##### 



SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549
 (Mark One)
    FORM 10-K
 þ
    
    ANNUAL REPORT PURSUANT TO SECTION 13 OR 15 (d)OF THE SECURITIES EXCHANGE ACT OF 1934   [NO FEE REQUIRED]
 For the Fiscal Year Ended December 31, 2004
Commission File Number 0-50264 and
2-84126 OR o
    
    TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THESECURITIES EXCHANGE ACT OF 1934          [NO FEE REQUIRED]
 For the transition period from ___________ to __________ THE CAMPBELL FUND TRUST 
  DELAWARE
    
    94-6260018(State or other jurisdiction of
    
    (IRS Employer Identification Number)incorporation or organization)210 W. Pennsylvania AvenueTowson, Maryland
    
    21204
 Registrants telephone
number, including area code:     (410)   296-3301 Securities registered pursuant to Section 12 (b) of the Act: None Securities registered pursuant to Section 12 (g) of the Act: Units of Beneficial Interest   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 (or for
such shorter period that the Registrant was required to file such reports), and (2) has been
subject to such filing requirements for the past 90 days.
Yes þ          No o Indicate by check mark if the disclosure of delinquent filers pursuant to Item 405 of Regulation
S-K is not contained herein, and will not be contained, to the best of the Registrants knowledge,
in definitive proxy or information statements incorporated by reference in Part II of this Form
10-K or any amendment to this Form 10-K.          þ Indicate by check mark whether the registrant is an accelerated filer (as defined in Exchange Act
Rule 12b-2) o þ
 The Registrant has no voting stock. As of December 31, 2004 there were 269,088.929 Units of
Beneficial Interest issued and outstanding. Total number of pages 38. Consecutive page numbers on which exhibits commence: 5.




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TABLE OF CONTENTS PagePART IITEM 1.
    
    BUSINESS
    
    
    1-4ITEM 2.
    
    PROPERTIES
    
    
    4ITEM 3.
    
    LEGAL PROCEEDINGS
    
    
    4ITEM 4.
    
    SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
    
    
    4PART IIITEM 5.
    
    MARKET FOR REGISTRANTS COMMON EQUITY, RELATEDSTOCKHOLDER MATTERS AND ISSUER
PURCHASES OF EQUITY SECURITIES
    
    
    4ITEM 6.
    
    SELECTED FINANCIAL DATA
    
    
    5ITEM 7.
    
    MANAGEMENTS DISCUSSION AND ANALYSIS OF FINANCIAL CONDITIONAND RESULTS OF OPERATIONS
    
    
    6-13ITEM 7A.
    

    QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
    
    
    13-18ITEM 8.
    
    FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
    
    
    18ITEM 9.
    
    CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTINGAND FINANCIAL DISCLOSURE
    
    
    19ITEM 9A.
    
    CONTROLS AND PROCEDURES
    
    
    19ITEM 9B.
    
    OTHER INFORMATION
    
    
    19PART IIIITEM 10.
    
    DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT
    
    
    19-21ITEM 11.
    
    EXECUTIVE COMPENSATION
    
    
    21ITEM 12.
    
    SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS ANDMANAGEMENT AND RELATED STOCKHOLDER MATTERS
    
    
    21ITEM 13.
    
    CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
    
    
    21ITEM 14.
    
    PRINCIPAL ACCOUNTING FEES AND SERVICES
    
    
    21-22PART IVITEM 15.
    
    EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON FORM 8-K
    
    
    22-23SIGNATURESCERTIFICATIONS




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PART I Item 1.Business General development of business 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. (Campbell & Company or the managing operator). 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. Delaware Trust Capital Management, Inc., a Delaware banking corporation, (the Trustee), is
the sole trustee of the Trust. The Trustee is unaffiliated with the managing operator and the
Trusts selling agents, and its duties and liabilities with respect to the offering of the Units of
Beneficial Interest (the Units) are limited to its express obligations under the Declaration of
Trust and Trust Agreement. Under the Declaration of Trust and Trust Agreement, the Trustee has delegated the exclusive
management of all aspects of the business and administration of the Trust to Campbell & Company, a
Maryland corporation organized in April 1978 as a successor to a partnership originally organized
in January 1974. Campbell & Company is registered with the Commodity Futures Trading Commission as
a commodity pool operator and a commodity trading advisor, and is a member of the National Futures
Association in such capacities. The Trusts funds are traded pursuant to Campbell & Companys Global Diversified Large
Portfolio. Prior to June 1997, Campbell & Company had one Global Diversified Portfolio. In June
1997, the Global Diversified Portfolio was split into two separate portfolios, the Global
Diversified Large Portfolio (which generally is used for accounts greater than $10 million) and the
Global Diversified Small Portfolio (which is generally used for accounts less than $10 million).
From inception through June 1997, the Trusts account was traded pursuant to Campbell & Companys
Global Diversified Portfolio. Between June 1997 and August 1999, the Trusts account was traded
pursuant to the Global Diversified Small Portfolio, and since August 1, 1999, has been traded
pursuant to the Global Diversified Large Portfolio. As of December 31, 2004, the aggregate capitalization of the Trust was $648,451,354, and the
Net Asset Value per Unit was $2,409.80. Financial information about segments The Trusts business constitutes only one segment for financial reporting purposes, i.e., a
speculative commodity pool. The Trust does not engage in sales of goods or services. Narrative description of business General The purpose of the Trust is to engage in the speculative trading, buying, selling, or
otherwise acquiring, holding or disposing of commodities, including futures contracts, option
contracts, forward contracts and any other rights pertaining thereto, and for such other purposes
as may be incidental or related thereto. The Trust trades speculatively in the U.S. and international futures and forward markets.
Specifically, the Trust trades a portfolio that is primarily focused on financial futures and
forwards, with a secondary emphasis on metal, energy and agricultural products. The Trust has
entered into an advisory agreement with Campbell & Company whereby it trades the Trusts assets
pursuant to Campbell & Companys Global Diversified Large Portfolio. The portfolio trades
commodity interests which include energy products, agricultural products, precious and base metals,
stock market indices, interest rates and foreign currencies, and may in the future include options. 1




