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

                                   FORM 10-Q


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

For the quarterly period ended      September 30, 1997
                               -------------------------------------------------

                                       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)


<TABLE>
<S>                                                                 <C>
                    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)
</TABLE>

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

                           Yes [ X ]         No [   ]

                          Total number of Pages:  17  
                                                 ----

<PAGE>   2
                         PART I - FINANCIAL INFORMATION


Item 1.          Financial Statements

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

         Statements of Financial Condition as of September 30, 1997 and
             December 31, 1996

         Statements of Operations for the Three Months and
            Nine Months Ended September 30, 1997 and 1996

         Statements of Cash Flows for the Nine Months Ended
             September 30, 1997 and 1996

         Statements of Changes in Partners' Capital for the Nine Months Ended
             September 30, 1997 and 1996





                                       2
<PAGE>   3
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                       STATEMENTS OF FINANCIAL CONDITION
        September 30, 1997 (Unaudited)  and December 31, 1996 (Audited)


<TABLE>
<CAPTION>
                                                                            September 30,           December 31,
                                                                               1997                    1996        
                                                                            ------------            ------------
<S>                                                                       <C>                        <C>
ASSETS
     Equity in broker trading accounts
       Cash                                                                 $ 15,174,547            $ 15,907,914
       United States government securities                                    20,563,230              10,583,946
       Unrealized gain on open futures contracts                               7,699,054                 304,907
                                                                            ------------            ------------

                Deposits with broker                                          43,436,831              26,796,767

     Cash and cash equivalents                                                66,296,821              46,977,151
     United States government securities                                      78,501,014              35,925,168
     Unrealized gain (loss) on open forward contracts                           (715,214)              1,667,873
                                                                            ------------            ------------

                Total assets                                                $187,519,452            $111,366,959
                                                                            ============            ============

LIABILITIES
     Accounts payable                                                       $    109,635            $    117,865
     Brokerage fee                                                             1,150,004                 662,993
     Performance fee                                                             185,402               2,082,519
     Offering costs payable                                                      104,571                  56,627
     Redemptions payable                                                         598,787                 577,116
     Subscription deposits                                                       557,315                 133,036
                                                                            ------------            ------------

                Total liabilities                                              2,705,714               3,630,156
                                                                            ------------            ------------

PARTNERS' CAPITAL (NET ASSET VALUE)
     General Partner - 1,366.713 units
       outstanding at September 30, 1997 and                                   1,859,427               1,123,514
       885.938 at December 31,1996
     Limited Partners - 134,474.450 and 84,069.060 units
       outstanding at September 30, 1997 and
       December 31, 1996                                                     182,954,311             106,613,289
                                                                            ------------            ------------

                Total partners' capital
                  (Net Asset Value)                                          184,813,738             107,736,803
                                                                            ------------            ------------

                                                                            $187,519,452            $111,366,959
                                                                            ============            ============
</TABLE>
                            See accompanying notes.





                                       3
<PAGE>   4
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                            STATEMENTS OF OPERATIONS
                      For the Three Months and Nine Months
                       Ended September 30, 1997 and 1996
                                  (Unaudited)


<TABLE>
<CAPTION>
                                                      Three Months Ended                Nine Months Ended
                                                        September 30,                     September 30,
                                                    1997            1996             1997             1996
                                                    ----            ----             ----             ----
<S>                                              <C>             <C>              <C>               <C>
INCOME
     Trading gains (losses)
       Realized                                  $ 5,162,398     $(1,670,524)     $10,352,042       $ 4,519,403
       Change in unrealized                        8,091,092       4,204,433        5,011,060         2,180,657
                                                 -----------     -----------      -----------       -----------

             Gain from trading                    13,253,490       2,533,909       15,363,102         6,700,060

     Interest income                               2,202,151         857,708        5,489,916         2,133,906
                                                 -----------     -----------      -----------       -----------
             Total income                         15,455,641       3,391,617       20,853,018         8,833,966
                                                 -----------     -----------      -----------       -----------

EXPENSES
     Brokerage fee                                 3,334,265       1,298,071        8,471,730         3,360,357
     Performance fee                                 190,283               0        1,006,667                 0
     Operating expenses                               81,110          69,181          283,523           175,627
                                                 -----------     -----------      -----------       -----------

             Total expenses                        3,605,658       1,367,252        9,761,920         3,535,984
                                                 -----------     -----------      -----------       -----------

