<PAGE>

                                  UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549

                                    FORM 10-Q

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

For the quarterly period ended September 30, 2004

                                       or

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

For the transition period from ____________________ to ________________________

Commission File number: 0-50264

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

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

                              Court Towers Building
                          210 West Pennsylvania Avenue,
                            Baltimore, Maryland 21204
           ----------------------------------------------------------
          (Address of principal executive offices, including zip code)

                                 (410) 296-3301
               --------------------------------------------------
              (Registrant's telephone number, including area code)

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

Yes [ X ]         No [   ]

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

Yes [   ]         No [ X ]

                           Total number of Pages: 27

<PAGE>

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

                        Statements of Financial Condition as of September 30, 2004 (Unaudited)
                        and December 31, 2003 (Audited)                                                           3

                        Condensed Schedule of Investments as of September 30, 2004 (Unaudited)
                        and December 31, 2003 (Audited)                                                          4-5

                        Statements of Operations for the Three Months and Nine Months
                        Ended September 30, 2004 and 2003 (Unaudited)                                             6

                        Statements of Cash Flows for the Nine Months Ended
                        September 30, 2004 and 2003 (Unaudited)                                                   7

                        Statements of Changes in Unitholders' Capital (Net Asset Value)
                        for the Nine Months Ended September 30, 2004 and 2003 (Unaudited)                         8

                        Notes to Financial Statements (Unaudited)                                                9-13

             Item 2.    Management's Discussion and Analysis of Financial Condition and
                        Results of Operations                                                                   14-19

             Item 3.    Quantitative and Qualitative Disclosure About Market Risk                               20-25

             Item 4.    Controls and Procedures                                                                  25

PART II - OTHER INFORMATION                                                                                      26

             Item 6.    Exhibits and Reports on Form 8-K                                                         26

SIGNATURES

CERTIFICATIONS
</TABLE>

                                      -2-
<PAGE>

                             THE CAMPBELL FUND TRUST
                        STATEMENTS OF FINANCIAL CONDITION
         September 30, 2004 (Unaudited) and December 31, 2003 (Audited)

<TABLE>
<CAPTION>
                                                     September 30,  December 31,
                                                         2004           2003
                                                         ----           ----
<S>                                                  <C>            <C>
ASSETS
    Equity in broker trading accounts
       Cash                                          $ 11,106,236   $ 10,949,208
       United States government securities            286,858,599    144,322,133
       Unrealized gain on open futures contracts        3,937,320      6,048,369
                                                     ------------   ------------
              Deposits with broker                    301,902,155    161,319,710
    Cash and cash equivalents                          75,463,696    115,561,739
    United States government securities               194,300,400     89,943,762
    Unrealized gain on open forward contracts           9,595,381     11,809,140
                                                     ------------   ------------
              Total assets                           $581,261,632   $378,634,351
                                                     ============   ============
LIABILITIES
    Accounts payable                                 $     53,881   $     46,488
    Commissions and other trading fees
       on open contracts                                  106,495         83,342
    Management fee                                      1,911,840      1,184,980
    Performance fee                                             0      2,717,685
    Prepaid subscriptions                               7,549,382     23,010,493
                                                     ------------   ------------
              Total liabilities                         9,621,598     27,042,988
                                                     ------------   ------------
UNITHOLDERS' CAPITAL (NET ASSET VALUE)
    Managing Operator -- 20.360 units outstanding
       at September 30, 2004 and December 31, 2003         45,385         45,242
    Unitholders -- 256,417.906 and 158,203.505
       units outstanding at September 30, 2004 and
       December 31, 2003                              571,594,649    351,546,121
                                                     ------------   ------------
              Total unitholders' capital
                 (Net Asset Value)                    571,640,034    351,591,363
                                                     ------------   ------------
                                                     $581,261,632   $378,634,351
                                                     ============   ============
</TABLE>

                             See accompanying notes.

                                      -3-
<PAGE>

                            THE CAMPBELL FUND TRUST
                       CONDENSED SCHEDULE OF INVESTMENTS
                               September 30, 2004
                                  (Unaudited)

UNITED STATES GOVERNMENT SECURITIES

<TABLE>
<CAPTION>
                                                                                                                       % OF NET
  FACE VALUE      MATURITY DATE      DESCRIPTION                                                        VALUE         ASSET VALUE
  ----------      -------------      -----------                                                        -----         -----------
<S>               <C>              <C>                                                               <C>              <C>
$  150,000,000      12/30/04       U.S. Treasury Bill                                                $149,385,000       26.13 %
$   95,000,000      12/09/04       U.S. Treasury Bill                                                  94,708,667       16.57 %
$   70,000,000      11/12/04       U.S. Treasury Bill                                                  69,885,258       12.22 %
$   65,000,000      11/18/04       U.S. Treasury Bill                                                  64,877,000       11.35 %
$   48,000,000      10/07/04       U.S. Treasury Bill                                                  47,990,160        8.40 %
$   39,500,000      12/23/04       U.S. Treasury Bill                                                  39,347,914        6.88 %
$   15,000,000      11/26/04       U.S. Treasury Bill                                                  14,965,000        2.62 %
                                                                                                     ------------       -----
                                   TOTAL UNITED STATES GOVERNMENT SECURITIES
                                   (COST, INCLUDING ACCRUED INTEREST, - $481,158,999)                $481,158,999       84.17 %
                                                                                                     ============       =====
</TABLE>

