCIAL INFORMATION


Item 1. Financial Statements

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

          Statements of Financial Condition as of March 31, 1999 and
              December 31, 1998

          Statements of Operations for the Three Months Ended
              March 31, 1999 and 1998

          Statements of Cash Flows for the Three Months Ended
              March 31, 1999 and 1998

          Statements of Changes in Partners' Capital for the Three Months Ended
              March 31, 1999 and 1998


                                       2
<PAGE>   3


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


<TABLE>
<CAPTION>
                                                                             March 31,                       December 31,
                                                                               1999                             1998
                                                                          --------------                     --------------
<S>                                                                       <C>                                <C>         
ASSETS
    Equity in broker trading accounts
        Cash                                                               $  9,314,095                       $ 88,830,060
        United States government securities                                 207,562,581                        114,491,286
        Unrealized gain on open futures contracts                            10,699,219                          3,917,717
                                                                           ------------                       ------------

                    Deposits with broker                                    227,575,895                        207,239,063

    Cash and cash equivalents                                                27,518,359                         44,879,656
    United States government securities                                     119,905,133                         99,677,514
    Unrealized gain (loss) on open forward contracts                          2,446,351                         (1,005,425)
                                                                           ------------                       ------------

                    Total assets                                           $377,445,738                       $350,790,808
                                                                           ============                       ============

LIABILITIES
    Accounts payable                                                       $    121,893                       $    222,124
    Brokerage fee                                                             2,320,444                          2,164,020
    Performance fee                                                                   0                          1,985,393
    Offering costs payable                                                      207,738                            185,312
    Redemptions payable                                                       2,070,248                          2,260,525
    Subscription deposits                                                       100,053                             16,786
                                                                           ------------                       ------------

                    Total liabilities                                         4,820,376                          6,834,160
                                                                           ------------                       ------------

PARTNERS' CAPITAL (NET ASSET VALUE)
    General Partner - 2,315.422 and 2,096.643 units
        outstanding at March 31, 1999 and                                     3,731,650                          3,483,174
        December 31, 1998
    Limited Partners - 228,891.300 and 204,942.359
        units outstanding at March 31, 1999 and
        December 31, 1998                                                   368,893,712                        340,473,474
                                                                           ------------                       ------------

                    Total partners' capital
                       (Net Asset Value)                                    372,625,362                        343,956,648
                                                                           ------------                       ------------

                                                                           $377,445,738                       $350,790,808
                                                                           ============                       ============
</TABLE>

                            See accompanying notes.



                                       3
<PAGE>   4


                   CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                           STATEMENTS OF OPERATIONS
              For the Three Months Ended March 31, 1999 and 1998
                                  (Unaudited)




<TABLE>
<CAPTION>
                                                                                          1999               1998
                                                                                          ----               ----
<S>                                                                                  <C>               <C>          
INCOME
       Futures trading gains (losses)
           Realized                                                                   $(11,613,905)     $  21,639,193
           Change in unrealized                                                          6,781,501         (4,581,518)
                                                                                      ------------      -------------

                  Gain (loss) from futures trading                                      (4,832,404)        17,057,675

       Forward trading gains (losses)
           Realized                                                                   $ (4,855,999)     $  (9,322,056)
           Change in unrealized                                                          3,451,776          6,308,000
                                                                                      ------------      -------------

                  Gain (loss) from forward trading                                      (1,404,223)        (3,014,056)

       Interest income                                                                   3,767,249          2,914,657
                                                                                      ------------      -------------

                  Total income                                                          (2,469,378)        16,958,276
                                                                                      ------------      -------------

EXPENSES
       Brokerage fee                                                                     6,666,131          4,399,095
       Performance fee                                                                           0          1,831,739
       Operating expenses                                                                  174,095            123,127
                                                                                      ------------      -------------

                  Total expenses                                                         6,840,226          6,353,961
                                                                                      ------------      -------------

                  NET INCOME (LOSS)                                                   $ (9,309,604)     $  10,604,315
                                                                                      ============      =============

NET INCOME (LOSS) PER GENERAL
AND LIMITED PARTNER UNIT
       (based on weighted average
        number of units outstanding
        during the period)                                                           $      (43.25)     $       69.63
                                                                                     =============      =============

INCREASE (DECREASE) IN NET ASSET
VALUE PER GENERAL
AND LIMITED PARTNER UNIT                                                             $      (49.66)     $       65.56
                                                                                    ==============      =============
</TABLE>


                            See accompanying notes.



