##### 



UNITED STATES SECURITIES AND EXCHANGE COMMISSION
 WASHINGTON, D.C. 20549
 FORM 10-Q
 þ
    
    Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
 For the quarterly period endedJune 30, 2006
 or
 o
    
    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
  Delaware
    
    94-6260018(State of Organization)
    
    (IRS Employer Identification Number)
 (Address of principal executive offices, including zip code)
 (Registrants telephone number, including area code)
 þ o
  o o þ
 þ o
 27




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##### 



PagePART I  FINANCIAL INFORMATIONItem 1. Financial StatementsStatements of Financial Condition as of June 30, 2006 (Unaudited)
and December 31, 2005
    
    
    3Condensed Schedules of Investments as of June 30, 2006 (Unaudited)
and December 31, 2005
    
    
    4-5Statements of Operations for the Three Months and Six Months Ended
June 30, 2006 and 2005 (Unaudited)
    
    
    6Statements of Cash Flows for the Six Months Ended
June 30, 2006 and 2005 (Unaudited)
    
    
    7Statements of Changes in Unitholders Capital (Net Asset Value)
for the Six Months Ended June 30, 2006 and 2005 (Unaudited)
    
    
    8Notes to Financial Statements (Unaudited)
    
    
    9-13Item 2. Managements Discussion and Analysis of Financial Condition and
Results of Operations
    
    
    14-19Item 3. Quantitative and Qualitative Disclosure About Market Risk
    
    
    20-25Item 4. Controls and Procedures
    
    
    26PART II  OTHER INFORMATION
    
    
    27Item 6. Exhibits and Reports on Form 8-K
    
    
    27SIGNATURESCERTIFICATIONS




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##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF FINANCIAL CONDITION
 June 30,
    
    
    December 31,2006
    
    
    2005ASSETSEquity in broker trading accountsCash
    
    $
    81,657,490
    
    
    $
    28,167,051United States government securities
    
    
    683,995,512
    
    
    
    480,021,830Net unrealized gain (loss) on open futures contracts
    
    
    11,405,730
    
    
    
    (2,223,857
    )Total equity in broker trading accounts
    
    
    777,058,732
    
    
    
    505,965,024Cash and cash equivalents
    
    
    26,733,241
    
    
    
    258,339,749United States government securities
    
    
    352,543,788
    
    
    
    273,355,666Net unrealized (loss) on open forward currency contracts
    
    
    (9,581,097
    )
    
    
    (31,744,009
    )Subscription receivable
    
    
    247,967
    
    
    
    0Total assets
    
    $
    1,147,002,631
    
    
    $
    1,005,916,430LIABILITIESAccounts payable
    
    $
    63,917
    
    
    $
    112,361Accrued commissions and other trading fees
on open contracts
    
    
    176,571
    
    
    
    156,266Options written, at fair value (premium received  $327,667)
    
    
    477,039
    
    
    
    0Management fee payable
    
    
    3,804,003
    
    
    
    3,143,094Performance fee payable
    
    
    0
    
    
    
    2,829,826Redemptions payable
    
    
    6,498,554
    
    
    
    2,257,332Subscription deposits
    
    
    0
    
    
    
    1,300,000Prepaid subscriptions
    
    
    0
    
    
    
    61,419,664Total liabilities
    
    
    11,020,084
    
    
    
    71,218,543UNITHOLDERS CAPITAL (Net Asset Value)Managing Operator  20.360 units outstanding
at June 30, 2006 and December 31, 2005
    
    
    54,002
    
    
    
    54,934Other Unitholders  428,267.338 and 346,403.516
units outstanding at June 30, 2006 and
December 31, 2005
    
    
    1,135,928,545
    
    
    
    934,642,953Total unitholders capital
(Net Asset Value)
    
    
    1,135,982,547
    
    
    
    934,697,887Total liabilities and unitholders capital
(Net Asset Value)
    