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Use of Proceeds and Cash Management Income Subscription Proceeds and Available Assets. Offering proceeds, without deduction, are credited to the Trusts bank 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 forward counterparty. 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. The Trust receives all interest earned on its assets. No other
person receives any interest or other economic benefits from the deposit of Trust assets. Approximately 10% to 30% of the Trusts assets are usually 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 the forward counterparty in
order to initiate and maintain currency forward contracts. Such assets are not held in segregation
or otherwise regulated under the Commodity Exchange Act. These assets are held either in U.S.
government securities or short-term time deposits with U.S. regulated bank affiliates of the
forward counterparty. The remaining 40% to 80% of the Trusts assets are usually invested in U.S.
Treasury bills and held by the futures broker or the forward counterparty. 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. Market Sectors. Campbell & Companys Global Diversified Large Portfolio trades in a fully diversified
portfolio of futures and forward markets, including energy products (Brent Crude, gas oil, heating
oil, natural gas, unleaded gasoline and WTI Crude), agricultural products (coffee, corn, cotton and
wheat), precious and base metals (aluminum, copper, gold, nickel and zinc), stock market indices
(DAX, DJ Euro Stoxx 50, FTSE, Hang Seng, IBEX, MSCI, NASDAQ, Nikkei and S&P 500), interest rates
(short-term and long-term) and foreign currencies (majors, minors and crossrates), and may in the
future include options. Market Types. The Trust trades on a variety of United States and foreign futures exchanges. Approximately
50% of the Trusts off-exchange trading takes place in the highly liquid, institutionally-based
currency forward markets. The remaining 50% takes place on futures exchanges. As in the case of its market sector allocations, the Trusts commitments to different types of
markets  U.S. and non-U.S., regulated and non regulated  differ substantially from time to time,
as well as over time, and may change at any time if Campbell & Company determines such change to be
in the best interests of the Trust. No one market exceeds 10% of the total portfolio allocation. Charges Each Unit is subject to the same charges. The Trusts average month-end net assets during
2004, 2003 and 2002 equaled $534,329,244, $272,498,935 and $98,117,477, respectively. Total
expenses including brokerage commissions charged to the Trust (as described below), other than
performance fees, are estimated to equal less than 6% of the Trusts net assets annually. Such
expenses as a percentage of the Trusts average month-end assets for the years ended December 31,
2004, 2003 and 2002 were 4.31%, 4.48% and 4.65% respectively. 2




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DESCRIPTION OF CURRENT
CHARGES. RECIPIENT
    
    NATURE OF PAYMENT
    
    AMOUNT OF PAYMENTCampbell & Company
    
    Management Fee
    
    A monthly management
fee of 1/3 of 1% of
the Trusts month-end
net assets, totaling
approximately 4% of
average month-end net
assets per year.
Campbell & Company
may pay a portion or
all of its monthly
management fee on an
ongoing basis to
selected agents who
have sold the Units,
in return for their
provision of ongoing
services to the
Unitholders. In most
cases, the ongoing
payment paid to
selling agents is 2%
per annum, paid
monthly, on the then
current Net Asset
Value of Units sold
by the selling
agents, net of
redemptions.Campbell & Company
    
    Performance Fee
    
    A quarterly
performance fee of
20% of the aggregate
cumulative
appreciation in the
Net Asset Value per
Unit at the end of
each quarter,
exclusive of
appreciation
attributable to
interest income
disregarding
decreases in Net
Asset Value per Unit
resulting from
distributions.ABN AMRO Incorporated
    
    Brokerage Commissions
    
    Brokerage commissions
are paid at a rate of
approximately $6 for
each round-turn trade
executed for the
Trust. Annual
brokerage commissions
payable to the Trust
are estimated at
approximately 0.36%
of the Trusts net
assets annually,
although there is no
limit on the amount
of such commissions.ABN AMRO Bank,N.V.,
Chicago Branch
    
    Forward Counterparty
Execution Costs
    
    The forward
counterpartys
execution costs are
included in the price
of each forward
contract purchased or
sold, and,
accordingly, such
costs cannot be
determined but are
charged. In
addition, ABN AMRO
Bank, N.V., Chicago
Branch charges
approximately $10 per
$1 million for
forward contracts it
facilitates on behalf
of the Trust with
third party banks.
These prime brokerage
fees, combined with
the futures brokers
charges, usually
equal approximately
0.40% of the Trusts
net assets.Other
    
    Operating Expenses
    
    The Trust pays
operating expenses
(other than the cost
of the Units),
including trustee,
legal and accounting
fees, and taxes or
extraordinary
expenses. These
expenses are
estimated at less
than 0.50% of the
Trusts net assets
annually, although
there is no limit on
the amount of such
expenses.These expenses during
the years ended 2004,
2003 and 2002 were
0.03%, 0.04% and
0.06% of the Trusts
net assets,
respectively.
 3




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Regulation Under the Commodity Exchange Act, as amended (the Act), commodity exchanges and commodity
futures trading are subject to regulation by the Commodity Futures Trading Commission (the CFTC).
The National Futures Association (the NFA), a registered futures association under the Act, is
the only non-exchange self-regulatory organization for commodity industry professionals. The CFTC
has delegated to the NFA responsibility for the registration of commodity trading advisors,
commodity pool operators, futures commission merchants, introducing brokers and their
respective associated persons and floor brokers. The Act requires commodity pool operators,
and commodity trading advisors, such as Campbell & Company, and commodity brokers or futures
commission merchants, such as the Trusts commodity broker, to be registered and to comply with
various reporting and recordkeeping requirements. Campbell & Company and the Trusts commodity
broker are members of the NFA. The CFTC may suspend a commodity pool operators or commodity
trading advisors registration if it finds that its trading practices tend to disrupt orderly
market conditions, or as the result of violations of the Act or rules and regulations promulgated
thereunder. In the event Campbell & Companys registration as a commodity pool operator or
commodity trading advisor were terminated or suspended, Campbell & Company would be unable to
continue to manage the business of the Trust. Should Campbell & Companys registration be
suspended, termination of the Trust might result. In addition to such registration requirements, the CFTC and certain commodity exchanges have
established limits on the maximum net long and net short positions which any person, including the
Trust, may hold or control in particular commodities. Most exchanges also limit the maximum
changes in futures contract prices that may occur during a single trading day. The Trust also
trades in dealer markets for forward contracts, which are not regulated by the CFTC. Federal and
state banking authorities also do not regulate forward trading or forward dealers. In addition,
the Trust trades on foreign commodity exchanges, which are not subject to regulation by any United
States government agency. The Trust has no employees. The Trust trades on a number of foreign commodity exchanges. The
Trust does not engage in the sales of goods or services. Item 2.Properties The Registrant does not use any physical properties in the conduct of its business. Its
assets currently consist of futures and other contracts, cash, short-term time deposits and U.S.
Treasury Bills. Item 3.Legal Proceedings Campbell & Company is not aware of any material legal proceedings to which the Registrant is a
party or to which any of their assets are subject. Item 4.Submission of Matters to a Vote of Security Holders None. PART II Item 5.Market for Registrants Common Equity, Related
Stockholder Matters and Issuer Purchases of Equity Securities Units of Beneficial Interest are not publicly traded. Units may be transferred or redeemed
subject to the conditions imposed by the Declaration of Trust and Trust Agreement. As of December
31, 2004, there were 2,759 Unitholders in the Registrant and 269,088.929 Units of Beneficial
Interest outstanding. Campbell & Company has sole discretion in determining what distributions, if any, the
Registrant will make to its Unitholders. Campbell & Company has not made any distributions as of
the date hereof. The Registrant has no securities authorized for issuance under equity compensation plans. 4




