##### 



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 ended September 30, 2005
  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)
 Baltimore, Maryland 21204
 (410) 296-3301
  þ o
  o þ
  o o
 29




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##### 



PagePART I  FINANCIAL INFORMATIONItem 1.
    
    Financial StatementsStatements of Financial Condition as of September 30, 2005 (Unaudited) and December 31, 2004 (Audited)
    
    
    3Condensed Schedule of Investments as of September 30, 2005 (Unaudited) and December 31, 2004 (Audited)
    
    
    4-5Statements of Operations for the Three Months and Nine Months Ended September 30, 2005 and 2004 (Unaudited)
    
    
    6Statements of Cash Flows for the Nine Months Ended September 30, 2005 and 2004 (Unaudited)
    
    
    7Statements of Changes in
Unitholders Capital (Net Asset Value) for the Nine Months Ended September 30, 2005 and 2004 (Unaudited)
    
    
    8Notes to Financial Statements (Unaudited)
    
    
    9-14Item 2.
    
    Managements Discussion and Analysis of Financial Condition and Results of Operations
    
    
    15-21Item 3.
    
    Quantitative and Qualitative Disclosure About Market Risk
    
    
    21-27Item 4.
    
    Controls and Procedures
    
    
    27PART II  OTHER INFORMATION
    
    
    28SIGNATURESCERTIFICATIONS
 -2-




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##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF FINANCIAL CONDITION
 September 30,
    
    
    December 31,2005
    
    
    2004ASSETSEquity in broker trading accountsCash
    
    $
    28,615,861
    
    
    $
    24,970,812United States government securities
    
    
    424,860,760
    
    
    
    318,991,367Net unrealized gain on open futures contracts
    
    
    18,663,950
    
    
    
    9,219,986Equity in broker trading accounts
    
    
    472,140,571
    
    
    
    353,182,165Cash and cash equivalents
    
    
    142,477,087
    
    
    
    134,055,510United States government securities
    
    
    248,674,468
    
    
    
    218,933,061Net unrealized gain (loss) on open forward currency contracts
    
    
    18,391,689
    
    
    
    (10,914,970
    )Total assets
    
    $
    881,683,815
    
    
    $
    695,255,766LIABILITIESAccounts payable
    
    $
    339,763
    
    
    $
    67,123Commissions and other trading fees
on open contracts
    
    
    143,659
    
    
    
    162,993Management fee
    
    
    2,833,115
    
    
    
    2,168,734Prepaid subscriptions
    
    
    31,265,778
    
    
    
    44,405,562Total liabilities
    
    
    34,582,315
    
    
    
    46,804,412UNITHOLDERS CAPITAL (Net Asset Value)Managing Operator  20.360 units outstanding at
September 30, 2005 and December 31, 2004
    
    
    53,268
    
    
    
    49,064Other Unitholders  323,759.242 and 269,068.569
units outstanding at September 30, 2005 and
December 31, 2004
    
    
    847,048,232
    
    
    
    648,402,290Total unitholders capital
(Net Asset Value)
    
    
    847,101,500
    
    
    
    648,451,354Total liabilities and unitholders capital
    
    $
    881,683,815
    
    
    $
    695,255,766
  -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$
    185,000,000
    
    
    
    12/01/2005
    
    
    U.S. Treasury Bills
    
    $
    183,965,542
    
    
    
    21.72
    %$
    132,000,000
    
    
    
    12/08/2005
    
    
    U.S. Treasury Bills
    
    
    131,164,733
    
    
    
    15.49
    %$
    91,000,000
    
    
    
    11/17/2005
    
    
    U.S. Treasury Bills
    
    
    90,592,836
    
    
    
    10.69
    %$
    87,000,000
    
    
    
    12/22/2005
    
    
    U.S. Treasury Bills
    
    
    86,348,032
    
    
    
    10.19
    %$
    67,000,000
    
    
    
    10/06/2005
    
    
    U.S. Treasury Bills
    
    
    66,971,571
    
    
    
    7.91
    %$
    65,000,000
    
    
    
    11/10/2005
    
    
    U.S. Treasury Bills
    
    
    64,753,000
    
    
    
    7.64
    %$
    50,000,000
    
    
    
    11/25/2005
    
    
    U.S. Treasury Bills
    
    
    49,739,514
    
    
    
