##### 



UNITED STATES SECURITIES AND EXCHANGE COMMISSION
 WASHINGTON, D.C. 20549
 FORM 10-Q
 þ
    
    Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
 For the quarterly period ended September 30, 2006
  o
    
    Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
 For the transition period from _______________to_______________
 Commission File number: 0-50264
 THE CAMPBELL FUND TRUST
  Delaware
    
    94-6260018(State of Organization)
    
    (IRS Employer Identification Number)
 (Address of principal executive offices, including zip code)
 (Registrants telephone number, including area code)
  þ o
  o o þ
  þ o
 29




---



##### 



PagePART I  FINANCIAL INFORMATIONItem 1.
    
    Financial StatementsStatements of Financial Condition as of September 30, 2006 (Unaudited) and December 31, 2005
    
    
    3Condensed Schedules of Investments as of September 30, 2006 (Unaudited) and December 31, 2005
    
    
    4-5Statements of Operations for the Three Months and Nine Months Ended September 30, 2006 and 2005 (Unaudited)
    
    
    6Statements of Cash Flows for the Nine Months Ended September 30, 2006 and 2005 (Unaudited)
    
    
    7Statements of Changes in Unitholders' Capital (Net Asset Value) for the Nine Months Ended September 30, 2006 and 2005 (Unaudited)
    
    
    8Notes to Financial Statements (Unaudited)
    
    
    9-14Item 2.
    
    Management's Discussion and Analysis of Financial Condition and Results of Operations
    
    
    15-21Item 3.
    
    Quantitative and Qualitative Disclosure About Market Risk
    
    
    22-27Item 4.
    
    Controls and Procedures
    
    
    27PART II  OTHER INFORMATION
    
    
    28Item 6.
    
    Exhibits and Reports on Form 8-K
    
    
    28SIGNATURESCERTIFICATIONS




---



##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF FINANCIAL CONDITION
 
 September 30,
    
    
    December 31,2006
    
    
    2005ASSETSEquity in broker trading accountsCash
    
    $
    55,823,686
    
    
    $
    28,167,051United States government securities
    
    
    675,184,078
    
    
    
    480,021,830Net unrealized (loss) on open futures contracts
    
    
    (9,127,343
    )
    
    
    (2,223,857
    )Total equity in broker trading accounts
    
    
    721,880,421
    
    
    
    505,965,024Cash and cash equivalents
    
    
    16,625,700
    
    
    
    258,339,749United States government securities
    
    
    347,528,486
    
    
    
    273,355,666Net unrealized gain (loss) on open forward currency contracts
    
    
    3,476,965
    
    
    
    (31,744,009
    )Total assets
    
    $
    1,089,511,572
    
    
    $
    1,005,916,430LIABILITIESAccounts payable
    
    $
    95,201
    
    
    $
    112,361Accrued commissions and other trading fees
on open contracts
    
    
    184,289
    
    
    
    156,266Options written, at fair value (premium received  $154,960)
    
    
    118,669
    
    
    
    0Management fee payable
    
    
    3,626,929
    
    
    
    3,143,094Performance fee payable
    
    
    0
    
    
    
    2,829,826Redemptions payable
    
    
    9,743,056
    
    
    
    2,257,332Subscription deposits
    
    
    0
    
    
    
    1,300,000Prepaid subscriptions
    
    
    0
    
    
    
    61,419,664Total liabilities
    
    
    13,768,144
    
    
    
    71,218,543UNITHOLDERS CAPITAL (Net Asset Value)Managing Operator  20.360 units outstanding
at September 30, 2006 and December 31, 2005
    
    
    52,476
    
    
    
    54,934Other Unitholders  417,351.375 and 346,403.516
units outstanding at September 30, 2006 and
December 31, 2005
    
    
    1,075,690,952
    
    
    
    934,642,953Total unitholders capital (Net Asset Value)
    
    
    1,075,743,428
    
    
    
    934,697,887Total liabilities and unitholders capital (Net Asset Value)
    
    $
    1,089,511,572
    
    
    $
    1,005,916,430
  - 3 -




---



##### 



THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
 
 UNITED STATES GOVERNMENT SECURITIES*
 Maturity
    
    
    
    
    
    
    