                                       4
<PAGE>   5


                   CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                           STATEMENTS OF CASH FLOWS
              For the Three Months Ended March 31, 1999 and 1998
                                  (Unaudited)



<TABLE>
<CAPTION>
                                                                                              1999               1998
                                                                                              ----               ----
<S>                                                                                     <C>                 <C>          
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
   Net income                                                                            $  (9,309,604)      $  10,604,315
   Adjustments to reconcile net income to net cash from (for)
   operating activities
            Net change in unrealized                                                       (10,233,277)        (1,726,482)
   Decrease in accounts payable and accrued expenses                                        (1,929,201)          (599,727)
   Net maturities (purchases) of investments in United States government
            and agency securities                                                         (113,298,914)        15,373,432
                                                                                         --------------      ------------


                          Net cash from (for) operating activities                        (134,770,996)         23,651,538
                                                                                         --------------      -------------

   Addition of units                                                                        44,417,276         29,594,615
   Increase (decrease) in subscription deposits                                                 83,267           (567,451)
   Redemption of units                                                                      (5,815,744)        (3,281,581)
   Decrease in redemptions payable                                                            (190,277)          (985,513)
   Offering costs charged                                                                     (623,214)          (413,058)
   Increase in offering costs payable                                                           22,426             14,901
                                                                                         -------------       ------------
                          Net cash from financing activities                                37,893,734         24,361,913
                                                                                         -------------       ------------

Net increase (decrease) in cash and cash equivalents                                       (96,877,262)        48,013,451

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

   End of period                                                                          $ 36,832,454       $ 93,391,637
                                                                                          ============       ============

End of period cash and cash equivalents consists of:
   Cash in broker trading accounts                                                           9,314,095         80,519,160
   Cash and cash equivalents                                                                27,518,359         12,872,477
                                                                                          ------------       ------------

            Total end of period cash and cash equivalents                                 $ 36,832,454       $ 93,391,637
                                                                                          ============       ============
</TABLE>

                            See accompanying notes.



                                       5
<PAGE>   6

                   CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
         STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
              For the Three Months Ended March 31, 1999 and 1998
                                  (Unaudited)

<TABLE>
<CAPTION>
                                                                       Partners' Capital
                                      -----------------------------------------------------------------------------------
                                              General                    Limited                        Total
                                      -----------------------   ---------------------------   ---------------------------
                                         Units      Amount         Units         Amount          Units         Amount
                                         -----      ------         -----         ------          -----         ------
<S>                                  <C>         <C>           <C>           <C>             <C>           <C>         
THREE MONTHS ENDED
MARCH 31, 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 loss for the three months
     ended March 31, 1999                            (95,270)                   (9,214,344)                   (9,309,604)

Additions                               218.779      350,000     27,581.036     44,067,276     27,799.815     44,417,276

Redemptions                               0.000            0     (3,632.095)    (5,815,744)    (3,632.095)    (5,815,744)

Offering costs                                        (6,254)                     (616,960)                     (623,214)
                                       ---------   ----------    -----------   ------------    -----------   ------------

Balances at
     March 31, 1999                    2,315.422   $3,731,650    228,891.300   $368,893,702    231,206.722   $372,625,362
                                       =========   ==========    ===========   ============    ===========   ============

THREE MONTHS ENDED
 MARCH 31, 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 three months
     ended March 31, 1998                             107,191                    10,497,124                    10,604,315

Additions                                202.230      300,000     19,739.937     29,294,615     19,942.167     29,594,615

Redemptions                                0.000            0     (2,199.131)    (3,281,581)    (2,199.131)    (3,281,581)

Offering costs                                         (4,181)                     (408,877)                     (413,058)
                                       ---------   -----------   -----------   -------------   -----------   -------------

Balances at
     March 31, 1998                    1,675.553   $2,538,798    162,800.326   $246,675,212    164,475.879   $249,214,010
                                       =========   ==========    ===========   ============    ===========   ============

<CAPTION>
                                                                 Net Asset Value Per Unit
                                      -------------------------------------------------------------------------------
                                        March 31,          December 31,              March 31,          December 31,
                                          1999                 1998                    1998                1997
                                      -------------       --------------           -------------       --------------

                                     <S>                 <C>                      <C>                 <C>           
                                      $    1,611.65       $     1,661.31           $    1,515.20       $     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 Acts of 1933 and 1934. As a commodity investment
                pool, the Partnership is subject to the regulations of the
                Commodity Futures Trading Commission, an agency of the United
                States (U.S.) government which regulates most aspects of the
                commodity futures industry; rules of the National Futures
                Association, an industry self-regulatory organization; and the
                requirements of the various commodity exchanges where the
                Partnership executes transactions. Additionally, the Partnership
                is subject to the requirements of Futures Commission Merchants
                (brokers) and interbank market makers through which the
                Partnership trades.

        C.      Method of Reporting

                The Partnership's financial statements are presented in
                accordance with generally accepted accounting principles, which
                require the use of certain estimates made by the Partnership's
                management. Transactions are accounted for on the trade date.
                Gains or losses are realized when contracts are liquidated.
                Unrealized 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 and agency securities are
                stated at market value.

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



                                       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.      Cash and Cash Equivalents

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

        E.      Income Taxes

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

        F.      Offering Costs

                The General Partner has incurred total costs in connection with
                the initial and continuous offering of Units of the Partnership
                (offering costs) of $8,613,062 through March 31, 1999,
                $4,595,177 of which has already been reimbursed to the General
                Partner by the Partnership. At March 31, 1999, the Partnership
                reflects a liability in the statement of financial condition for
                offering costs payable to the General Partner of $207,738. 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.

