<PAGE>

                                  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, 2004

                                       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: 0-50264

                             THE CAMPBELL FUND TRUST
                             -----------------------
               (Exact name of registrant as specified in charter)

       Delaware                                           94-6260018
----------------------                       ----------------------------------
(State of Organization)                     (IRS Employer Identification Number)

                              Court Towers Building
                          210 West Pennsylvania Avenue,
                            Baltimore, Maryland 21204
                            -------------------------
          (Address of principal executive offices, including 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 [ ]

Indicate by check mark whether the registrant is an accelerated filer (as
defined in Exchange Act Rule 12b-2)

Yes [ ]     No [X]

                            Total number of Pages: 26

<PAGE>

<TABLE>
<CAPTION>
                                                                                              PAGE
                                                                                              ----
<S>                                                                                           <C>
        Item 1.    Financial Statements

                   Statements of Financial Condition as of March 31, 2004 (Unaudited)
                   and December 31, 2003 (Audited)                                                3

                   Condensed Schedule of Investments as of March 31, 2004 (Unaudited)
                   and December 31, 2003 (Audited)                                              4-5

                   Statements of Operations for the Three Months Ended
                   March 31, 2004 and 2003 (Unaudited)                                            6

                   Statements of Cash Flows for the Three Months Ended
                   March 31, 2004 and 2003 (Unaudited)                                            7

                   Statements of Changes in Partners' Capital (Net Asset Value)
                   for the Three Months Ended March 31, 2004 and 2003 (Unaudited)                 8

                   Notes to Financial Statements (Unaudited)                                   9-13

        Item 2.    Management's Discussion and Analysis of Financial Condition and
                   Results of Operations                                                      14-18

        Item 3.    Quantitative and Qualitative Disclosure About Market Risk                  18-23

        Item 4.    Controls and Procedures                                                       24

PART II - OTHER INFORMATION                                                                      25

        Item 6.    Exhibits and Reports on Form 8-K                                              25

SIGNATURES

CERTIFICATIONS
</TABLE>

                                      -2-
<PAGE>

                             THE CAMPBELL FUND TRUST
                        STATEMENTS OF FINANCIAL CONDITION
           March 31, 2004 (Unaudited) and December 31, 2003 (Audited)

<TABLE>
<CAPTION>
                                                              March 31,       December 31,
                                                                2004              2003
                                                                ----              ----
<S>                                                         <C>              <C>
ASSETS
    Equity in broker trading accounts
       Cash                                                 $  17,326,289    $  10,949,208
       United States government securities                    211,700,616      144,322,133
       Unrealized gain on open futures contracts               12,685,589        6,048,369
                                                            -------------    -------------
              Deposits with broker                            241,712,494      161,319,710

    Cash and cash equivalents                                 165,930,776      115,561,739
    United States government securities                       129,946,712       89,943,762
    Unrealized gain (loss) on open forward                     (1,991,302)      11,809,140
                                                            -------------    -------------

              Total assets                                  $ 535,598,680    $ 378,634,351
                                                            =============    =============

LIABILITIES
    Accounts payable                                        $      26,144    $      46,488
    Commissions and other trading fees
       on open contracts                                           78,086           83,342
    Management fee                                              1,615,550        1,184,980
    Performance fee                                            14,543,381        2,717,685
    Prepaid subscriptions                                      50,829,533       23,010,493
                                                            -------------    -------------
              Total liabilities                                67,092,694       27,042,988
                                                            -------------    -------------

UNITHOLDERS' CAPITAL (NET ASSET VALUE)
    Managing Operator - 20.360 units
       outstanding at March 31, 2004 and
       December 31, 2003                                           51,778           45,242
    Other Unitholders - 184,201.801 and 158,203.505
       units outstanding at March 31, 2004 and
       December 31, 2003                                      468,454,208      351,546,121
                                                            -------------    -------------
              Total unitholders' capital
                 (Net Asset Value)                            468,505,986      351,591,363
                                                            -------------    -------------

                                                            $ 535,598,680    $ 378,634,351
                                                            =============    =============
</TABLE>

                             See accompanying notes.

                                      -3-
<PAGE>

                             THE CAMPBELL FUND TRUST
                        CONDENSED SCHEDULE OF INVESTMENTS
                                 March 31, 2004
                                   (Unaudited)

UNITED STATES GOVERNMENT SECURITIES

<TABLE>
<CAPTION>
                  MATURITY                                                                                         % OF NET
FACE VALUE          DATE             DESCRIPTION                                                   VALUE          ASSET VALUE
----------          ----             -----------                                                   -----          -----------
<S>              <C>                 <C>                                                       <C>                <C>
$85,000,000      04/01/2004          U.S. Treasury Bill                                        $  85,000,000         18.14%
$70,000,000      06/10/2004          U.S. Treasury Bill                                           69,874,097         14.91%
$65,000,000      05/20/2004          U.S. Treasury Bill                                           64,922,076         13.86%
$40,000,000      06/24/2004          U.S. Treasury Bill                                           39,915,067          8.52%
$35,000,000      05/13/2004          U.S. Treasury Bill                                           34,963,046          7.46%
$32,000,000      04/08/2004          U.S. Treasury Bill                                           31,994,742          6.83%
$15,000,000      05/27/2004          U.S. Treasury Bill                                           14,978,300          3.20%
                                                                                               -------------         -----
                                     TOTAL UNITED STATES GOVERNMENT SECURITIES
                                      (COST,  INCLUDING ACCRUED INTEREST, - $341,647,328)      $ 341,647,328         72.92%
                                                                                               =============         =====
</TABLE>

LONG FUTURES CONTRACTS

<TABLE>
<CAPTION>
                                                                                                                   % OF NET
                                     DESCRIPTION                                                   VALUE          ASSET VALUE
                                     -----------                                                   -----          -----------
                                     <S>                                                       <C>               <C>
                                     Agriculture                                               $     359,363          0.08%
                                     Energy                                                          399,609          0.09%
                                     Metals                                                           39,997          0.01%
                                     Stock indices                                                   759,627          0.16%
                                     Short-term interest rates                                     2,072,954          0.44%
                                     Long-term interest rates                                      9,416,644          2.01%
                                                                                               -------------          ----

                                     TOTAL LONG FUTURES CONTRACTS                              $  13,048,194          2.79%
                                                                                               -------------          ----
</TABLE>