LONG FUTURES CONTRACTS

<TABLE>
<CAPTION>
                                                                                                                       % OF NET
                                   DESCRIPTION                                                          VALUE         ASSET VALUE
                                   -----------                                                          -----         -----------
<S>                                <C>                                                               <C>              <C>
                                   Agriculture                                                       $     38,231        0.01 %
                                   Energy                                                                  86,554        0.02 %
                                   Metals                                                               1,768,719        0.31 %
                                   Stock index                                                         (1,069,019)      (0.19)%
                                   Short-term interest rates                                              (52,074)      (0.01)%
                                   Long-term interest rates                                             4,549,030        0.79 %
                                                                                                     ------------       -----
                                   TOTAL LONG FUTURES CONTRACTS                                      $  5,321,441        0.93 %
                                                                                                     ------------       -----
</TABLE>

SHORT FUTURES CONTRACTS

<TABLE>
<CAPTION>
                                                                                                                       % OF NET
                                   DESCRIPTION                                                          VALUE         ASSET VALUE
                                   -----------                                                          -----         -----------
<S>                                <C>                                                               <C>              <C>
                                   Agriculture                                                       $  1,152,287        0.20 %
                                   Energy                                                              (1,042,650)      (0.18)%
                                   Metals                                                              (1,469,205)      (0.26)%
                                   Stock index                                                            (17,339)      (0.00)%
                                   Short-term interest rates                                               (7,214)      (0.00)%
                                                                                                     ------------       -----
                                   TOTAL SHORT FUTURES CONTRACTS                                     $ (1,384,121)      (0.24)%
                                                                                                     ------------       -----
                                   TOTAL FUTURES CONTRACTS                                           $  3,937,320        0.69 %
                                                                                                     ============       =====
</TABLE>

FORWARD CURRENCY CONTRACTS

<TABLE>
<CAPTION>
                                                                                                                       % OF NET
                                   DESCRIPTION                                                          VALUE         ASSET VALUE
                                   -----------                                                          -----         -----------
<S>                                <C>                                                               <C>              <C>
                                   Various long forward currency contracts                           $ 28,372,846        4.96 %
                                   Various short forward currency contracts                           (18,777,465)      (3.28)%
                                                                                                     ------------       -----
                                   TOTAL FORWARD CURRENCY CONTRACTS                                  $  9,595,381        1.68 %
                                                                                                     ============       =====
</TABLE>

                             See accompanying notes.

                                      -4-
<PAGE>

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

UNITED STATES GOVERNMENT SECURITIES

<TABLE>
<CAPTION>
                                                                                                                       % OF NET
FACE VALUE        MATURITY ATE        DESCRIPTION                                                       VALUE         ASSET VALUE
----------        ------------        -----------                                                       -----         -----------
<S>               <C>              <C>                                                               <C>              <C>
$65,000,000         2/19/04        U.S. Treasury Bill                                                $ 64,919,830       18.46 %
$45,000,000         1/02/04        U.S. Treasury Bill                                                  44,998,888       12.80 %
$40,000,000         3/11/04        U.S. Treasury Bill                                                  39,931,944       11.36 %
$33,000,000         1/08/04        U.S. Treasury Bill                                                  32,994,385        9.38 %
$22,500,000         3/25/04        U.S. Treasury Bill                                                  22,454,588        6.39 %
$21,000,000         2/12/04        U.S. Treasury Bill                                                  20,977,460        5.97 %
$ 8,000,000         2/26/04        U.S. Treasury Bill                                                   7,988,800        2.27 %
                                                                                                     ------------       -----
                                   TOTAL UNITED STATES GOVERNMENT SECURITIES
                                   (COST, INCLUDING ACCRUED INTEREST, - $234,265,895)                $234,265,895       66.63 %
                                                                                                     ============       =====
</TABLE>

LONG FUTURES CONTRACTS

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

SHORT FUTURES CONTRACTS

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

FORWARD CURRENCY CONTRACTS

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

                             See accompanying notes.

                                      -5-
<PAGE>

                             THE CAMPBELL FUND TRUST
                            STATEMENTS OF OPERATIONS
     For the Three Months and Nine Months Ended September 30, 2004 and 2003
                                   (Unaudited)

<TABLE>
<CAPTION>
                                                      Three Months Ended              Nine Months Ended
                                                         September 30,                  September 30,
                                                     2004            2003            2004           2003
                                                     ----            ----            ----           ----
<S>                                              <C>             <C>             <C>             <C>
TRADING GAINS (LOSSES)
    Futures trading gains (losses)
       Realized                                  $(10,210,052)   $(10,073,130)   $ 21,303,921    $  5,592,554
       Change in unrealized                         6,823,936      (3,198,683)     (2,111,049)     (9,675,894)
       Brokerage commissions                         (311,203)       (334,063)       (903,707)       (720,200)
                                                 ------------    ------------    ------------    ------------
              Gain (loss) from futures trading     (3,697,319)    (13,605,876)     18,289,165      (4,803,540)
                                                 ------------    ------------    ------------    ------------
    Forward trading gains (losses)
       Realized                                   (26,487,026)     (6,592,814)     (2,919,329)     18,785,724
       Change in unrealized                        17,434,752      10,775,129      (2,213,759)     12,469,660
       Brokerage commissions                          (42,775)        (27,287)        (95,860)        (96,085)
                                                 ------------    ------------    ------------    ------------
              Gain (loss) from forward trading     (9,095,049)      4,155,028      (5,228,948)     31,159,299
                                                 ------------    ------------    ------------    ------------
              Total trading gains (losses)        (12,792,368)     (9,450,848)     13,060,217      26,355,759
                                                 ------------    ------------    ------------    ------------
EXPENSES NET OF INTEREST INCOME
    Income

