##### Table of Contents



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 March 31, 2011
 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
 þ o
  Large accelerate filer o
    
    Accelerated filer o
    
    Non-accelerated filer o
    
    Smaller reporting company þ
 o þ
 35




---



##### 



PagePART I  FINANCIAL INFORMATIONItem 1.
Financial StatementsCondensed Schedules of Investments as of March 31, 2011
and December 31, 2010 (Unaudited)
    
    
    3-6Statements of Financial Condition as of March 31, 2011
and December 31, 2010 (Unaudited)
    
    
    7Statements of Operations for the Three Months Ended
March 31, 2011 and 2010 (Unaudited)
    
    
    8Statements of Cash Flows for the Three Months Ended
March 31, 2011 and 2010 (Unaudited)
    
    
    9Statements of Changes in Unitholders Capital (Net Asset Value)
for the Three Months Ended March 31, 2011 and 2010 (Unaudited)
    
    
    10-11Financial Highlights for the Three Months
March 31, 2011 and 2010 (Unaudited)
    
    
    12-14Notes to Financial Statements (Unaudited)
    
    
    15-20Item 2. Managements Discussion and Analysis of Financial Condition and Results of Operations
    
    
    21-27Item 3. Quantitative and Qualitative Disclosure About Market Risk
    
    
    27-33Item 4. Controls and Procedures
    
    
    33PART II  OTHER INFORMATIONItem 6. Exhibits and Reports on Form 8-K
    
    
    34SIGNATURES
    
    
    35CERTIFICATIONSEX-31.01EX-31.02EX-32.01EX-32.02




---



##### Table of Contents



FIXED INCOME SECURITIES
 Maturity
    
    
    
    
    
    
    
    
    % of NetFace Value
    
    
    Description
    
    Values ($)
    
    
    Asset ValueBank DepositsCanadaFinancials
    
    $
    7,222,743
    
    
    
    2.09
    %(cost $7,215,000)United KingdomFinancials
    
    $
    5,004,601
    
    
    
    1.45
    %(cost $5,003,838)United StatesFinancials
    
    $
    22,011,263
    
    
    
    6.36
    %(cost $22,000,000)Total Bank Deposits(cost $34,218,838)
    
    $
    34,238,607
    
    
    
    9.90
    %Commercial PaperNetherlandsIndustrials
    
    $
    9,995,339
    
    
    
    2.89
    %(cost $9,983,545)United StatesConsumer Discretionary
    
    $
    24,595,213
    
    
    
    7.11
    %Consumer Staple
    
    $
    16,999,929
    
    
    
    4.91
    %Financials
    
    $
    21,222,765
    
    
    
    6.13
    %Healthcare
    
    $
    39,590,130
    
    
    
    11.44
    %Industrials
    
    $
    8,995,000
    
    
    
    2.60
    %Services
    
    $
    9,999,297
    
    
    
    2.89
    %Total United States(cost $121,387,853)
    
    $
    121,402,334
    
    
    
    35.08
    %Total Commercial Paper(cost $131,371,398)
    
    $
    131,397,673
    
    
    
    37.97
    %Corporate BondsUnited StatesFinancials
    
    $
    43,295,872
    
    
    
    12.51
    %Healthcare
    
    $
    6,222,144
    
    
    
    1.80
    %Total United States(cost $49,376,824)
    
    $
    49,518,016
    
    
    
    14.31
    %Government And Agency ObligationsUnited StatesUS Government AgencyOther
    
    $
    14,576,892
    
    
    
    4.21
    %U.S. Treasury Bills*$
    20,000,000
    
    
    Due 06/30/2011
    
    $
    19,996,500
    
    
    
    5.78
    %U.S. Treasury Bills*$
    50,000,000
    
    
    Due 04/07/2011
    
    $
    49,999,458
    
    
    
    14.45
    %Total United States(cost $84,594,998)
    
    $
    84,572,850
    
    
    
    24.44
    %Short Term Investment FundsUnited StatesShort Term Investment Funds
    
    $
    962
    
    
    
    0.00
    %(cost $962)Total Fixed Income Securities(cost $299,563,020)
    
    $
    299,728,108
    
    
    
    86.62
    %
 See Accompanying Notes to Financial Statements.
 - 3 -




---



##### Table of Contents



LONG FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueAgricultural
    
    $
    414,964
    
    
    
    0.12
    %Energy
    
    $
    1,547,393
    
    
    
    0.45
    %Metals
    
    $
    530,706
    
    
    
    0.15
    %Stock indices
    
    $
    1,354,479
    
    
    
    0.39
    %Short-term interest rates
    
    $
    (607,175
    )
    
    
    (0.18
    )%Long-term interest rates
    
    $
    (1,870,511
    )
    
    
    (0.54
    )%Total long futures contracts
    
    $
    1,369,856
    
    
    
    0.39
    %SHORT FUTURES CONTRACTS% of NetDescription
    
    Values ($)
    
    
    Asset ValueAgricultural
    
    $
    (164,798
    )
    
    
    (0.05
    )%Metals
    
    $
    (797,641
    )
    
    
    (0.23
    )%Stock indices
    
    $
    (77,520
    )
    
    
    (0.02
    )%Short-term interest rates
    
    $
    567,153
    
    
    
    0.16
    %Long-term interest rates
    
    $
    179,978
    
    
    
    0.05
    %Total short futures contracts
    
    $
    (292,828
    )
    
    
    (0.09
    )%Total futures contracts
    
    $
    1,077,028
    
    
    
    0.30
    %FORWARD CURRENCY CONTRACTS% of NetDescription
    
    Values ($)
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    8,125,524
    
    
    
    2.35
    %Various short forward currency contracts
    
    $
    (10,649,593
    )
    
    
    (3.08
    )%Total forward currency contracts
    
    $
    (2,524,069
    )
    
    
    (0.73
    )%PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS% of NetDescription
    
    Values ($)
    
    
    Asset ValuePurchased options on forward currency contracts
(premiums paid   $750,386)
    
    $
    1,339,761
    
    
    
    0.39
    %WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS% of NetDescription
    
    Values ($)
    
    
    Asset ValueWritten options on forward currency contracts
(premiums received  $427,847)
    
    $
    (690,588
    )
    
    
    (0.20
    )%
 
 *
    
    Pledged as collateral for the trading of futures, forward and option positions. See Accompanying Notes to Financial Statements.
 - 4 -




---



##### Table of Contents



FIXED INCOME SECURITIES
 Maturity
    
    
    
    
    
    
    
    
    % of NetFace Value
    
    
    Description
    
    Values ($)
    
    
    Asset ValueCertificate Of DepositCanadaFinancials
    
    $
    7,221,421
    
    
    
    2.08
    %(cost $7,215,000)Commercial PaperNetherlandsIndustrials
    
    $
    9,987,542
    
    
    