SHORT FUTURES CONTRACTS

<TABLE>
<CAPTION>
                                                                                                                   % OF NET
                                     DESCRIPTION                                                   VALUE          ASSET VALUE
                                     -----------                                                   -----          -----------
                                     <S>                                                       <C>                <C>
                                     Agriculture                                               $     104,080         0.02 %
                                     Metals                                                          (24,973)       (0.01)%
                                     Stock indices                                                  (455,909)       (0.09)%
                                     Short-term interest rates                                        14,197         0.00 %
                                                                                               -------------         ----
                                     TOTAL SHORT FUTURES CONTRACTS                             $    (362,605)       (0.08)%
                                                                                               -------------         ----
                                     TOTAL FUTURES CONTRACTS                                   $  12,685,589         2.71 %
                                                                                               =============         ====
</TABLE>

FORWARD CURRENCY CONTRACTS

<TABLE>
<CAPTION>
                                                                                                                   % OF NET
                                     DESCRIPTION                                                   VALUE          ASSET VALUE
                                     -----------                                                   -----           -----------
                                     <S>                                                        <C>                <C>
                                     Various long forward currency contracts                   $   8,794,151         1.88 %
                                     Various short forward currency contracts                    (10,785,453)       (2.30)%
                                                                                               -------------         ----
                                     TOTAL FORWARD CURRENCY CONTRACTS                          $  (1,991,302)       (0.42)%
                                                                                               =============         ====
</TABLE>

                             See accompanying notes.

                                      -4-
<PAGE>

                             THE CAMPBELL FUND TRUST
                        CONDENSED SCHEDULE OF INVESTMENTS
                                December 31, 2003
                                    (Audited)

UNITED STATES GOVERNMENT SECURITIES

<TABLE>
<CAPTION>
                  MATURITY                                                                                          % OF NET
FACE VALUE          DATE            DESCRIPTION                                                      VALUE         ASSET VALUE
----------          ----            -----------                                                      -----         -----------
<S>               <C>               <C>                                                        <C>                <C>
$65,000,000       02/19/04          U.S. Treasury Bill                                         $   64,919,830         18.46%
$45,000,000       01/02/04          U.S. Treasury Bill                                             44,998,888         12.80%
$40,000,000       03/11/04          U.S. Treasury Bill                                             39,931,944         11.36%
$33,000,000       01/08/04          U.S. Treasury Bill                                             32,994,385          9.38%
$22,500,000       03/25/04          U.S. Treasury Bill                                             22,454,588          6.39%
$21,000,000       02/12/04          U.S. Treasury Bill                                             20,977,460          5.97%
$ 8,000,000       02/26/04          U.S. Treasury Bill                                              7,988,800          2.27%
                                                                                               --------------         -----
                                    TOTAL UNITED STATES GOVERNMENT SECURITIES
                                        (COST,  INCLUDING ACCRUED INTEREST, - $234,265,895)    $  234,265,895         66.63%
                                                                                               ==============         =====
</TABLE>

LONG FUTURES CONTRACTS

<TABLE>
<CAPTION>
                                                                                                                    % OF NET
                                    DESCRIPTION                                                      VALUE         ASSET VALUE
                                    -----------                                                      -----         -----------
                                    <S>                                                        <C>               <C>
                                    Agricultural                                               $        9,600         0.00 %
                                    Energy                                                          1,163,847         0.33 %
                                    Metals                                                            543,990         0.16 %
                                    Short-term interest rates                                         597,526         0.17 %
                                    Long-term interest rates                                         (917,473)       (0.26)%
                                    Stock indices                                                   5,214,137         1.48 %
                                                                                               --------------        -----
                                    TOTAL LONG FUTURES CONTRACTS                               $    6,611,627         1.88 %
                                                                                               --------------        -----
</TABLE>

SHORT FUTURES CONTRACTS

<TABLE>
<CAPTION>
                                                                                                                    % OF NET
                                    DESCRIPTION                                                      VALUE         ASSET VALUE
                                    -----------                                                      -----         -----------
                                    <S>                                                        <C>               <C>
                                    Agricultural                                               $      (55,556)       (0.01)%
                                    Metals                                                            (68,464)       (0.02)%
                                    Short-term interest rates                                           4,933         0.00 %
                                    Long-term interest rates                                         (444,171)       (0.13)%
                                                                                               --------------        -----
                                    TOTAL SHORT FUTURES CONTRACTS                              $     (563,258)       (0.16)%
                                                                                               --------------        -----
                                    TOTAL FUTURES CONTRACTS                                    $    6,048,369         1.72 %
                                                                                               ==============        =====
</TABLE>

FORWARD CURRENCY CONTRACTS

<TABLE>
<CAPTION>
                                                                                                                    % OF NET
                                    DESCRIPTION                                                      VALUE         ASSET VALUE
                                    -----------                                                      -----         -----------
                                    <S>                                                        <C>               <C>
                                    Various long forward currency contracts                    $   23,784,589         6.77 %
                                    Various short forward currency contracts                      (11,975,449)       (3.41)%
                                                                                               ---------------       -----
                                    TOTAL FORWARD CURRENCY CONTRACTS                           $   11,809,140         3.36 %
                                                                                               ==============        =====
</TABLE>

                             See accompanying notes.

                                      -5-
<PAGE>

                             THE CAMPBELL FUND TRUST
                            STATEMENTS OF OPERATIONS
               For the Three Months Ended March 31, 2004 and 2003
                                   (Unaudited)

<TABLE>
<CAPTION>
                                                    2004           2003
                                                    ----           ----
<S>                                             <C>             <C>
TRADING GAINS
    Futures trading gains (losses)
       Realized                                 $ 43,182,258    $ 12,442,476
       Change in unrealized                        6,637,220      (1,583,801)
       Brokerage commissions                        (386,045)       (166,415)
                                                ------------    ------------
              Gain from futures trading           49,433,433      10,692,260
                                                ------------    ------------
    Forward trading gains (losses)
       Realized                                   38,138,407      15,502,224
       Change in unrealized                      (13,800,442)     (2,957,635)
       Brokerage commissions                         (27,845)        (24,959)
                                                ------------    ------------
              Gain from forward trading           24,310,120      12,519,630
                                                ------------    ------------
              Total trading gains                 73,743,553      23,211,890
                                                ------------    ------------
EXPENSES NET OF INTEREST INCOME
    Income
       Interest income                               925,310         566,822
                                                ------------    ------------
    Expenses
       Brokerage fee                               4,422,262       2,150,285
       Performance fee                            14,594,954       3,550,181
       Operating expenses                             39,168          17,174
                                                ------------    ------------
              Total expenses                      19,056,384       5,717,640
                                                ------------    ------------
              Expenses net of interest income     18,131,074       5,150,818
                                                ------------    ------------
              NET INCOME                        $ 55,612,479    $ 18,061,072
                                                ============    ============
NET INCOME PER MANAGING OWNER AND
    OTHER UNITHOLDER UNIT
    (based on weighted average number of
    units outstanding during the period)        $     317.17    $     178.58
                                                ============    ============
INCREASE IN NET ASSET VALUE PER
    MANAGING OWNER AND OTHER UNITHOLDER UNIT    $     321.05    $     194.17
                                                ============    ============
</TABLE>

                             See accompanying notes.