       Interest income                              1,864,658         656,502       4,018,588       1,918,012
                                                 ------------    ------------    ------------    ------------
    Expenses
       Management fee                               5,619,262       2,828,187      15,031,229       7,553,215
       Performance fee                                      0               0      14,594,954       5,702,938
       Operating expenses                              36,414          29,682         111,043          68,632
                                                 ------------    ------------    ------------    ------------
              Total expenses                        5,655,676       2,857,869      29,737,226      13,324,785
                                                 ------------    ------------    ------------    ------------
              Expenses net of interest income      (3,791,018)     (2,201,367)    (25,718,638)    (11,406,773)
                                                 ------------    ------------    ------------    ------------
              NET INCOME (LOSS)                  $(16,583,386)   $(11,652,215)   $(12,658,421)   $ 14,948,986
                                                 ============    ============    ============    ============
NET INCOME (LOSS) PER MANAGING
    OPERATOR AND UNITHOLDER UNIT
    (based on weighted average number of
    units outstanding during the period)         $     (66.85)   $     (85.08)   $     (59.75)   $     125.68
                                                 ============    ============    ============    ============

INCREASE (DECREASE) IN NET ASSET
    VALUE PER MANAGING OPERATOR
    AND UNITHOLDER UNIT                          $     (66.16)   $     (89.61)   $       7.04    $     179.56
                                                 ============    ============    ============    ============
</TABLE>

                             See accompanying notes.

                                      -6-
<PAGE>

                             THE CAMPBELL FUND TRUST
                            STATEMENTS OF CASH FLOWS
              For the Nine Months Ended September 30, 2004 and 2003
                                   (Unaudited)

<TABLE>
<CAPTION>
                                                                         2004            2003
                                                                         ----            ----
<S>                                                                 <C>              <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
    Net income (loss)                                               $ (12,658,421)   $  14,948,986
       Adjustments to reconcile net income (loss) to net cash
          (for) operating activities
              Net change in unrealized                                  4,324,808       (2,793,766)
              Increase (decrease) in accounts payable
                 and accrued expenses                                  (1,960,279)         529,910
              Net purchases of investments in United States
                 government securities                               (246,893,104)    (116,195,882)
                                                                    -------------    -------------

                    Net cash (for) operating activities              (257,186,996)    (103,510,752)
                                                                    -------------    -------------

CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
    Addition of units                                                 250,962,064      145,253,279
    Decrease in prepaid subscriptions                                 (15,461,111)     (22,997,349)
    Redemption of units                                               (18,254,972)      (7,679,655)
    Decrease in subscription deposits                                           0       (3,337,000)
                                                                    -------------    -------------

                    Net cash from financing activities                217,245,981      111,239,275
                                                                    -------------    -------------

Net increase (decrease) in cash and cash equivalents                  (39,941,015)       7,728,523

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

    End of period                                                   $  86,569,932    $  67,187,321
                                                                    =============    =============

End of period cash and cash equivalents consists of:
    Cash in broker trading accounts                                 $  11,106,236    $   5,791,426
    Cash and cash equivalents                                          75,463,696       61,395,895
                                                                    -------------    -------------

                    Total end of period cash and cash equivalents   $  86,569,932    $  67,187,321
                                                                    =============    =============
</TABLE>

                             See accompanying notes.

                                      -7-
<PAGE>

                             THE CAMPBELL FUND TRUST
         STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE)
              For the Nine Months Ended September 30, 2004 and 2003
                                   (Unaudited)

<TABLE>
<CAPTION>
                                                                    Unitholders' Capital
                                       ----------------------------------------------------------------------------------
                                         Managing Operator              Unitholders                      Total
                                       ---------------------    --------------------------    ---------------------------
                                        Units         Amount       Units          Amount         Units          Amount
                                        -----         ------       -----          ------         -----          ------
<S>                                     <C>         <C>         <C>           <C>             <C>            <C>
NINE MONTHS ENDED SEPTEMBER 30, 2004

Balances at
    December 31, 2003                   20.360      $ 45,242    158,203.505   $351,546,121    158,223.865    $351,591,363
Net 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     250,962,064

Redemptions                              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
                                        ======      ========    ===========   ============    ===========    ============

NINE MONTHS ENDED SEPTEMBER 30, 2003

Balances at
    December 31, 2002                   20.360      $ 38,174     76,075.368   $142,635,884     76,095.728    $142,674,058

Net income for the nine months
    ended September 30, 2003                           3,655                    14,945,331                     14,948,986

Additions                                0.000             0     71,329.089    145,253,279     71,329.089     145,253,279

Redemptions                              0.000             0     (3,741.474)    (7,679,655)    (3,741.474)     (7,679,655)
                                        ------      --------    -----------   ------------    -----------    ------------

Balances at
    September 30, 2003                  20.360      $ 41,829    143,662.983   $295,154,839    143,683.343    $295,196,668
                                        ======      ========    ===========   ============    ===========    ============
</TABLE>

Net Asset Value Per Managing Operator and Unitholder Unit

<TABLE>
<CAPTION>
September 30,     December 31,      September 30,    December 31,
    2004              2003              2003             2002
    ----              ----              ----             ----
<S>               <C>               <C>              <C>
$   2,229.15        $2,222.11         $2,054.49        $1,874.93
============        =========         =========        ==========
</TABLE>

                             See accompanying notes.

                                      -8-
<PAGE>

                             THE CAMPBELL FUND TRUST
                          NOTES TO FINANCIAL STATEMENTS
                                   (Unaudited)

Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

        A.  General Description of the Trust

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

        B.  Regulation

            The Trust is a registrant with the Securities and Exchange
            Commission (SEC) pursuant to the Securities Exchange Act of 1934
            (the Act). As a registrant, the Trust is subject to the regulations
            of the SEC and the informational requirements of the Act. As a
            commodity investment pool, the Trust is subject to the regulations
            of the Commodity Futures Trading Commission, an agency of the United
            States (U.S.) government which regulates most aspects of the
            commodity futures industry; rules of the National Futures
            Association, an industry self-regulatory organization; and the
            requirements of the various commodity exchanges where the Trust
            executes transactions. Additionally, the Trust is subject to the
            requirements of futures commission merchants (brokers) and interbank
            market makers through which the Trust trades.