             NET INCOME                          $11,849,983    $  2,024,365      $11,091,098       $ 5,297,982
                                                 ===========    ============      ===========       ===========

NET INCOME PER GENERAL
AND LIMITED PARTNER UNIT
     (based on weighted average
     number of units outstanding
     during the period)                          $     95.36    $      32.81      $    103.66       $     98.05
                                                 ===========    ============      ===========       ===========

INCREASE IN NET ASSET
VALUE PER GENERAL
AND LIMITED PARTNER UNIT                         $     95.50    $      29.19      $     92.35       $     90.92
                                                 ===========    ============      ===========       ===========
</TABLE>



                            See accompanying notes.

                                       4
<PAGE>   5
                   CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                           STATEMENTS OF CASH FLOWS
            For the Nine Months Ended September 30, 1997 and 1996
                                 (Unaudited)


<TABLE>
<CAPTION>
                                                                                           1997             1996 
                                                                                           -----           ------
<S>                                                                                    <C>              <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
  Net income                                                                            $11,091,098      $ 5,297,982
         Adjustments to reconcile net income to net cash from                                            
         operating activities                                                                            
               Net change in unrealized                                                  (5,011,060)      (2,180,658)
               Increase (Decrease) in accounts payable                                                   
                   and accrued expenses                                                  (1,418,336)         217,408
                                                                                        -----------      -----------
                                                                                                         
                         Net cash from operating activities                               4,661,702        3,334,732
                                                                                        -----------      -----------
                                                                                                         
CASH FLOWS FROM (FOR) INVESTING ACTIVITIES                                                               
  Net (purchases) maturities of investments in United States government                                  
         and agency securities                                                          (52,555,130)     (20,924,319)
                                                                                        -----------      -----------
                                                                                                         
                         Net cash from (for) investing activities                       (52,555,130)     (20,924,319)
                                                                                        -----------      -----------
                                                                                                         
CASH FLOWS FROM (FOR) FINANCING ACTIVITIES                                                               
  Offering of units                                                                      71,473,031       26,062,237
  Increase  in subscription deposits                                                        424,279          187,290
  Redemption of units                                                                    (4,683,099)      (6,125,322)
  Increase (Decrease) in redemptions payable                                                 21,671         (123,911)
  Offering costs charged                                                                   (804,095)        (443,376)
  Increase in offering costs payable                                                         47,944           19,983
                                                                                        -----------      -----------
                         Net cash from financing activities                              66,479,731       19,576,901
                                                                                        -----------      -----------
                                                                                                         
Net increase in cash and cash equivalents                                                18,586,303        1,987,314
                                                                                                         
CASH AND CASH EQUIVALENTS                                                                                
  Beginning of period                                                                    62,885,065       33,729,444
                                                                                        -----------      -----------
                                                                                                         
  End of period                                                                         $81,471,368      $35,716,758
                                                                                        ===========      ===========
</TABLE>

                            See accompanying notes.





                                       5
<PAGE>   6
                    CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
          STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
             For the Nine Months Ended September 30, 1997 and 1996
                                  (Unaudited)

<TABLE>
<CAPTION>
                                                                        Partners' Capital
                                      -------------------------------------------------------------------------------------
                                               General                       Limited                       Total
                                      -----------------------       ----------------------------  -------------------------
                                         Units      Amount            Units            Amount      Units            Amount
                                         -----      ------            -----            ------      -----            ------
<S>                                   <C>        <C>                <C>            <C>            <C>             <C>
NINE MONTHS ENDED
 SEPTEMBER 30, 1997
Balances at
   December 31, 1996                    885.938    $1,123,514        84,069.060     $106,613,289     84,954.998   $107,736,803
                                                                                                               
Additions                               480.775       630,000         53,996.40       70,843,031     54,477.175     71,473,031

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

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

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

Balances at
 September 30, 1997                   1,366.713    $1,859,427       134,474.450     $182,954,311    135,841.163   $184,813,738
                                      =========    ==========     =============     ============    ===========   ============
                                                                                                               
NINE MONTHS ENDED                                                                                              
 SEPTEMBER 30, 1996                                                                                            
Balances at                                                                                                    
  December 31, 1995                     472.222    $  459,018        45,897.894     $ 44,614,516     46,370.116   $ 45,073,534
                                                                                                               
