##### 



UNITED STATES SECURITIES AND EXCHANGE COMMISSION
 WASHINGTON, D.C. 20549
 FORM 10-Q
 þ
    
    Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
 For the quarterly period ended March 31, 2006
 or
 o
    
    Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
 For the transition period from  to
 Commission File number: 0-50264
 THE CAMPBELL FUND TRUST
  Delaware
    
    94-6260018(State of Organization)
    
    (IRS Employer Identification Number)
 Baltimore, Maryland 21204
 (410) 296-3301
 þ o
  Large accelerate filer o
    
    Accelerated filer o
    
    Non-accelerated filer þ
 þ o
 28




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##### 



PagePART I  FINANCIAL INFORMATIONItem 1. Financial StatementsStatements of Financial Condition as of March 31, 2006 (Unaudited)
and December 31, 2005(Audited)
    
    
    3Condensed Schedules of Investments as of March 31, 2006 (Unaudited)
and December 31, 2005 (Audited)
    
    
    4-5Statements of Operations for the Three Months Ended
March 31, 2006 and 2005 (Unaudited)
    
    
    6Statements of Cash Flows for the Three Months Ended
March 31, 2006 and 2005 (Unaudited)
    
    
    7Statements of Changes in Unitholders Capital (Net Asset Value)
for the Three Months Ended March 31, 2006 and 2005 (Unaudited)
    
    
    8Notes to Financial Statements (Unaudited)
    
    
    9-14Item 2. Managements Discussion and Analysis of Financial Condition and
Results of Operations
    
    
    15-19Item 3. Quantitative and Qualitative Disclosure About Market Risk
    
    
    20-25Item 4. Controls and Procedures
    
    
    26PART II  OTHER INFORMATION
    
    
    27Item 6. Exhibits and Reports on Form 8-K
    
    
    27SIGNATURESCERTIFICATIONS




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##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF FINANCIAL CONDITION
 March 31,
    
    
    December 31,2006
    
    
    2005ASSETSEquity in broker trading accounts
Cash
    
    $
    38,661,573
    
    
    $
    28,167,051United States government securities
    
    
    609,835,171
    
    
    
    480,021,830Net unrealized gain (loss) on open futures contracts
    
    
    26,898,699
    
    
    
    (2,223,857
    )Total equity in broker trading accounts
    
    
    675,395,443
    
    
    
    505,965,024Cash and cash equivalents
    
    
    167,875,997
    
    
    
    258,339,749United States government securities
    
    
    347,510,090
    
    
    
    273,355,666Net unrealized gain (loss) on open forward currency contracts
    
    
    10,586,326
    
    
    
    (31,744,009
    )Total assets
    
    $
    1,201,367,856
    
    
    $
    1,005,916,430LIABILITIESAccounts payable
    
    $
    77,395
    
    
    $
    112,361Commissions and other trading fees
on open contracts
    
    
    149,520
    
    
    
    156,266Options written, at fair value (premiums received  $186,787)
    
    
    89,701
    
    
    
    0Management fee
    
    
    3,690,395
    
    
    
    3,143,094Performance fee
    
    
    8,557,514
    
    
    
    2,829,826Redemptions payable
    
    
    4,499,867
    
    
    
    2,257,332Subscription deposits
    
    
    277,392
    
    
    
    1,300,000Prepaid subscriptions
    
    
    93,655,394
    
    
    
    61,419,664Total liabilities
    
    
    110,997,178
    
    
    
    71,218,543UNITHOLDERS CAPITAL (Net Asset Value)Managing
Operator  20.360 units outstanding
at March 31, 2006 and December 31, 2005
    
    
    57,331
    
    
    
    54,934Other
Unitholders  387,203.991 and 346,403.516
units outstanding at March 31 2006 and
December 31, 2005
    
    
    1,090,313,347
    
    
    
    934,642,953Total unitholders capital
(Net Asset Value)
    
    
    1,090,370,678
    
    
    
    934,697,887Total liabilities and unitholders capital (Net Asset Value)
    
    $
    1,201,367,856
    
    
    $
    1,005,916,430
  - 3 -




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##### 



THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
 UNITED STATES GOVERNMENT SECURITIES*
 Maturity
    
    
    
    
    
    
    
    
    % of NetFace Value
    
    
    Date
    
    
    Description
    
    Value
    
    
    Asset Value$
    375,000,000
    
    
    