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Item 6.Selected Financial Data For the Year Ended December 31,2004
    
    
    2003
    
    
    2002
    
    
    2001
    
    
    2000Total Assets
    
    $
    695,255,766
    
    
    $
    378,634,351
    
    
    $
    179,912,300
    
    
    $
    75,167,211
    
    
    $
    32,903,389Total Unitholders Capital
    
    
    648,451,354
    
    
    
    351,591,363
    
    
    
    142,674,058
    
    
    
    69,133,931
    
    
    
    31,555,119Total Trading Gain
(includes brokerage commissions)
    
    
    64,059,482
    
    
    
    57,594,812
    
    
    
    19,675,679
    
    
    
    3,775,731
    
    
    
    3,468,440Net Income
    
    
    34,748,775
    
    
    
    40,791,398
    
    
    
    13,973,815
    
    
    
    2,891,972
    
    
    
    3,483,675Net Income Per ManagingOperator and Other Unitholder Unit *
    
    
    154.59
    
    
    
    319.99
    
    
    
    247.02
    
    
    
    95.31
    
    
    
    196.68Increase in Net AssetValue per Managing Operator
and Other Unitholder Unit
    
    
    187.69
    
    
    
    347.18
    
    
    
    239.20
    
    
    
    92.04
    
    
    
    180.66
 The following summarized quarterly financial information presents the results of operations
for the three-month periods ending March 31, June 30, September 30 and December 31, 2004 and 2003. 1st Qtr.
    
    
    2nd Qtr.
    
    
    3rd Qtr.
    
    
    4th Qtr.2004
    
    
    2004
    
    
    2004
    
    
    2004Total Trading Gain (Loss)
(includes brokerage
commissions)
    
    $
    73,743,553
    
    
    $
    (47,890,968
    )
    
    $
    (12,792,368
    )
    
    $
    50,999,265Net Income (Loss)
    
    
    55,612,479
    
    
    
    (51,687,514
    )
    
    
    (16,583,386
    )
    
    

    47,407,196Net Income (Loss)per Managing Operator
and Other Unitholder
Unit *
    
    
    317.17
    
    
    
    (243.70
    )
    
    
    (66.85
    )
    
    
    179.84Increase (Decrease)in Net Asset Value
per Managing Operator
and Other Unitholder
Unit
    
    
    321.05
    
    
    
    (247.85
    )
    
    
    (66.16
    )
    
    
    180.65Net Asset Value perManaging Operator and
Other Unitholder Unit
at the End of the Period
    
    
    2,543.16
    
    
    
    2,295.31
    
    
    
    2,229.15
    
    
    
    2,409.80
 1st Qtr.
    
    
    2nd Qtr.
    
    
    3rd Qtr.
    
    
    4th Qtr.2003
    
    
    2003
    
    
    2003
    
    
    2003Total Trading Gain (Loss)
(includes brokerage
commissions)
    
    $
    23,211,890
    
    
    $
    12,594,717
    
    
    $
    (9,450,848
    )
    
    $
    31,239,053Net Income (Loss)
    
    
    18,061,072
    
    
    
    8,540,129
    
    
    
    (11,652,215
    )
    
    
    25,842,412Net Income (Loss)per Managing Operator
and Other Unitholder
Unit *
    
    
    178.58
    
    
    
    71.92
    
    
    
    (85.08
    )
    
    
    168.83Increase (Decrease)in Net Asset Value
per Managing Operator
and Other Unitholder
Unit
    
    
    194.17
    
    
    
    75.00
    
    
    
    (89.61
    )
    
    
    167.62Net Asset Value perManaging Operator and
Other Unitholder Unit
at the End of the Period
    
    
    2,069.10
    
    
    
    2,144.10
    
    
    
    2,054.49
    
    
    
    2,222.11
   *
    
    - Based on weighted average number of units outstanding during the period. 5




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Item 7. Managements Discussion and Analysis of Financial Condition and Results of Operations. Introduction The offering of its Units of Beneficial Interest commenced on January 2, 1996 at the time the
Trust succeeded to the operations of the Campbell Fund Limited Partnership as described in Item 1.
The offering of Units is continuous and ongoing. 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. 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. 6




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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 returns for the years ended December 31, 2004, 2003 and 2002 were 8.45%, 18.52% and 14.62%,
respectively. 2004 For the 2004 increase of 8.45%, approximately 14.23% was due to trading gains (before commissions)
and approximately 1.26% was due to interest income, offset by approximately 7.04% due to brokerage
fees, performance fees, and operating and offering costs borne by the Trust. An analysis of the
14.23% trading gain by sector is as follows: Sector
    
    % Gain (Loss)Interest Rates
    
    
    12.54
    %Currencies
    
    
    2.12Energy
    
    
    1.68Agricultural
    
    
    0.49Metals
    
    
    (0.64
    )Stock Indices
    
    
    (1.96
    )14.23
    %
 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 7




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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 and agricultural sectors were moderately positive, while the equity index sector was
moderately negative. In April, interest rates 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 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. In the energy sector, a classic whipsaw
caused the Trust to exit 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 trading 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. The Trust bounced back with a respectable gain in October. This was primarily as a result of
positive performance in the foreign exchange and interest rate sectors, as the long-awaited
downward movement in the U.S Dollar began to unfold. Traders reacted to key economic data,
including a report of the second highest trade-gap in U.S. history. Following the report, the U.S.
Dollar trended broadly lower against other leading currencies. The Trust was on the sidelines in
the energy sector during the month as crude oil hit new highs and natural gas traded at the highest
prices since the levels reached in February 2003. The Trust had a strong profitable month in November as the growing momentum in the slide of the
U.S. Dollar resulted in a new low against the Euro and multi-year lows against other major
currencies. Structural problems of record budget deficits, trade deficits, and current account
deficits, and the prospect of four more 8