    5.87
    %Total United States government securities (cost, including accrued interest,  $673,535,228)
    
    $
    673,535,228
    
    
    
    79.51
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueAgriculture
    
    $
    (10,115
    )
    
    
    0.00
    %Energy
    
    
    80,970
    
    
    
    0.01
    %Metals
    
    
    1,164,114
    
    
    
    0.14
    %Stock indices
    
    
    9,711,276
    
    
    
    1.14
    %Short-term interest rates
    
    
    (70,001
    )
    
    
    (0.01
    )%Long-term interest rates
    
    
    (869,395
    )
    
    
    (0.10
    )%Total long futures contracts
    
    $
    10,006,849
    
    
    
    1.18
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueAgriculture
    
    $
    537,438
    
    
    
    0.06
    %Energy
    
    
    (1,160,036
    )
    
    
    (0.14
    )%Metals
    
    
    (3,850
    )
    
    
    0.00
    %Short-term interest rates
    
    
    4,145,439
    
    
    
    0.49
    %Long-term interest rates
    
    
    5,138,110
    
    
    
    0.61
    %Total short futures contracts
    
    $
    8,657,101
    
    
    
    1.02
    %Total futures contracts
    
    $
    18,663,950
    
    
    
    2.20
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (48,332,793
    )
    
    
    (5.71
    )%Various short forward currency contracts
    
    
    66,724,482
    
    
    
    7.88
    %Total forward currency contracts
    
    $
    18,391,689
    
    
    
    2.17
    %
  -4-




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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$
    185,000,000
    
    
    
    03/31/05
    
    
    U.S. Treasury Bills
    
    $
    184,025,821
    
    
    
    28.38
    %$
    115,000,000
    
    
    
    03/10/05
    
    
    U.S. Treasury Bills
    
    
    114,525,369
    
    
    
    17.66
    %$
    64,000,000
    
    
    
    02/10/05
    
    
    U.S. Treasury Bills
    
    
    63,856,355
    
    
    
    9.85
    %$
    55,000,000
    
    
    
    02/17/05
    
    
    U.S. Treasury Bills
    
    
    54,852,538
    
    
    
    8.46
    %$
    55,000,000
    
    
    
    03/24/05
    
    
    U.S. Treasury Bills
    
    
    54,733,158
    
    
    
    8.44
    %$
    48,000,000
    
    
    
    01/06/05
    
    
    U.S. Treasury Bills
    
    
    47,988,967
    
    
    
    7.40
    %$
    18,000,000
    
    
    
    02/24/05
    
    
    U.S. Treasury Bills
    
    
    17,942,220
    
    
    
    2.77
    %Total United States government securities (cost, including accrued interest,  $537,924,428)
    
    $
    537,924,428
    
    
    
    82.96
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueAgricultural
    
    $
    382,106
    
    
    
    0.06
    %Energy
    
    
    (953,863
    )
    
    
    (0.15
    )%Metals
    
    
    298,815
    
    
    
    0.04
    %Stock indices
    
    
    4,538,420
    
    
    
    0.70
    %Short-term interest rates
    
    
    (401,167
    )
    
    
    (0.06
    )%Long-term interest rates
    
    
    5,181,996
    
    
    
    0.80
    %Total long futures contracts
    
    $
    9,046,307
    
    
    
    1.39
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    

Asset ValueAgricultural
    
    $
    66,570
    
    
    
    0.01
    %Metals
    
    
    (588,298
    )
    
    
    (0.09
    )%Short-term interest rates
    
    
    697,760
    
    
    
    0.11
    %Long-term interest rates
    
    
    (2,353
    )
    
    
    0.00
    %Total short futures contracts
    
    $
    173,679
    
    
    
    0.03
    %Total futures contracts
    
    $
    9,219,986
    
    
    
    1.42
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    18,749,263
    
    
    
    2.89
    %Various short forward currency contracts
    
    
    (29,664,233
    )
    
    
    (4.57
    )%Total forward currency contracts
    
    $
    (10,914,970
    )
    
    
    (1.68
    )%
  -5-




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##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF OPERATIONS
 Three
Months Ended
September 30,
    
    

Nine
Months Ended
September 30,2005
    
    
    2004
    
    
    2005
    
    
    2004TRADING GAINS (LOSSES)Futures trading gains (losses)Realized
    
    $
    24,407,984
    
    
    $
    (10,210,052
    )
    