        C.  Method of Reporting

            The Trust's financial statements are presented in accordance with
            accounting principles generally accepted in the United States of
            America, which require the use of certain estimates made by the
            Trust's management. Investment transactions are accounted for on the
            trade date. Gains or losses are realized when contracts are
            liquidated. Unrealized gains and losses on open contracts (the
            difference between contract trade price and market price) are
            reported in the statement of financial condition as a net gain or
            loss, as there exists a right of offset of unrealized gains or
            losses in accordance with Financial Accounting Standards Board
            Interpretation No. 39 - "Offsetting of Amounts Related to Certain
            Contracts." The market value of futures (exchange-traded) contracts
            is determined by the various futures exchanges, and reflects the
            settlement price for each contract as of the close of the last
            business day of the reporting period. The market value of forward
            (non-exchange traded) contracts is extrapolated on a forward basis
            from the spot prices quoted as of 5:00 P.M. (E.T.) of the last
            business day of the reporting period. Any change in net unrealized
            gain or loss from the preceding period is reported in the statement
            of operations. Brokerage commissions include other trading fees and
            are charged to expense when contracts are opened. United States
            government securities are stated at cost plus accrued interest,
            which approximates market value.

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

        D.  Cash and Cash Equivalents

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

        E.  Income Taxes

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

                                      -9-
<PAGE>

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

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

        F.  Foreign Currency Transactions

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

        G.  Reclassification

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

Note 2. MANAGING OPERATOR AND COMMODITY TRADING ADVISOR

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

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

Note 3. TRUSTEE

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

Note 4. DEPOSITS WITH BROKER

        The Trust deposits assets with ABN AMRO Incorporated to act as broker,
        subject to Commodity Futures Trading Commission regulations and various
        exchange and broker requirements. Margin requirements are satisfied by
        the deposit of U.S. Treasury bills and cash with such broker. The Trust
        pays interest if deposits are below required levels and earns interest
        income on excess deposits with the broker.

Note 5. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

        Investments in the Trust are made by subscription agreement, subject to
        acceptance by the managing operator. Effective October 1, 2004 and
        January 1, 2004, additions of $7,549,382 and $23,010,493, respectively,
        were made to the Trust.

                                      -10-
<PAGE>

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

Note 5. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS (CONTINUED)

        The Trust is not required to make distributions, but may do so at the
        sole discretion of the managing operator. A Unitholder may request and\
        receive redemption of units owned, subject to restrictions in the
        Declaration of Trust and Trust Agreement. At September 30, 2004, there
        were requests for redemptions of $3,785,744 effective October 1, 2004.
        At December 31, 2003, there were requests for redemptions of $1,515,033
        effective January 1, 2004.

Note 6. TRADING ACTIVITIES AND RELATED RISKS

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

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

        The amount of required margin and good faith deposits with the broker
        and interbank market makers usually range from 10% to 30% of Net Asset
        Value. The market value of securities held at September 30, 2004 and
        December 31, 2003 were $481,158,999 and $234,265,895, respectively,
        which equals 84% and 67% of Net Asset Value, respectively. The cash
        deposited with interbank market makers at September 30, 2004 and
        December 31, 2003 was $67,527,039 and $92,308,440, respectively, which
        equals 12% and 26% of Net Asset Value, respectively. These amounts are
        included in cash and cash equivalents.

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

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

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

                                      -11-
<PAGE>

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

Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)

        The unrealized gain (loss) on open futures and forward contracts is
        comprised of the following:

<TABLE>
<CAPTION>
                                     Futures Contracts                    Forward Contracts
                                     (exchange traded)                  (non-exchange traded)
                              September 30,      December 31,      September 30,      December 31,
                                  2004               2003              2004               2003
                                  ----               ----              ----               ----
<S>                           <C>              <C>                 <C>                <C>
Gross unrealized gains        $  8,602,554     $   8,084,457       $ 28,869,504       $ 25,390,198
Gross unrealized losses         (4,665,234)       (2,036,088)       (19,274,123)       (13,581,058)
                              ------------     -------------       ------------       ------------
Net unrealized gain (loss)    $  3,937,320     $   6,048,369       $  9,595,381       $ 11,809,140
                              ============     =============       ============       ============
</TABLE>

        Open contracts generally mature within three months; as of September 30,
        2004, the latest maturity date for open futures contracts is June 2005,
        and the latest maturity date for open forward contracts is December
        2004. However, the Trust intends to close all contracts prior to
        maturity.

        Campbell & Company has established procedures to actively monitor market
        risk and minimize credit risk, although there can be no assurance that
        it will, in fact, succeed in doing so. Campbell & Company's basic market
        risk control procedures consist of continuously monitoring open
        positions, diversification of the portfolio and maintenance of a
        margin-to-equity ratio that rarely exceeds 30%. Campbell & Company seeks
        to minimize credit risk primarily by depositing and maintaining the
        Trust's assets at financial institutions and brokers which Campbell &
        Company believes to be creditworthy. The unitholders bear the risk of
        loss only to the extent of the market value of their respective
        investments and, in certain specific circumstances, distributions and
        redemptions received.