    
    % of NetFace Value
    
    
    Date
    
    
    Description
    
    Value
    
    
    Asset Value$
    250,000,000
    
    
    
    11/16/2006
    
    
    U.S. Treasury Bills
    
    $
    248,428,333
    
    
    
    23.10
    %$
    200,000,000
    
    
    
    11/24/2006
    
    
    U.S. Treasury Bills
    
    
    198,518,000
    
    
    
    18.45
    %$
    200,000,000
    
    
    
    12/07/2006
    
    
    U.S. Treasury Bills
    
    
    198,198,445
    
    
    
    18.42
    %$
    160,000,000
    
    
    
    10/12/2006
    
    
    U.S. Treasury Bills
    
    
    159,760,933
    
    
    
    14.85
    %$
    120,000,000
    
    
    
    12/21/2006
    
    
    U.S. Treasury Bills
    
    
    118,706,700
    
    
    
    11.04
    %$
    100,000,000
    
    
    
    12/07/2006
    
    
    U.S. Treasury Bills
    
    
    99,100,153
    
    
    
    9.21
    %Total United States government securities(cost, including accrued interest, -  $1,022,712,564)
    
    $
    1,022,712,564
    
    
    
    95.07
    %LONG FUTURES CONTRACTS% of NetDescription
    
    Value
    
    
    Asset ValueAgriculture
    
    $
    10,025
    
    
    
    0.00
    %Energy
    
    
    (17,692,693
    )
    
    
    (1.64
    )%Metals
    
    
    (833,965
    )
    
    
    (0.08
    )%Stock indices
    
    
    8,843,250
    
    
    
    0.82
    %Short-term interest rates
    
    
    (21,566
    )
    
    
    (0.00
    )%Long-term interest rates
    
    
    2,992,428
    
    
    
    0.28
    %Total long futures contracts
    
    $
    (6,702,521
    )
    
    
    (0.62
    )%SHORT FUTURES CONTRACTS% of NetDescription
    
    Value
    
    
    Asset ValueAgriculture
    
    $
    450,840
    
    
    
    0.04
    %Energy
    
    
    101,400
    
    
    
    0.01
    %Metals
    
    
    (18,150
    )
    
    
    (0.00
    )%Short-term interest rates
    
    
    (2,585,762
    )
    
    
    (0.24
    )%Long-term interest rates
    
    
    (373,150
    )
    
    
    (0.04
    )%Total short futures contracts
    
    $
    (2,424,822
    )
    
    
    (0.23
    )%Total futures contracts
    
    $
    (9,127,343
    )
    
    
    (0.85
    )%FORWARD CURRENCY CONTRACTS% of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (26,724,471
    )
    
    
    (2.49
    )%Various short forward currency contracts
    
    
    30,201,436
    
    
    
    2.81
    %Total forward currency contracts
    
    $
    3,476,965
    
    
    
    0.32
    %WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS% of NetDescription
    
    
    Value
    
    
    Asset ValueWritten options on forward currency contracts(premiums received - $154,960)
    
    $
    (118,669
    )
    
    
    (0.01
    )%
 
 *
    
    - pledged as collateral for the trading of futures, forward
and option positions.  - 4 -




---



##### 



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




---



##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF OPERATIONS
 Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2006
    
    
    2005
    
    
    2006
    
    
    2005TRADING GAINS (LOSSES)Futures trading gains (losses)Realized
    
    $
    (31,404,327
    )
    
    $
    24,407,984
    
    
    $
    19,140,102
    
    
    $
    55,764,122Change in unrealized
    
    
    (20,533,073
    )
    
    
    (5,317,322
    )
    
    
    (6,903,486
    )
    
    
    9,443,964Brokerage commissions
    
    
    (331,562
    )
    
    
    (643,770
    )
    
    
    (1,319,875
    )
    
    
    (1,826,908
    )Net gain (loss) from futures trading
    
    
    (52,268,962
    )
    
    
    18,446,892
    
    
    
    10,916,741
    
    
    
    63,381,178Forward currency and options on forward
currency trading gains (losses)Realized
    
    
    5,061,644
    
    
    
    (9,407,822
    )
    
    
    (98,134,592
    )
    
    
    (16,794,631
    )Change in unrealized
    
    
    13,243,725
    
    
    