    2.88
    %(cost $9,958,946)PanamaConsumer Discretionary
    
    $
    9,998,275
    
    
    
    2.89
    %(cost $9,998,139)United KingdomConsumer Staples
    
    $
    5,718,658
    
    
    
    1.65
    %(cost $5,716,634)United StatesConsumer Discretionary
    
    $
    41,051,450
    
    
    
    11.85
    %Consumer Staples
    
    $
    3,315,853
    
    
    
    0.96
    %Energy
    
    $
    17,387,305
    
    
    
    5.02
    %Financials
    
    $
    10,981,734
    
    
    
    3.17
    %Health Care
    
    $
    12,885,538
    
    
    
    3.72
    %Industrials
    
    $
    10,978,667
    
    
    
    3.17
    %Municipal
    
    $
    4,717,562
    
    
    
    1.36
    %Utilities
    
    $
    34,470,422
    
    
    
    9.95
    %Total United States(cost $135,762,709)
    
    $
    135,788,531
    
    
    
    39.20
    %Total Commercial Paper(cost $161,436,428)
    
    $
    161,493,006
    
    
    
    46.62
    %Corporate BondsUnited StatesFinancials
    
    $
    37,589,108
    
    
    
    10.85
    %(cost $37,464,778)Government And Agency ObligationsUnited StatesUS Government Agency
    
    $
    14,585,360
    
    
    
    4.21
    %US Treasury BillU.S. Treasury Bills*$
    12,000,000
    
    
    Due 01/06/2011
    
    $
    11,999,817
    
    
    
    3.46
    %U.S. Treasury Bills*$
    50,000,000
    
    
    Due 01/13/2011
    
    $
    49,998,833
    
    
    
    14.43
    %Total United States(cost $76,597,690)
    
    $
    76,584,010
    
    
    
    22.10
    %Short Term Investment FundsUnited StatesShort Term Investment Funds
    
    $
    941
    
    
    
    0.00
    %(cost $941)Total Fixed Income Securities(cost $282,714,837)
    
    $
    282,888,486
    
    
    
    81.65
    %
 See Accompanying Notes to Financial Statements.
 - 5 -




---



##### Table of Contents



LONG FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueAgricultural
    
    $
    2,226,611
    
    
    
    0.64
    %Energy
    
    $
    743,689
    
    
    
    0.21
    %Metals
    
    $
    2,581,189
    
    
    
    0.75
    %Stock indices
    
    $
    (39,120
    )
    
    
    (0.01
    )%Short-term interest rates
    
    $
    400,606
    
    
    
    0.12
    %Long-term interest rates
    
    $
    45,692
    
    
    
    0.01
    %Total long futures contracts
    
    $
    5,958,667
    
    
    
    1.72
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueAgricultural
    
    $
    (14,930
    )
    
    
    0.00
    %Energy
    
    $
    (239,450
    )
    
    
    (0.07
    )%Metals
    
    $
    (573,456
    )
    
    
    (0.17
    )%Stock indices
    
    $
    48,337
    
    
    
    0.01
    %Short-term interest rates
    
    $
    (9,188
    )
    
    
    0.00
    %Long-term interest rates
    
    $
    (644,303
    )
    
    
    (0.19
    )%Total short futures contracts
    
    $
    (1,432,990
    )
    
    
    (0.42
    )%Total futures contracts
    
    $
    4,525,677
    
    
    
    1.30
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    26,630,262
    
    
    
    7.69
    %Various short forward currency contracts
    
    $
    (21,482,235
    )
    
    
    (6.20
    )%Total forward currency contracts
    
    $
    5,148,027
    
    
    
    1.49
    %
 PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValuePurchased options on forward currency contracts
(premiums paid  $1,091,379)
    
    $
    1,500,007
    
    
    
    0.43
    %
 WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueWritten options on forward currency contracts
(premiums received  $237,756)
    
    $
    (693,506
    )
    
    
    (0.20
    )%
 
 *
    
    Pledged as collateral for the trading of futures, forward and option positions. See Accompanying Notes to Financial Statements.
 - 6 -




---



##### Table of Contents



March 31,
    
    
    December 31,2011
    
    
    2010ASSETSEquity in broker trading accountsCash
    
    $
    37,549,104
    
    
    $
    43,929,635Fixed income securities (cost $49,999,458 and $61,998,650, respectively)
    
    
    49,999,458
    
    
    
    49,998,833Net unrealized gain (loss) on open futures contracts
    
    
    1,077,028
    
    
    
    4,525,677Total equity in broker trading accounts
    
    
    88,625,590
    
    
    
    98,454,145Cash and cash equivalents
    
    
    14,668,747
    
    
    
    15,906,463Fixed income securities
(cost $249,563,562 and $232,716,004, respectively)
    
    
    249,728,650
    
    
    
    232,889,653Options purchased, at fair value
(premiums paid  $750,386 and $1,091,379, respectively)
    
    
    1,339,761
    
    
    
    1,500,007Net unrealized gain (loss) on open forward currency contracts
    
    
    (2,524,069
    )
    
    
    5,148,027Interest receivable
    
    
    129,256
    
    
    
    81,415Subscriptions receivable
    
    
    468,019
    
    
    
    327,332Total assets
    
    $
    352,435,954
    
    
    $
    354,307,042LIABILITIESAccounts payable
    
    $
    108,496
    
    
    $
    116,724Management fee
    
    
    1,116,043
    
    
    
    1,142,475Service fee
    
    
    4,923
    
    
    
    4,423Options written, at fair value
(premiums received  $427,847 and $237,756, respectively)
    
    
    690,588
    
    
    
    693,506Accrued commissions and other trading fees on open contracts
    
    
    73,345
    
    
    
    47,113Performance fee payable
    
    
    0
    
    
    
    381,483Offering costs payable
    
    
    38,022
    
    
    
    32,432Redemptions payable
    
    
    4,302,050
    
    
    
    5,439,258Total liabilities
    
    
    6,333,467
    
    
    
    7,857,414UNITHOLDERS CAPITAL (Net Asset Value)Series A Units  RedeemableOther Unitholders - 35,379.091 and 27,273.338 units outstanding at
March 31, 2011 and December 31, 2010
    
    
    87,757,040
    
    
    
    71,343,164Series B Units  RedeemableManaging Operator - 20.360 units outstanding at
March 31, 2011 and December 31, 2010
    
    
    51,358
    
    
    
    54,087Other Unitholders - 97,107.419 and 99,342.853 units outstanding at
March 31, 2011 and December 31, 2010
    
    
    244,948,628
    
    
    
    263,905,408Series W Units  RedeemableOther Unitholders - 5,231.834 and 4,160.119 units outstanding at
March 31, 2011 and December 31, 2010
    