                                      -6-
<PAGE>

                             THE CAMPBELL FUND TRUST
                            STATEMENTS OF CASH FLOWS
               For the Three Months Ended March 31, 2004 and 2003
                                   (Unaudited)

<TABLE>
<CAPTION>
                                                                  2004             2003
                                                                  ----             ----
<S>                                                           <C>              <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
    Net income                                                $  55,612,479    $  18,061,072
    Adjustments to reconcile net income to net cash
       from (for) operating activities
          Net change in unrealized                                7,163,222        4,541,436
          Increase in accounts payable and accrued expenses      12,230,666        3,820,710
          Net (purchases) of investments in United States
              government securities                            (107,381,433)     (49,933,899)
                                                              -------------    -------------

                 Net cash (for) operating activities            (32,375,066)     (23,510,681)
                                                              -------------    -------------

CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
    Addition of units                                            66,529,783       64,572,991
    Increase in subscriptions deposits                           27,819,040       74,802,351
    Increase (decrease) in prepaid subscriptions                                  (3,236,987)
    Redemption of units                                          (5,227,639)      (2,080,700)
    Increase in redemptions payable                                       0          660,775
                                                              -------------    -------------

                 Net cash from financing activities              89,121,184      134,718,430
                                                              -------------    -------------

Net increase in cash                                             56,746,118      111,207,749

CASH AND CASH EQUIVALENTS
    Beginning of period                                         126,510,947       59,458,798
                                                              -------------    -------------

    End of period                                             $ 183,257,065    $ 170,666,547
                                                              =============    =============

End of period cash consists of:
    Cash in broker trading accounts                           $  17,326,289    $   3,498,443
    Cash                                                        165,930,776      167,168,104
                                                              -------------    -------------

                 Total end of period cash                     $ 183,257,065    $ 170,666,547
                                                              =============    =============
</TABLE>

                             See accompanying notes.

                                      -7-
<PAGE>

                            THE CAMPBELL FUND TRUST
        STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE)
               For the Three Months Ended March 31, 2004 and 2003
                                  (Unaudited)

<TABLE>
<CAPTION>
                                                                   Unitholders' Capital
                                        ---------------------------------------------------------------------------------
                                          Managing Operator         Other Unitholders                   Total
                                        --------------------    --------------------------    ---------------------------
                                         Units        Amount       Units         Amount          Units          Amount
                                         -----        ------       -----         ------          -----          ------
<S>                                     <C>          <C>        <C>           <C>             <C>            <C>
THREE MONTHS ENDED
    MARCH 31, 2004

Balances at
    December 31, 2003                   20.360       $45,242    158,203.505   $351,546,121    158,223.865    $351,591,363
Net income for the three months
    ended March 31, 2004                               6,536                    55,605,943                     55,612,479
Additions                                0.000             0     28,256.490     66,529,783     28,256.490      66,529,783
Redemptions                              0.000            (0)    (2,258.194)    (5,227,639)    (2,258.194)     (5,227,639)
                                        ------       -------    -----------   ------------    -----------    ------------

Balances at
    March 31, 2004                      20.360       $51,778    184,201.801   $468,454,208    184,222.161    $468,505,986
                                        ======       =======    ===========   ============    ===========    ============

THREE MONTHS ENDED
    MARCH 31, 2003

Balances at
    December 31, 2002                   20.360       $38,174     76,075.368   $142,635,884     76,095.728    $142,674,058
Net income for the three months
    ended March 31, 2003                               3,953                    18,057,119                     18,061,072
Additions                                0.000             0     32,834.664     64,572,991     32,834.664      64,572,991
Redemptions                              0.000             0     (1,044.201)    (2,080,700)    (1,044.201)     (2,080,700)
                                        ------       -------    -----------   ------------    -----------    ------------
Balances at

    March 31, 2003                      20.360       $42,127    107,865.831   $223,185,294    107,886.191    $223,227,421
                                        ======       =======    ===========   ============    ===========    ============
</TABLE>

<TABLE>
<CAPTION>
                                    Net Asset Value Per Managing Owner and Other Unitholder Unit
                                  ---------------------------------------------------------------
                                  March 31,       December 31,        March 31,       December 31,
                                    2004              2003              2003             2002
                                    ----              ----              ----             ----
<S>                               <C>               <C>               <C>              <C>
                                  $2,543.16         $2,222.11         $2,069.10        $1,874.93
                                  =========         =========         =========        =========
</TABLE>

                             See accompanying notes.

                                      -8-
<PAGE>

                             THE CAMPBELL FUND TRUST
                          NOTES TO FINANCIAL STATEMENTS
                                   (Unaudited)

Note 1.    ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

         A.       General Description of the Trust

                  The Campbell Fund Trust (the Trust) is a Delaware statutory
                  trust which operates as a commodity investment pool. The Trust
                  engages in the speculative trading of futures contracts and
                  forward contracts.

         B.       Regulation

                  The Trust is a registrant with the Securities and Exchange
                  Commission (SEC) pursuant to the Securities Exchange Act of
                  1934 (the Act). As a registrant, the Trust is subject to the
                  regulations of the SEC and the informational requirements of
                  the Act. As a commodity investment pool, the Trust 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 Trust executes
                  transactions. Additionally, the Trust is subject to the
                  requirements of futures commission merchants (brokers) and
                  interbank market makers through which the Trust trades.

           C.     Method of Reporting

                  The Trust's financial statements are presented in accordance
                  with accounting principles generally accepted in the United
                  States of America, which require the use of certain estimates
                  made by the Trust's management. Investment 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 trade 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." The
                  market value of futures (exchange-traded) contracts is
                  determined by the various futures exchanges, and reflects the
                  settlement price for each contract as of the close of the last
                  business day of the reporting period. The market value of
                  forward (non-exchange traded) contracts is extrapolated on a
                  forward basis from the spot prices quoted as of 5:00 P.M.
                  (E.T.) of the last business day of the reporting period. Any
                  change in net unrealized gain or loss from the preceding
                  period is reported in the statement of operations. Brokerage
                  commissions include other trading fees and are charged to
                  expense when contracts are opened. United States government
                  securities are stated at cost plus accrued interest, which
                  approximates market value.