    (8,253,250
    )
    
    
    35,257,265
    
    
    
    29,306,659Brokerage commissions
    
    
    (162,220
    )
    
    
    (68,670
    )
    
    
    (393,973
    )
    
    
    (179,393
    )Net gain (loss) from forward currency and options on forward currency
trading
    
    
    18,143,149
    
    
    
    (17,729,742
    )
    
    
    (63,271,300
    )
    
    
    12,332,635Total net trading gains (losses)
    
    
    (34,125,813
    )
    
    
    717,150
    
    
    
    (52,354,559
    )
    
    
    75,713,813EXPENSES NET OF INTEREST INCOMEIncomeInterest income
    
    
    13,815,174
    
    
    
    6,428,559
    
    
    
    38,458,961
    
    
    
    15,499,833ExpensesManagement fee
    
    
    11,216,699
    
    
    
    8,248,314
    
    
    
    33,230,323
    
    
    
    22,821,078Performance fee
    
    
    0
        
    
    7,331
    
    
    
    8,574,956
    
    
    
    1,951,458Operating expenses
    
    
    46,591
    
    
    
    37,717
    
    
    
    144,216
    
    
    
    114,034Total expenses
    
    
    11,263,290
    
    
    
    8,293,362
    
    
    
    41,949,495
    
    
    
    24,886,570Expenses net of interest income
    
    
    2,551,884
    
    
    
    (1,864,803
    )
    
    
    (3,490,534
    )
    
    
    (9,386,737
    )NET INCOME (LOSS)
    
    $
    (31,573,929
    )
    
    $
    (1,147,653
    )
    
    $
    (55,845,093
    )
    
    $
    66,327,076NET INCOME (LOSS) PER MANAGING
OPERATOR AND OTHER
UNITHOLDERS UNIT
(based on weighted average number of
units outstanding during the period)
    
    $
    (74.19
    )
    
    $
    (3.62
    )
    
    $
    (136.16
    )
    
    $
    216.66INCREASE (DECREASE) IN NET ASSET
VALUE PER MANAGING OPERATOR
AND OTHER UNITHOLDERS UNIT
    
    $
    (74.96
    )
    
    $
    (5.43
    )
    
    $
    (120.71
    )
    
    $
    206.49
  - 6 -




---



##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF CASH FLOWS
 Nine Months EndedSeptember 30,2006
    
    
    2005Cash flows from (for) operating activitiesNet income (loss)
    
    $
    (55,845,093
    )
    
    $
    66,327,076Adjustments to reconcile net income (loss) to net
cash (for) operating activitiesNet change in unrealized
    
    
    (28,353,779
    )
    
    
    (38,750,623
    )Options premium received
    
    
    154,960
    
    
    
    0Increase (decrease) in accounts payable
and accrued expenses
    
    
    (2,335,128
    )
    
    
    917,687Net (purchases) of investments in United States
government securities
    
    
    (269,335,068
    )
    
    
    (135,610,800
    )Net cash (for) operating activities
    
    
    (355,714,108
    )
    
    
    (107,116,660
    )Cash flows from (for) financing activitiesAddition of units
    
    
    193,419,471
    
    
    
    166,194,820Decrease in subscription deposits
    
    
    (1,300,000
    )
    
    
    0Redemption of units
    
    
    (50,462,777
    )
    
    
    (47,011,534
    )Net cash from financing activities
    
    
    141,656,694
    
    
    
    119,183,286Net increase (decrease) in cash and cash equivalents
    
    
    (214,057,414
    )
    
    
    12,066,626Cash and cash equivalentsBeginning of period
    
    
    286,506,800
    
    
    
    159,026,322End of period
    
    $
    72,449,386
    
    
    $
    171,092,948End of period cash and cash equivalents consists of:Cash in broker trading accounts
    
    $
    55,823,686
    
    
    $
    28,615,861Cash and cash equivalents
    
    
    16,625,700
    
    
    
    142,477,087Total end of period cash and cash equivalents
    
    $
    72,449,386
    
    
    $
    171,092,948
  - 7 -




---



##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS CAPITAL (NET ASSET VALUE)
 
 Unitholders CapitalManaging Operator
    
    
    Other Unitholders
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountNine Months Ended September 30, 2006Balances atDecember 31, 2005
    