    
    13,345,461
    
    
    
    11,146,969Total unitholders capital (Net Asset Value)
    
    
    346,102,487
    
    
    
    346,449,628Total liabilities and unitholders capital (Net Asset Value)
    
    $
    352,435,954
    
    
    $
    354,307,042
 See Accompanying Notes to Financial Statements.
 - 7 -




---



##### Table of Contents



Three Months EndedMarch 31,2011
    
    
    2010TRADING GAINS (LOSSES)Futures trading gains (losses)Realized
    
    $
    (4,754,747
    )
    
    $
    (15,471,425
    )Change in unrealized
    
    
    (3,448,650
    )
    
    
    8,455,353Brokerage commissions
    
    
    (234,584
    )
    
    
    (250,861
    )Net gain (loss) from futures trading
    
    
    (8,437,981
    )
    
    
    (7,266,933
    )Forward currency and options on forward
currency trading gains (losses)Realized
    
    
    934,261
    
    
    
    (6,333,282
    )Change in unrealized
    
    
    (7,298,339
    )
    
    
    3,461,092Brokerage commissions
    
    
    (31,742
    )
    
    
    (21,858
    )Net gain (loss) from forward currency
and options on forward currency trading
    
    
    (6,395,820
    )
    
    
    (2,894,048
    )Total net trading gain (loss)
    
    
    (14,833,801
    )
    
    
    (10,160,981
    )NET INVESTMENT INCOME (LOSS)Investment incomeInterest income
    
    
    336,270
    
    
    
    264,472Realized gain (loss) on fixed income securities
    
    
    4,861
    
    
    
    (9,167
    )Change in unrealized gain (loss) on fixed income securities
    
    
    (8,562
    )
    
    
    (30,353
    )Total investment income
    
    
    332,569
    
    
    
    224,952ExpensesManagement fee
    
    
    3,413,311
    
    
    
    3,410,092Service fee
    
    
    14,569
    
    
    
    6,835Operating expenses
    
    
    132,359
    
    
    
    117,154Total expenses
    
    
    3,560,239
    
    
    
    3,534,081Net investment income (loss)
    
    
    (3,227,670
    )
    
    
    (3,309,129
    )NET INCOME (LOSS)
    
    $
    (18,061,471
    )
    
    $
    (13,470,110
    )NET INCOME (LOSS) PER MANAGING OPERATOR
AND OTHER UNITHOLDERS UNIT(based on weighted average number of units outstanding during the year)Series A
    
    $
    (145.78
    )
    
    $
    (55.42
    )Series B
    
    $
    (133.41
    )
    
    $
    (92.20
    )Series W
    
    $
    (131.85
    )
    
    $
    (30.26
    )INCREASE (DECREASE) IN NET ASSET VALUE
PER MANAGING OPERATOR AND OTHER UNITHOLDERS UNITSeries A
    
    $
    (135.38
    )
    
    $
    (89.20
    )Series B
    
    $
    (134.06
    )
    
    $
    (86.88
    )Series W
    
    $
    (128.66
    )
    
    $
    (81.80
    )
 See Accompanying Notes to Financial Statements.
 - 8 -




---



##### Table of Contents



Three Months EndedMarch 31,2011
    
    
    2010Cash flows from (for) operating activitiesNet income (loss)
    
    $
    (18,061,471
    )
    
    $
    (13,470,110
    )Adjustments to reconcile net income (loss) to net cash from (for) operating activitiesNet change in unrealized
    
    
    10,755,551
    
    
    
    (11,886,092
    )(Increase) decrease in restricted cash
    
    
    0
    
    
    
    19,170,009(Increase) decrease in option premiums paid
    
    
    340,993
    
    
    
    137,449Increase (decrease) in option premiums received
    
    
    190,091
    
    
    
    147(Increase) decrease in interest receivable
    
    
    (47,841
    )
    
    
    43,072Increase (decrease) in accounts payable and accrued expenses
    
    
    (389,411
    )
    
    
    (97,156
    )Purchases of investments in fixed income securities
    
    
    (3,259,958,009
    )
    
    
    (2,076,618,013
    )Sales/maturities of investments in fixed income securities
    
    
    3,243,109,825
    
    
    
    2,096,622,654Net cash from (for) operating activities
    
    
    (24,060,272
    )
    
    
    13,901,960Cash flows from (for) financing activitiesAddition of units
    
    
    24,820,710
    
    
    
    14,514,704Redemption of units
    
    
    (8,275,120
    )
    
    
    (27,099,578
    )Offering costs paid
    
    
    (103,565
    )
    
    
    (34,345
    )Net cash from (for) financing activities
    
    
    16,442,025
    
    
    
    (12,619,219
    )Net increase (decrease) in cash and cash equivalents
    
    
    (7,618,247
    )
    
    
    1,282,741Cash and cash equivalentsBeginning of period
    
    
    59,836,098
    
    
    
    27,012,256End of period
    
    $
    52,217,851
    
    
    $
    28,294,997End of period cash and cash equivalents consists of:Cash in broker trading accounts
    
    $
    37,549,104
    
    
    $
    23,501,040Cash and cash equivalents
    
    
    14,668,747
    
    
    
    4,793,957Total end of period cash and cash equivalents
    
    $
    52,217,851
    
    
    $
    28,294,997
 See Accompanying Notes to Financial Statements.
 - 9 -




---



##### Table of Contents



Unitholders Capital - Series BManaging Operator
    
    
    Other Unitholders
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountThree Months Ended March 31, 2011Balances at December 31, 2010
    
    
    20.360
    
    
    $
    54,087
    
    
    
    99,342.853
    
    
    $
    263,905,408
    
    
    
    99,363.213
    
    
    $
    263,959,495Net income (loss) for the three months ended
March 31, 2011
    
    
    
    
    
    
    (2,729
    )
    
    
    
    
    
    
    (13,202,713
    )
    
    
    
    
    
    
    (13,205,442
    )Additions
    
    
    0.000
    
    
    
    0
    
    
    
    295.821
    
    
    
    772,305
    
    
    
    295.821
    
    
    
    772,305Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (2,531.255
    )
    
    
    (6,526,372
    )
    
    
    (2,531.255
    )
    
    
    (6,526,372
    )Balances at March 31, 2011
    
    
    20.360
    
    
    $
    51,358
    
    
    
    97,107.419
    
    
    $
    244,948,628
    
    
    
    97,127.779
    
    
    $
    244,999,986Three Months Ended March 31, 2010Balances at December 31, 2009
    
    
    20.360
    
    
    $
    48,453
    
    
    
    141,411.145
    
    
    $
    336,529,754
    
    
    
    141,431.505
    
    
    $
    336,578,207Net income (loss) for the three months ended
March 31, 2010
    
    
    