Note 7. INTERIM FINANCIAL STATEMENTS

        The statement of financial condition as of September 30, 2004, including
        the September 30, 2004 condensed schedule of investments, the statements
        of operations for the three months and nine months ended September 30,
        2004 and 2003, and the statements of cash flows and changes in
        unitholders' capital (Net Asset Value) for the nine months ended
        September 30, 2004 and 2003 are unaudited. In the opinion of management,
        such financial statements reflect all adjustments, which were of a
        normal and recurring nature, necessary for a fair presentation of
        financial position as of September 30, 2004, the results of operations
        for the three months and nine months ended September 30, 2004 and 2003,
        and cash flows for the nine months ended September 30, 2004 and 2003.

                                      -12-
<PAGE>

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

Note 8. FINANCIAL HIGHLIGHTS

        The following information presents per unit operating performance data
        and other supplemental financial data for the three months and nine
        months ended September 30, 2004 and 2003. This information has been
        derived from information presented in the financial statements.

<TABLE>
<CAPTION>
                                                             Three months ended           Nine months ended
                                                                September 30,               September 30,
                                                            2004          2003           2004          2003
                                                         (Unaudited)   (Unaudited)    (Unaudited)   (Unaudited)
                                                         -----------   -----------    -----------   -----------
<S>                                                      <C>           <C>            <C>           <C>
PER UNIT PERFORMANCE
(for a unit outstanding throughout the entire period)
Net asset value per unit at beginning of period           $2,295.31     $2,144.10      $2,222.11     $1,874.93
                                                          ---------     ---------      ---------     ---------

Income from operations:
       Total trading gains (losses) (1)                      (50.88)       (73.54)        128.45        275.46
       Expenses net of interest income (1)                   (15.28)       (16.07)       (121.41)       (95.90)
                                                          ---------     ---------      ---------     ---------
              Total income (loss) from operations            (66.16)       (89.61)          7.04        179.56
                                                          ---------     ---------      ---------     ---------
Net asset value per unit at end of period                 $2,229.15     $2,054.49      $2,229.15     $2,054.49
                                                          =========     =========      =========     =========

TOTAL RETURN (3)                                              (2.88)%       (4.18)%         0.32%         9.58%
                                                          =========     =========      =========     =========

SUPPLEMENTAL DATA

Ratios to average net asset value:
       Expenses prior to performance fee (4)                  (3.99)%       (3.97)%        (4.00)%       (4.03)%
       Performance fee (3)                                     0.00%         0.00%         (2.89)%       (2.26)%
                                                          ---------     ---------      ---------     ---------

              Total expenses                                  (3.99)%       (3.97)%        (6.89)%       (6.29)%
                                                          =========     =========      =========     =========

       Expenses net of interest income (2),(4)                (2.67)%       (3.06)%        (2 94)%       (3.02)%
                                                          =========     =========      =========     =========
</TABLE>

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

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

(2)     Excludes performance fee.

(3)     Not annualized.

(4)     Annualized.

                                      -13-
<PAGE>

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

Introduction

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

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

As of September 30, 2004, the aggregate capitalization of the Trust was
$571,640,034, and the Net Asset Value per Unit was $2,229.15.

Critical Accounting Policies

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

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

Capital Resources

The Trust will raise additional capital only through the sale of Units offered
pursuant to the continuing offering, and does not intend to raise any capital
through borrowing. Due to the nature of the Trust's business, it will make no
capital expenditures and will have no capital assets, which are not operating
capital or assets.

                                      -14-
<PAGE>

Liquidity

Most United States commodity exchanges limit fluctuations in commodity futures
contracts prices during a single day by regulations referred to as "daily price
fluctuation limits" or "daily limits". During a single trading day, no trades
may be executed at prices beyond the daily limit. Once the price of a futures
contract has reached the daily limit for that day, positions in that contract
can neither be taken nor liquidated. Commodity futures prices have occasionally
moved to the daily limit for several consecutive days with little or no trading.
Similar occurrences could prevent the Trust from promptly liquidating
unfavorable positions and subject the Trust to substantial losses which could
exceed the margin initially committed to such trades. In addition, even if
commodity futures prices have not moved the daily limit, the Trust may not be
able to execute futures trades at favorable prices, if little trading in such
contracts is taking place. Other than these limitations on liquidity, which are
inherent in the Trust's commodity futures trading operations, the Trust's assets
are expected to be highly liquid.

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

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

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

RESULTS OF OPERATIONS

The return for the nine months ended September 30, 2004 and 2003 was 0.32% and
9.58% respectively.

                                      -15-
<PAGE>

2004

For the 2004 year-to-date increase of 0.32%, approximately 5.61% was due to
trading gains (before commissions) and approximately 0.80% was due to interest
income, offset by approximately 6.09% due to brokerage fees, management fees,
performance fees and operating cost borne by the Trust. An analysis of the 5.61%
trading gains by sector is as follows:

<TABLE>
<CAPTION>
SECTOR                                                  % GAIN (LOSS)
------                                                  -------------
<S>                                                     <C>
Interest Rates                                              7.86%

Energy                                                      1.39

Currencies                                                  0.60

Agriculture                                                 0.43

Metals                                                     (0.33)

Stock Indices                                              (4.34)
                                                           -----
                                                            5.61%
                                                           =====
</TABLE>

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

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

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

In April, interest rates finally reversed course and started to head higher in
response to a perceived change in stance by the U.S. Federal Reserve. In the
days that followed, most major market trends also reversed. Fixed income
instruments sold off hard and the U.S. Dollar rallied, while precious and base
metals and many other physical commodities traded sharply lower. The equities
markets also fell. Only the continued rise in energy prices provided modest
gains for the Trust in April.

May was a difficult month for systematic trend following strategies and the
Trust finished the month with slightly negative performance. Crude oil set
record high prices during the month, which led to gains for the Trust in the
energy sector. Most fixed income and currency contracts experienced a

                                      -16-
<PAGE>

classic whipsaw. They began the month with the continuation of April's
reversals, but ended the month with a strong rally. Equity prices continued to
weaken in the face of higher energy prices and global political uncertainty,
which led to losses in the stock indices sector.