    $
    1,147,002,631
    
    
    $
    1,005,916,430
  - 3 -




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##### 



THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
 UNITED STATES GOVERNMENT SECURITIES*
 Maturity
    
    
    
    
    
    
    
    
    
    
    % of NetFace Value
    
    
    Date
    
    
    Description
    
    
    Value
    
    
    Asset Value$
    255,000,000
    
    
    
    08/17/2006
    
    
    U.S. Treasury Bills
    
    $
    253,438,621
    
    
    
    22.31
    %$
    200,000,000
    
    
    
    09/07/2006
    
    
    U.S. Treasury Bills
    
    
    198,220,667
    
    
    
    17.45
    %$
    184,000,000
    
    
    
    08/24/2006
    
    
    U.S. Treasury Bills
    
    
    182,711,080
    
    
    
    16.09
    %$
    170,000,000
    
    
    
    09/21/2006
    
    
    U.S. Treasury Bills
    
    
    168,149,078
    
    
    
    14.80
    %$
    135,000,000
    
    
    
    07/06/2006
    
    
    U.S. Treasury Bills
    
    
    134,914,687
    
    
    
    11.88
    %$
    100,000,000
    
    
    
    09/08/2006
    
    
    U.S. Treasury Bills
    
    
    99,105,167
    
    
    
    8.72
    %Total United States government
securities
 (cost, including accrued interest,  $1,036,539,300)
    
    $
    1,036,539,300
    
    
    
    91.25
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    3,477,829
    
    
    
    0.30
    %Metals
    
    
    (264,320
    )
    
    
    (0.02
    )%Stock indices
    
    
    2,195,940
    
    
    
    0.19
    %Short-term interest rates
    
    
    (35,186
    )
    
    
    (0.00
    )%Long-term interest rates
    
    
    (1,624,683
    )
    
    
    (0.14
    )%Total long futures contracts
    
    $
    3,749,580
    
    
    
    0.33
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueAgriculture
    
    $
    188,548
    
    
    
    0.02
    %Energy
    
    
    452,540
    
    
    
    0.04
    %Metals
    
    
    (492,022
    )
    
    
    (0.04
    )%Stock indices
    
    
    (1,245,022
    )
    
    
    (0.11
    )%Short-term interest rates
    
    
    6,080,383
    
    
    
    0.53
    %Long-term interest rates
    
    
    2,671,723
    
    
    
    0.23
    %Total short futures contracts
    
    $
    7,656,150
    
    
    
    0.67
    %Total futures contracts
    
    $
    11,405,730
    
    
    
    1.00
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (8,493,509
    )
    
    
    (0.75)
    %Various short forward currency contracts
    
    
    (1,087,588
    )
    
    
    (0.09)
    %Total forward currency contracts
    
    $
    (9,581,097
    )
    
    
    (0.84
    )%
 WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueWritten
options on forward currency contracts

(premiums received  $327,667)
    
    $
    (477,039
    )
    
    
    (0.04
    )%
 
 *
    
    - Pledged as collateral for the trading of futures, forward and options contracts.  - 4 -




---



##### 



THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
 
 UNITED STATES GOVERNMENT SECURITIES*
 Maturity
    
    
    
    
    
    
    
    
    % of NetFace Value
    
    
    Date
    
    
    Description
    
    Value
    
    
    Asset Value$
    190,000,000
    
    
    
    03/02/2006
    
    
    U.S. Treasury Bills
    
    $
    188,779,250
    
    
    
    20.20
    %$
    170,000,000
    
    
    
    03/09/2006
    
    
    U.S. Treasury Bills
    
    
    168,772,411
    
    
    
    18.06
    %$
    135,000,000
    
    
    
    02/23/2006
    
    
    U.S. Treasury Bills
    
    
    134,234,812
    
    
    
    14.36
    %$
    110,000,000
    
    
    
    03/23/2006
    
    
    U.S. Treasury Bills
    
    
    109,040,937
    
    
    
    11.66
    %$
    85,000,000
    
    
    