Additions                               191.854       200,000        25,107.296       25,862,237     25,299.150     26,062,237
                                                                                                               
Net income for the six months
  ended September 30, 1996                             51,316                          5,246,666                     5,297,982

Redemptions                               0.000             0        (5,942.116)      (6,125,322)    (5,942.116)    (6,125,322)

Offering costs                                         (4,448)                          (438,928)                     (443,376)
                                      ---------    ----------     -------------     ------------    -----------   ------------

Balances at
  September 30, 1996                    664.076  $    705,886        65,063.074    $  69,159,169     65,727.150   $ 69,865,055 
                                      =========    ==========     =============     ============    ===========   ============
</TABLE>



<TABLE>
<CAPTION>
                                                                   Net Asset Value Per Unit
                                         ---------------------------------------------------------------------------
                                         September 30,       December 31,         September 30,        December 31,
                                             1997                1996                  1996                1995
                                         ------------       -------------          ------------      ---------------
                                         <S>                <C>                    <C>               <C>    
                                         $   1,360.51       $    1,268.16          $   1,062.96      $        972.04
                                         ============       =============          ============      ===============
</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 was formed on
                   May 11, 1993 and commenced trading on April 18, 1994.

               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.  Gains or losses are realized when
                   contracts are liquidated. Unrealized gain or losses on open
                   contracts (the difference between contract purchase price
                   and market price) are reported in the statement of financial
                   condition as a net gain or loss, as there exists a right of
                   offset of unrealized gains or losses in accordance with
                   Financial Accounting Standards Board Interpretation No. 39 -
                   "Offsetting of Amounts Related to Certain Contracts."  Any
                   change in net unrealized gain or loss from the preceding
                   period is reported in the statement of operations.  United
                   States government and agency securities are stated at market
                   value.

               D.  Cash and Cash Equivalents

                   Cash and cash equivalents includes cash, other demand
                   deposits 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.





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

Note 1.        SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)


               F.  Offering Costs

                   The General Partner has incurred total costs in connection
                   with the initial and continuous offering of Units of the
                   Partnership (offering costs) of $4,401,730 through September
                   30, 1997, $1,757,264 of which has already been reimbursed to
                   the General Partner by the Partnership. At September 30,
                   1997, the Partnership reflects a liability in the statement
                   of financial condition for offering costs payable to the
                   General Partner of $104,571.  The Partnership's liability
                   for offering costs is limited to the maximum of total
                   offering costs incurred by the General Partner or 2.5% of
                   the aggregate subscriptions accepted during the initial and
                   continuous offerings; this maximum is further limited by a
                   pay-out schedule over 30 months.  The Partnership is only
                   liable for payment of offering costs on a monthly basis as
                   calculated based on the limitations stated above.  If the
                   Partnership terminates prior to completion of payment of the
                   calculated amounts to the General Partner, the General
                   Partner will not be entitled to any additional payments and
                   the Partnership will have no further obligation to the
                   General Partner.

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

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

Note 2.        GENERAL PARTNER AND COMMODITY TRADING ADVISOR

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

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




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


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

               The Partnership pays a monthly brokerage fee not to exceed 1/12
               of 8% (8% annualized) of month-end Net Assets.  The General
               Partner receives 7/8 of this fee, a portion (4/8 of the total
               brokerage fee) of which is used to compensate selling agents for
               ongoing services rendered and a portion (3/8 of  the total
               brokerage fee) of which is retained by the General Partner for
               trading and management services rendered.  The remaining 1/8 of
               the brokerage fee (up to 1% per annum) is paid directly to the
               broker.  During the nine months ended September 30, 1997 and
               1996, the amounts paid directly to the broker amounted to
               $1,019,762 and $420,045 respectively.

               The General Partner is also paid a quarterly performance fee of
               20% of the Partnership's aggregate cumulative appreciation in
               the Net Assets, exclusive of appreciation attributable to
               interest income and as adjusted for subscriptions and
               redemptions.

Note 3.        DEPOSITS WITH BROKER

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

Note 4.        OPERATING EXPENSES

               Operating expenses of the Partnership are limited by the Amended
               Agreement of Limited Partnership to 0.5% per year of the average
               month-end Net Asset Value of the Partnership. Actual operating
               expenses were less than 0.5% (annualized) for the nine months
               ended September 30, 1997 and 1996.