    $
    55,764,122
    
    
    $
    21,303,921Change in unrealized
    
    
    (5,317,322
    )
    
    
    6,823,936
    
    
    
    9,443,964
    
    
    
    (2,111,049
    )Brokerage commissions
    
    
    (643,770
    )
    
    
    (311,203
    )
    
    
    (1,826,908
    )
    
    
    (903,707
    )Net gain (loss) from futures trading
    
    
    18,446,892
    
    
    
    (3,697,319
    )
    
    
    63,381,178
    
    
    
    18,289,165Forward trading gains (losses)Realized
    
    
    (9,407,822
    )
    
    
    (26,487,026
    )
    
    
    (16,794,631
    )
    
    
    (2,919,329
    )Change in unrealized
    
    
    (8,253,250
    )
    
    
    17,434,752
    
    
    
    29,306,659
    
    
    
    (2,213,759
    )Brokerage commissions
    
    
    (68,670
    )
    
    
    (42,775
    )
    
    
    (179,393
    )
    
    
    (95,860
    )Net gain (loss) from forward trading
    
    
    (17,729,742
    )
    
    
    (9,095,049
    )
    
    
    12,332,635
    
    
    
    (5,228,948
    )Total net trading gains (losses)
    
    
    717,150
    
    
    
    (12,792,368
    )
    
    
    75,713,813
    
    
    
    13,060,217EXPENSES NET OF INTEREST INCOMEIncomeInterest income
    
    
    6,428,559
    
    
    
    1,864,658
    
    
    
    15,499,833
    
    
    
    4,018,588ExpensesManagement fee
    
    
    8,248,314
    
    
    
    5,619,262
    
    
    
    22,821,078
    
    
    
    15,031,229Performance fee
    
    
    7,331
    
    
    
    0
    
    
    
    1,951,458
    
    
    
    14,594,954Operating expenses
    
    
    37,717
    
    
    
    36,414
    
    
    
    114,034
    
    
    
    111,043Total expenses
    
    
    8,293,362
    
    
    
    5,655,676
    
    
    
    24,886,570
    
    
    
    29,737,226Expenses net of interest income
    
    
    (1,864,803
    )
    
    
    (3,791,018
    )
    
    
    (9,386,737
    )
    
    
    (25,718,638
    )NET INCOME (LOSS)
    
    $
    (1,147,653
    )
    
    $
    (16,583,386
    )
    
    $
    66,327,076
    
    
    $
    (12,658,421
    )NET INCOME (LOSS) PER MANAGING
OPERATOR AND UNITHOLDER UNIT
(based on weighted average number of
units outstanding during the period)
    
    $
    (3.62
    )
    
    $
    (66.85
    )
    
    $
    216.66
    
    
    $
    (59.75
    )INCREASE (DECREASE) IN NET ASSET
VALUE PER MANAGING OPERATOR
AND UNITHOLDER UNIT
    
    $
    (5.43
    )
    
    $
    (66.16
    )
    
    $
    206.49
    
    
    $
    7.04
  -6-




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##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF CASH FLOWS
 2005
    
    
    2004Cash flows from (for) operating activitiesNet income (loss)
    
    $
    66,327,076
    
    
    $
    (12,658,421
    )Adjustments to reconcile net income (loss) to net cash
(for) operating activitiesNet change in unrealized
    
    
    (38,750,623
    )
    
    
    4,324,808Increase (decrease) in accounts payable and
accrued expenses
    
    
    917,687
    
    
    
    (1,960,279
    )Net purchases of investments in United States
government securities
    
    
    (135,610,800
    )
    
    
    (246,893,104
    )Net cash (for) operating activities
    
    
    (107,116,660
    )
    
    
    (257,186,996
    )Cash flows from (for) financing activitiesAddition of units
    
    
    179,334,604
    
    
    
    250,962,064Decrease in prepaid subscriptions
    
    
    (13,139,784
    )
    
    
    (15,461,111
    )Redemption of units
    
    
    (47,011,534
    )
    
    
    (18,254,972
    )Net cash from financing activities
    
    
    119,183,286
    
    
    
    217,245,981Net increase (decrease) in cash and cash equivalents
    
    
    12,066,626
    
    
    
    (39,941,015
    )Cash and cash equivalentsBeginning of period
    
    
    159,026,322
    
    
    