    02/16/2006
    
    
    U.S. Treasury Bills
    
    
    84,576,417
    
    
    
    9.05
    %$
    68,000,000
    
    
    
    01/05/2005
    
    
    U.S. Treasury Bills
    
    
    67,973,669
    
    
    
    7.27
    %Total
United States government securities
(cost, including accrued
interest,  $753,377,496)
    
    $
    753,377,496
    
    
    
    80.60
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (10,862,346
    )
    
    
    (1.16
    )%Metals
    
    
    680,140
    
    
    
    0.07
    %Stock indices
    
    
    (101,406
    )
    
    
    (0.01
    )%Long-term interest rates
    
    
    321,383
    
    
    
    0.03
    %Total long futures contracts
    
    $
    (9,962,229
    )
    
    
    (1.07
    )%
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueAgricultural
    
    $
    (442,817
    )
    
    
    (0.04
    )%Metals
    
    
    (17,225
    )
    
    
    (0.00
    )%Stock indices
    
    
    (213,230
    )
    
    
    (0.02
    )%Short-term interest rates
    
    
    9,435,205
    
    
    
    1.00
    %Long-term interest rates
    
    
    (1,023,561
    )
    
    
    (0.11
    )%Total short futures contracts
    
    $
    7,738,372
    
    
    
    0.83
    %Total futures contracts
    
    $
    (2,223,857
    )
    
    
    (0.24
    )%
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (23,306,838
    )
    
    
    (2.50
    )%Various short forward currency contracts
    
    
    (8,437,171
    )
    
    
    (0.90
    )%Total forward currency contracts
    
    $
    (31,744,009
    )
    
    
    (3.40
    )%
 
 *
    
    - pledged as collateral for the trading of futures and forward positions.  - 5 -




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##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF OPERATIONS
 
 Three Months Ended
    
    
    Six Months EndedJune 30,
    
    
    June 30,2006
    
    
    2005
    
    
    2006
    
    
    2005TRADING GAINS (LOSSES)Futures trading gains (losses)Realized
    
    $
    34,426,521
    
    
    $
    26,842,536
    
    
    $
    50,544,429
    
    
    $
    31,356,138Change in unrealized
    
    
    (15,492,969
    )
    
    
    10,380,234
    
    
    
    13,629,587
    
    
    
    14,761,286Brokerage commissions
    
    
    (502,883
    )
    
    
    (684,087
    )
    
    
    (988,313
    )
    
    
    (1,183,138
    )Net gain from futures trading
    
    
    18,430,669
    
    
    
    36,538,683
    
    
    
    63,185,703
    
    
    
    44,934,286Forward currency and options on forward
currency trading gains (losses)Realized
    
    
    (69,443,410
    )
    
    
    23,918,421
    
    
    
    (103,196,236
    )
    
    
    (7,386,809
    )Change in unrealized
    
    
    (20,413,881
    )
    
    
    33,223,665
    
    
    
    22,013,540
    
    
    
    37,559,909Brokerage commissions
    
    
    (140,523
    )
    
    
    (46,099
    )
    
    
    (231,753
    )
    
    
    (110,723
    )Net gain (loss) from forward
currency and options on forward
currency trading
    
    
    (89,997,814
    )
    
    
    57,095,987
    
    
    
    (81,414,449
    )
    
    
    30,062,377Total net trading gains (losses)
    
    
    (71,567,145
    )
    
    
    93,634,670
    
    
    
    (18,228,746
    )
    
    
    74,996,663EXPENSES NET OF INTEREST INCOMEIncomeInterest income
    
    
    13,725,345
    
    
    
    5,031,829
    
    
    
    24,643,787
    
    
    
    9,071,274ExpensesManagement fee
    
    
    11,459,344
    
    
    
    7,701,120
    
    
    
    22,013,624
    
    
    
    14,572,764Performance fee
    
    
    0
    
    
    
    1,944,127
    
    
    
    8,574,956
    
    
    
    1,944,127Operating expenses
    
    
    51,135
    
    
    