    
    20.360
    
    
    $
    54,934
    
    
    
    346,403.516
    
    
    $
    934,642,953
    
    
    
    346,423.876
    
    
    $
    934,697,887Net (loss) for the nine months
ended September 30, 2006
    
    
    
    
    
    
    (2,458
    )
    
    
    
    
    
    
    (55,842,635
    )
    
    
    
    
    
    
    (55,845,093
    )Additions
    
    
    0.000
    
    
    
    0
    
    
    
    92,675.334
    
    
    
    254,839,135
    
    
    
    92,675.334
    
    
    
    254,839,135Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (21,727.475
    )
    
    
    (57,948,501
    )
    
    
    (21,727.475
    )
    
    
    (57,948,501
    )Balances atSeptember 30, 2006
    
    
    20.360
    
    
    $
    52,476
    
    
    
    417,351.375
    
    
    $
    1,075,690,952
    
    
    
    417,371.735
    
    
    $
    1,075,743,428Nine Months Ended September 30, 2005Balances atDecember 31, 2004
    
    
    20.360
    
    
    $
    49,064
    
    
    
    269,068.569
    
    
    $
    648,402,290
    
    
    
    269,088.929
    
    
    $
    648,451,354Net income for the nine months
ended September 30, 2005
    
    
    
    
    
    
    4,204
    
    
    
    
    
    
    
    66,322,872
    
    
    
    
    
    
    
    66,327,076Additions
    
    
    0.000
    
    
    
    0
    
    
    
    73,720.451
    
    
    
    179,334,604
    
    
    
    73,720.451
    
    
    
    179,334,604Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (19,029.778
    )
    
    
    (47,011,534
    )
    
    
    (19,029.778
    )
    
    
    (47,011,534
    )Balances atSeptember 30, 2005
    
    
    20.360
    
    
    $
    53,268
    
    
    
    323,759.242
    
    
    $
    847,048,232
    
    
    
    323,779.602
    
    
    $
    847,101,500
 Net Asset Value per Managing Owner and Other Unitholders UnitSeptember 30,
    
    
    December 31,
    
    
    September 30,
    
    
    December 31,2006
    
    
    2005
    
    
    2005
    
    
    2004$
    2,577.42
    
    
    $
    2,698.13
    
    
    $
    2,616.29
    
    
    $
    2,409.80
  - 8 -




---



##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
 
 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
 A.
    
    General Description of the TrustThe Campbell Fund Trust (the Trust) is a Delaware statutory trust which operates as a
commodity investment pool. The Trust engages in the speculative trading of futures
contracts, forward currency contracts and options on forward currency contracts.B.
    
    RegulationThe Trust is a registrant with the Securities and Exchange Commission (SEC) pursuant
to the Securities Exchange Act of 1934 (the Act). As a registrant, the Trust is
subject to the regulations of the SEC and the informational requirements of the Act.
As a commodity investment pool, the Trust is subject to the regulations of the
Commodity Futures Trading Commission, an agency of the United States (U.S.)
government which regulates most aspects of the commodity futures industry; rules of
the National Futures Association, an industry self-regulatory organization; and the
requirements of the various commodity exchanges where the Trust executes
transactions. Additionally, the Trust is subject to the requirements of futures
commission merchants (brokers) and interbank market makers through which the Trust
trades.C.
    
    Method of ReportingThe Trusts financial statements are presented in accordance with accounting
principles generally accepted in the United States of America, which may require the
use of certain estimates made by the Trusts management. Actual results may differ
from these estimates. Investment transactions are accounted for on the trade date.
Gains or losses are realized when contracts are liquidated. Unrealized gains and
losses on open contracts (the difference between contract trade price and market
price) are reported in the statement of financial condition as a net gain or loss, as
there exists a right of offset of unrealized gains or losses in accordance with
Financial Accounting Standards Board Interpretation No. 39  Offsetting of Amounts
Related to Certain Contracts. The market value of futures (exchange-traded)
contracts is determined by the various futures exchanges, and reflects the settlement
price for each contract as of the close of the last business day of the reporting
period. Beginning July 1, 2006, the market value of swap and forward currency
(non-exchange traded) contracts is extrapolated on a forward basis from the spot
prices quoted as of 3:00 P.M. (E.T.) of the last business day of the reporting period
or based on the market value of its exchange-traded equivalent. Prior to July 1,
2006, the market value of swap and forward currency (non-exchange traded) contracts
was extrapolated on a forward basis from the spot prices quoted as of 5:00 P.M.
(E.T.) of the last business day of the reporting period or based on the market value
of its exchange-traded equivalent. The market value of option (non-exchange traded)
contracts is calculated by applying an industry-standard adaptation of the
Black-Scholes options valuation model to foreign currency options, using as input,
the spot prices, interest rates and option implied volatilities quoted as of 3:00
P.M. (E.T.) on the last business day of the reporting period. Any change in net
unrealized gain or loss from the preceding period is reported in the statement of
operations. Brokerage commissions include other trading fees and are charged to
expense when contracts are opened. United States government securities are stated at
cost plus accrued interest, which approximates market value.
 - 9 -