June was another month of choppy, range-bound trading, which resulted in
negative performance for the Trust in all sectors. The market impact of
unfolding events in Iraq had diminished greatly, and many traders were reluctant
to take positions ahead of the Federal Reserve Bank's June 30 interest rate
announcement. Absent any other significant news, the markets remained trendless
and did not provide the opportunities needed to produce positive returns.

July was a slightly negative month as most markets the Trust traded continued to
oscillate in relatively narrow ranges. Interest rate instruments traded lower
and then rallied on weaker than expected economic statistics, while equity
indices rallied and then declined amid broad earnings disappointments. The U.S.
dollar traded in a narrow range. The only sector to show any real life was the
energy sector, where in classic whipsaw fashion the Trust exited most of its
long positions just before crude oil prices rallied to all-time highs.

August performance was negative as most financial markets continued to be bound
by the ranges which had been in place previously. Fixed income instruments
rallied profitably during the month, but these gains were quickly offset by
losses in the currency sector as the U.S. Dollar strengthened. Small losses
resulted from stock index trading as a six-week downtrend reversed sharply,
mirroring the rise and fall of crude oil prices. The Trust's exposure to the
highly volatile energy sector was minor as a result of filters that kept the
Trust out of that sector.

The losses for the Trust continued in September as listless market conditions
persisted. While U.S. Dollar and interest rate instruments traded in narrow
ranges, the Trust managed small profits in these sectors. These gains were
largely offset by losses in the Trust's small positions in the volatile energy
sector. The largest losses for the month came from the equity index positions as
positive economic reports late in the month caused stocks to rally towards
90-day highs.

2003

The return for the nine months ended September 30, 2003 and 2002 was 9.58%. Of
the 2003 increase, approximately 14.43% was due to trading gains (before
commissions), approximately 0.76% was due interest income offset by
approximately 5.61% due to brokerage fees, performance fees and operating costs
borne by the Trust. An analysis of the 14.43% trading loss by sector is as
follows:

<TABLE>
<CAPTION>
SECTOR                                                  % GAIN (LOSS)
------                                                  -------------
<S>                                                     <C>
Currencies                                                   12.90%

Energy                                                        1.37

Stock Indices                                                 1.34

Interest Rates                                                0.28

Metals                                                       (0.51)

Agricultural                                                 (0.95)
                                                             -----
                                                             14.43%
                                                             =====
</TABLE>

                                      -17-
<PAGE>

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

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

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

In April, the Trust's leverage was returned to a more normal level, but the
portfolio was not fully engaged in many markets due to the lack of strong
trends. Many markets had calmed significantly at this time, but uncertainty was
still prevalent in global markets due to the many unresolved geopolitical
issues. A strong performance in the currencies sector was partially offset by
negative performances in the metals, stock index and agricultural sectors.

In May, the uncertainty that remained in April dominated the markets the Trust
trades and led to another positive month. While corporate earnings looked
stronger, unemployment, overcapacity and the ongoing threat of terrorism still
loomed large over the global financial markets. The US dollar weakened further
against the other major currencies despite the concern expressed by the United
States' trade partners over the impact this would have on global trade. Interest
rates were the best performing sector for the Trust particularly at the long end
of the yield curve, where higher prices reflected lower rates. Currency cross
rates were also positive, while losses in the energy, stock index, agricultural
and currency sectors offset some of those gains.

With a small negative result for June, the Trust finished the first half of 2003
with a solid double-digit return. Profits for the month were earned in the
currency sector while long-term interest rates lost value as yield curves
steepened, particularly the Japanese government bond. Short-term interest rates
and stock index sectors contributed modest gains for the month, while the
energy, metals, agriculturals and currency cross-rates contributed small losses.
While the global economy was looking better than it had for several years, many
substantive uncertainties remained.

The Trust's performance for July was negative due to significant price reversals
in the Trust's largest positions. The U.S. Dollar's strong rally caused losses
in the Trust's currency and cross rate sectors. In addition, the sudden sharp
sell-off in long-term bonds resulted in losses in the Trust's long positions.
These losses were partially offset by gains in the Trust's long equity index
positions as investor confidence grew in the economic recovery and the potential
for improved growth.

The stock indices sector was the best performing sector for the month of August
as the U.S. equity markets posted their sixth straight month of gains. Much of
this was attributed to improving consumer

                                      -18-
<PAGE>

confidence, federal tax cuts and increased defense spending. The energy sector
contributed positive returns as crude oil remained above the thirty-dollar level
on continuing supply concerns. Also, the Trust's short positions in the Japanese
Government Bond provided a significant portion of the month's gains.

In September, the currency sector was the only significantly positive sector as
short U.S. Dollar positions benefited from continued weakness in the U.S.
Dollar. After showing positive returns for most of the month, sudden reversals
in the fixed income, equity and energy markets washed out the gains in the
currency sector and put the Trust's portfolio into negative territory late in
the month. The Trust finished the 3rd quarter with a negative return, but was
positive year-to-date.

OFF-BALANCE SHEET RISK

The term "off-balance sheet risk" refers to an unrecorded potential liability
that, even though it does not appear on the balance sheet, may result in future
obligation or loss. The Trust trades in futures and forward contracts and is
therefore a party to financial instruments with elements of off-balance sheet
market and credit risk. In entering into these contracts there exists a risk to
the Trust, market risk, that such contracts may be significantly influenced by
market conditions, such as interest rate volatility, resulting in such contracts
being less valuable. If the markets should move against all of the futures
interests positions of the Trust at the same time, and if the Trust's trading
advisor was unable to offset futures interests positions of the Trust, the Trust
could lose all of its assets and the Unitholders would realize a 100% loss.
Campbell & Company, Inc., the managing operator (who also acts as trading
advisor), minimizes market risk through real-time monitoring of open positions,
diversification of the portfolio and maintenance of a margin-to-equity ratio
that rarely exceeds 30%.