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years of unchanged fiscal and monetary policy had the attention of the foreign exchange
markets. Consequently, while the U.S. Dollar has been weak for several years, the recent decline
has been very sharp. The foreign exchange and interest rate sectors were profitable in November
and were the most profitable sectors for the year. The Trust finished the year with a positive performance in December and for the year, closing out a
year that was confounding for many traders. The big stories for the year were the slide in the
U.S. Dollar and the rise and fall of crude oil prices, but high volatility made these markets
difficult to trade. Fixed income was the most profitable sector for the Trust in 2004. Long-term
interest rates were sharply higher in the first quarter, but reversed in the second quarter despite
a Federal Reserve Bank bias toward higher rates. The rally continued through the second half of
the year and produced strong returns for the year in the fixed income sector. Equity markets were
range-bound for most of the year awaiting the outcome of the election, which was followed by a
dramatic rally and delivered some useful gains from the otherwise worst performing sector in 2004. 2003 For the 2003 increase of 18.52%, approximately 25.13% was due to trading gains (before commissions)
and approximately 0.96% was due to interest income, offset by approximately 7.57% due to brokerage
fees, performance fees, and operating and offering costs borne by the Trust. An analysis of the
25.13% trading gain by sector is as follows: Sector
    
    % Gain (Loss)Currencies
    
    
    25.81
    %Stock Indices
    
    
    5.76Metals
    
    
    (0.30
    )Agricultural
    
    
    (1.11
    )Energy
    
    
    (1.68
    )Interest Rates
    
    
    (3.35
    )25.13
    %
 The long-term trends that created opportunity for the Trust in 2002 continued in January 2003, in
which profits were earned in every sector. 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 9




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performance in the currencies sector was partially offset by negative
performances in the metals and stock index 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 contracts were also strongly positive, while losses in the
energy, agricultural and stock index sectors offset some of those gains. Even with a negative result for June, the Trust finished the first half of 2003 with a double-digit
return. Long-term interest rates lost value as yield curves steepened, particularly the Japanese
government bond. Short-term interest rates and stock index sectors contributed very modest gains
for the month, while all other sectors contributed 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 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
through year-to-date through September. The Trust began the fourth quarter on a positive note with a majority of the gain coming from the
currencies and stock indices sectors. The continued but orderly decline of the U.S. Dollar against
the other major currencies provided good trending opportunities during October, but an unexpectedly
sharp decline in the Yen at the end of the month took away some of the profits earned earlier. The
performance of the currency cross rates, interest rates and energy sectors all resulted in losses
for the month. The energy markets were particularly volatile, with natural gas prices whipsawing
on shifting weather predictions, while crude oil declined sharply from the high end of its recent
trading range. November was a positive month for the Trust. The currencies and stock indices sectors provided
good profits, which were partially offset by losses in the cross currency, energy, agricultural and
interest rate sectors. As global equity prices continued to strengthen, the U.S. dollar weakened,
reaching 10 and 5 year lows against the Canadian dollar and Sterling, respectively, while the Euro
made an all time high late in the month. Paradoxically strong U.S. economic indicators encouraged
a positive outlook, with a strong retail sales and a 20-year high in manufacturing. Global
economic data was also encouraging, particularly that coming out of Asia. The trends of the falling U.S. dollar and the rise in global equity indices prevalent in the second
half of 2003 continued in December and left the Trust with a gain for the month. These trends were
also responsible for most of the gains for the year. 10




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2002 For the 2002 increase of 14.62%, approximately 20.98% was due to trading gains (before
commissions) and approximately 1.57% was due to interest income, offset by approximately 7.93% due
to brokerage fees, performance fees, and operating costs borne by the Trust. An analysis of the
20.98% trading gain by sector is as follows: Sector
    
    % Gain (Loss)Interest Rates
    
    
    14.71
    %Currencies
    
    
    5.87Stock Indices
    
    
    3.47Metals
    
    
    (.34
    )Agricultural
    
    
    (.39
    )Energy
    
    
    (2.34
    )20.98
    %
 During January, the Enron and Global Crossing bankruptcies took a toll on the U.S. equity markets
that were already under pressure and resulted in a stumbling start to the New Year, as layoffs,
earnings restatements and revenue declines continued to dominate the business news.
Internationally, the Japanese economy continued to deteriorate, while the full extent of any
Argentinean contagion was yet to be acknowledged in Brazil or other parts of South America. On the
positive side, U.S. consumer spending continued to be robust. The Trust posted a small loss for
January, largely as a result of volatility in the global currency markets. Energy and short stock
index positions contributed small gains. The high market volatility in January continued into
February. Further Enron revelations radiated concern about the accounting practices of other large
companies and caused the equity markets to decline early in the month. Sentiment reversed abruptly
on positive economic news on home sales, manufacturing and consumer spending. The Trusts
performance was negative in February with losses in energy, stock indices and long-term interest
rates partially offset by gains in short-term interest rates. March was a mixed month in which
positive performance in the energy and interest rate sectors were more than offset by losses in
stock indices and currencies, which made up a substantial part of the Trusts portfolio. The
Japanese Yen produced the largest loss when it rallied in reaction to Bank of Japan intervention in
preparation for their March 31st fiscal year-end as the Trust maintained a short
position. Energy was the strongest performing sector, profiting from long positions in crude oil
and unleaded gas. The loss in the stock indices sector came from short positions in the Nikkei and
Hang Seng indices as Asian equities rallied. The overall loss for the month occurred
independently of the equity and bond markets, demonstrating the volatility reducing effect of
blending assets whose returns are largely uncorrelated. April
was a difficult trading month for the Trust. The Trust ended the month down over 4.0%. The fixed
income sector was whip-lashed as hopes
of imminent economic recovery sputtered causing the majority of the trading losses for the month.
Broad-based selling of the three leading US equity indices put them at their lowest levels since
October 2001 and contributed to the Trusts losses for the month. The energy sector was battered
by reports of unfolding events in both Venezuela and the Middle East. Many areas of concern
remained, including continued instability in the Middle East, weak corporate earnings, continued
revelations of corporate accounting issues, fear of a collapse in the residential real estate
market, high energy costs and a growing federal budget deficit due to lower tax receipts. The
month of May finally provided some trending opportunities that the Trust was able to profit from.
The currencies and interest rates sectors provided the gains for the month, but these were offset
by losses in the energy and stock indices sectors. While the equities markets remained nervous,
many alternative investment 11