    36,920
    
    
    
    97,625
    
    
    
    76,317Total expenses
    
    
    11,510,479
    
    
    
    9,682,167
    
    
    
    30,686,205
    
    
    
    16,593,208Expenses net of interest income
    
    
    2,214,866
    
    
    
    (4,650,338
    )
    
    
    (6,042,418
    )
    
    
    (7,521,934
    )NET INCOME (LOSS)
    
    $
    (69,352,279
    )
    
    $
    88,984,332
    
    
    $
    (24,271,164
    )
    
    $
    67,474,729NET INCOME (LOSS) PER MANAGING
OPERATOR AND OTHER
UNITHOLDERS UNIT
(based on weighted average number of
units outstanding during the period)
    
    $
    (162.95
    )
    
    $
    287.82
    
    
    $
    (60.31
    )
    
    $
    224.26INCREASE (DECREASE) IN NET ASSET
VALUE PER MANAGING OPERATOR
AND OTHER UNITHOLDERS UNIT
    
    $
    (163.48
    )
    
    $
    286.77
    
    
    $
    (45.75
    )
    
    $
    211.92
  - 6 -




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##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF CASH FLOWS
 
 Six Months EndedJune 30,2006
    
    
    2005Cash flows from (for) operating activitiesNet income (loss)
    
    $
    (24,271,164
    )
    
    $
    67,474,729Adjustments to reconcile net income (loss) to net
cash from (for) operating activitiesNet change in unrealized
    
    
    (35,643,127
    )
    
    
    (52,321,195
    )Options premium received
    
    
    327,667
    
    
    
    0Increase (decrease) in accounts payable
and accrued expenses
    
    
    (2,197,056
    )
    
    
    2,482,139Net (purchases) of investments in United States
government securities
    
    
    (283,161,804
    )
    
    
    (101,643,524
    )Net cash (for) operating activities
    
    
    (344,945,484
    )
    
    
    (84,007,851
    )Cash flows from (for) financing activitiesAddition of units
    
    
    189,359,786
    
    
    
    91,771,797Increase (decrease) in subscriptions deposits
    
    
    (1,300,000
    )
    
    
    1,080,000Redemption of units
    
    
    (21,230,371
    )
    
    
    (27,889,045
    )Net cash from financing activities
    
    
    166,829,415
    
    
    
    64,962,752Net (decrease) in cash and cash equivalents
    
    
    (178,116,069
    )
    
    
    (19,045,099
    )Cash and cash equivalentsBeginning of period
    
    
    286,506,800
    
    
    
    159,026,322End of period
    
    $
    108,390,731
    
    
    $
    139,981,223End of period cash and cash equivalents consists of:Cash in broker trading accounts
    
    $
    81,657,490
    
    
    $
    26,664,876Cash and cash equivalents
    
    
    26,733,241
    
    
    
    113,316,347Total end of period cash and cash equivalents
    
    $
    108,390,731
    
    
    $
    139,981,223
  - 7 -




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##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS CAPITAL (NET ASSET VALUE)
 
 Unitholders CapitalManaging Operator
    
    
    Other Unitholders
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountSix Months Ended June 30, 2006Balances at
December 31, 2005
    
    
    20.360
    
    
    $
    54,934
    
    
    
    346,403.516
    
    
    $
    934,642,953
    
    
    
    346,423.876
    
    
    $
    934,697,887Net (loss) for the six months
ended June 30, 2006
    
    
    
    
    
    
    (932
    )
    
    
    
    
    
    
    (24,270,232
    )
    
    
    
    
    
    
    (24,271,164
    )Additions
    
    
    0.000
    
    
    
    0
    
    
    
    91,226.736
    
    
    
    251,027,417
    
    
    
    91,226.736
    
    
    
    251,027,417Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (9,362.914
    )
    
    
    (25,471,593
    )
    
    
    (9,362.914
    )
    