    
    
    
    (1,769
    )
    
    
    
    
    
    
    (12,736,542
    )
    
    
    
    
    
    
    (12,738,311
    )Additions
    
    
    0.000
    
    
    
    0
    
    
    
    1,020.309
    
    
    
    2,289,677
    
    
    
    1,020.309
    
    
    
    2,289,677Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (14,837.048
    )
    
    
    (33,519,753
    )
    
    
    (14,837.048
    )
    
    
    (33,519,753
    )Balances at March 31, 2010
    
    
    20.360
    
    
    $
    46,684
    
    
    
    127,594.406
    
    
    $
    292,563,136
    
    
    
    127,614.766
    
    
    $
    292,609,820
 Net Asset Value per Managing Operator and Other Unitholders Unit - Series BMarch 31, 2011
    
    
    December 31, 2010
    
    
    March 31, 2010
    
    
    
    December 31, 2009$
    2,522.45
    
    
    $
    2,656.51
    
    
    $
    2,292.92
    
    
    
    $
    2,379.80
 See Accompanying Notes to Financial Statements.
 - 10 -




---



##### Table of Contents



Series A
    
    
    Series WUnits
    
    
    Amount
    
    
    Units
    
    
    AmountThree Months Ended March 31, 2011Balances at December 31, 2010
    
    
    27,273.338
    
    
    $
    71,343,164
    
    
    
    4,160.119
    
    
    $
    11,146,969Net income (loss) for the three months ended
March 31, 2011
    
    
    
    
    
    
    (4,275,742
    )
    
    
    
    
    
    
    (580,287
    )Additions
    
    
    8,193.623
    
    
    
    21,008,088
    
    
    
    1,222.342
    
    
    
    3,181,004Redemptions
    
    
    (87.870
    )
    
    
    (223,884
    )
    
    
    (150.627
    )
    
    
    (387,656
    )Offering costs
    
    
    
    
    
    
    (94,586
    )
    
    
    
    
    
    
    (14,569
    )Balances at March 31, 2011
    
    
    35,379.091
    
    
    $
    87,757,040
    
    
    
    5,231.834
    
    
    $
    13,345,461Three Months Ended March 31, 2010Balances at December 31, 2009
    
    
    10,227.868
    
    
    $
    24,189,310
    
    
    
    1,896.181
    
    
    $
    4,550,636Net income (loss) for the three months ended
March 31, 2010
    
    
    
    
    
    
    (659,389
    )
    
    
    
    
    
    
    (72,410
    )Additions
    
    
    4,084.497
    
    
    
    9,073,290
    
    
    
    1,612.796
    
    
    
    3,660,949Redemptions
    
    
    (169.465
    )
    
    
    (382,832
    )
    
    
    (45.522
    )
    
    
    (103,754
    )Offering costs
    
    
    
    
    
    
    (33,386
    )
    
    
    
    
    
    
    (6,835
    )Balances at March 31, 2010
    
    
    14,142.900
    
    
    $
    32,186,993
    
    
    
    3,463.455
    
    
    $
    8,028,586
 Net Asset Value per Other Unitholders Unit - Series AMarch 31, 2011
    
    
    December 31, 2010
    
    
    March 31, 2010
    
    
    December 31, 2009$
    2,480.48
    
    
    $
    2,615.86
    
    
    $
    2,275.84
    
    
    $
    2,365.04
 Net Asset Value per Other Unitholders Unit - Series W(1)March 31, 2011
    
    
    December 31, 2010
    
    
    March 31, 2010
    
    
    February 28, 2009$
    2,550.82
    
    
    $
    2,679.48
    
    
    $
    2,318.09
    
    
    $
    2,399.89
 See Accompanying Notes to Financial Statements.
 - 11 -




---



##### Table of Contents



Series AThree Months EndedMarch 31,2011
    
    
    2010Per Unit Performance
(for a unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    2,615.86
    
    
    $
    2,365.04Income (loss) from operations:Total net
trading gains (losses)
(1)
    
    
    (107.84
    )
    
    
    (64.57
    )Net investment income (loss)(1)
    
    
    (24.32
    )
    
    
    (21.82
    )Total net income (loss) from operations
    
    
    (132.16
    )
    
    
    (86.39
    )Offering costs (1)
    
    
    (3.22
    )
    
    
    (2.81
    )Net asset value per unit at end of period
    
    $
    2,480.48
    
    
    $
    2,275.84Total Return
    
    
    (5.18
    )%
    
    
    (3.77
    )%Supplemental DataRatios to average net asset value:Expenses
prior to performance fee (3)
    
    
    4.04
    %
    
    
    4.12
    %Performance fee
    
    
    0.00
    %
    
    
    0.00
    %Total expenses
    
    
    4.04
    %
    
    
    4.12
    %Net
investment income (loss)
(2,3)
    
    
    (3.72
    )%
    
    
    (3.87
    )%
 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)
    
    Net investment income (loss) per unit and offering costs per unit is calculated by dividing
the net investment income (loss) and offering costs by the average number of units outstanding
during the period. Total net 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)
    
    Annualized See Accompanying Notes to Financial Statements.
 - 12 -




---



##### Table of Contents



Series BThree Months EndedMarch 31,2011
    
    
    2010Per Unit Performance
(for a unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    2,656.51
    
    
    $
    2,379.80Income (loss) from operations:Total net
trading gains (losses)
(1)
    
    
    (109.33
    )
    
    
    (65.05
    )Net investment income (loss)(1)
    
    
    (24.73
    )
    
    
    (21.83
    )Total net income (loss) from operations
    
    
    (134.06
    )
    
    
    (86.88
    )Net asset value per unit at end of period
    
    $
    2,522.45
    
    
    $
    2,292.92Total Return
    
    
    (5.05
    )%
    
    
    (3.65
    )%Supplemental DataRatios to average net asset value:Expenses
prior to performance fee (3)
    
    
    4.10
    %
    
    
    4.12
    %Performance fee
    
    
    0.00
    %
    
    
    0.00
    %Total expenses
    
    
    4.10
    %
    
    
    4.12
    %Net
investment income (loss)
(2,3)
    
    
    (3.77
    )%
    
    
    (3.85
    )%
 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)
    
    Net investment income (loss) per unit is calculated by dividing the net investment income
(loss) by the average number of units outstanding during the period. Total net 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)
    
    Annualized. See Accompanying Notes to Financial Statements.
 - 13 -




---



##### Table of Contents



Series WThree Months EndedMarch 31,2011
    
    
    2010Per Unit Performance
(for a unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    2,679.48
    
    
    $
    2,399.89Income (loss) from operations:Total net trading gains (losses) (1)
    
    
    (110.33
    )
    
    
    (65.22
    )Net investment income (loss)(1)
    