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

           D.     Cash and Cash Equivalents

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

                                      -9-
<PAGE>

                             THE CAMPBELL FUND TRUST
                    NOTES TO FINANCIAL STATEMENTS (CONTINUED)
                                   (Unaudited)

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

         E.       Income Taxes

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

         F.       Foreign Currency Transactions

                  The Trust'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.

         G.       Reclassification

                  Certain amounts in the 2003 financial statements were
                  reclassified to conform with the 2004 presentation.

Note 2.  MANAGING OPERATOR AND COMMODITY TRADING ADVISOR

         The managing operator of the Trust is Campbell & Company, Inc.
         (Campbell & Company), which conducts and manages the business of the
         Trust. Campbell & Company is also the commodity trading advisor of the
         Trust.

         The Trust pays the managing operator a monthly management fee equal to
         1/3 of 1% (4% annually) of the Net Assets (as defined in the
         Declaration of Trust and Trust Agreement) of the Trust as of the end of
         each month and a quarterly performance fee equal to 20% of the
         aggregate cumulative appreciation in Net Asset Value per Unit (as
         defined) exclusive of appreciation attributable to interest income.

Note 3.  TRUSTEE

         The trustee of the Trust is Delaware Trust Capital Management, Inc, a
         Delaware banking corporation. The trustee has delegated to the managing
         operator the duty and authority to manage the business and affairs of
         the Trust and has only nominal duties and liabilities with respect to
         the Trust.

Note 4.  DEPOSITS WITH BROKER

         The Trust deposits assets with ABN AMRO Incorporated to act as 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 Trust
         pays interest if deposits are below required levels and earns interest
         income on excess deposits with the broker.

Note 5.  SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

         Investments in the Trust are made by subscription agreement, subject to
         acceptance by the managing operator. Effective April 1, 2004 and
         January 1, 2004, additions of $50,829,533 and $23,010,493,
         respectively, were made to the Trust.

                                      -10-
<PAGE>

                             THE CAMPBELL FUND TRUST
                    NOTES TO FINANCIAL STATEMENTS (CONTINUED)
                                   (Unaudited)

Note 5.  SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS (CONTINUED)

         The Trust is not required to make distributions, but may do so at the
         sole discretion of the managing operator. A Unitholder may request and
         receive redemption of units owned, subject to restrictions in the
         Declaration of Trust and Trust Agreement. At March 31, 2004, there were
         requests for redemptions of $5,802,983 effective April 1, 2004. At
         December 31, 2003, there were requests for redemptions of $1,515,033
         effective January 1, 2004.

Note 6.  TRADING ACTIVITIES AND RELATED RISKS

         The Trust engages in the speculative trading of U.S. and foreign
         futures contracts and forward contracts (collectively, "derivatives").
         The Trust is exposed to both market risk, the risk arising from changes
         in the market value of the contracts, and credit risk, the risk of
         failure by another party to perform according to the terms of a
         contract.

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

         The amount of required margin and good faith deposits with the broker
         and interbank market makers usually range from 10% to 30% of Net Asset
         Value. The market value of securities held at March 31, 2004 and
         December 31, 2003 were $341,647,328 and $234,265,895, respectively,
         which equals 73% and 67% of Net Asset Value, respectively. The cash
         deposited with interbank market makers at March 31, 2004 and December
         31, 2003 was $114,616,814 and $92,308,440, respectively, which equals
         24% and 26% of Net Asset Value, respectively. These amounts are
         included in cash and cash equivalents.

         The Trust 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 Trust has a substantial portion of its assets on deposit with
         financial institutions. In the event of a financial institution's
         insolvency, recovery of Trust assets on deposit may be limited to
         account insurance or other protection afforded such deposits.

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

                                      -11-
<PAGE>

                             THE CAMPBELL FUND TRUST
                    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,        December 31,        March 31,        December 31,
                                  2004               2003              2004               2003
                                  ----               ----              ----               ----
<S>                           <C>              <C>                <C>                 <C>
Gross unrealized gains        $ 13,689,731     $   8,084,457      $  11,418,254       $ 25,390,198
Gross unrealized losses         (1,004,142)       (2,036,088)       (13,409,556)       (13,581,058)
                              ------------     -------------      -------------       ------------
Net unrealized gain (loss)    $ 12,685,589     $   6,048,369      $  (1,991,302)      $ 11,809,140
                              ============     =============      =============       ============
</TABLE>

         Open contracts generally mature within three months; as of December 31,
         2004, the latest maturity date for open futures contracts is July 2004,
         and the latest maturity date for open forward contracts is June 2004.
         However, the Trust intends to close all contracts prior to maturity.

         Campbell & Company has established procedures to actively monitor
         market risk and minimize credit risk, although there can be no
         assurance that it will, in fact, succeed in doing so. Campbell &
         Company's basic market risk control procedures consist of continuously
         monitoring open positions, diversification of the portfolio and
         maintenance of a margin-to-equity ratio that rarely exceeds 30%.
         Campbell & Company seeks to minimize credit risk primarily by
         depositing and maintaining the Trust's assets at financial institutions
         and brokers which Campbell & Company believes to be creditworthy. The
         unitholders 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, 2004, including
         the condensed schedule of investments, and the statements of
         operations, cash flows and changes in unitholders' capital (Net Asset
         Value) for the three months ended March 31, 2004 and 2003 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,
         2004, and the results of operations and cash flows for the three months
         ended March 31, 2004 and 2003.

                                      -12-
<PAGE>

                             THE CAMPBELL FUND TRUST
                    NOTES TO FINANCIAL STATEMENTS (CONTINUED)
                                   (Unaudited)

Note 8.  FINANCIAL HIGHLIGHTS

                  The following information presents per unit operating
performance data and other supplemental financial data for the three months
ended March 31, 2004 and 2003. This information has been derived from
information presented in the financial statements.