Note 5.        SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

               Investments in the Partnership are made by subscription
               agreement, subject to acceptance by the General Partner.  As of
               September 30, 1997 and December 31, 1996 amounts received by the
               Partnership by prospective limited partners who have not yet
               been admitted to the Partnership by the General Partner amount
               to $557,315 and $133,036, 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 as of any
               month-end, subject to restrictions in the Amended Agreement of
               Limited Partnership (including redemption fees which apply to
               redemptions made in the first 12 months).





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


Note 6.        TRADING ACTIVITIES AND RELATED RISKS

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

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

               The amount of required margin and good faith deposits with
               brokers and interbank market makers usually range from 10% to
               30% of Net Asset Value.  The market value of securities held to
               satisfy such requirements at September 30, 1997 and December 31,
               1996 was $80,437,222 and $13,763,550, respectively, which equals
               44% and 13% of the Fund's Net Assets, respectively.

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

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

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

               The fair value of derivatives represents unrealized gains and
               losses on open futures and forward contracts.  The average fair
               value of derivatives during the nine months ended September 30,
               1997 and 1996 was approximately $3,126,000 and $2,873,000
               respectively and the related fair





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


Note 6.        TRADING ACTIVITIES AND RELATED  RISKS (CONTINUED)

               values as of September 30, 1997 and December 31, 1996 are
               approximately $6,984,000 and $1,973,000, respectively.

               Net trading results from derivatives are reflected in the
               statement of operations and equal gain from trading less the
               portion of the brokerage fee paid directly to the broker.  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; the latest
               maturity date for open contracts as of September 30, 1997 is
               February 1998.  However, the Partnership intends to close all
               contracts prior to maturity.  At September 30, 1997 and
               December 31, 1996, the notional amount of open contracts is as
               follows:

<TABLE>
<CAPTION>
                                                            September 30, 1997                    December 31, 1996
                                                  -------------------------------------    ----------------------------------
                                                    Contracts to          Contracts to       Contracts to       Contracts to
                                                      Purchase                Sell             Purchase             Sell
                                                  ---------------      ----------------    --------------       -------------
              <S>                                 <C>                  <C>                 <C>                  <C>
              Derivatives:                                                                                 
                Futures contracts:                                                                         
                  - Long-term interest rates       $  731,200,000        $            0    $  154,000,000       $118,100,000
                  - Short-term interest rates         598,700,000            67,100,000       134,200,000                  0
                  - Currencies                                  0                     0        11,400,000         21,200,000
                  - Stock indices                     453,400,000            13,000,000           600,000         12,200,000
                  - Softs/Fibers                          900,000             4,100,000         1,000,000                  0
                  - Grains                                800,000                     0                 0                  0
                  - Meats                                       0             1,100,000           400,000                  0
                  - Metals                             12,800,000            18,600,000        16,500,000          9,300,000
                  - Energy                             45,000,000                     0        18,300,000                  0
                                                                                                           
                Forward contracts:                                                                         
                  - Currencies                        337,300,000           404,100,000       119,900,000        155,700,000
                                                   --------------        --------------    --------------       ------------
                                                                                                           
                                                   $2,180,100,000        $  508,000,000    $  456,300,000       $316,500,000
                                                   ==============        ==============    ==============       ============
</TABLE>


                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.





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

                The General Partner has established procedures to actively
                monitor and minimize market and credit risk.  The Limited
                Partners bear the risk of loss only to the extent of the market
                value of their respective investments and, in certain specific
                circumstances, distributions and redemptions received.

Note 7.         INTERIM FINANCIAL STATEMENTS

                The Statement of Financial Condition as of September 30, 1997,
                the Statements of Operations for the three months and nine
                months ended September 30, 1997 and 1996, the Statements of
                Cash Flows for the nine months ended September 30, 1997 and
                1996 and  the Statements of Changes in Partners' Capital (Net
                Asset Value) for the nine months ended September 30, 1997 and
                1996 are unaudited.  In the opinion of management, such
                financial statements reflect all adjustments, which were of a
                normal and recurring nature, necessary for a fair presentation
                of financial position as of September 30, 1997 and the results
                of operations for the three months and nine months ended
                September 30, 1997 and 1996.