    126,510,947End of period
    
    $
    171,092,948
    
    
    $
    86,569,932End of period cash and cash equivalents consists of:Cash in broker trading accounts
    
    $
    28,615,861
    
    
    $
    11,106,236Cash and cash equivalents
    
    
    142,477,087
    
    
    
    75,463,696Total end of period cash and cash equivalents
    
    $
    171,092,948
    
    
    $
    86,569,932
  -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
    
    
    AmountNine Months Ended September 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 nine months
ended September 30, 2005
    
    
    
    
    
    
    4,204
    
    
    
    
    
    
    
    66,322,872
    
    
    
    
    
    
    
    66,327,076Additions
    
    
    0.000
    
    
    
    0
    
    
    
    73,720.451
    
    
    
    179,334,604
    
    
    
    73,720.451
    
    
    
    179,334,604Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (19,029.778
    )
    
    
    (47,011,534
    )
    
    
    (19,029.778
    )
    
    
    (47,011,534
    )Balances at
September 30, 2005
    
    
    20.360
    
    
    $
    53,268
    
    
    
    323,759.242
    
    
    $
    847,048,232
    
    
    
    323,779.602
    
    
    $
    847,101,500Nine Months Ended September 30, 2004Balances at
December 31, 2003
    
    
    20.360
    
    
    $
    45,242
    
    
    
    158,203.505
    
    
    $
    351,546,121
    
    
    
    158,223.865
    
    
    $
    351,591,363Net income (loss) for the nine months
ended September 30, 2004
    
    
    
    
    
    
    143
    
    
    
    
    
    
    
    (12,658,564
    )
    
    
    
    
    
    
    (12,658,421
    )Additions
    
    
    0.000
    
    
    
    0
    
    
    
    105,916.244
    
    
    
    250,962,064
    
    
    
    105,916.244
    
    
    
    250,962,064Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (7,701.843
    )
    
    
    (18,254,972
    )
    
    
    (7,701.843
    )
    
    
    (18,254,972
    )Balances at
September 30, 2004
    
    
    20.360
    
    
    $
    45,385
    
    
    
    256,417.906
    
    
    $
    571,594,649
    
    
    
    256,438.266
    
    
    $
    571,640,034
 Net Asset Value per Managing Owner and Other Unitholders UnitSeptember 30,
    
    December 31,
    
    September 30,
    
    December 31,2005
    
    2004
    
    2004
    
    2003$
    2,616.29
    
    $
    2,409.80
    
    $
    2,229.15
    
    $
    2,222.11
  -8-




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##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
 Note 1.
    
    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 and 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 U.S.
generally accepted accounting principles, 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 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. 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.
 -9-




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##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 1.
    
    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. Income taxes have not been provided, as each unitholder
is individually liable for the taxes, if any, on their share of the Trusts income and
expenses.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.
 Note 2.
    
    MANAGING OPERATOR AND COMMODITY TRADING ADVISORThe 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.
    
    TRUSTEEThe 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.
 -10-




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##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 4.
    
    DEPOSITS WITH BROKERThe 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 on excess deposits with the broker.Note 5.
    
    SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONSInvestments in the Trust are made by subscription agreement,
subject to acceptance by the managing operator. Effective
October 1, 2005 and January 1, 2005, additions of $31,265,778
and $44,625,092, respectively, were made to the Trust.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 September 30, 2005, there were requests for
redemptions of $2,936,463 effective October 1, 2005. At
December 31, 2004, there were requests for redemptions of
$6,764,484 effective January 1, 2005.Note 6.
    
    TRADING ACTIVITIES AND RELATED RISKSThe Trust engages in the speculative trading of U.S. and
foreign futures contracts and forward currency 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 September 30, 2005 and December 31, 2004 were
$673,535,228 and $537,924,428, respectively, which equals 80%
and 83% of Net Asset Value, respectively. The cash deposited
with interbank market makers at September 30, 2005 and
December 31, 2004 was $110,784,836 and $89,619,141,
respectively, which equals 13% and 14% of Net Asset Value,
respectively. These amounts are included in cash and cash
equivalents.The Trust trades forward currency contracts in unregulated
markets between principals and assumes the risk of loss from
counterparty nonperformance. Accordingly, the risks
associated with forward currency contracts are generally
greater than those associated with exchange traded contracts
because of the greater risk of counterparty default.
Additionally, the trading of forward currency contracts
typically involves delayed cash settlement.
 -11-




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##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 6.
    
    TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)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 currency contracts
purchased and unlimited liability on such contracts sold short.The unrealized gain (loss) on open futures and forward currency contracts is comprised of the following:
 Futures Contracts
    
    
    Forward Currency Contracts(exchange traded)
    
    
    (non-exchange traded)September 30,
    
    
    December 31,
    
    
    September 30,
    
    
    December 31,2005
    
    
    2004
    
    
    2005
    
    
    2004(Unaudited)
    
    
    (Audited)
    
    
    (Unaudited)
    
    
    (Audited)Gross unrealized gains
    
    $
    21,748,752
    
    
    $
    12,418,105
    
    
    $
    74,237,604
    
    
    $
    25,436,620Gross unrealized losses
    
    
    (3,084,802
    )
    
    
    (3,198,119
    )
    
    
    (55,845,915
    )
    
    
    (36,351,590
    )Net unrealized gain (loss)
    
    $
    18,663,950
    
    
    $
    9,219,986
    
    
    $
    18,391,689
    
    
    $
    (10,914,970
    )
 Open contracts generally mature within three months; as of September 30, 2005, the
latest maturity date for open futures contracts is June 2006, and the latest maturity date
for open forward currency contracts is December 2005. 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.
    
    GUARANTEESIn the normal course of business, the Trust enters into contracts
and agreements that contain a variety of representations and
warranties and which provide general indemnifications. The
Trusts maximum exposure under these arrangements is unknown, as
this would involve future claims that may be made against the
Trust that have not yet occurred. The Trust expects the risk of
any future obligation under these indemnifications to be remote.
 -12-




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##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 8.
    
    INTERIM FINANCIAL STATEMENTSThe statement of financial condition, including the condensed
schedule of investments, as of September 30, 2005, the
statements of operations for the three months and nine months
ended September 30, 2005 and 2004, and the statements of cash
flows and changes in unitholders capital (Net Asset Value)
for the nine months ended September 30, 2005 and 2004 are
unaudited. In the opinion of management, such financial
statements reflect all adjustments, which were of a normal
and recurring nature, necessary for a fair presentation of
financial position as of September 30, 2005, the results of
operations for the three months and nine months ended
September 30, 2005 and 2004, and cash flows for the nine
months ended September 30, 2005 and 2004.
 -13-




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##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 9.
    
    FINANCIAL HIGHLIGHTSThe following information presents per unit operating performance data and other
supplemental financial data for the three months and nine months ended September 30, 2005
and 2004. This information has been derived from information presented in the financial
statements.
 Three months ended
    
    
    Nine months endedSeptember 30,
    
    
    September 30,Per Unit Performance
    
    2005
    
    
    2004
    
    
    2005
    
    
    2004(for a unit outstanding throughout the entire period)
    
    (Unaudited)
    
    
    (Unaudited)
    
    
    (Unaudited)
    
    
    (Unaudited)Net asset value per unit at beginning of period
    
    $
    2,621.72
    
    
    $
    2,295.31
    
    
    $
    2,409.80
    
    
    $
    2,222.11Income from operations:Total net trading gains (losses) (1)
    
    
    0.46
    
    
    
    (50.88
    )
    
    
    237.15
    
    
    
    128.45Expenses net of interest income (1)
    
    
    (5.89
    )
    
    
    (15.28
    )
    
    
    (30.66
    )
    
    
    (121.41
    )Total income (loss) from operations
    
    
    (5.43
    )
    
    
    (66.16
    )
    
    
    206.49
    
    
    
    7.04Net asset value per unit at end of period
    
    $
    2,616.29
    
    
    $
    2,229.15
    
    
    $
    2,616.29
    
    
    $
    2,229.15Total Return(3)
    
    
    (0.21
    )%
    
    
    (2.88
    )%
    
    
    8.57
    %
    
    
    0.32
    %Supplemental DataRatios to average net assets:Expenses prior to performance fee (4)
    
    
    4.04
    %
    
    
    3.99
    %
    
    
    4.04
    %
    
    
    4.00
    %Performance fee (3)
    
    
    0.00
    %
    
    
    0.00
    %
    
    
    0.26
    %
    
    
    2.89
    %Total expenses
    
    
    4.04
    %
    
    
    3.99
    %
    
    
    4.30
    %
    
    
    6.89
    %Expenses net of interest income (2), (4)
    
    
    0.91
    %
    
    
    2.67
    %
    
    
    1.31
    %
    
    
    2.94
    %
 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. -14-




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##### 



Item 2.
    