<TABLE>
<CAPTION>
                                                                                 Three months ended
                                                                                      March 31,
                                                                              2004                  2003
                                                                           (Unaudited)           (Unaudited)
                                                                            ---------             ---------
<S>                                                                        <C>                   <C>
PER UNIT PERFORMANCE
(for a unit outstanding throughout the entire period)

Net asset value per unit at beginning of period                             $2,222.11             $1,874.93
                                                                            ---------             ---------
Income (loss) from operations:
     Total trading gains (2), (3)                                              424.46                245.10
     Expenses net of interest income (1), (3)                                 (103.41)               (50.93)
                                                                            ---------             ---------
           Total income (loss) from operations                                 321.05                194.17
                                                                            ---------             ---------
Net asset value per unit at end of period                                   $2,543.16             $2,069.10
                                                                            =========             =========
TOTAL RETURN (4)                                                                14.45 %               10.36 %
                                                                            =========             =========
SUPPLEMENTAL DATA

Ratios to average net asset value:
     Expenses prior to performance fee (1), (5)                                 (4.25)%               (4.14)%
     Performance fee (4)                                                        (3.48)%               (1.70)%
                                                                            ---------             ---------
           Total expenses                                                       (7.73)%               (5.84)%
                                                                            =========             =========
     Expenses, prior to performance fee, net of interest income (1), (5)         (3.37)%               (3.06)%
                                                                            =========             =========
</TABLE>

         Total returns are calculated based on the change in value of a unit
         during the period. An individual partner's total returns and ratios may
         vary from the above total returns and ratios based on the timing of
         additions and redemptions.

---------------------------
(1)      Excludes brokerage commissions and other trading fees paid directly to
         the broker.

(2)      Includes brokerage commissions and other trading fees paid directly to
         the broker.

(3)      Expenses net of interest income per unit per unit is calculated by
         dividing the expenses net of interest income by the average number of
         units outstanding during the period. Total trading gains is a balancing
         amount necessary to reconcile the change in net asset value per unit
         with the other per unit information.

(4)      Not annualized

(5)      Annualized


                                      -13-
<PAGE>

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

Introduction

The Campbell Fund Trust (the "Trust") is a business trust organized on January
2, 1996 under the Delaware Business Trust Act, which was replaced by the
Delaware Statutory Trust Act as of September 1, 2002. The Trust is a successor
to the Campbell Fund Limited Partnership (formerly known as the Commodity Trend
Fund) and began trading operations in January 1972. The Trust currently trades
in the U.S. and international futures and forward markets under the sole
direction of Campbell & Company, Inc., the managing operator of the Trust.
Specifically, the Trust trades a portfolio primarily focused on financial
futures and forwards, with a secondary emphasis on metal, energy and
agricultural products. The Trust is an actively managed account with speculative
trading profits as its objective.

Gains or losses are realized when contracts are liquidated. Net unrealized gains
or losses on open contracts (the difference between contract price and market
price) are reflected in the statement of financial condition. Any change in net
unrealized gain or loss from the preceding period is reported in the statement
of operations. United States government securities are stated at cost plus
accrued interest, which approximates market value. For purposes of both
financial reporting and calculation of redemption value, Net Asset Value per
Unit is calculated by dividing Net Asset Value by the number of outstanding
Units.

As of March 31, 2004, the aggregate capitalization of the Trust was
$468,505,986, and the Net Asset Value per Unit was $2,543.16.

Critical Accounting Policies

The preparation of financial statements in conformity with accounting principles
generally accepted in the United States requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and
disclosures of contingent assets and liabilities at the date of the financial
statements and the reported amounts of income and expense during the reporting
period. Management believes that the estimates utilized in preparing the
financial statements are reasonable and prudent; however, actual results could
differ from those estimates. The Trust's significant accounting policies are
described in detail in Note 1 of the Financial Statements.

The Trust records all investments at fair value in its financial statements,
with changes in fair value reported as a component of realized and change in
unrealized trading gain (loss) in the Statements of Operations. Generally, fair
values are based on market prices; however, in certain circumstances, estimates
are involved in determining fair value in the absence of an active market
closing price (e.g. forward contracts which are traded in the inter-bank
market).

Capital Resources

The Trust 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 Trust's business, it will make no
capital expenditures and will have no capital assets, which are not operating
capital or assets.

                                      -14-
<PAGE>

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 Trust from promptly liquidating
unfavorable positions and subject the Trust 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 Trust 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 Trust's commodity futures trading operations, the Trust's assets
are expected to be highly liquid.

The entire offering proceeds, without deductions, will be credited to the
Trust's bank and brokerage accounts to engage in trading activities and as
reserves for that trading. The Trust meets its margin requirements by depositing
U.S. government securities with the futures broker and the over-the-counter
counterparties. In this way, substantially all (i.e., 95% or more) of the
Trust's assets, whether used as margin for trading purposes or as reserves for
such trading, can be invested in U.S. government securities and time deposits
with U.S. banks. Investors should note that maintenance of the Trust's assets in
U.S. government securities and banks does not reduce the risk of loss from
trading futures and forward contracts. The Trust receives all interest earned on
its assets. No other person shall receive any interest or other economic
benefits from the deposit of Trust assets.

Approximately 10% to 30% of the Trust's assets normally are committed as
required margin for futures contracts and held by the futures broker, although
the amount committed may vary significantly. Such assets are maintained in the
form of cash or U.S. Treasury bills in segregated accounts with the futures
broker pursuant to the Commodity Exchange Act and regulations thereunder.
Approximately 10% to 30% of the Trust's assets are deposited with
over-the-counter counterparties in order to initiate and maintain forward
contracts. Such assets are not held in segregation or otherwise regulated under
the Commodity Exchange Act, unless such over-the-counter counterparty is
registered as a futures commission merchant. These assets are held either in
U.S. government securities or short-term time deposits with U.S.-regulated bank
affiliates of the over-the-counter counterparties. The remaining 40% to 80% of
the Trust's assets will normally be invested in cash equivalents, such as U.S.
Treasury bills, and held by the futures broker or the over-the-counter
counterparties.

The Trust's assets are not and will not be, directly or indirectly, commingled
with the property of any other person in violation of law or invested with or
loaned to Campbell & Company or any affiliated entities.

RESULTS OF OPERATIONS

The return for the three months ended March 31, 2004 and 2003 was 14.45% and
10.36% respectively.

                                      -15-
<PAGE>

2004

For the 2004 year-to-date increase of 14.45%, approximately 18.87% was due to
trading gains (before commissions) and approximately 0.22% was due to interest
income, offset by approximately 4.64% due to brokerage fees, management fees,
performance fees and operating cost borne by the Trust. An analysis of the
18.87% trading gains by sector is as follows:

<TABLE>
<CAPTION>
    SECTOR                                             % GAIN (LOSS)
    ------                                             ------------
<S>                                                    <C>
Interest Rates                                             11.03 %

Currencies                                                  6.35

Energy                                                      1.67

Agriculture                                                 0.12

Metals                                                     (0.14)

Stock Indices                                              (0.16)
                                                           -----
                                                           18.87 %
                                                           =====
</TABLE>

The year began with the Trust posting a positive return in January despite
significant volatility throughout the month. The weak U.S. Dollar continued to
drive most global markets, including many that had no apparent or direct
connection to the Dollar, and in circumstances such as this, subtle shifts in
perception can have a disproportionate impact on prices. The Dollar traded lower
throughout the month, which was profitable for the Trust's currency positions.
Much of the gain reversed late in the month when markets reacted violently when
the Federal Open Market Committee (FOMC) slightly restated its short-term
interest rate bias. The interest rate sector was slightly positive despite also
having suffered a reversal of earlier gains following the FOMC announcement. The
stock index and metals sectors had small losses for the month.