    
    (15.02
    )
    
    
    (13.72
    )Total net income (loss) from operations
    
    
    (125.35
    )
    
    
    (78.94
    )Offering costs (1)
    
    
    (3.31
    )
    
    
    (2.86
    )Net asset value per unit at end of period
    
    $
    2,550.82
    
    
    $
    2,318.09Total Return
    
    
    (4.80
    )%
    
    
    (3.41
    )%Supplemental DataRatios to average net asset value:Expenses
prior to performance fee (3)
    
    
    2.56
    %
    
    
    2.63
    %Performance fee
    
    
    0.00
    %
    
    
    0.00
    %Total expenses
    
    
    2.56
    %
    
    
    2.63
    %Net
investment income (loss)
(2,3)
    
    
    (2.24
    )%
    
    
    (2.40
    )%
 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)
    
    Net investment income (loss) per unit and offering costs per unit is calculated by dividing
the net investment income (loss) and offering costs by the average number of units outstanding
during the period. Total net 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)
    
    Annualized. See Accompanying Notes to Financial Statements.
 - 14 -




---



##### Table of Contents



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,
forward currency contracts and options on forward currency contracts.Effective August 31, 2008, the Trust began offering units of beneficial interest classified
into Series A units, Series B units and Series W units. The rights of the Series A units,
Series B units and Series W units are identical, except that the fees and commissions vary on
a Series-by-Series basis. Series A and Series W commenced trading on October 1, 2008 and
March 1, 2009, respectively. The initial minimum subscription for Series A units and Series W
units is $25,000. Series B units are only available for additional investments by existing
holders of Series B units. See Note 1F, Note 1H, Note 2 and Note 5 for an explanation of
allocations and Series specific charges.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 (FASB) Accounting Standards
Codification (ASC) 210-20, Offsetting  Balance Sheet. The fair 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 on the last business day of the reporting
period. The fair value of forward currency (non-exchange traded) contracts was extrapolated
on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) on the last business
day of the reporting period.The fair 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 inputs 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.When the Trust writes an option, an amount equal to the premium received by the Trust is
reflected as an asset and an equivalent liability. The amount of the liability is
subsequently marked to market to reflect the current fair value of option written. Brokerage
commissions include other trading fees and are charged to expense when contracts are opened.The fixed income investments, other than U.S. Treasury bills, are held at the custodian and
marked to market on the last business day of the reporting period by the custodian who
utilizes a third party vendor hierarchy of pricing providers who specialize in such markets.
The prices furnished by the providers consider the yield or price of bonds of comparable
quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in
such securities. U.S. Treasury bills are held at the brokers or interbank market makers and
are stated at cost plus accrued interest, which approximates fair value. Premiums and
discounts on fixed income securities are amortized for financial reporting purposes.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.The Trust follows the provisions of ASC 820, Fair Value Measurements and Disclosures, as of
January 1, 2008. ASC 820 provides guidance for determining fair value and requires increased
disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820
defines fair value as the price that would be received to sell an asset or paid to transfer a
liability in an orderly transaction between market participants at the measurement date.ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation
techniques used to measure fair value into three broad levels. The fair value hierarchy gives
the highest priority to quoted prices (unadjusted) in active markets for identical assets or
liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or
liabilities that the Trust has the ability to access at the measurement date. An active
market for the asset or liability is a market in which transactions for the asset or
liability occur with sufficient frequency and volume to provide pricing information on an
ongoing basis. The value of the Trusts exchange-traded futures contracts fall into this
category.Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable
for the asset or liability, either directly or indirectly. This category includes forward
currency contracts and options on forward currency contracts that the Trust values using
models or other valuation methodologies derived from observable market data. This category also includes fixed
income investments.
 - 15 -




---



##### Table of Contents



Level 3 inputs are unobservable inputs for an asset or liability (including the Trusts own
assumptions used in determining the fair value of investments). Unobservable inputs shall be used
to measure fair value to the extent that observable inputs are not available, thereby allowing for
situations in which there is little, if any, market activity for the asset or liability at the
measurement date. As of and for the period ended March 31, 2011, the Trust did not have any Level 3
assets or liabilities.In January 2010, the FASB issued Accounting Standards Update No. 2010-06 (ASU 2010-06) for
improving disclosure about fair value measurements. ASU 2010-06 adds new disclosure requirements
about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales,
issuances and settlements in the reconciliation for fair value measurements using significant
unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the
levels of disaggregation for fair value measurement and inputs and valuation techniques used to
measure fair value. As of January 1, 2010, the Trust adopted the provisions of ASC 2010-06 except
for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in
Level 3 fair value measurements, which were adopted as of January 1, 2011. The adoption of the
remaining provisions have not had a material impact on the Trusts financial statement disclosures.The following tables set forth by level within the fair value hierarchy the Trusts investments
accounted for at fair value on a recurring basis as of March 31, 2011 and December 31, 2010.
 Fair Value at March 31, 2011Description
    
    Level 1
    
    
    Level 2
    
    
    Level 3
    
    
    TotalInvestmentsFixed income securities
    
    $
    0
    
    
    $
    299,728,108
    
    
    $
    0
    
    
    $
    299,728,108Other Financial InstrumentsExchange-traded futures contracts
    
    
    1,077,028
    
    
    
    0
    
    
    
    0
    
    
    
    1,077,028Forward currency contracts
    
    
    0
    
    
    
    (2,524,069
    )
    
    
    0
    
    
    
    (2,524,069
    )Options purchased
    
    
    0
    
    
    
    1,339,761
    
    
    
    0
    
    
    
    1,339,761Options written
    
    
    0
    
    
    
    (690,588
    )
    
    
    0
    
    
    
    (690,588
    )Total
    
    $
    1,077,028
    
    
    $
    297,853,212
    
    
    $
    0
    
    
    $
    298,930,240
 Fair Value at December 31, 2010Description
    
    Level 1
    
    
    Level 2
    
    
    Level 3
    
    
    TotalInvestmentsFixed income securities
    
    $
    0
    
    
    $
    282,888,486
    
    
    $
    0
    
    
    $
    282,888,486Other Financial InstrumentsExchange-traded futures contracts
    
    
    4,525,677
    
    
    
    0
    
    
    
    0
    
    
    
    4,525,677Forward currency contracts
    
    
    0
    
    
    
    5,148,027
    
    
    
    0
    
    
    
    5,148,027Options purchased
    
    
    0
    
    
    
    1,500,007
    
    
    
    0
    
    
    
    1,500,007Options written
    
    
    0
    
    
    
    (693,506
    )
    
    
    0
    
    
    
    (693,506
    )Total
    
    $
    4,525,677
    
    
    $
    288,843,014
    
    
    $
    0
    
    
    $
    293,368,691
 The gross presentation of the fair value of the Trusts derivatives by instrument type is
shown in Note 8. See Condensed Schedule of Investments for additional detail categorization.D.
    