    Managements Discussion and Analysis of Financial Condition and
Results of Operations
          -15-




---



##### 



i.e.
   Results of Operations
  2005
  -16-




---



##### 



Sector
    
    % Gain (Loss)Energy
    
    
    4.46
    %Interest Rates
    
    
    3.39Currencies
    
    
    1.65Metals
    
    
    0.50Stock Indices
    
    
    0.27Agriculture
    
    
    (0.20
    )10.07
    %
     -17-




---



##### 



2004
  -18-




---



##### 



Sector
    
    % Gain (Loss)Interest Rates
    
    
    7.86
    %Energy
    
    
    1.39Currencies
    
    
    0.60Agriculture
    
    
    0.43Metals
    
    
    (0.33
    )Stock Indices
    
    
    (4.34
    )5.61
    %
       -19-




---



##### 



Off-Balance Sheet Risk
    -20-




---



##### 



Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts
Accounted for at Fair Value
  Item 3.
    
    Quantitative and Qualitative Disclosures About Market Risk
 Introduction
 Past Results Not Necessarily Indicative of Future Performance
    Standard of Materiality
  -21-




---



##### 



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).
       -22-




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##### 



The Trusts Trading Value at Risk in Different Market Sectors
  September 30, 2005
 TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    1.48
    %
    
    
    1.65
    %Energy
    
    
    0.58
    %
    
    
    4.46
    %Stock Indices
    
    
    0.57
    %
    
    
    0.27
    %Long-Term Interest Rates
    
    
    0.35
    %
    
    
    1.56
    %Short-Term Interest Rates
    
    
    0.25
    %
    
    
    1.83
    %Agricultural / Metals
    
    
    0.06
    %
    
    
    0.30
    %Aggregate/Total
    
    
    1.66
    %
    
    
    10.07
    %
 
 *
    
    -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 nine months ended September 30, 2005, approximately 10.07% was due
to trading gains (before commissions), approximately 2.05% was due interest income offset by
approximately 3.55% due to brokerage fees, management fees, performance fees and operating
costs borne by the Trust giving a net return of 8.57%. December 31, 2004
 TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    1.18
    %
    
    
    2.12
    %Long-Term Interest Rates
    
    
    0.81
    %
    
    
    10.21
    %Short-Term Interest Rates
    
    
    0.26
    %
    
    
    2.33
    %Stock Indices
    
    
    0.57
    %
    
    
    (1.96
    )%Energy
    
    
    0.19
    %
    
    
    1.68
    %Agricultural and Metals
    
    
    0.11
    %
    
    
    (0.15
    )%Aggregate/Total
    
    
    1.85
    %
    
    
    14.23
    %
 -23-




---



##### 



*
    
    -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, 2004, approximately 14.23% was due to
trading gains (before commissions) and approximately 1.26% was due to interest income, offset
by approximately 7.04% in brokerage fees, management fees, performance fees and operating
costs borne by the Trust giving a net return of 8.45%. 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
 -24-




---



##### 



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.
  Currencies
 i.e.,
 Interest Rates
  Stock Indices
  Energy
  -25-




---



##### 



Metals
  Agricultural
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
  Treasury Bill Positions
  Qualitative Disclosures Regarding Means of Managing Risk Exposure
   -26-




---



##### 



General
  Item 4.
    
    Controls and Procedures
  -27-




---



##### 



PART II-OTHER INFORMATION
 Item 1.
    
    Legal Proceedings.NoneItem 2.
    
    Unregistered Sales of Equity Securities and Use of ProceedsNoneItem 3.
    
    Defaults Upon Senior SecuritiesNot applicable.Item 4.
    
    Submissions of Matters to a vote of Security Holders.NoneItem 5.
    
    Other InformationNoneItem 6.
    
    Exhibits.
 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.
 
 -28-




---



##### 



SIGNATURES
  THE CAMPBELL FUND TRUST(Registrant)By:
    Campbell & Company, Inc. Managing Operator Date: November 14, 2005
    By:
    /s/Theresa D. BecksTheresa D. BecksChief Financial Officer/Treasurer/Director -29-




---



##### 



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