The Trust had a strong positive return in February as the trends that were in
place at the end of January persisted. The continued concern over the record
U.S. budget deficit and current account imbalance kept downward pressure on the
U.S. Dollar and resulted in strong gains in the currency sector. The weak Dollar
in return reinforced several related trends, including the continued rise in
energy prices, resulting in positive returns in the energy sector. The interest
rates sector was also profitable for the month as European interest rate
instruments traded higher on diminished rate-cut expectations.

All of the gain for the month of March came from the interest rate sector as
U.S. Treasuries continued to trade higher, while a weakening U.S. Dollar also
contributed solid returns. The energy sector was moderately positive, while the
equity index sector was moderately negative.

2003

For the 2003 year-to-date increase of 10.36%, approximately 12.91% was due to
trading gains (before commissions), approximately 0.27% was due interest income
offset by approximately 2.82% due to brokerage fees, management fees,
performance fees and operating costs borne by the Trust. An analysis of the
12.91% trading loss by sector is as follows:

                                      -16-
<PAGE>

<TABLE>
<CAPTION>
  SECTOR                                                % GAIN (LOSS)
  ------                                                ------------
<S>                                                     <C>
Currencies                                                   6.55 %

Energy                                                       4.29

Interest Rates                                               1.68

Agricultural                                                 0.23

Stock Indices                                                0.18

Metals                                                      (0.02)
                                                            -----
                                                            12.91 %
                                                            -----
</TABLE>

The long-term trends that created so much opportunity for the Trust in 2002
continued in January 2003. Profits were earned in every sector other than stock
indices. However, the environment was one where a single event, the prospect of
war with Iraq, was driving the Trust's whole portfolio. While the Trust's
systematic and disciplined trading strategies continued to keep it engaged,
leverage was subsequently decreased to protect against significant losses which
could result from potential sharp and extended reversals in core positions.

The Trust was positive again in February with metals being the only negative
sector. Strong momentum in energy, fixed income, currencies and stock indices
continued, largely as a result of the troubled global geopolitical outlook. In
order to mitigate the risk of potential sharp reversals in trends, the Trust
maintained a lower-than-normal level of leverage during the month.

The long awaited market reversal occurred in March. Initially energy, precious
metals and fixed income markets all sold off sharply, while equities and the
U.S. Dollar rallied. Several days into this correction, these markets all sold
off suddenly, as hopes of a quick victory in Iraq subsided. With significantly
reduced leverage, the losses the Trust sustained were relatively modest, giving
the Trust a positive first quarter.

OFF-BALANCE SHEET RISK

The term "off-balance sheet risk" refers to an unrecorded potential liability
that, even though it does not appear on the balance sheet, may result in future
obligation or loss. The Trust 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 Trust, 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 Trust at the same time, and if the Trust's trading
advisor was unable to offset futures interests positions of the Trust, the Trust
could lose all of its assets and the Unitholders would realize a 100% loss.
Campbell & Company, Inc., the managing operator (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 Trust. The counterparty for futures

                                      -17-
<PAGE>

contracts traded in the United States and on most foreign 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, like 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 a greater counterparty credit risk. Campbell & Company trades for the
Trust only with those counterparties which it believes to be creditworthy. All
positions of the Trust are valued each day on a mark-to-market basis. There can
be no assurance that any clearing member, clearinghouse or other counterparty
will be able to meet its obligations to the Trust.

DISCLOSURES ABOUT CERTAIN TRADING ACTIVITIES THAT INCLUDE NON-EXCHANGE TRADED
CONTRACTS ACCOUNTED FOR AT FAIR VALUE

The Trust invests in futures and forward currency contracts. The market value of
futures (exchange-traded) contracts is determined by the various futures
exchanges, and reflects the settlement price for each contract as of the close
of the last business day of the reporting period. The market value of forward
(non-exchange traded) contracts is extrapolated on a forward basis from the spot
prices quoted as of 5:00 P.M. (E.T.) of the last business day of the reporting
period.

ITEM 3.  QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

INTRODUCTION

Past Results Not Necessarily Indicative of Future Performance

         The Trust is a speculative commodity pool. The market sensitive
instruments held by it are acquired for speculative trading purposes, and all or
a substantial amount of the Trust's assets are subject to the risk of trading
loss. Unlike an operating company, the risk of market sensitive instruments is
integral, not incidental, to the Trust's main line of business.

         Market movements result in frequent changes in the fair market value of
the Trust's open positions and, consequently, in its earnings and cash flow. The
Trust's market risk is influenced by a wide variety of factors, including the
level and volatility of exchange rates, interest rates, equity price levels, the
market value of financial instruments and contracts, the diversification effects
among the Trust's open positions and the liquidity of the markets in which it
trades.

         The Trust rapidly acquires and liquidates both long and short positions
in a wide range of different markets. Consequently, it is not possible to
predict how a particular future market scenario will affect performance, and the
Trust's past performance is not necessarily indicative of its future results.

         Value at Risk is a measure of the maximum amount which the Trust could
reasonably be expected to lose in a given market sector. However, the inherent
uncertainty of the Trust's speculative trading and the recurrence in the markets
traded by the Trust of market movements far

                                      -18-
<PAGE>

exceeding expectations could result in actual trading or non-trading losses far
beyond the indicated Value at Risk or the Trust's experience to date (i.e.,
"risk of ruin"). Risk of ruin is defined to be no more than a 5% chance of
losing 20% or more on a monthly basis. In light of the foregoing as well as the
risks and uncertainties intrinsic to all future projections, the inclusion of
the quantification included in this section should not be considered to
constitute any assurance or representation that the Trust's losses in any market
sector will be limited to Value at Risk or by the Trust's attempts to manage its
market risk.

Standard of Materiality

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

QUANTIFYING THE TRUST'S TRADING VALUE AT RISK

Quantitative Forward-Looking Statements

         The following quantitative disclosures regarding the Trust's market
risk exposures contain "forward-looking statements" within the meaning of the
safe harbor from civil liability provided for such statements by the Private
Securities Litigation Reform Act of 1995 (set forth in Section 27A of the
Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934).
All quantitative disclosures in this section are deemed to be forward-looking
statements for purposes of the safe harbor, except for statements of historical
fact (such as the dollar amount of maintenance margin required for market risk
sensitive instruments held at the end of the reporting period).