---



##### 



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




---



##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 Note 3.
    
    TRUSTEEThe trustee of the Trust is Delaware Trust Capital
Management, Inc., a Delaware banking corporation. The trustee
has delegated to the managing operator the duty and authority
to manage the business and affairs of the Trust and has only
nominal duties and liabilities with respect to the Trust.Note 4.
    
    DEPOSITS WITH BROKERThe Trust deposits assets with ABN AMRO Incorporated to act
as broker, subject to Commodity Futures Trading Commission
regulations and various exchange and broker requirements.
Margin requirements are satisfied by the deposit of U.S.
Treasury bills and cash with such broker. The Trust pays
interest if deposits are below required levels and earns
interest on excess deposits with the broker.Note 5.
    
    SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONSInvestments in the Trust are made by subscription agreement,
subject to acceptance by the managing operator. Effective
June 30, 2006, subscriptions to the Trust will be effective
on the last day of the month in which they were accepted.
Prior to June 30, 2006, subscriptions to the Trust were
effective on the first day of the following month in which
they were accepted. Effective January 1, 2006, additions of
$63,069,339 were made to the Trust. The Trust is not
required to make distributions, but may do so at the sole
discretion of the managing operator. A Unitholder may
request and receive redemption of units owned, subject to
restrictions in the Declaration of Trust and Trust Agreement.Note 6.
    
    TRADING ACTIVITIES AND RELATED RISKSThe Trust engages in the speculative trading of U.S. and
foreign futures contracts, forward currency contracts and
options on forward currency contracts (collectively,
derivatives). The Trust is exposed to both market risk,
the risk arising from changes in the market value of the
contracts, and credit risk, the risk of failure by another
party to perform according to the terms of a contract.Purchase and sale of futures contracts requires margin
deposits with the broker. Additional deposits may be
necessary for any loss on contract value. The Commodity
Exchange Act requires a broker to segregate all customer
transactions and assets from such brokers proprietary
activities. A customers cash and other property (for
example, U.S. Treasury bills) deposited with a broker are
considered commingled with all other customer funds subject
to the brokers segregation requirements. In the event of a
brokers insolvency, recovery may be limited to a pro rata
share of segregated funds available. It is possible that the
recovered amount could be less than total cash and other
property deposited.The amount of required margin and good faith deposits with
the broker and interbank market makers usually range from 10%
to 30% of Net Asset Value. The market value of securities
held at September 30, 2006 and December 31, 2005 were
$1,022,712,564 and $753,377,496, respectively, which equals
95% and 81% of Net Asset Value, respectively. The cash
deposited with interbank market makers at September 30, 2006
and December 31, 2005 was $15,520,176 and $195,637,375,
respectively, which equals approximately 1% and 21% of Net
Asset Value, respectively. These amounts are included in
cash and cash equivalents.
 - 11 -




---



##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 Note 6.
    
    TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)The Trust trades forward currency and options on forward currency contracts in unregulated markets between
principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with
forward currency and options on forward currency contracts are generally greater than those associated with
exchange traded contracts because of the greater risk of counterparty default. Additionally, the trading of
forward currency and options on forward currency contracts typically involves delayed cash settlement.The Trust has a substantial portion of its assets on deposit with financial institutions. In the event of a
financial institutions insolvency, recovery of Trust assets on deposit may be limited to account insurance or
other protection afforded such deposits.For derivatives, risks arise from changes in the market value of the contracts. Theoretically, the Trust is
exposed to a market risk equal to the notional contract value of futures, forward currency and swap contracts
purchased and unlimited liability on such contracts sold short. As a seller of options, the Trust receives a
premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the
option. Written options expose the Trust to potentially unlimited liability.The unrealized gain (loss) on open futures, forward currency and options on forward currency contracts is comprised
of the following:
 Futures Contracts
    
    
    Forward Currency and Options on Forward(exchange traded)
    
    
    Currency Contracts (non-exchange traded)September 30,
    
    
    December 31,
    
    
    September 30,
    
    
    December 31,2006
    
    
    2005
    
    
    2006
    
    
    2005Gross unrealized gains
    
    $
    14,413,386
    
    
    $
    14,087,349
    
    
    $
    32,551,343
    
    
    $
    23,965,693Gross unrealized losses
    
    
    (23,540,729
    )
    
    
    (16,311,206
    )
    
    
    (29,038,087
    )
    
    
    (55,709,702
    )Net unrealized gain (loss)
    
    $
    (9,127,343
    )
    
    $
    (2,223,857
    )
    
    $
    3,513,256
    
    
    $
    (31,744,009
    )
 Open contracts generally mature within three months; as of September 30, 2006, the
latest maturity date for open futures contracts is June 2007, and the latest maturity date
for open forward currency contracts is December 2006. 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.
 - 12 -




---



##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 Note 7.
    
    INDEMNIFICATIONSIn the normal course of business, the Trust enters into
contracts and agreements that contain a variety of
representations and warranties and which provide general
indemnifications. The Trusts maximum exposure under these
arrangements is unknown, as this would involve future claims
that may be made against the Trust that have not yet
occurred. The Trust expects the risk of any future
obligation under these indemnifications to be remote.Note 8.
    
    INTERIM FINANCIAL STATEMENTSThe statement of financial condition, including the condensed
schedule of investments, as of September 30, 2006, the
statements of operations for the three months and nine months
ended September 30, 2006 and 2005, and the statements of cash
flows and changes in unitholders capital (Net Asset Value)
for the nine months ended September 30, 2006 and 2005 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, 2006, the results of
operations for the three months and nine months ended
September 30, 2006 and 2005, and cash flows for the nine
months ended September 30, 2006 and 2005.
 - 13 -




---



##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 
 Note 9.
    
    FINANCIAL HIGHLIGHTSThe following information presents per unit operating performance data and other
supplemental financial data for the three months and nine months ended September 30, 2006
and 2005. This information has been derived from information presented in the financial
statements.
 Three months ended
    
    
    Nine months endedSeptember 30,
    
    
    September 30,2006
    
    
    2005
    
    
    2006
    
    
    2005(Unaudited)
    
    
    (Unaudited)
    
    
    (Unaudited)
    
    
    (Unaudited)Per Unit Performance(for a unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    2,652.38
    
    
    $
    2,621.72
    
    
    $
    2,698.13
    
    
    $
    2,409.80Income (loss) from operations:Total trading gains (losses) (1)
    
    
    (80.96
    )
    
    
    0.46
    
    
    
    (112.20
    )
    
    
    237.15Expenses net of interest income (1)
    
    
    6.00
    
    
    
    (5.89
    )
    
    
    (8.51
    )
    
    
    (30.66
    )Total income (loss) from operations
    
    
    (74.96
    )
    
    
    (5.43
    )
    
    
    (120.71
    )
    
    
    206.49Net asset value per unit at end of period
    
    $
    2,577.42
    
    
    $
    2,616.29
    
    
    $
    2,577.42
    
    
    $
    2,616.29Total Return(3)
    
    
    (2.83
    )%
    
    
    (0 .21
    )%
    
    
    (4.47
    )%
    
    
    8.57
    %Supplemental DataRatios to average net asset value:Expenses prior to performance fee (4)
    
    
    4.03
    %
    
    
    4.04
    %
    
    
    4.02
    %
    
    
    4.04
    %Performance fee (3)
    