    Cash and Cash EquivalentsCash and cash equivalents includes cash and overnight money market investments at financial
institutions.E.
    
    Income TaxesThe Trust prepares calendar year U.S. federal 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.Management has continued to evaluate the application of ASC 740, Income Taxes, to the Trust,
and has determined that no reserves for uncertain tax positions were required. The Trust files
federal and state tax returns. The 2007 through 2010 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.
 - 16 -




---



##### Table of Contents



F.
    
    Offering CostsCampbell & Company, Inc. (Campbell & Company) has incurred all costs in connection with the
initial and continuous offering of units of the Trust (offering costs). Series A units and
Series W units will each bear the offering costs incurred in the relation to the offering of
Series A units and Series W units, respectively. Offering costs are charged to Series A and W
at a monthly rate of 1/12 of 0.5% (0.5% annualized) of the Series month-end net asset value
(as defined in the Declaration of Trust and Trust Agreement) until such amounts are fully
reimbursed. Such amounts are charged directly to unitholders capital. Series A and W are only
liable for payment of offering costs on a monthly basis. The offering costs allocable to the
Series B units are borne by Campbell & Company.If the Trust terminates prior to completion of payment to Campbell & Company for the
unreimbursed offering costs incurred through the date of such termination, Campbell & Company
will not be entitled to any additional payments, and Series A units and Series W units will
have no further obligation to Campbell & Company. At
March 31, 2011 and December 31, 2010, the amount of
unreimbursed offering costs incurred by Campbell & Company is $2,717,987 and $2,712,914 for
Series A units and $558,153 and $556,411 for Series W units, respectively.G.
    
    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.H.
    
    AllocationsIncome or loss (prior to calculation of the management fee, service fee, offering costs and
performance fee) is allocated pro rata to each Series of units. Each Series of units is then
charged the management fee, service fee, offering costs and performance fee applicable to such
Series of units.
 Note 2. MANAGING OPERATOR AND COMMODITY TRADING ADVISOR
 The managing operator of the Trust is Campbell & Company which conducts and manages the
business of the Trust. Campbell & Company is also the commodity trading advisor of the Trust.Series A units and Series B units pay the managing operator a monthly management fee equal to
1/12 of 4% (4% annually) of the Net Assets (as defined) of Series A units and Series B units,
respectively, as of the end of each month. Series W units pay the managing operator a monthly
management fee equal to 1/12 of 2% (2% annually) of the Net Assets (as defined) of Series W
units as of the end of each month. Each Series of units will pay the managing operator 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 on a
Series-by-Series basis.The performance fee is paid on the cumulative increase, if any, in the Net Asset Value per
Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a
High Water Mark). In determining the management fee and performance fee (the fees),
adjustments shall be made for capital additions and withdrawals and Net Assets shall not be
reduced by the fees being calculated for such current period. The performance fee is not
subject to any clawback provisions. The fees are typically paid in the month following the
month in which they are earned. The fees are paid from the available cash at the Trusts
bank, broker or cash management custody accounts.
 Note 3. TRUSTEE
 The trustee of the Trust is U.S. Bank National Association, a national 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. CASH MANAGER AND CUSTODIAN
 The Trust appointed Wilmington Trust Investment Management LLC, a wholly owned subsidiary of
Wilmington Trust Corporation, as cash manager under the Non-Custody Investment Advisory
Agreement dated July 8, 2009. The Trust appointed Horizon Cash Management LLC as cash manager
under the Investment Advisory Agreement dated December 22, 2010 to manage and control the
liquid assets of the Trust. Both cash managers are registered as investment advisers with the
Securities and Exchange Commission of the United States under the Investment Advisers Act of
1940. The Trust has terminated the Non-Custody Investment Advisory Agreement appointing
Wilmington Trust Investment Management LLC as cash manager, effective December 31, 2010.The Trust opened a custodial account at The Northern Trust Company (the custodian) and has
granted the cash manager authority to make certain investments on behalf of the Trust
provided such investments are consistent with the investment guidelines created by the
managing operator. All securities purchased by the cash manager on behalf of the Trust will
be held in its custody account at the custodian. The cash manager will have no beneficial or
other interest in the securities and cash in such custody account.
 Note 5. SERVICE FEE
 The selling firms who sell Series W units receive a monthly service fee equal to 1/12 of 0.5%
of the month-end Net Asset Value (as defined) of the Series W units, totaling approximately
0.50% per year.
 - 17 -




---



##### Table of Contents



Note 6. DEPOSITS WITH BROKER
 The Trust deposits assets with UBS Securities LLC 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 typically earns interest income on its assets deposited with the broker.
 Note 7. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
 Investments in the Trust are made by subscription agreement, subject to acceptance by
Campbell & Company.The Trust is not required to make distributions, but may do so at the sole discretion of
Campbell & Company. A unitholder may request and receive redemption of units owned, subject
to restrictions in the Declaration of Trust and Trust Agreement. Units are transferable, but
no market exists for their sale and none is expected to develop. Monthly redemptions are
permitted upon ten (10) business days advance written notice to Campbell & CompanyRedemption fees, which are paid to Campbell & Company, apply to Series A units through the
first twelve month-ends following purchase (the month-end as of which the unit is purchased
is counted as the first month-end) as follows: 1.833% of Net Asset Value per unit redeemed
through the second month-end, 1.666% of Net Asset Value per unit redeemed through the third
month-end, 1.500% of Net Asset Value per unit redeemed through the fourth month-end, 1.333%
of Net Asset Value per unit redeemed through the fifth month-end, 1.167% of Net Asset Value
per unit redeemed through the sixth month-end, 1.000% of Net Asset Value per unit redeemed
through the seventh month-end, 0.833% of Net Asset Value per unit redeemed through the eight
month-end, 0.667% of Net Asset Value per unit redeemed through the ninth month-end, 0.500%
of Net Asset Value per unit redeemed through the tenth month-end, 0.333% of Net Asset Value
per unit redeemed through the eleventh month-end and 0.167% of Net Asset Value per unit
redeemed through the twelfth month end.
 Note 8. TRADING ACTIVITIES AND RELATED RISKS
 The Trust engages in the speculative trading of U.S. and foreign futures contracts, forward
currency contracts and options on forward currency contracts (collectively, derivatives).
Specifically, the Fund trades a portfolio focused on financial futures, which are
instruments designed to hedge or speculate on changes in interest rates, currency exchange
rates or stock index values, as well as metals, energy and agricultural values. A secondary
emphasis is on metals, energy and agriculture values. The Trust is exposed to both market
risk, the risk arising from changes in the fair value of the contracts, and credit risk, the
risk of failure by another party to perform according to the terms of a contract. The market
sensitive instruments held by the Trust 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.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 trusts
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 fair value of securities held
to satisfy such requirements at March 31, 2011 and December 31, 2010 was $299,728,108 and
$61,998,650, respectively, which equals 87% and 18% of Net Asset Value, respectively. The
cash deposited with interbank market makers at March 31, 2011 and December 31, 2010 was
$4,189,863 and $15,795,395, respectively, which equals 1% and 5% of Net Asset Value,
respectively. These amounts are included in cash and cash equivalents. There was no
restricted cash at March 31, 2011 or December 31, 2010.The Trust trades forward currency and options on forward currency contracts in unregulated
markets between principals and assumes the risk of loss from counterparty nonperformance.
Accordingly, the risks associated with forward currency and options on foreign 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
and options on forward currency 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 fair value of the contracts. Market
movements result in frequent changes in the fair 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 fair 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. 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. As both a buyer and seller of options, the Trust pays or
receives a premium at the outset and then bears the risk of unfavorable changes in the price
of the contract underlying the option. Written options expose the Trust to potentially
unlimited liability, and purchased options expose the Trust to a risk of loss limited to the
premiums paid. See Note 1. C. for an explanation of how the Trust determines its valuation
for derivatives as well as the netting of derivatives.The Trust has adopted the provisions of ASC 815, Derivatives and Hedging, (ASC 815). ASC
815 provides enhanced disclosures about how and why an entity uses derivative instruments,
how derivative instruments are accounted for, and how derivative instruments affect an
entitys financial position, financial performance and cash flows.
 - 18 -