In addition to market risk, in entering into futures and forward contracts there
is a credit risk that a counterparty will not be able to meet its obligations to
the Trust. The counterparty for futures contracts traded in the United States
and on most foreign exchanges is the clearinghouse associated with such
exchange. In general, clearinghouses are backed by the corporate members of the
clearinghouse who are required to share any financial burden resulting from the
non-performance by one of their members and, as such, should significantly
reduce this credit risk. In cases where the clearinghouse is not backed by the
clearing members, like some foreign exchanges, it is normally backed by a
consortium of banks or other financial institutions.

In the case of forward contracts, which are traded on the interbank market
rather than on exchanges, the counterparty is generally a single bank or other
financial institution, rather than a group of financial institutions; thus there
may be a greater counterparty credit risk. Campbell & Company trades for the
Trust only with those counterparties which it believes to be creditworthy. All
positions of the Trust are valued each day on a mark-to-market basis. There can
be no assurance that any clearing member, clearinghouse or other counterparty
will be able to meet its obligations to the Trust.

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

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

                                      -19-
<PAGE>

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

INTRODUCTION

Past Results Not Necessarily Indicative of Future Performance

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

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

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

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

Standard of Materiality

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

QUANTIFYING THE TRUST'S TRADING VALUE AT RISK

Quantitative Forward-Looking Statements

      The following quantitative disclosures regarding the Trust's market risk
exposures contain "forward-looking statements" within the meaning of the safe
harbor from civil liability provided for such statements by the Private
Securities Litigation Reform Act of 1995 (set forth in Section 27A of the
Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934).
All quantitative

                                      -20-
<PAGE>

disclosures in this section are deemed to be forward-looking statements for
purposes of the safe harbor, except for statements of historical fact (such as
the dollar amount of maintenance margin required for market risk sensitive
instruments held at the end of the reporting period).

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

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

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

      In the case of contracts denominated in foreign currencies, the Value at
Risk figures include foreign margin amounts converted into U.S. Dollars with an
incremental adjustment to reflect the exchange rate risk inherent to the
Dollar-based Trust in expressing Value at Risk in a functional currency other
than Dollars.

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

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

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

      The following tables indicate the trading Value at Risk associated with
the Trust's open positions by market category as of September 30, 2004 and
December 31, 2003 and the trading gains/losses by market category for the nine
months ended September 30, 2004 and the year ended December 31, 2003. All open
position trading risk exposures of the Trust have been included in calculating
the figures set forth below. As of September 30, 2004 and December 31, 2003, the
Trust's total capitalization was approximately $571.6 million and $351.6
million, respectively.

                                      -21-
<PAGE>

                               SEPTEMBER 30, 2004

<TABLE>
<CAPTION>
                                  % OF TOTAL                TRADING
MARKET SECTOR   VALUE AT RISK    CAPITALIZATION           GAIN/(LOSS)*
-------------   -------------    --------------           ------------
<S>             <C>              <C>                      <C>
Currencies      $ 20,042,000         3.51%                   0.60%
Interest Rates  $ 17,210,000         3.01%                   7.86%
Stock Indices   $  8,801,000         1.54%                  (4.34)%
Metals          $  1,288,000         0.22%                  (0.33)%
Energy          $    793,000         0.14%                   1.39%
Agriculture     $    395,000         0.07%                   0.43%
                ------------         ----                    ----

   Total        $ 48,529,000         8.49%                   5.61%
                ============         ====                    ====
</TABLE>

* - Of the 0.32% return for the nine months ended September 30, 2004,
approximately 5.61% was due to trading gains (before commissions), approximately
0.80% was due interest income offset by approximately 6.09% due to brokerage
fees, management fees, performance fees and operating costs borne by the Trust.

                                DECEMBER 31, 2003

<TABLE>
<CAPTION>
                                  % OF TOTAL                TRADING
MARKET SECTOR   VALUE AT RISK    CAPITALIZATION           GAIN/(LOSS)*
-------------   -------------    --------------           ------------
<S>             <C>              <C>                      <C>
Currencies      $ 16,132,000         4.59%                  25.81%
Interest Rates  $ 14,105,000         4.01%                  (3.35)%
Stock Indices   $ 13,538,000         3.85%                   5.76%
Energy          $  3,455,000         0.98%                  (1.68)%
Metals          $     94,000         0.03%                  (0.30)%
Agriculture     $     75,000         0.02%                  (1.11)%
                ------------        -----                   -----

   Total        $ 47,399,000        13.48%                  25.13%
                ============        =====                   =====
</TABLE>

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

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

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

                                      -22-
<PAGE>

NON-TRADING RISK

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

QUALITATIVE DISCLOSURES REGARDING PRIMARY TRADING RISK EXPOSURES

      The following qualitative disclosures regarding the Trust's market risk
exposures -- except for (i) those disclosures that are statements of historical
fact and (ii) the descriptions of how the Trust manages its primary market risk
exposures -- constitute forward-looking statements within the meaning of Section
27A of the Securities Act of 1933, as amended (the "Securities Act of 1933") and
Section 21E of the Securities Exchange Act of 1934, as amended (the "Securities
Exchange Act of 1934"). 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.

      The following were the primary trading risk exposures of the Trust as of
September 30, 2004, by market sector.