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strategies, including managed futures, were able to provide positive returns. Strong performance in the month of June contributed to a positive second quarter and more than made
up for losses during the beginning of the year. All major US equity indices made new cycle lows as
domestic and international investor confidence was battered by reports of scandalous corporate
leadership conduct. The long awaited US economic recovery looked sluggish at best. In this
troubled environment, the US dollar lost ground against most major trading partners, while interest
rate futures rose and stock indices declined. These three sectors contributed significantly to the
profits in June, while small losses were recorded in the metals and energy sectors. The Trusts
positive performance continued in July, posting similar numbers as June. This was the third
consecutive month of positive performance and was mainly attributable to profits in short stock
indices and long interest rate positions. These gains were reduced by small negative performances
in metals, currencies and cross rates as the dollar strengthened against other major currencies,
again rising above parity with the Euro. In August, the Trust recorded another month of positive performance with profits in the interest
rates, currencies, stock indices and energy sectors. Global markets continued to respond to weak
US economic data and concerns over geopolitical developments. The much-anticipated US economic
recovery continued to be elusive, while economies in Europe and Japan appeared to be stagnant. The
quickened pace of US plans to invade Iraq aroused much international criticism and concern, which
impacted energy prices and investor confidence. September was the fifth consecutive month of
positive returns for the Trust, as traditional investment strategies continued to struggle.
Profits were earned in the stock indices, interest rates and energy sectors, offset by losses in
the currency sector. Further reports of corporate governance and accounting failures, the
possibility of an unpopular war in the Middle East, rising jobless claims, disappointing earnings
and a gloomy retail outlook were compounded by high energy prices and systemic instability in Japan
and Brazil. In this time of global economic weakness and uncertainty, the Trusts ability to trade
both the long and short side of a diverse portfolio of international markets proved to be a
beneficial tool. Many of the trends that had been so profitable for the Trust over the preceding
five months reversed during October, resulting in losses in interest rates, equity indices and
precious metals. The US dollar weakened on unfavorable Gross Domestic Product news and caused
losses in the currency sector. US equities surprised the market by turning in their second best
month since 1997. As the US struggled with the United Nations over Iraq, energy prices sold off
sharply, making this the Trusts worst performing sector in October. In October and November, US equity prices rose at a faster pace than any time since 1997. Over
this same period, the Trust was defensively positioned against a reversal of the major trends that
were profitable for the year, leaving year-to-date gains in the double digits. Performance for
November was marginally negative, with gains in currencies offset by losses in interest rates,
stock indices and energy. The Trust recorded a strong positive performance for December and for the year. The Trusts core
strategy of systematic, diversified trend-following again demonstrated the ability to outperform
most other strategies in times of economic weakness and uncertainty. The ability to short markets
enabled the Trust to profit as global markets suffered their third consecutive negative year.
Profits were generated in interest rates, currencies and equities, while losses occurred in energy,
industrial metals and agricultural sectors. 12




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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. Item 7A.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. 13




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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, Quantitative and Qualitative 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 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 and some energy products and metals 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. 14




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##### 



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 December 31, 2004, 2003 and 2002 and the trading gains/losses by
market category for the years then ended. All open position trading risk exposures of the Trust
have been included in calculating the figures set forth below. As of December 31, 2004, 2003 and
2002, the Trusts total capitalization was approximately $648 million, $351 million and $143
million, respectively. FISCAL YEAR 2004 % OF TOTAL
    
    TRADINGMARKET SECTOR
    
    VALUE AT RISK
    
    CAPITALIZATION
    
    GAIN/LOSS*Currencies
    
    $
    31,089,000
    
    
    4.79
%
    
    2.12
%Stock Indices
    
    
    29,956,000
    
    
    4.62
%
    
    (1.96
)%Interest Rates
    
    
    17,156,000
    
    
    2.65
%
    
    12.54
%Energy
    
    
    4,057,000
    
    
    0.63
%
    
    1.68
%Metals
    
    
    1,161,000
    
    
    0.18
%
    
    (0.64
)%Agricultural
    
    
    611,000
    
    
    0.09
%
    
    0.49
%TOTAL
    
    $
    84,030,000
    
    
    12.96
%
    
    14.23
%
   * -
 FISCAL YEAR 2003 % OF TOTAL
    
    TRADINGMARKET SECTOR
    
    VALUE AT RISK
    
    CAPITALIZATION
    
    GAIN/LOSS*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
)%Agricultural
    
    
    75,000
    
    
    0.02
%
    
    (1.11
)%TOTAL
    
    $
    47,399,000
    
    
    13.48
%
    
    25.13
%
   * -
 15




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##### 



FISCAL YEAR 2002 % OF TOTAL
    
    TRADINGMARKET SECTOR
    
    VALUE AT RISK
    
    CAPITALIZATION
    
    GAIN/LOSS*Currencies
    
    $
    4,935,000
    
    
    3.46
%
    
    5.87
%Energy
    
    
    3,487,000
    
    
    2.44
%
    
    (2.34
)%Interest Rates
    
    
    2,027,000
    
    
    1.42
%
    
    14.71
%Stock Indices
    
    
    1,245,000
    
    
    0.87
%
    
    3.47
%Metals
    
    
    383,000
    
    
    0.27
%
    
    (0.34
)%Agricultural
    
    
    356,000
    
    
    0.25
%
    
    (0.39
)%TOTAL
    
    $
    12,433,000
    
    
    8.71
%
    
    20.98
%
   * -
 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. 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 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 16




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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 December 31,
2004, by market sector. Currencies Exchange rate risk is the principal 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. Campbell & Company does not anticipate that the
risk profile of the Trusts currency sector will change significantly in the future. 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. However, the Trust also takes
positions in the government debt of Switzerland. Campbell & Company anticipates that G-7
interest rates will remain the primary market exposure of the Trust for the foreseeable
future. The changes in interest rates which have the most effect on the Trust are changes in
long-term, as opposed to short-term rates. Most of the speculative positions held by the
Trust are in medium- to long-term instruments. 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 December 31, 2004, the Trusts
primary exposures were in the Euro STOXX 50, DAX (Germany), S&P 500 (USA), NASDAQ (USA) and
IBEX (Spain) 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. As of
December 31, 2004, crude oil and natural gas are the dominant energy market exposures of the
Trust. 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 2004. 17