    06/08/2006
    
    
    U.S. Treasury Bills
    
    $
    371,842,604
    
    
    
    34.10
    %$
    175,000,000
    
    
    
    05/18/2006
    
    
    U.S. Treasury Bills
    
    
    173,990,153
    
    
    
    15.96
    %$
    144,000,000
    
    
    
    05/25/2006
    
    
    U.S. Treasury Bills
    
    
    143,038,800
    
    
    
    13.12
    %$
    140,000,000
    
    
    
    06/22/2006
    
    
    U.S. Treasury Bills
    
    
    138,547,461
    
    
    
    12.70
    %$
    130,000,000
    
    
    
    04/06/2006
    
    
    U.S. Treasury Bills
    
    
    129,926,243
    
    
    
    11.92
    %Total United States government securities
(cost, including accrued interest,  $957,345,261)
    
    $
    957,345,261
    
    
    
    87.80
    %LONG FUTURES CONTRACTS% of NetDescription
    
    Value
    
    Asset ValueEnergy
    
    $
    5,808,779
    
    
    
    0.53
    %Metals
    
    
    7,083,177
    
    
    
    0.65
    %Stock indices
    
    
    5,873,513
    
    
    
    0.54
    %Short-term interest rates
    
    
    (46,715
    )
    
    
    (0.00
    )%Long-term interest rates
    
    
    (2,862,470
    )
    
    
    (0.26
    )%Total long futures contracts
    
    $
    15,856,284
    
    
    
    1.46
    %SHORT FUTURES CONTRACTS% of NetDescription
    
    Value
    
    Asset ValueAgriculture
    
    $
    2,040
    
    
    
    0.00
    %Energy
    
    
    (24,000
    )
    
    
    (0.00
    )%Metals
    
    
    (319,641
    )
    
    
    (0.03
    )%Stock indices
    
    
    (4,856
    )
    
    
    (0.00
    )%Short-term interest rates
    
    
    8,342,502
    
    
    
    0.76
    %Long-term interest rates
    
    
    3,046,370
    
    
    
    0.28
    %Total short futures contracts
    
    $
    11,042,415
    
    
    
    1.01
    %Total futures contracts
    
    $
    26,898,699
    
    
    
    2.47
    %FORWARD CURRENCY CONTRACTS% of NetDescription
    
    Value
    
    Asset ValueVarious long forward currency contracts
    
    $
    (22,251,241
    )
    
    
    (2.04
    )%Various short forward currency contracts
    
    
    32,837,567
    
    
    
    3.01
    %Total forward currency contracts
    
    $
    10,586,326
    
    
    
    0.97
    %WRITTEN OPTIONS ON FORWARD CONTRACTS% of NetDescription
    
    Value
    
    Asset ValueWritten options on forward currency contracts
(premiums received  $186,787)
    
    $
    (89,701
    )
    
    
    (0.01
    )%
 
   - 4 -




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##### 



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




---



##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF OPERATIONS
 Three Months EndedMarch 31,2006
    
    
    2005TRADING GAINS (LOSSES)Futures trading gainsRealized
    
    $
    16,117,908
    
    
    $
    4,513,602Change in unrealized
    
    
    29,122,556
    
    
    
    4,381,052Brokerage commissions
    
    
    (485,430
    )
    
    
    (499,051
    )Net gain from futures trading
    
    
    44,755,034
    
    
    
    8,395,603Forward currency and options on forward currency
trading gains (losses)Realized
    
    
    (33,752,826
    )
    
    
    (31,305,230
    )Change in unrealized
    
    
    42,427,421
    
    
    
    4,336,244Brokerage commissions
    
    
    (91,230
    )
    
    
    (64,624
    )Net gain (loss) from forward currency and options on
forward currency trading
    
    
    8,583,365
    
    
    
    (27,033,610
    )Total net trading gains (losses)
    
    
    53,338,399
    
    
    
    (18,638,007
    )EXPENSES NET OF INTEREST INCOMEIncomeInterest income
    
    
    10,918,442
    
    
    
    4,039,445ExpensesManagement fee
    
    
    10,554,280
    
    
    
    6,871,644Performance fee
    
    
    8,574,956
    
    
    
    0Operating expenses
    
    
    46,490
    
    
    
    39,397Total expenses
    
    
    19,175,726
    
    
    
    6,911,041Expenses net of interest income
    
    
    (8,257,284
    )
    