    
    (25,471,593
    )Balances at
June 30, 2006
    
    
    20.360
    
    
    $
    54,002
    
    
    
    428,267.338
    
    
    $
    1,135,928,545
    
    
    
    428,287.698
    
    
    $
    1,135,982,547Six Months Ended June 30, 2005Balances at
December 31, 2004
    
    
    20.360
    
    
    $
    49,064
    
    
    
    269,068.569
    
    
    $
    648,402,290
    
    
    
    269,088.929
    
    
    $
    648,451,354Net income for the six months
ended June 30, 2005
    
    
    
    
    
    
    4,314
    
    
    
    
    
    
    
    67,470,415
    
    
    
    
    
    
    
    67,474,729Additions
    
    
    0.000
    
    
    
    0
    
    
    
    53,498.084
    
    
    
    127,033,557
    
    
    
    53,498.084
    
    
    
    127,033,557Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (11,695.739
    )
    
    
    (27,889,045
    )
    
    
    (11,695.739
    )
    
    
    (27,889,045
    )Balances at
June 30, 2005
    
    
    20.360
    
    
    $
    53,378
    
    
    
    310,870.914
    
    
    $
    815,017,217
    
    
    
    310,891.274
    
    
    $
    815,070,595
 Net Asset Value per Managing Operator and Other Unitholders UnitJune 30,
    
    
    December 31,
    
    
    June 30,
    
    
    December 31,2006
    
    
    2005
    
    
    2005
    
    
    2004$
    2,652.38
    
    
    $
    2,698.13
    
    
    $
    2,621.72
    
    
    $
    2,409.80
  - 8 -




---



##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
 
 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
 A.
    
    General Description of the TrustThe 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, forward currency contracts and options on forward currency contracts.B.
    
    RegulationThe 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 ReportingThe Trusts financial statements are presented in accordance with accounting
principles generally accepted in the United States of America, which may require the
use of certain estimates made by the Trusts management. Actual results may differ
from these estimates. 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 swap and forward currency (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 or based on the market
value of its exchange-traded equivalent. The market value of option (non-exchange
traded) contracts is calculated by applying an industry-standard adaptation of the
Black-Scholes options valuation model to foreign currency options, using as input,
the spot prices, interest rates and option implied volatilities quoted as of 3:00
P.M. (E.T.) on 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
outstanding units.
 - 9 -




---



##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 D.
    
    Cash and Cash EquivalentsCash and cash equivalents includes cash and short-term time deposits held at
financial institutions.E.
    
    Income TaxesThe 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. No provision for income taxes has been made in the
accompanying financial statements as each unitholder is individually responsible for
reporting income or loss based on such unitholders respective share of the Trusts
income and expenses as reported for income tax purposes.F.
    
    Foreign Currency TransactionsThe 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.G.
    
    ReclassificationCertain amounts in the 2005 financial statements were reclassified to conform with
the 2006 presentation.
 MANAGING OPERATOR AND COMMODITY TRADING ADVISOR
   TRUSTEE
  - 10 -




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##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 DEPOSITS WITH BROKER
  SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
  TRADING ACTIVITIES AND RELATED RISKS
     - 11 -




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##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
    Futures Contracts
    
    
    Forward Currency and Options on Forward(exchange traded)
    
    
    Currency Contracts (non-exchange traded)June 30,
    
    
    December 31,
    
    
    June 30,
    
    
    December 31,2006
    
    
    2005
    
    
    2006
    
    
    2005Gross unrealized gains
    
    $
    17,812,558
    
    
    $
    14,087,349
    
    
    $
    42,241,821
    
    
    $
    23,965,693Gross unrealized losses
    
    
    (6,406,828
    )
    
    
    (16,311,206
    )
    
    
    (51,972,290
    )
    
    
    (55,709,702
    )Net unrealized gain (loss)
    
    $
    11,405,730
    
    
    $
    (2,223,857
    )
    
    $
    (9,730,469
    )
    