---



##### Table of Contents



The following tables summarize quantitative information required by ASC 815.The fair value of the Trusts derivatives by instrument type, as well as the location of those
instruments on the Statement of Financial Condition, as of March 31, 2011 and December 31, 2010
is as follows:
 Asset
    
    
    LiabilityDerivatives at
    
    
    Derivatives atStatement of Financial
    
    March 31, 2011
    
    
    March 31, 2011Type of Instrument *
    
    Condition Location
    
    Fair Value
    
    
    Fair Value
    
    
    NetAgricultural Contracts
    
    Equity in broker trading accounts
    
    $
    965,052
    
    
    $
    (714,886
    )
    
    $
    250,166Energy Contracts
    
    Equity in broker trading accounts
    
    
    1,548,027
    
    
    
    (634
    )
    
    
    1,547,393Metal Contracts
    
    Equity in broker trading accounts
    
    
    1,278,323
    
    
    
    (1,545,258
    )
    
    
    (266,935
    )Stock Indices Contracts
    
    Equity in broker trading accounts
    
    
    1,446,122
    
    
    
    (169,163
    )
    
    
    1,276,959Short-Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    586,897
    
    
    
    (626,919
    )
    
    
    (40,022
    )Long-Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    288,169
    
    
    
    (1,978,702
    )
    
    
    (1,690,533
    )Forward Currency Contracts
    
    Net unrealized gain (loss) on open
forward currency contracts
    
    
    20,472,260
    
    
    
    (22,996,329
    )
    
    
    (2,524,069
    )Purchased Options on Forward Currency Contracts
    
    Options purchased, at fair value
    
    
    1,339,761
    
    
    
    0
    
    
    
    1,339,761Written Options on Forward Currency Contracts
    
    Options written, at fair value
    
    
    0
    
    
    
    (690,588
    )
    
    
    (690,588
    )Totals
    
    
    
    $
    27,924,611
    
    
    $
    (28,722,479
    )
    
    $
    (797,868
    )
 
 *
    
    Derivatives not designated as hedging instruments under ASC 815 Asset
    
    
    LiabilityDerivatives at
    
    
    Derivatives atStatement of Financial
    
    December 31, 2010
    
    
    December 31, 2010Type of Instrument *
    
    Condition Location
    
    Fair Value
    
    
    Fair Value
    
    
    NetAgricultural Contracts
    
    Equity in broker trading accounts
    
    $
    2,324,406
    
    
    $
    (112,725
    )
    
    $
    2,211,681Energy Contracts
    
    Equity in broker trading accounts
    
    
    980,008
    
    
    
    (475,769
    )
    
    
    504,239Metal Contracts
    
    Equity in broker trading accounts
    
    
    2,599,694
    
    
    
    (591,961
    )
    
    
    2,007,733Stock Indices Contracts
    
    Equity in broker trading accounts
    
    
    902,423
    
    
    
    (893,206
    )
    
    
    9,217Short-Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    416,741
    
    
    
    (25,323
    )
    
    
    391,418Long-Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    99,846
    
    
    
    (698,457
    )
    
    
    (598,611
    )Forward Currency Contracts
    
    Net unrealized gain (loss) on open forward
currency contracts
    
    
    27,837,667
    
    
    
    (22,689,640
    )
    
    
    5,148,027Purchased Options on Forward Currency Contracts
    
    Options purchased, at fair value
    
    
    1,500,007
    
    
    
    0
    
    
    
    1,500,007Written Options on Forward Currency Contracts
    
    Options written, at fair value
    
    
    0
    
    
    
    (693,506
    )
    
    
    (693,506
    )Totals
    
    
    
    $
    36,660,792
    
    
    $
    (26,180,587
    )
    
    $
    10,480,205
 
 *
    
    Derivatives not designated as hedging instruments under ASC 815  Trading Revenue for
    
    
    Trading Revenue forthe Three Months Ended
    
    
    the Three Months EndedType of Instrument
    
    March 31, 2011
    
    
    March 31, 2010Agricultural Contracts
    
    $
    (127,779
    )
    
    $
    128,333Energy Contracts
    
    
    6,928,822
    
    
    
    (2,724,911
    )Metal Contracts
    
    
    (1,508,583
    )
    
    
    (2,864,314
    )Stock Indices Contracts
    
    
    (7,141,847
    )
    
    
    (7,320,119
    )Short-Term Interest Rate Contracts
    
    
    (3,938,653
    )
    
    
    10,677,099Long Term Interest Rate Contracts
    
    
    (2,401,881
    )
    
    
    (4,905,283
    )Forward Currency Contracts
    
    
    (3,486,624
    )
    
    
    (1,128,786
    )Purchased Options on Forward Currency Contracts
    
    
    (4,685,902
    )
    
    
    (3,867,495
    )Written Options on Forward Currency Contracts
    
    
    1,806,870
    
    
    
    2,124,091Total
    
    $
    (14,555,577
    )
    
    $
    (9,881,385
    )
 - 19 -




---



##### Table of Contents



Trading Revenue for
    
    
    Trading Revenue forthe Three Months Ended
    
    
    the Three Months EndedLine Item in the Statement of Operations
    
    March 31, 2011
    
    
    March 31, 2010Futures trading gains (losses):Realized
    
    $
    (4,742,849
    )
    