Currencies

      Exchange rate risk is a significant market exposure of the Trust. The
Trust's currency exposure is to exchange rate fluctuations, primarily
fluctuations which disrupt the historical pricing relationships between
different currencies and currency pairs. These fluctuations are influenced by
interest rate changes as well as political and general economic conditions. The
Trust trades in a large number of currencies, including cross-rates -- i.e.,
positions between two currencies other than the U.S. Dollar.

Interest Rates

      Interest rate risk is a significant market exposure of the Trust. Interest
rate movements directly affect the price of the sovereign bond positions held by
the Trust and indirectly the value of its stock index and currency positions.
Interest rate movements in one country as well as relative interest rate
movements between countries materially impact the Trust's profitability. The
Trust's primary interest rate exposure is to interest rate fluctuations in the
United States and the other G-7 countries. Additionally, the Trust takes
positions in the government debt of Switzerland and Australia. Campbell &
Company anticipates that these interest rates will remain the primary market

                                      -23-
<PAGE>

exposure of the Trust for the foreseeable future. A material change in long-term
or short-term interest rates could have a significant effect on the performance
of the Fund.

Stock Indices

      The Trust's primary equity exposure is to equity price risk in the G-7
countries and several other countries (Hong Kong, Spain and Taiwan). The stock
index futures traded by the Trust are limited to futures on broadly based
indices. As of September 30, 2004, the Trust's primary exposures were in the As
of September 30, 2004, the Fund's primary exposures were in the Euro STOXX 50
(Europe), DAX (Germany), Hang Seng (Hong Kong), S&P 500 (USA) and Nikkei (Japan)
stock indices. The Trust is primarily exposed to the risk of adverse price
trends or static markets in the major U.S., European and Japanese indices.
(Static markets would not cause major market changes but would make it difficult
for the Trust to avoid being "whipsawed" into numerous small losses.)

Energy

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

Metals

      The Trust's metals market exposure is to fluctuations in the price of
aluminum, copper, gold, nickel and zinc. The risk allocation to the metal sector
has not exceeded 3% of the Trust's portfolio during the nine months ended
September 30, 2004.

Agricultural

      The Trust's agricultural exposure is to wheat, corn, coffee and cotton.
The risk allocation to the agricultural sector has not exceeded 3% of the
Trust's portfolio during the nine months ended September 30, 2004.

QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE

      The following were the only non-trading risk exposures of the Trust as of
September 30, 2004.

Foreign Currency Balances

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

Treasury Bill Positions

                                      -24-
<PAGE>

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

QUALITATIVE DISCLOSURES REGARDING MEANS OF MANAGING RISK EXPOSURE

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

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

GENERAL

      The Trust is unaware of any (i) anticipated known demands, commitments or
capital expenditures; (ii) material trends, favorable or unfavorable, in its
capital resources; or (iii) trends or uncertainties that will have a material
effect on operations. From time to time, certain regulatory agencies have
proposed increased margin requirements on futures contracts. Because the Trust
generally will use a small percentage of assets as margin, the Trust does not
believe that any increase in margin requirements, as proposed, will have a
material effect on the Trust's operations.

ITEM 4. CONTROLS AND PROCEDURES

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

                                      -25-
<PAGE>

                            PART II-OTHER INFORMATION

Item 1.             Legal Proceedings.

                    None

Item 2.             Unregistered Sales of Equity Securities and Use of Proceeds

                    a)  During the nine months ended September 30, 2004 and
                        2003, the Trust sold equity securities in the Trust
                        ("Units of Beneficial Interest") to existing and new
                        unitholders of the Trust in transactions that were not
                        registered under the Securities Act of 1933, as amended
                        (the "Securities Act"). The aggregate consideration for
                        Units of Beneficial Interest sold during the nine months
                        ended September 30, 2004 and 2003 were $250,962,064 and
                        $145,253,279, respectively, in cash. The Units of
                        Beneficial Interest were issued by the Trust in reliance
                        upon an exemption from registration under the Securities
                        Act set forth in Section 4(2) of the Securities Act, as
                        transactions not constituting a public offering of
                        securities because the Units of Beneficial Interest were
                        issued privately without general solicitation or
                        advertising. In connection with the sales of the Units
                        of Beneficial Interest described above, there were no
                        underwriting discounts or commissions.

Item 3.             Defaults Upon Senior Securities

                    Not applicable.

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

                    None

Item 5.             Other Information

                    None

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

                    (a)   Exhibits

<TABLE>
<CAPTION>
Exhibit
Number                       Description of Document
------                       -----------------------
<S>          <C>
31.01        Certification of Bruce L. Cleland, Chief Executive Officer, pursuant to
             Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.

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

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

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

                    (b)   Reports on Form 8-K

                          A report on Form 8-K was filed on November 4, 2004 to
                          report Unregistered Sales of Equity Securities on
                          October 1, 2004 and November 1, 2004.

                                      -26-
<PAGE>

                                   SIGNATURES

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

                                  THE CAMPBELL FUND TRUST
                                  (Registrant)

                                            By: Campbell & Company, Inc.
                                                Managing Operator

Date: November 12, 2004                     By:  /s/ Theresa D. Becks
                                                -----------------------------
                                                Theresa D. Becks
                                                Chief Financial Officer/
                                                Treasurer/Director

                                      -27-
<PAGE>

                                  EXHIBIT INDEX

<TABLE>
<CAPTION>
Exhibit Number             Description of Document                              Page Number
--------------             -----------------------                              -----------
<S>                        <C>                                                  <C>
31.01                      Certification by Chief Executive Officer             E 2 - E 3
31.02                      Certification by Chief Financial Officer             E 4 - E 5
32.01                      Certification by Chief Executive Officer                 E 6
32.02                      Certification by Chief Financial Officer                 E 7
</TABLE>

                                      E 1