    $
    (31,744,009
    )
   INDEMNIFICATIONS
  INTERIM FINANCIAL STATEMENTS
  - 12 -




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##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 FINANCIAL HIGHLIGHTS
  Three months ended
    
    
    Six months endedJune 30,
    
    
    June 30,2006
    
    
    2005
    
    
    2006
    
    
    2005Per Unit Performance(for a unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    2,815.86
    
    
    $
    2,334.95
    
    
    $
    2,698.13
    
    
    $
    2,409.80Income (loss) from operations:Total trading gains (losses) (1)
    
    
    (168.68
    )
    
    
    301.81
    
    
    
    (30.73
    )
    
    
    236.92Expenses net of interest income (1)
    
    
    5.20
    
    
    
    (15.04
    )
    
    
    (15.02
    )
    
    
    (25.00
    )Total income (loss) from operations
    
    
    (163.48
    )
    
    
    286.77
    
    
    
    (45.75
    )
    
    
    211.92Net asset value per unit at end of period
    
    $
    2,652.38
    
    
    $
    2,621.72
    
    
    $
    2,652.38
    
    
    $
    2,621.72Total Return(3)
    
    
    (5.81
    )%
    
    
    12.28
    %
    
    
    (1.70
    )%
    
    
    8.79
    %Supplemental DataRatios to average net asset value:Expenses prior to performance fee (4)
    
    
    3.98
    %
    
    
    4.09
    %
    
    
    4.00
    %
    
    
    4.02
    %Performance fee (3)
    
    
    0.00
    %
    
    
    0.26
    %
    
    
    0.78
    %
    
    
    0.27
    %Total expenses
    
    
    3.98
    %
    
    
    4.35
    %
    
    
    4.78
    %
    
    
    4.29
    %Expenses, prior to performance fee,
net of interest income (2), (4)
    
    
    (0.77
    )%
    
    
    1.43
    %
    
    
    (0.46
    )%
    
    
    1.53
    %
 Total returns are calculated based on the change in value of a unit during the period. An
individual unitholders total returns and ratios may vary from the above total returns and
ratios based on the timing of additions and redemptions.
 
 (1)
    
    Expenses net of interest income 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 (losses) is a balancing amount necessary to reconcile the
change in net asset value per unit with the other per unit information.(2)
    
    Excludes performance fee.(3)
    
    Not annualized.(4)
    
    Annualized. - 13 -




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##### 



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




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##### 



i.e.
   Results of Operations
  - 15 -




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##### 



2006
  Sector
    
    % Gain (Loss)Interest Rates
    
    
    2.23Metals
    
    
    2.04Stock Indices
    
    
    0.89Energy
    
    
    0.85Agriculture
    
    
    (0.17
    )Currencies
    
    
    (6.88
    )(1.04
    )%
    - 16 -




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##### 



2005
  Sector
    
    % Gain (Loss)Interest Rates
    
    
    8.48
    %Currencies
    
    
    3.82Energy
    
    
    1.55Metals
    
    
    0.16Agriculture
    
    
    (0.25
    )Stock Indices
    
    
    (3.76
    )10.00
    %
 - 17 -




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##### 



- 18 -




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##### 



Off-Balance Sheet Risk
    Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts
Accounted for at Fair Value
  - 19 -




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##### 



Item 3. Quantitative and Qualitative Disclosures About Market Risk
 Introduction
 Past Results Not Necessarily Indicative of Future Performance
    Standard of Materiality
  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).
  - 20 -




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##### 



The Trusts Trading Value at Risk in Different Market Sectors
  - 21 -




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##### 



June 30, 2006
 TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    0.79
    %
    
    
    (6.88
    )%Long Interest Rates
    
    
    0.62
    %
    
    
    (0.83
    )%Short Interest Rates
    
    
    0.39
    %
    
    
    3.06
    %Agricultural / Metals
    
    
    0.34
    %
    
    
    1.87
    %Stock Indices
    
    
    0.31
    %
    
    
    0.89
    %Energy
    
    
    0.26
    %
    
    
    0.85
    %Aggregate/Total
    
    
    1.57
    %
    
    
    (1.04
    )%
 
 *
    
    -The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The aggregate VaR represents the VaR of the Trusts open
positions across all market sectors, and is less than the sum of the VaRs for all such market
sectors due to the diversification benefit across asset classes.**
    