        G.      Foreign Currency Transactions

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



                                       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)

        H.      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 three months ended March 31, 1999 and 1998, the
        amounts paid directly to the broker amounted to $606,012 and $399,918,
        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 three
        months ended March 31, 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 March 31, 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 $100,053 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 March 31, 1999 and December 31, 1998 was $327,467,714 and
        $214,168,800, respectively, which equals 88% 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 three months ended March 31, 1999 and 1998 and
        the related fair values as of March 31, 1999 and 1998 are as follows:

<TABLE>
<CAPTION>
                                         Average Fair Value                          Fair Value as of
                                           As of March 31,                               March 31,
                                           ---------------                               ---------
                                      1999                 1998                  1999                 1998
                                      ----                 ----                  ----                 ----

          <S>                     <C>                  <C>                 <C>                    <C>       
           Futures contracts       $8,851,000           $9,565,000          $ 10,699,000           $3,986,000
           Forward contracts       (5,355,000)          (2,492,000)            2,446,000            7,636,000
</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)
                                                              March 31,                       March 31,
                                                              ---------                       ---------

                                                        1999           1998            1999               1998
                                                        ----           ----            ----               ----

         <S>                                       <C>              <C>           <C>                <C>        
          Gross unrealized gains                    $ 15,606,634     $7,615,839    $ 12,358,980       $ 9,187,604
          Gross unrealized (losses)                   (4,907,415)    (3,630,291)     (9,912,629)       (1,551,474)
                                                    ------------    -----------     -----------       -----------

                Net unrealized gain (loss)          $ 10,699,219     $3,985,548      $2,446,351       $ 7,636,130
                                                    ============     ==========      ==========       ===========
</TABLE>


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

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

<TABLE>
<CAPTION>
                                                                 March 31, 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                    $   81,100,000   $4,932,500,000      $   460,500,000    $  148,700,000
         - Short-term interest rates                      369,200,000      422,000,000          305,900,000       307,900,000
         - Stock indices                                3,369,900,000       71,800,000           67,900,000        11,200,000
         - Agricultural                                     2,400,000        1,100,000            2,000,000         8,700,000
         - Metals                                          43,900,000       47,900,000            6,500,000        47,500,000
         - Energy                                          59,200,000                0                    0        17,100,000

    Forward contracts (non-exchange traded):
         - Currencies                                   1,109,600,000    1,419,800,000          435,100,000       386,200,000
                                                       --------------    -------------       --------------     -------------

                                                       $5,035,300,000   $6,895,100,000       $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 March 31, 1999, the
        Statements of Operations for the three months ended March 31,1999 and
        1998, the Statements of Cash Flows for the three months ended March 31,
        1999 and 1998 and the Statements of Changes in Partners' Capital (Net
        Asset Value) for the three months ended March 31, 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 March 31,
        1999 and the results of operations for the three months ended March 31,
        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 $352,685,626 have
been accepted during the continuing offering period as of April 1, 1999.
Redemptions over the same time period total $60,677,551. 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 three months ending March 31, 1999 and 1998 were (2.99)% and
4.52%, respectively. Of the 2.99% decrease, approximately 1.93% was due to
trading losses (before commissions) and approximately 2.08% was due to brokerage
fees and operating costs borne by the Fund, offset by approximately 1.02 % in
interest income. An analysis of the 1.93% trading losses by sector is as
follows:

<TABLE>
<CAPTION>
SECTOR                                                                             % GAIN (LOSS)
------                                                                             -------------
<S>                                                                                  <C>    
Interest Rates                                                                        (1.69)%

Stock Indices                                                                         (1.90)

Currencies                                                                             (.68)

Metals                                                                                  .36

Agriculturals                                                                          (.19)

Energy                                                                                 2.17
                                                                                       ----

                                                                                      (1.93)%
                                                                                      ======
</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 our yen positions lost money during February, but short positions in the
European currencies, primarily the Swiss franc and the Euro, were solid winners.
In March the currency and energy sectors provided positive returns. The U.S.
dollar continued to appreciate against the Euro and the Swiss franc, while
weaker yen was profitable against sterling, the Swiss franc, and the Euro. All
other portfolio sectors showed small losses for the month.



                                       15
<PAGE>   16

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 be creditworthy. All positions of the Fund are valued each day on
a mark-to-market basis. While the General Partner monitors the creditworthiness
and risks involved in dealing on the various exchanges and with counterparties,
there can be no assurance that an exchange or counterparty will be able to meet
its obligations to the Fund.



                                       16
<PAGE>   17


                            PART II-OTHER INFORMATION

Item 1.      Legal Proceedings.

             None

Item 2.      Changes in Securities

             None

Item 3.      Defaults Upon Senior Securities

             Not applicable.

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

             None

Item 5.      Other Information

             None

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

             None

             There are no exhibits to this Form 10-Q.



                                       17
<PAGE>   18

                                   SIGNATURES

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


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

                                 By: Campbell & Company, Inc.
                                     General Partner


Date: May 13, 1999               By: /s/Theresa D. Livesey
                                     ------------------------------------------
                                     Theresa D. Livesey
                                     Chief Financial Officer/Treasurer/Director


                                       18