    
    0.00
    %
    
    
    0.00
    %
    
    
    0.78
    %
    
    
    0.26
    %Total expenses
    
    
    4.03
    %
    
    
    4.04
    %
    
    
    4 .80
    %
    
    
    4.30
    %Expenses, prior to performance fee,
net of interest income (2), (4), (5)
    
    
    (0.91
    )%
    
    
    0.91
    %
    
    
    (0.61
    )%
    
    
    1.31
    %
 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.(5)
    
    Expenses net of interest income is shown as a positive percentage when expenses
exceed interest income for the period. - 14 -




---



##### 



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




---



##### 



i.e.
   Results of Operations
  2006
  Sector
    
    % Gain (Loss)Stock Indices
    
    
    2.25Metals
    
    
    2.06Interest Rates
    
    
    1.74Agriculture
    
    
    (0.26
    )Energy
    
    
    (4.52
    )Currencies
    
    
    (5.27
    )(4.00
    )%
 - 16 -




---



##### 



- 17 -




---



##### 



- 18 -




---



##### 



2005
  Sector
    
    % Gain (Loss)Energy
    
    
    4.46
    %Interest Rates
    
    
    3.39Currencies
    
    
    1.65Metals
    
    
    0.50Stock Indices
    
    
    0.27Agriculture
    
    
    (0.20
    )10.07
    %
    - 19 -




---



##### 



- 20 -




---



##### 



Off-Balance Sheet Risk
    Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts
Accounted for at Fair Value
  - 21 -




---



##### 



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.
  - 22 -




---



##### 



The Trusts Trading Value at Risk in Different Market Sectors
  September 30, 2006TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Energy
    
    
    0.58
    %
    
    
    (4.52
    )%Currencies
    
    
    0.54
    %
    
    
    (5.27
    )%Stock Indices
    
    
    0.29
    %
    
    
    2.25
    %Short Interest Rates
    
    
    0.24
    %
    
    
    2.31
    %Agricultural / Metals
    
    
    0.14
    %
    
    
    1.80
    %Long Interest Rates
    
    
    0.10
    %
    
    
    (0.57
    )%Aggregate/Total
    
    
    1.01
    %
    
    
    (4.00
    )%
 
 *
    
    -The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The aggregate VaR represents the VaR of the Trusts open
positions across all market sectors, and is less than the sum of the VaRs for all such market
sectors due to the diversification benefit across asset classes.**
    
    -Of the return for the nine months ended September 30, 2006, approximately 4.00% was due
to trading losses (before commissions) and approximately 3.95% due to brokerage fees,
management fees, performance fees and operating costs borne by the Trust offset by
approximately 3.48% due interest income giving a net return of (4.47)%. - 23 -




---



##### 



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
    %
 
 *
    
    -The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The aggregate VaR represents the VaR of the Trusts open
positions across all market sectors, and is less than the sum of the VaRs for all such market
sectors due to the diversification benefit across asset classes.**
    
    -Of the return for the year ended December 31, 2005, approximately 14.01% was due to
trading gains (before commissions), approximately 2.93% was due interest income offset by
approximately 4.98% due to brokerage fees, management fees, performance fees and operating
costs borne by the Trust giving a net return of 11.96%. 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.
 - 24 -




---



##### 



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.
  Currencies
 i.e.,
 - 25 -




---



##### 



Interest Rates
  Stock Indices
  Energy
  Metals
  Agricultural
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
  Treasury Bill Positions
  - 26 -




---



##### 



Qualitative Disclosures Regarding Means of Managing Risk Exposure
   General
  Item 4. Controls and Procedures
  - 27 -




---



##### 



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.
   - 28 -




---



##### 



SIGNATURES
  THE CAMPBELL FUND TRUST(Registrant)By:
    
    Campbell & Company, Inc. 

Managing OperatorDate: November 8, 2006
    
    
    
    By:
    
    /s/Theresa D. BecksTheresa D. BecksChief Financial Officer/Treasurer/Director
 - 29 -




---



##### 



EXHIBIT INDEX
 Exhibit Number
    
    Description of Document
    
    Page Number31.01
    
    Certification by Chief Executive Officer
    
    E 2  E331.02
    
    Certification by Chief Financial Officer
    
    E 4  E532.01
    
    Certification by Chief Executive Officer
    
    E 632.02
    
    Certification by Chief Financial Officer
    
    E 7
 E 1