    -Of the return for the six months ended June 30, 2006, approximately 1.04% was due to
trading losses (before commissions), approximately 2.23% was due interest income offset by
approximately 2.89% due to brokerage fees, management fees, performance fees and operating
costs borne by the Trust giving a net return of (1.70)%. December 31, 2005
 TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    1.48
    %
    
    
    6.06
    %LongTerm Interest Rates
    
    
    0.79
    %
    
    
    2.14
    %Energy
    
    
    0.63
    %
    
    
    3.37
    %ShortTerm Interest Rates
    
    
    0.58
    %
    
    
    4.63
    %Stock Indices
    
    
    0.39
    %
    
    
    (2.93
    )%Agricultural / Metals
    
    
    0.06
    %
    
    
    0.74
    %Aggregate/Total
    
    
    2.44
    %
    
    
    14.01
    %
 
 *
    
    -The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The aggregate VaR represents the VaR of the Trusts open
positions across all market sectors, and is less than the sum of the VaRs for all such market
sectors due to the diversification benefit across asset classes.**
    
    -Of the return for the year ended December 31, 2005, approximately 14.01% was due to
trading gains (before commissions), approximately 2.93% was due interest income offset by
approximately 4.98% due to brokerage fees, management fees, performance fees and operating
costs borne by the Trust giving a net return of 11.96%. - 22 -




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##### 



Material Limitations on Value at Risk as an Assessment of Market Risk
  1)
    
    Past changes in market risk factors will not always result in accurate predictions of
the distributions and correlations of future market movements;2)
    
    Changes in portfolio value caused by market movements may differ from those of the VaR
model;3)
    
    VaR results reflect past trading positions while future risk depends on future
positions;4)
    
    VaR using a one day time horizon does not fully capture the market risk of positions
that cannot be liquidated or hedged within one day; and5)
    
    The historical market risk factor data for VaR estimation may provide only limited
insight into losses that could be incurred under certain unusual market movements.
  Non-Trading Risk
  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.
  - 23 -




---



##### 



Currencies
 i.e.,
 Interest Rates
  Stock Indices
  Energy
  Metals
  Agricultural
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  - 24 -




---



##### 



Foreign Currency Balances
  Treasury Bill Positions
  Qualitative Disclosures Regarding Means of Managing Risk Exposure
   General
  - 25 -




---



##### 



Item 4. Controls and Procedures
  - 26 -




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##### 



PART II-OTHER INFORMATION
 Item 1. Legal Proceedings.
  Item 2. Changes in Securities and Use of Proceeds
  Item 3. Defaults Upon Senior Securities
  Item 4. Submissions of Matters to a vote of Security Holders.
  Item 5. Other Information
  Item 6. Exhibits and Reports on Form 8-K.
  ExhibitNumber
    
    Description of Document31.01
    
    Certification of Bruce L. Cleland, Chief Executive Officer, pursuant to
Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.31.02
    
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securites 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.
   - 27 -




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##### 



SIGNATURES
  THE CAMPBELL FUND TRUST(Registrant)By:
    
    Campbell & Company, Inc.Managing OperatorDate: August 14, 2006
    
    By:
    
    /s/ Theresa D. Becks

Theresa D. BecksChief Financial Officer/Treasurer/Director
 - 28 -




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##### 



EXHIBIT INDEX
 Exhibit Number
    
    Description of Document
    
    Page Number31.01
    
    Certification by Chief Executive Officer
    
    E 231.02
    
    Certification by Chief Financial Officer
    
    E 332.01
    
    Certification by Chief Executive Officer
    
    E 432.02
    
    Certification by Chief Financial Officer
    
    E 5
 E 1