         The Trust's risk exposure in the various market sectors traded by
Campbell & Company is quantified below in terms of Value at Risk. Due to the
Trust's mark-to-market accounting, any loss in the fair value of the Trust's
open positions is directly reflected in the Trust's earnings (realized or
unrealized).

         Exchange maintenance margin requirements have been used by the Trust as
the measure of its Value at Risk. Maintenance margin requirements are set by
exchanges to equal or exceed the maximum losses reasonably expected to be
incurred in the fair value of any given contract in 95% - 99% of any one-day
intervals. The maintenance margin levels are established by dealers and
exchanges using historical price studies as well as an assessment of current
market volatility and economic fundamentals to provide a probabilistic estimate
of the maximum expected near-term one-day price fluctuation. Maintenance margin
has been used rather than the more generally available initial margin, because
initial margin includes a credit risk component which is not relevant to Value
at Risk.

         In the case of market sensitive instruments which are not
exchange-traded (which includes currencies in the case of the Trust), the margin
requirements for the equivalent futures positions have been used as Value at
Risk. In those cases in which a futures-equivalent margin is not available,
dealers' margins have been used.

         In the case of contracts denominated in foreign currencies, the Value
at Risk figures include foreign margin amounts converted into U.S. Dollars with
an incremental adjustment to reflect the

                                      -19-
<PAGE>

exchange rate risk inherent to the Dollar-based Trust in expressing Value at
Risk in a functional currency other than Dollars.

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

         Value at Risk as calculated herein may not be comparable to similarly
titled measures used by others.

THE TRUST'S TRADING VALUE AT RISK IN DIFFERENT MARKET SECTORS

         The following tables indicate the trading Value at Risk associated with
the Trust's open positions by market category as of March 31, 2004 and December
31, 2003 and the trading gains/losses by market category for the three months
ended March 31, 2004 and the year ended December 31, 2003. All open position
trading risk exposures of the Trust have been included in calculating the
figures set forth below. As of March 31, 2004 and December 31, 2003, the Trust's
total capitalization was approximately $468.5 million and $351.6 million,
respectively.

<TABLE>
<CAPTION>
                         MARCH 31, 2004
                         --------------
                                   % OF TOTAL          TRADING
MARKET SECTOR   VALUE AT RISK    CAPITALIZATION       GAIN/(LOSS)*
-------------   -------------    --------------       ----------
<S>             <C>              <C>                  <C>
Currencies      $ 14,300,000        3.05%                6.35 %
Interest Rates  $ 13,699,000        2.93%               11.03 %
Stock Indices   $  4,651,000        0.99%               (0.16)%
Energy          $  2,948,000        0.63%                1.67 %
Agricultural    $    156,000        0.03%                0.12 %
Metals          $      7,000        0.00%               (0.14)%
                ------------        ----                -----
   Total        $ 35,761,000        7.63%               18.87 %
                ============        ====                =====
</TABLE>

* - Of the 14.45% return for the three months ended March 31, 2004,
approximately 18.87% was due to trading gains (before commissions),
approximately 0.22% was due interest income offset by approximately 4.64% due to
brokerage fees, management fees, performance fees and operating costs borne by
the Trust.

<TABLE>
<CAPTION>
                           DECEMBER 31, 2003
                          -----------------
                                     % OF TOTAL              TRADING
MARKET SECTOR   VALUE AT RISK      CAPITALIZATION           GAIN/(LOSS)*
-------------   -------------      --------------           ----------
<S>             <C>                <C>                      <C>
Currencies      $16,132,000            4.59%                  25.81 %
Interest Rates  $14,105,000            4.01%                  (3.35)%
</TABLE>

                                      -20-
<PAGE>

<TABLE>
<S>             <C>                    <C>                    <C>
Stock Indices   $13,538,000             3.85%                  5.76 %
Energy          $ 3,455,000             0.98%                 (1.68)%
Metals          $    94,000             0.03%                 (0.30)%
Agricultural    $    75,000             0.02%                 (1.11)%
                -----------            -----                  -----
   Total        $47,399,000            13.48%                 25.13 %
                ===========            =====                  =====
</TABLE>

* - Of the 18.52% return for the year ended December 31, 2003, approximately
25.13% was due to trading gains (before commissions) and approximately 0.96% was
due to interest income, offset by approximately 7.57% in brokerage fees,
management fees, performance fees and operating costs borne by the Trust.

MATERIAL LIMITATIONS ON VALUE AT RISK AS AN ASSESSMENT OF MARKET RISK

         The face value of the market sector instruments held by the Trust is
typically many times the applicable maintenance margin requirement (maintenance
margin requirements generally ranging between approximately 1% and 10% of
contract face value) as well as many times the capitalization of the Trust. The
magnitude of the Trust's open positions creates a "risk of ruin" not typically
found in most other investment vehicles. Because of the size of its positions,
certain market conditions -- unusual, but historically recurring from time to
time -- could cause the Trust to incur severe losses over a short period of
time. The foregoing Value at Risk tables -- as well as the past performance of
the Trust -- give no indication of this "risk of ruin."

NON-TRADING RISK

         The Trust has non-trading market risk on its foreign cash balances not
needed for margin. However, these balances (as well as the market risk they
represent) are immaterial. The Trust also has non-trading market risk as a
result of investing a substantial portion of its available assets in U.S.
Treasury Bills. The market risk represented by these investments is immaterial.

QUALITATIVE DISCLOSURES REGARDING PRIMARY TRADING RISK EXPOSURES

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

                                      -21-
<PAGE>

      The following were the primary trading risk exposures of the Trust as of
March 31, 2004, by market sector.

Currencies

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

Interest Rates

      Interest rate risk is a significant market exposure of the Trust. Interest
rate movements directly affect the price of the sovereign bond positions held by
the Trust and indirectly the value of its stock index and currency positions.
Interest rate movements in one country as well as relative interest rate
movements between countries materially impact the Trust's profitability. The
Trust's primary interest rate exposure is to interest rate fluctuations in the
United States and the other G-7 countries. Additionally, the Trust takes
positions in the government debt of Switzerland. Campbell & Company anticipates
that G-7 interest rates will remain the primary market exposure of the Trust for
the foreseeable future. The changes in interest rates which have the most effect
on the Trust are changes in long-term, as opposed to short-term rates. Most of
the speculative positions held by the Trust are in medium- to long-term
instruments. Consequently, even a material change in short-term rates would have
little effect on the Trust were the medium- to long-term rates to remain steady.