    $
    (15,464,548
    )Change in unrealized
    
    
    (3,448,650
    )
    
    
    8,455,353Forward currency and options on forward currency trading gains (losses):Realized
    
    
    934,261
    
    
    
    (6,333,282
    )Change in unrealized
    
    
    (7,298,339
    )
    
    
    3,461,092Total
    
    $
    (14,555,577
    )
    
    $
    (9,881,385
    )
 For the three months ended March 31, 2011 and 2010, the monthly average of futures
contracts bought and sold was approximately 18,670 and 20,700 respectively, and the monthly
average of notional value of forward currency and options on forward currency contracts was
$3,415,450,000 and $2,629,600,000 respectively.Open contracts generally mature within twelve months; as of March 31, 2011, the latest
maturity date for open futures contracts is June 2012, the latest maturity date for open
forward currency contracts is June 2011, and the latest expiry date for options on forward
currency contracts is April 2011. However, the Trust intends to close all futures and foreign
currency 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s attempt 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 reducing position sizes dynamically in response to
trading losses. Campbell & Company controls the risk of the Trusts non-trading fixed income
instruments by limiting the duration of such instruments and requiring a minimum credit
quality of the issuers of those instruments.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
credit worthy. The unitholder bears 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 9. INDEMNIFICATIONS
 In the normal course of business, the Trust enters into contracts and agreements that contain
a variety of representations and warranties 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.
 Note 10. INTERIM FINANCIAL STATEMENTS
 The statement of financial condition, including the condensed schedule of investments, as of
March 31, 2011 and December 31, 2010, and the statements of operations, cash flows, changes in unitholders capital
(Net Asset Value) and financial highlights for the three months ended March 31, 2011 and 2010
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, 2011, and the results of operations, cash flows,
changes in unitholders capital (Net Asset Value) and financial highlights for the three
months ended March 31, 2011 and 2010.
 Note 11. SUBSEQUENT EVENTS
 Management of the Trust has evaluated subsequent events through the date the financial
statements were filed. There are no subsequent events to disclose or record.
 - 20 -




---



##### Table of Contents



Item 2. Managements Discussion and Analysis of Financial Condition and Results of Operations
 Introduction
    Critical Accounting Policies
   Capital Resources
  - 21 -




---



##### Table of Contents



Liquidity
     - 22 -




---



##### Table of Contents



Off-Balance Sheet Risk
    Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts
Accounted for at Fair Value
  - 23 -




---



##### Table of Contents



Results of Operations
  2011
      Sector
    
    % Gain (Loss)Commodities
    
    
    1.57
    %Currencies
    
    
    (1.80
    )Interest Rates
    
    
    (1.81
    )Stock Indices
    
    
    (1.97
    )(4.01
    )%
  - 24 -




---



##### Table of Contents



2010
   - 25 -




---



##### Table of Contents



Sector
    
    % Gain (Loss)Interest Rates
    
    
    1.60
    %Currencies
    
    
    (0.71
    )Commodities
    
    
    (1.48
    )Stock Indices
    
    
    (2.02
    )(2.61
    )%
   - 26 -




---



##### Table of Contents



Item 3. Quantitative and Qualitative Disclosures About Market Risk
 Introduction
 Past Results Not Necessarily Indicative of Future Performance
    Standard of Materiality
  - 27 -




---



##### Table of Contents



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 the
maintenance margin required for market risk sensitive instruments held at the end of the
reporting period).
       The Trusts Trading Value at Risk in Different Market Sectors
  - 28 -




---



##### Table of Contents



March 31, 2011TradingMarket Sector
    
    Value at Risk*
    
    
    Gain/(Loss)**Commodities
    
    
    0.96
    %
    
    
    1.57
    %Stock Indices
    
    
    0.87
    %
    
    
    (1.97
    )%Currencies
    
    
    0.58
    %
    
    
    (1.80
    )%Interest Rates
    
    
    0.25
    %
    
    
    (1.81
    )%Aggregate/Total
    
    
    2.02
    %
    
    
    (4.01
    )%
 
 *
    
    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.**
    
    Represents the gross trading for the Trust for the three months ended March 31, 2011.    December 31, 2010Market Sector
    
    Value at Risk*
    
    
    Gain/(Loss)**Commodities
    
    
    0.83
    %
    
    
    3.21
    %Stock Indices
    
    
    0.48
    %
    
    
    (2.54
    )%Currencies
    
    
    0.46
    %
    
    
    2.94
    %Interest Rates
    
    
    0.45
    %
    
    
    12.12
    %Aggregate/Total
    
    
    1.72
    %
    
    
    15.73
    %
 
 *
    
    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.**
    
    Represents the gross trading for the Trust for the year ended December 31, 2010. - 29 -




---



##### Table of Contents



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
  - 30 -




---



##### Table of Contents



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.
  Currencies
  Interest Rates
  Stock Indices
  Energy
  - 31 -




---



##### Table of Contents



Metals
  Agricultural
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
  Fixed Income Securities
  Treasury Bill Positions Held for Margin Purposes
  Qualitative Disclosures Regarding Means of Managing Risk Exposure
  - 32 -




---



##### Table of Contents



General
  
 Item 4. Controls and Procedures
  - 33 -




---



##### Table of Contents



PART II-OTHER INFORMATION
 Item 1. Legal Proceedings.
  Item 1A. Risk Factors.
 
 Item 2. Changes in Securities and Use of Proceeds.
  Item 3. Defaults Upon Senior Securities.
  Item 4. (Removed and Reserved).
  Item 5. Other Information.
  
 Item 6. Exhibits and Reports on Form 8-K.
 (a)
    Exhibits
 ExhibitNumber
    
    Description of Document31.01
    
    Certification of Theresa D. Becks, Chief Executive Officer, pursuant to
Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.31.02
    
    Certification of Gregory T. Donovan, Chief Financial Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.32.01
    
    Certification of Theresa D. Becks, 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 Gregory T. Donovan, Chief Financial Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.
   - 34 -




---



##### Table of Contents



SIGNATURES
  THE CAMPBELL FUND TRUST
(Registrant)By:
    
    Campbell & Company, Inc.Managing OperatorDate: May 16, 2011
    
    By:
    
    /s/ Theresa D. Becks

Theresa D. BecksChief Executive Officer
 - 35 -




---



##### Table of Contents



EXHIBIT INDEX
 Exhibit Number
    
    Description of Document
    
    Page Number31.01
    
    Certification by Chief Executive Officer
    
    E 2  E 331.02
    
    Certification by Chief Financial Officer
    
    E 4  E 532.01
    
    Certification by Chief Executive Officer
    
    E 632.02
    
    Certification by Chief Financial Officer
    
    E 7