    
    (2,871,596
    )NET INCOME (LOSS)
    
    $
    45,081,115
    
    
    $
    (21,509,603
    )NET INCOME (LOSS) PER MANAGING OPERATOR
AND OTHER UNITHOLDERS UNIT(based on weighted average number of
units outstanding during the period)
    
    $
    118.88
    
    
    $
    (73.52
    )INCREASE (DECREASE) IN NET ASSET VALUE PER
MANAGING OPERATOR AND OTHER
UNITHOLDERS UNIT
    
    $
    117.73
    
    
    $
    (74.85
    )
  - 6 -




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##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF CASH FLOWS
 Three Months EndedMarch 31,2006
    
    
    2005Cash flows from (for) operating activitiesNet income (loss)
    
    $
    45,081,115
    
    
    $
    (21,509,603
    )Adjustments to reconcile net income (loss) to net
cash (for) operating activitiesNet change in unrealized
    
    
    (71,549,977
    )
    
    
    (8,717,296
    )Change in options written
    
    
    186,787
    
    
    
    0Increase in accounts payable and accrued expenses
    
    
    6,233,277
    
    
    
    137,158Net (purchases) of investments in United States
government securities
    
    
    (203,967,765
    )
    
    
    (32,286,802
    )Net cash (for) operating activities
    
    
    (224,016,563
    )
    
    
    (62,376,543
    )Cash flows from (for) financing activitiesAddition of units
    
    
    153,928,165
    
    
    
    60,348,469Increase (decrease) in subscription deposits
    
    
    (1,022,608
    )
    
    
    500,000Redemption of units
    
    
    (8,858,224
    )
    
    
    (11,916,062
    )Net cash from financing activities
    
    
    144,047,333
    
    
    
    48,932,407Net (decrease) in cash
    
    
    (79,969,230
    )
    
    
    (13,444,136
    )Cash and cash equivalentsBeginning of period
    
    
    286,506,800
    
    
    
    159,026,322End of period
    
    $
    206,537,570
    
    
    $
    145,582,186End of period cash and cash equivalents consists of:Cash in broker trading accounts
    
    $
    38,661,573
    
    
    $
    17,328,114Cash and cash equivalents
    
    
    167,875,997
    
    
    
    128,254,072Total end of period cash
    
    $
    206,537,570
    
    
    $
    145,582,186
  - 7 -




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##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS CAPITAL (NET ASSET VALUE)
 Unitholders CapitalManaging Operator
    
    
    Other Unitholders
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountThree Months Ended March 31, 2006Balances at
December 31, 2005
    
    
    20.360
    
    
    $
    54,934
    
    
    
    346,403.516
    
    
    $
    934,642,953
    
    
    
    346,423.876
    
    
    $
    934,697,887Net income for the three months
ended March 31, 2006
    
    
    
    
    
    
    2,397
    
    
    
    
    
    
    
    45,078,718
    
    
    
    
    
    
    
    45,081,115Additions
    
    
    0.000
    
    
    
    0
    
    
    
    44,807.692
    
    
    
    121,692,435
    
    
    
    44,807.692
    
    
    
    121,692,435Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (4,007.217
    )
    
    
    (11,100,759
    )
    
    
    (4,007.217
    )
    
    
    (11,100,759
    )Balances at
March 31, 2006
    
    
    20.360
    
    
    $
    57,331
    
    
    
    387,203.991
    
    
    $
    1,090,313,347
    
    
    
    387,224.351
    
    
    $
    1,090,370,678Three Months Ended March 31, 2005Balances at
December 31, 2004
    
    
    20.360
    
    
    $
    49,064
    
    
    
    269,068.569
    
    
    $
    648,402,290
    
    
    
    269,088.929
    
    
    $
    648,451,354Net (loss) for the three months
ended March 31, 2005
    
    
    
    
    
    
    (1,524
    )
    
    
    
    
    
    
    (21,508,079
    )
    
    
    
    
    
    
    (21,509,603
    )Additions
    
    
    0.000
    
    
    
    0
    
    
    
    34,632.025
    
    
    
    82,450,398
    
    
    
    34,632.025
    
    
    
    82,450,398Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (5,009.364
    )
    
    
    (11,916,062
    )
    
    
    (5,009.364
    )
    
    
    (11,916,062
    )Balances at
March 31, 2005
    
    
    20.360
    
    
    $
    47,540
    
    
    
    298,691.230
    
    
    $
    697,428,547
    
    
    
    298,711.590
    
    
    $
    697,476,087
 Net Asset Value per Managing Owner and Other Unitholders UnitMarch 31,
    
    December 31,
    
    March 31,
    
    December 31,2006
    
    2005
    
    2005
    
    2004$
    2,815.86
    
    
    $
    2,698.13
    
    
    $
    2,334.95
    
    
    $
    2,409.80
  - 8 -




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##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
 Note 1.
    
    ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
 A.
    
    General Description of the TrustThe Campbell Fund Trust (the Trust) is a Delaware statutory trust which operates as a
commodity investment pool. The Trust engages in the speculative trading of futures
contracts and forward currency contracts.B.
    
    RegulationThe Trust is a registrant with the Securities and Exchange Commission (SEC) pursuant
to the Securities Exchange Act of 1934 (the Act). As a registrant, the Trust is
subject to the regulations of the SEC and the informational requirements of the Act.
As a commodity investment pool, the Trust is subject to the regulations of the
Commodity Futures Trading Commission, an agency of the United States (U.S.)
government which regulates most aspects of the commodity futures industry; rules of
the National Futures Association, an industry self-regulatory organization; and the
requirements of the various commodity exchanges where the Trust executes
transactions. Additionally, the Trust is subject to the requirements of futures
commission merchants (brokers) and interbank market makers through which the Trust
trades.C.
    
    Method of ReportingThe Trusts financial statements are presented in accordance with accounting
principles generally accepted in the United States of America, which may require the
use of certain estimates made by the Trusts management. Actual results may differ
from these estimates. Investment transactions are accounted for on the trade date.
Gains or losses are realized when contracts are liquidated. Unrealized gains and
losses on open contracts (the difference between contract trade price and market
price) are reported in the statement of financial condition as a net gain or loss, as
there exists a right of offset of unrealized gains or losses in accordance with
Financial Accounting Standards Board Interpretation No. 39  Offsetting of Amounts
Related to Certain Contracts. The market value of futures (exchange-traded)
contracts is determined by the various futures exchanges, and reflects the settlement
price for each contract as of the close of the last business day of the reporting
period. The market value of forward currency (non-exchange traded) contracts is
extrapolated on a forward basis from the spot prices quoted as of 5:00 P.M. (E.T.) of
the last business day of the reporting period. The market value of option
(non-exchange traded) contracts is calculated by applying an industry-standard
adaptation of the Black-Scholes options valuation model to foreign currency options,
using as input, the spot prices, interest rates and option implied volatilities
quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period. Any
change in net unrealized gain or loss from the preceding period is reported in the
statement of operations. Brokerage commissions include other trading fees and are
charged to expense when contracts are opened. United States government securities
are stated at cost plus accrued interest, which approximates market value.For purposes of both financial reporting and calculation of redemption value, Net
Asset Value per unit is calculated by dividing Net Asset Value by the number of units
outstanding.
 - 9 -




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##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 1.
    
    ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 D.
    
    Cash and Cash EquivalentsCash and cash equivalents includes cash and short-term time deposits held at financial
institutions.E.
    
    Income TaxesThe Trust prepares calendar year U.S. and applicable state information tax returns
and reports to the unitholders their allocable shares of the Trusts income, expenses
and trading gains or losses. No provision for income taxes has been made in the
accompanying financial statements as each unitholder is individually responsible for
reporting income or loss based on such unitholders respective share of the Trusts
income and expenses as reported for income tax purposes.F.
    
    Foreign Currency TransactionsThe Trusts functional currency is the U.S. dollar; however, it transacts business in
currencies other than the U.S. dollar. Assets and liabilities denominated in
currencies other than the U.S. dollar are translated into U.S. dollars at the rates
in effect at the date of the statement of financial condition. Income and expense
items denominated in currencies other than the U.S. dollar are translated into U.S.
dollars at the rates in effect during the period. Gains and losses resulting from
the translation to U.S. dollars are reported in income.H.
    
    ReclassificationCertain amounts in the 2005 financial statements were reclassified to conform with
the 2006 presentation.
 Note 2.
    
    MANAGING OPERATOR AND COMMODITY TRADING ADVISOR
   Note 3.
    
    TRUSTEE
  - 10 -




---



##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 4.
    
    DEPOSITS WITH BROKER
  Note 5.
    
    SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
  Note 6.
    