Stock Indices

      The Trust's primary equity exposure is to equity price risk in the G-7
countries and several other countries (Hong Kong, Spain and Taiwan). The stock
index futures traded by the Trust are by law limited to futures on broadly based
indices. As of March 31, 2004, the Trust's primary exposures were in the DAX
(Germany), Nikkei (Japan), Euro STOXX 50 and S&P 500 (USA) stock indices. The
Trust is primarily exposed to the risk of adverse price trends or static markets
in the major U.S., European and Japanese indices. (Static markets would not
cause major market changes but would make it difficult for the Trust to avoid
being "whipsawed" into numerous small losses.)

Energy

      The Trust's primary energy market exposure is to gas and oil price
movements, often resulting from political developments and ongoing conflicts in
the Middle East. As of March 31, 2004, crude oil and heating oil are the
dominant energy market exposures of the Trust. Oil and gas prices can be
volatile and substantial profits and losses have been and are expected to
continue to be experienced in this market.

Metals

                                      -22-
<PAGE>

      The Trust's metals market exposure is to fluctuations in the price of
aluminum, copper, gold, nickel and zinc. The risk allocation to the metal sector
has not exceeded 1% of the Trust's portfolio during the three months ended March
31, 2004.

Agricultural

      The Trust's agricultural exposure is to wheat, corn, coffee and cotton.
The risk allocation to the agricultural sector has not exceeded 1% of the
Trust's portfolio during the thee months ended March 31, 2004.

QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE

      The following were the only non-trading risk exposures of the Trust as of
March 31, 2004.

Foreign Currency Balances

      The Trust's primary foreign currency balances are in Japanese Yen, British
Pounds and Euros. The Trust controls the non-trading risk of these balances by
regularly converting these balances back into dollars (no less frequently than
twice a month, and more frequently if a particular foreign currency balance
becomes unusually large).

Treasury Bill Positions

      The Trust's only market exposure in instruments held other than for
trading is in its Treasury Bill portfolio. The Trust holds Treasury Bills
(interest bearing and credit risk-free) with durations no longer than six
months. Violent fluctuations in prevailing interest rates could cause immaterial
mark-to-market losses on the Trust's Treasury Bills, although substantially all
of these short-term investments are held to maturity.

QUALITATIVE DISCLOSURES REGARDING MEANS OF MANAGING RISK EXPOSURE

      The means by which Campbell & Company attempts to manage the risk of the
Trust's open positions is essentially the same in all market categories traded.
Campbell & Company applies risk management policies to its trading which
generally limit the total exposure that may be taken per "risk unit" of assets
under management. In addition, Campbell & Company follows diversification
guidelines (often formulated in terms of the balanced volatility between markets
and correlated groups), as well as imposing "stop-loss" points at which open
positions must be closed out.

      Campbell & Company controls the risk of the Trust's non-trading
instruments (Treasury Bills held for cash management purposes) by limiting the
duration of such instruments to no more than six months.

GENERAL

      The Trust 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

                                      -23-
<PAGE>

agencies have proposed increased margin requirements on futures contracts.
Because the Trust generally will use a small percentage of assets as margin, the
Trust does not believe that any increase in margin requirements, as proposed,
will have a material effect on the Trust's operations.

ITEM 4. CONTROLS AND PROCEDURES

      Campbell & Company, Inc., the managing operator of the Trust, with the
participation of the managing operator's Chief Executive Officer and Chief
Financial Officer, has evaluated the effectiveness of the design and operation
of its disclosure controls and procedures (as defined in the Securities Exchange
Act of 1934 Rules 13a-15(e) or 15d-15(e)) with respect to the Trust as of the
end of the period covered by this quarterly report. Based on their evaluation,
the Chief Executive Officer and Chief Financial Officer have concluded that
these disclosure controls and procedures are effective. There were no changes in
the managing operator's internal control over financial reporting applicable to
the Trust identified in connection with the evaluation required by paragraph (d)
of Exchange Act Rules 13a-15 or 15d-15 that occurred during the last fiscal
quarter that have materially affected, or is reasonably likely to materially
affect, internal control over financial reporting applicable to the Trust.

                                      -24-
<PAGE>

                            PART II-OTHER INFORMATION

Item 1. Legal Proceedings.

      None

Item 2. Changes in Securities and Use of Proceeds

      None

Item 3. Defaults Upon Senior Securities

      Not applicable.

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

      None

Item 5. Other Information

      None

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

      (a)   Exhibits

      Exhibit
      Number                         Description of Document

      31.01       Certification of Bruce L. Cleland, Chief Executive Officer,
                  pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange
                  Act of 1934.

      31.02       Certification of Theresa D. Becks, Chief Financial Officer,
                  pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange
                  Act of 1934.

      32.01       Certification of Bruce L. Cleland, Chief Executive Officer,
                  pursuant to 18 U.S.C. Section 1350, as enacted by Section 906
                  of The Sarbanes-Oxley Act of 2002.

      32.02       Certification of Theresa D. Becks, Chief Financial Officer,
                  pursuant to 18 U.S.C. Section 1350, as enacted by Section 906
                  of The Sarbanes-Oxley Act of 2002.

      (b)   Reports of Form 8-K

            Campbell & Company, Inc., the managing owner of the Trust, filed a
            Current Report on Form 8-K on March 2, 2004 under Item 5 announcing
            that it had sent a letter to investors in the Trust describing the
            challenges relating to investment capacity presently faced by the
            Trust due to the growth in assets under management of its commodity
            trading advisor, Campbell & Company, Inc.

                                      -25-
<PAGE>

                                   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.

                                  THE CAMPBELL FUND TRUST
                                  (Registrant)

                                  By: Campbell & Company, Inc.
                                      Managing Operator

Date: May 14, 2004                By: /s/Theresa D. Becks
                                      ---------------------
                                      Theresa D. Becks
                                      Chief Financial Officer/Treasurer/Director

                                      -26-
<PAGE>

                                  EXHIBIT INDEX

<TABLE>
<CAPTION>
Exhibit Number                           Description of Document                Page Number
--------------                           -----------------------                -----------
<S>                                 <C>                                         <C>
31.01                               Certification by Chief Executive Officer        E 2
31.02                               Certification by Chief Financial Officer        E 3
32.01                               Certification by Chief Executive Officer        E 4
32.02                               Certification by Chief Financial Officer        E 5
</TABLE>

                                       E 1