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##### 



Agricultural During 2004, the Trusts agricultural exposure was to wheat, corn, coffee and cotton.
The risk allocation to the agricultural sector was 1% to 3% of the Trusts portfolio during
2004. Qualitative Disclosures Regarding Non-Trading Risk Exposure The following were the only non-trading risk exposures of the Trust as of December 31,
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 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 the Trust and Campbell & Company, severally, attempt to manage the
risk of the Trusts open positions is essentially the same in all market categories traded.
Campbell & Company applies risk management policies to its trading which generally limit the
total exposure that may be taken per risk unit of assets under management. In addition,
Campbell & Company follows diversification guidelines (often formulated in terms of the
balanced volatility
between markets and correlated groups), as well as 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 8.Financial Statements and Supplementary Data Financial statements meeting the requirements of Regulation S-X appear beginning on Page 25 of
this report. The supplementary financial information specified by Item 302 of Regulation S-K is
included in Item 6. Selected Financial Data. 18




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##### 



Item 9. Changes in and Disagreements with Accountants on Accounting
and Financial Disclosure None. Item 9A. 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 annual 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
quarterly that have materially affected, or is reasonably likely to materially affect, internal
control over financial reporting applicable to the Trust. Item 9B. Other
Information There was no information required to be disclosed in a report on Form
8-K during the fourth quarter of 2004 that was not reported on
Form 8-K. PART III Item 10. Directors and Executive Officers of the Registrant The Registrant has no directors or executive officers. The Registrant has no employees. It
is managed by Campbell & Company in its capacity as managing operator. Campbell & Company has been
registered as a commodity pool operator (CPO) since September 1982. Its main business address is
210 West Pennsylvania Avenue, Towson, Maryland 21204, (410) 296-3301. Campbell & Companys
directors and executive officers are as follows: Theresa D. Becks, born in 1963, joined Campbell & Company in June 1991 and has served as the Chief
Financial Officerand Treasurersince 1992, and Secretaryand a Directorsince 1994. In addition to
her role as CFO, Ms. Becks also oversees administration, compliance and trade operations. Ms. Becks
is currently a member of the Board of Directors of the Managed Funds Association. From 1987 to
1991, she was employed by Bank Maryland Corp, a publicly held company, as a Vice President and
Chief Financial Officer. Prior to that time, she worked with Ernst & Young. Ms. Becks is a C.P.A.
and has a B.S. in Accounting from the University of Delaware. Ms. Becks is an Associated Person of
Campbell & Company. D. Keith Campbell, born in 1942, has served as the Chairman of the Board of Directorsof Campbell &
Company since it began operations, was President until 1994, and was Chief Executive Officer until
1997. Mr. Campbell is the majority voting stockholder of Campbell & Company. From 1971 to 1978, he
was a registered representative of a futures commission merchant. Mr. Campbell has acted as a
commodity trading advisor since 1972 when, as general partner of the Campbell Fund, a limited
partnership engaged in commodity futures trading, he assumed sole responsibility for trading
decisions made on behalf of the Fund. Since then, he has applied various technical trading models
to numerous discretionary futures trading accounts. Mr. Campbell is registered with the CFTC and
NFA as a commodity pool operator. Mr. Campbell is an Associated Person of Campbell & Company. William C. Clarke, III, born in 1951, joined Campbell & Company in June 1977 and has served as an
Executive Vice Presidentsince 1991 and a Directorsince 1984. Mr. Clarke holds a B.S. in Finance
from Lehigh University where he graduated in 1973. Mr. Clarke currently oversees all aspects of
research, which involves the development of proprietary trading models and portfolio management
methods. Mr. Clarke is an Associated Person of Campbell & Company. Bruce L. Cleland, born in 1947, joined Campbell & Company in January 1993 and has served as
Presidentand a Directorsince 1994, and Chief Executive Officersince 1997. Mr. Cleland has worked
in the international derivatives industry since 1973, and has owned and managed firms engaged in
global clearing, floor brokerage, trading and portfolio management. Mr. Cleland is currently a
member of the Board of Directors of the National Futures Association, and previously served as a
member of the Board 19




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##### 



of Directors of the Managed Funds Association and as a member of the Board of Governors of the
COMEX, in New York. Mr. Cleland is a graduate of Victoria University in Wellington, New Zealand
where he earned a Bachelor of Commerce and Administration degree. Mr. Cleland is an Associated
Person of Campbell & Company. Kevin M. Heerdt, born in 1958, joined Campbell & Company in March 2003 as Executive Vice
President-Research and has served as Executive Vice
President-Research
since then. His duties include risk management, research, and the development of
quantitatively based hedge fund and options strategies. From February 2002 to March 2003, he was self-employed through
Integrity Consulting. Previously, Mr. Heerdt worked for twelve years at Moore Capital Management,
Inc., where he was a Director until 1999, and a Managing Director from 2000 to 2002. Mr. Heerdt
holds a B.A. in Economics and in International Relations from the University of Southern
California. Mr. Heerdt is an Associated Person of Campbell & Company. James M. Little, born in 1946, joined Campbell & Company in April 1990 and has served as Executive
Vice President-Business Developmentand a Directorsince 1992. Mr. Little holds a B.S. in Economics
and Psychology from Purdue University. From 1989 to 1990, Mr. Little was a registered
representative of A.G. Edwards & Sons, Inc. From 1984 to 1989, he was the Chief Executive Officer
of James Little & Associates, Inc., a commodity pool operator and broker-dealer. Mr. Little is the
co-author of The Handbook of Financial Futures, and is a frequent contributor to investment
industry publications. Mr. Little is an Associated Person of Campbell & Company. Craig A. Weynand, born in 1969, joined Campbell & Company in October 2003 as Vice Presidentand has
served as General Counselsince November 2003. In this capacity, he is involved in all aspects of
legal affairs and regulatory oversight, as well as managerial
oversight of compliance and trade operations. From
May 1990 to September 2003, Mr. Weynand was employed by Morgan Stanley, serving as Senior Trader
for Morgan Stanley Futures and Currency Management Inc., a commodity trading advisor, until 1998
and as Vice President  Director of Product Origination & Analysis for the Morgan Stanley Managed
Futures Department until his departure. Mr. Weynand holds a B.S. in International Business and
Marketing and an M.B.A. in Economics from New York University, and a J.D. from the Fordham
University School of Law. Mr. Weynand is a member of the New York State Bar and serves on the
Government Relations Committee of the Managed Funds Association. Mr. Weynand is an Associated
Person of Campbell & Company. C. Douglas York, born in 1958, has been employed by Campbell & Company since November 1992, was
appointed a Senior Vice President-Trading in 1997, and has served as Executive Vice
President-Tradingsince 2003. His duties include managing daily trade execution for the assets
under Campbell & Companys management. From 1991 to 1992, Mr. York was the Global Foreign Exchange
Manager for Black & Decker. He holds a B.A. in Government from Franklin and Marshall College. Mr.
York is an Associated Person of Campbell & Company. There has never been a material administrative, civil or criminal action brought against Campbell &
Company or any of its directors, executive officers, promoters or control persons. No Forms 3, 4, or 5 have been furnished to the Registrant since inception. To the best of the
Registrants knowledge, no such forms have been or are required to be filed. Audit Committee Financial Expert The Board of Directors of Campbell & Company, in its capacity as the audit committee for the Trust,
has determined that Theresa D. Becks qualifies as an audit committee financial expert in
accordance with the applicable rules and regulations of the Securities and Exchange Commission.
She is not independent of management. 20