    TRADING ACTIVITIES AND RELATED RISKS
     - 11 -




---



##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 6.
    
    TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
    Futures Contracts
    
    
    Forward Currency and Options on Forward(exchange traded)
    
    
    Currency Contracts (non-exchange traded)March 31,
    
    
    December 31,
    
    
    March 31,
    
    
    December 31,2006
    
    
    2005
    
    
    2006
    
    
    2005Gross unrealized gains
    
    $
    30,566,988
    
    
    $
    14,087,349
    
    
    $
    52,395,595
    
    
    $
    23,965,693Gross unrealized losses
    
    
    (3,668,289
    )
    
    
    (16,311,206
    )
    
    
    (41,712,183
    )
    
    
    (55,709,702
    )Net unrealized gain (loss)
    
    $
    26,898,699
    
    
    $
    (2,223,857
    )
    
    $
    10,683,412
    
    
    $
    (31,744,009
    )
   Note 7.
    
    INDEMNIFICATIONS
  - 12 -




---



##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 8.
    
    INTERIM FINANCIAL STATEMENTS
  - 13 -




---



##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 9.
    
    FINANCIAL HIGHLIGHTS
  Three months endedMarch 31,2006
    
    
    2005(Unaudited)
    
    
    (Unaudited)Per Unit Performance(for a unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    2,698.13
    
    
    $
    2,409.80Income (loss) from operations:Total net trading gains (losses) (1)
    
    
    139.50
    
    
    
    (65.04
    )Expenses net of interest income (1)
    
    
    (21.77
    )
    
    
    (9.81
    )Total net income (loss) from operations
    
    
    117.73
    
    
    
    (74.85
    )Net asset value per unit at end of period
    
    $
    2,815.86
    
    
    $
    2,334.95Total Return(3)
    
    
    4.36
    %
    
    
    (3.11
    )%Supplemental DataRatios to average net asset value:Expenses prior to performance fee (4)
    
    
    4.05
    %
    
    
    3.99
    %Performance fee (3)
    
    
    0.82
    %
    
    
    0.00
    %Total expenses
    
    
    4.87
    %
    
    
    3.99
    %Expenses, prior to performance fee,
net of interest income (2), (4)
    
    
    (0.12
    )%
    
    
    1.66
    %
 Total returns are calculated based on the change in value of a unit during the period.
An individual unitholders total returns and ratios may vary from the above total returns
and ratios based on the timing of additions and redemptions.
 
 (1)
    
    Expenses net of interest income per unit is calculated by dividing the
expenses net of interest income by the average number of units outstanding during the
period. Total trading gains (losses) is a balancing amount necessary to reconcile the
change in net asset value per unit with the other per unit information.(2)
    
    Excludes performance fee.(3)
    
    Not annualized.(4)
    
    Annualized. - 14 -




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




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i.e.
   Results of Operations
  - 16 -




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2006
  Sector
    
    % Gain (Loss)Stock Indices
    
    
    2.88
    %Metals
    
    
    0.94Currencies
    
    
    0.66Interest Rates
    
    
    0.65Energy
    
    
    0.18Agriculture
    
    
    (0.11
    )5.20
    %
    - 17 -




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2005
  Sector
    
    % Gain (Loss)Energy
    
    
    1.89
    %Interest Rates
    
    
    0.32Metals
    
    
    0.22Agriculture
    
    
    0.00Stock Indices
    
    
    (1.17
    )Currencies
    
    
    (3.87
    )(2.61
    )%
    - 18 -




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




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Item 3.
    
    Quantitative and Qualitative Disclosures About Market Risk
 Introduction
 Past Results Not Necessarily Indicative of Future Performance
    Standard of Materiality
  Quantifying the Trusts Trading Value at Risk
 Quantitative Forward-Looking Statements
 The following quantitative disclosures regarding the Trusts market risk exposures
contain forward-looking statements within the meaning of the safe harbor from civil
liability provided for such statements by the Private Securities Litigation Reform Act of 1995
(set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities
Exchange Act of 1934). All quantitative disclosures in this section are deemed to be
forward-looking statements for purposes of the safe harbor, except for statements of
historical fact (such as the dollar amount of maintenance margin required for market risk
sensitive instruments held at the end of the reporting period).
  - 20 -




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




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March 31, 2006TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    1.22
    %
    