                                       12
<PAGE>   13





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

Introduction

The offering of the Campbell Strategic Allocation Fund's (the "Fund") Units of
Limited Partnership Interests commenced on January 12, 1994, and the initial
offering terminated on April 15, 1994 with proceeds of $9,692,439.  The
continuing offering period commenced immediately after the termination of the
initial offering period; additional subscriptions totaling $166,332,952 have
been accepted during the continuing offering period as of October 1, 1997.
Redemptions over the same time period total $20,772,566.  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 to the daily limit, the Fund
may not be able to execute futures trades at favorable prices, if little
trading in such contracts is taking place.  Other than these limitations on
liquidity, which are inherent in the Fund's commodity futures trading
operations, the Fund's assets are expected to be highly liquid.

Results of Operations





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<PAGE>   14



The returns for the nine months ending September 30, 1997 and 1996 was 7.28%
and 9.35%, respectively. The 7.28% increase was the result of an approximate
10.87% increase due to trading gains (before commissions) and an approximate
3.89% increase due to interest income, offset by an approximate 6.48% decrease
as the result of brokerage fees, performance fees, operating costs and offering
costs borne by the Fund.

The majority of trading gains for the first quarter of 1997 came from the
foreign exchange sector, where the U.S. Dollar continued to show strength early
in the quarter.  Short foreign currency positions realized profit as the U.S.
Dollar's upward trend remained intact.  Another strong contributor to first
quarter profits was the energy sector.  The warm weather in February gave
direction to January's volatility in energy.  Short positions in natural gas
and London Gasoil proved profitable.  The interest rate sector was the poorest
performer.  Mid-quarter gains based on good employment and inflation numbers
quickly turned to losses after Greenspan's Congressional testimony. However,
strong economic data and a Federal Reserve rate hike combined to push bonds
lower, providing a profit on the short position and offsetting some losses.  As
the equity market consolidated the Fund experienced slight losses.  These
losses, though painful, are expected as we move from trend to trend.

Trading for the second quarter of 1997 proved unprofitable, giving back 4.12%
of the 5.78% in trading profits earned during the first quarter.  The powerful
trends in currencies, interest rates, and energy, that had given us such strong
performance during the last quarter of 1996, came to their conclusion and went
through the normal, cyclical period of volatility and a consolidation phase in
April and May.  The energy sector reversed course and we gave back much of the
profits made earlier in the year on our short positions.  Returns from stock
indices were strong in the second quarter, as the result of U.S. and
international indices which rallied in response to lower interest rates and the
Federal Reserve's failure to raise rates at its May meeting.

The majority of gross trading gains for the year (9.21% of  the 10.87%) were
achieved in the third quarter, with positive returns from interest rate
contracts making rates the best performing sector.  Bonds were strong around
the globe in July reflecting the belief that world economies were enjoying
controlled growth.  The dollar continued its strength against European and
Asian currencies.  August brought some reversals to the trends, but September
ushered in a resumption of the bull moves in the bond markets as well as the
U.S. Dollar.

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





                                       14
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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 interest
positions of the Fund at the same time, and if the Fund's trading advisor was
unable to offset positions, 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 credit risk that a counterparty will not be able to meet its
obligations to the Fund.  The counterparty for futures contracts traded in the
United States and most foreign futures exchanges is the clearinghouse
associated with such exchange.  In general, clearinghouses are backed by the
corporate members of the clearinghouse who are required to share any financial
burden resulting from the non-performance by one of their members and as such,
should significantly reduce this credit risk.  In cases where the clearinghouse
is not backed by the clearing members (i.e. some foreign exchanges), it is
normally backed by a consortium of banks or other financial institutions.  In
the case of forward contracts, which are traded on the interbank market rather
than on exchanges, the counterparty is generally  a single bank or other
financial institution, rather than a group of financial institutions, thus
there may be greater counterparty credit risk. Campbell & Company, Inc., the
General Partner (who also acts as trading advisor), trades for the fund only
with those counterparties which it believes to be creditworthy.  All positions
of the Fund are valued each day on a mark-to-market basis.  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 any
clearing member, clearinghouse or other  counterparty will be able to meet its
obligations to the Fund.





                                       15
<PAGE>   16

                          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.





                                       16
<PAGE>   17



                                   SIGNATURES

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


                         CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
                             (Registrant)
                         
                                By:  Campbell & Company, Inc.
                                     General Partner
                                     
                                     
Date: November 11, 1997         By:    /s/Theresa D. Livesey                   
                                     -------------------------------------------
                                     Theresa D. Livesey
                                     Chief Financial Officer/Treasurer/Director





                                       17