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##### 



Code of Ethics Campbell & Company has adopted a code of ethics for its chief executive officer, chief financial
officer, controller, accounting managers and persons performing similar functions. A copy of the
code of ethics may be obtained at no charge by written request to Campbell & Companys corporate
secretary, Court Towers Building, 210 West Pennsylvania Ave., Suite 770, Towson, Maryland 21204 or
by calling 1-800-698-7235. Item 11. Executive Compensation The Trust does not itself have any officers, directors or employees. The Trust pays
management fees and performance fees to Campbell & Company. The directors and managing officers of
Campbell & Company are remunerated by Campbell & Company in their respective positions. The
directors and managing officers receive no other compensation from the Trust. There are no
compensation plans or arrangements relating to a change in control of either the Trust or Campbell
& Company. Campbell & Company receives from the Trust (i) a monthly management fee of 1/3 of 1% of the
Trusts month-end net assets, totaling approximately 4% of average month-end net assets per year;
and (ii) a quarterly performance fee of 20% of the aggregate cumulative appreciation in the net
asset value per Unit at the end of each quarter, exclusive of appreciation attributable to interest
income. Campbell & Company may pay a portion or all of its monthly management fee on an ongoing
basis to selected selling agents who have sold the units, in return for their provision of ongoing
services to the Unitholders. Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Shareholder
Matters  (a)
    Security Ownership of Certain Beneficial Owners. As of December 31, 2004, no Units of
Beneficial Interest are owned or held by an officer of Campbell & Company.(b)
    Security Ownership of Management. As of December 31, 2004, Campbell & Company
owned 20.360 Units of Beneficial Interest having a value of $49,064. Item 13. Certain Relationships and Related Transactions See Item 11, Executive Compensation and Item 12, Security Ownership of Certain Beneficial
Owners and Management. Item 14. Principal
Accounting Fees and Services  (a)
    Audit Fees 

The aggregate fees billed for professional services rendered by Arthur F. Bell, Jr. &
Associates, L.L.C. (AFB) for the audit of the Trusts annual financial statements, for
review of financial statements included in the Trusts Forms 10-Q and other services
normally provided in connection with regulatory filings for the years ended December 31,
2004 and 2003 were $27,975 and $27,190, respectively.  (b)
    Audit Related Fees 
The aggregate fees billed by AFB for the monthly recalculation of the Trusts net asset
value for the years ended December 31, 2004 and 2003 were $7,175 and $6,900,
respectively.  (c)
    Tax Fees 

The aggregate fees billed by AFB for professional services rendered for the preparation
and filing of the Trusts Schedule K-1s and all necessary federal and state tax returns
for the years ended December 31, 2004 and 2003 were $36,648 and $24,312, respectively.
During the years ended December 31, 2004 and 2003, a total of 2,378 and 1,412 individual
investor K-1s, respectively, were distributed to the Unitholders. 21




---



##### 



(d)
    All Other Fees The aggregate fees and expenses billed by AFB for professional services, and related
cost reimbursement for postage, supplies and fulfillment house expenses, rendered for
the assistance in the preparation and mailing of the Trusts monthly account statements
to Unitholders, utilizing data, narrative and other items provided by Campbell & Company
for the years ended December 31, 2004 and 2003 were $41,060 and $30,142, respectively.
During the years ended December 31, 2004 and 2003, a total of 32,670 and 26,046 monthly
account statements respectively, were distributed to Unitholders.  (e)
    The Board of Directors of Campbell & Company approved all of the services
described above. The Board of Directors has determined that the payments made to its
independent accountants for these services are compatible with maintaining such
auditors independence. The Board of Directors explicitly pre-approves all audit and
non-audit services and all engagement fees and terms. PART IV Item 15. Exhibits, Financial Statement Schedules, and Reports on Form 8-K  (a)
    The Following documents are filed as part of this report:  (1)
    See Financial Statements beginning on page 25 hereof.(2)
    Schedules: Financial statement schedules have been omitted because they are not included
in the financial statements or notes hereto applicable or because equivalent
information has been included in the financial statements or notes thereto.  (3)
    Exhibits Exhibit Number                               Description of Document 1.01
    Form of Selling Agreement among the Registrant, Campbell &
Company and the Selling Agent. (Incorporated by reference to the respective
exhibit to the Registrants Form 10 (No. 0-50264) filed on April 30, 2003.)3.01
    Articles and Plan of Merger of the Campbell Fund Limited
Partnership with and into the Registrant dated January 2, 1996. (Incorporated
by reference to the respective exhibit to the Registrants Form 10 (No.
0-50264) filed on April 30, 2003.)3.02
    Declaration of Trust and Trust Agreement of the Registrant
dated January 2, 1996. (Incorporated by reference to the respective exhibit to
the Registrants Form 10 (No. 0-50264) filed on April 30, 2003.)3.03
    Certificate of Trust of the Registrant dated January 2, 1996.
(Incorporated by reference to the respective exhibit to the Registrants Form
10 (No. 0-50264) filed on April 30, 2003.)10.01
    Advisory Agreement between the Registrant and Campbell &
Company. (Incorporated by reference to the respective exhibit to the
Registrants Form 10 (No. 0-50264) filed on April 30, 2003.)10.02
    Customer Agreement between the Registrant, Campbell & Company
and ABN AMRO Incorporated. (Incorporated by reference to the respective exhibit
to the Registrants Form 10 (No. 0-50264) filed on April 30, 2003.)10.03
    Form of Subscription Agreement and Power of Attorney.
(Incorporated by reference to the respective exhibit to the Registrants Form
10 (No.  0-50264) filed on April 30, 2003.)10.04
    International Swap Dealers Association, Inc. Master Agreement
between the Registrant, Campbell & Company and ABN AMRO Bank, N.V., Chicago
Branch. (Incorporated by reference to the respective exhibit to the
Registrants Form 10 (No.
0-50264) filed on April 30, 2003.)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.
 22