    
    0.66
    %Energy
    
    
    0.74
    %
    
    
    0.18
    %Stock Indices
    
    
    0.53
    %
    
    
    2.88
    %Short-Term Interest Rates
    
    
    0.37
    %
    
    
    1.56
    %Long-Term Interest Rates
    
    
    0.16
    %
    
    
    (0.91
    )%Agricultural / Metals
    
    
    0.14
    %
    
    
    0.83
    %Aggregate/Total
    
    
    1.67
    %
    
    
    5.20
    %
 
 * 
 ** 
 December 31, 2005TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    1.48
    %
    
    
    6.06
    %Long-Term Interest Rates
    
    
    0.79
    %
    
    
    2.14
    %Energy
    
    
    0.63
    %
    
    
    3.37
    %Short-Term Interest Rates
    
    
    0.58
    %
    
    
    4.63
    %Stock Indices
    
    
    0.39
    %
    
    
    (2.93
    )%Agricultural / Metals
    
    
    0.06
    %
    
    
    0.74
    %Aggregate/Total
    
    
    2.44
    %
    
    
    14.01
    %
 
 * 
 ** 
 - 22 -




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Material Limitations on Value at Risk as an Assessment of Market Risk
  1)
    
    Past changes in market risk factors will not always result in accurate predictions of
the distributions and correlations of future market movements;2)
    
    Changes in portfolio value caused by market movements may differ from those of the VaR
model;3)
    
    VaR results reflect past trading positions while future risk depends on future
positions;4)
    
    VaR using a one day time horizon does not fully capture the market risk of positions
that cannot be liquidated or hedged within one day; and5)
    
    The historical market risk factor data for VaR estimation may provide only limited
insight into losses that could be incurred under certain unusual market movements.
  Non-Trading Risk
  Qualitative Disclosures Regarding Primary Trading Risk Exposures
 The following qualitative disclosures regarding the Trusts market risk exposures 
except for (i) those disclosures that are statements of historical fact and (ii) the
descriptions of how the Trust manages its primary market risk exposures  constitute
forward-looking statements within the meaning of Section 27A of the Securities Act and Section
21E of the Securities Exchange Act. The Trusts primary market risk exposures as well as the
strategies used and to be used by Campbell & Company for managing such exposures are subject
to numerous uncertainties, contingencies and risks, any one of which could cause the actual
results of the Trusts risk controls to differ materially from the objectives of such
strategies. Government interventions, defaults and expropriations, illiquid markets, the
emergence of dominant fundamental factors, political upheavals, changes in historical price
relationships, an influx of new market participants, increased regulation and many other
factors could result in material losses as well as in material changes to the risk exposures
and the risk management strategies of the Trust. There can be no assurance that the Trusts
current market exposure and/or risk management strategies will not change materially or that
any such strategies will be effective in either the short- or long-term. Investors must be
prepared to lose all or substantially all of their investment in the Trust.
  - 23 -




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Currencies
 i.e.,
 Interest Rates
  Stock Indices
  Energy
  Metals
  Agricultural
  - 24 -




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




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Item 4.
    
    Controls and Procedures
  - 26 -




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PART II-OTHER INFORMATION
 Item 1. Legal Proceedings.
  Item 2. Changes in Securities and Use of Proceeds
  Item 3. Defaults Upon Senior Securities
  Item 4. Submissions of Matters to a vote of Security Holders.
  Item 5. Other Information
  Item 6. Exhibits and Reports on Form 8-K.
  ExhibitNumber
    
    Description of Document31.01
    
    Certification of Bruce L. Cleland, Chief Executive Officer, pursuant to
Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.31.02
    
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.32.01
    
    Certification of Bruce L. Cleland, Chief Executive Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.32.02
    
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.
   - 27 -




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SIGNATURES
  THE CAMPBELL FUND TRUST(Registrant)By:
    
    Campbell & Company, Inc.Managing OperatorDate: May 15, 2006
    
    
    
    By:
    
    /s/ Theresa D. BecksTheresa D. BecksChief Financial Officer/Treasurer/Director
 - 28 -




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EXHIBIT INDEX
 Exhibit Number
    
    Description of Document
    
    Page Number31.01
    
    Certification by Chief Executive Officer
    
    E 2 - E 331.02
    
    Certification by Chief Financial Officer
    
    E 4 - E 532.01
    
    Certification by Chief Executive Officer
    
    E 632.02
    
    Certification by Chief Financial Officer
    
    E 7
 E  1