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##### 



Exhibits (continued) Exhibit Number
   Description of Document    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.  (b)
    Reports on Form 8-KNone.  23




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##### 



SIGNATURES Pursuant to the requirements of Section 13 or 15 (d) 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 on March 29, 2005. THE CAMPBELL FUND TRUSTBy:
    
    CAMPBELL & COMPANY, INC.Managing OperatorBy:
    
    /s/ Theresa D. BecksTheresa D. BecksChief Financial Officer, Secretary,Treasurer and Director
 Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been
signed below by the following persons on behalf of the Registrant in the capacities indicated on
March 29, 2005. Signature
    
    Capacity/s/ D. Keith CampbellD. Keith Campbell
    
    Chairman of the Board/s/ William C. Clarke, IIIWilliam C. Clarke, III
    
    Executive Vice President and Director/s/ Bruce L. ClelandBruce L. Cleland
    
    President, Chief Executive Officer and Director/s/ Theresa D. BecksTheresa D. Becks
    
    Chief Financial Officer, Secretary, Treasurer and Director/s/ James M. LittleJames M. Little
    
    Executive Vice President and Director/s/ C. Douglas YorkC. Douglas York
    
    Executive Vice President and Director
 24




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##### 



THE CAMPBELL FUND TRUST ANNUAL REPORT December 31, 2004         25




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##### 



THE CAMPBELL FUND TRUST INDEX PAGESIndependent Auditors Report
    

    27Financial StatementsStatements
of Financial Condition
December 31, 2004 and 2003
    

    28Condensed Schedules of Investments
December 31, 2004 and 2003
    

    29-30Statements of Operations For the Years
Ended December 31, 2004, 2003 and 2002
    

    31Statements of Cash Flows For the Years
Ended December 31, 2004, 2003 and 2002
    

    32Statements
of Changes in Unitholders Capital (Net Asset Value)
For the Years Ended December 31, 2004, 2003 and 2002
    

    33Notes to Financial Statements
    

    34-38
 26




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##### 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Unitholders
The Campbell Fund Trust We have audited the accompanying statements of financial condition of The Campbell Fund Trust,
including the condensed schedules of investments, as of December 31, 2004 and 2003, and the related
statements of operations, cash flows and changes in unitholders capital (net asset value) for the
years ended December 31, 2004, 2003 and 2002. These financial statements are the responsibility of
the Trusts management. Our responsibility is to express an opinion on these financial statements
based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. The Trust is not required to have, nor were we engaged
to perform, an audit of its internal control over financial
reporting. Our audits included consideration of internal control
over financial reporting as a basis for designing audit procedures
that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Funds internal
control over financial reporting. Accordingly, we express no such
opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the
financial statements. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements referred to above present fairly, in all material
respects, the financial position of The Campbell Fund Trust as of December 31, 2004 and 2003, and
the results of its operations, cash flows and the changes in its net asset values for the years
ended December 31, 2004, 2003 and 2002, in conformity with U.S. generally accepted accounting
principles. /s/ Arthur F. Bell, Jr. & Associates, L.L.C. Hunt Valley, Maryland
March 22, 2005 27




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##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF FINANCIAL CONDITION
December 31, 2004 and 2003   2004
    
    
    2003ASSETSEquity in broker trading accountsCash
    
    $
    24,970,812
    
    
    $
    10,949,208United States government securities
    
    
    318,991,367
    
    
    
    144,322,133Unrealized gain on open futures contracts
    
    
    9,219,986
    
    
    
    6,048,369Deposits with broker
    
    
    353,182,165
    
    
    
    161,319,710Cash and cash equivalents
    
    
    134,055,510
    
    
    
    115,561,739United States government securities
    
    
    218,933,061
    
    
    
    89,943,762Unrealized gain (loss) on open forward currency contracts
    
    
    (10,914,970
    )
    
    
    11,809,140Total assets
    
    $
    695,255,766
    
    
    $
    378,634,351LIABILITIESAccounts payable
    
    $
    67,123
    
    
    $
    46,488Commissions and other trading fees
on open contracts
    
    
    162,993
    
    
    
    83,342Management fee
    
    
    2,168,734
    
    
    
    1,184,980Performance fee
    
    
    0
    
    
    
    2,717,685Prepaid subscriptions
    
    
    44,405,562
    
    
    
    23,010,493Total liabilities
    
    
    46,804,412
    
    
    
    27,042,988UNITHOLDERS
CAPITAL (Net Asset Value)Managing Operator  20.360 units outstanding
at December 31, 2004 and 2003
    
    
    49,064
    
    
    
    45,242Unitholders  269,068.569 and 158,203.505 units
outstanding at December 31, 2004 and 2003
    
    
    648,402,290
    
    
    
    351,546,121Total unitholders capital
(Net Asset Value)
    
    
    648,451,354
    
    
    
    351,591,363$
    695,255,766
    
    
    $
    378,634,351
 See accompanying notes. 28




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##### 



THE CAMPBELL FUND TRUST CONDENSED SCHEDULE OF INVESTMENTS
     UNITED STATES GOVERNMENT SECURITIES Maturity
    
    
    
    
    
    
    
    
    % of NetFace Value
    
    
    
    Date
    
    
    Description
    
    Value
    
    
    Asset Value$
    185,000,000
    
    
    
    03/31/05
    
    
    U.S. Treasury Bills
    
    $
    184,025,821
    
    
    
    28.38
    %$
    115,000,000
    
    
    
    03/10/05
    
    
    U.S. Treasury Bills
    
    
    114,525,369
    
    
    
    17.66
    %$
    64,000,000
    
    
    
    02/10/05
    
    
    U.S. Treasury Bills
    
    
    63,856,355
    
    
    
    9.85
    %$
    55,000,000
    
    
    
    02/17/05
    
    
    U.S. Treasury Bills
    
    
    54,852,538
    
    
    
    8.46
    %$
    55,000,000
    
    
    
    03/24/05
    
    
    U.S. Treasury Bills
    
    
    54,733,158
    
    
    
    8.44
    %$
    48,000,000
    
    
    
    01/06/05
    
    
    U.S. Treasury Bills
    
    
    47,988,967
    
    
    
    7.40
    %$
    18,000,000
    
    
    
    02/24/05
    
    
    U.S. Treasury Bills
    
    
    17,942,220
    
    
    
    2.77
    %Total United States government securities
(cost, including accrued interest,  $537,924,428)
    $
    537,924,428
    
    
    
    82.96
    %
 LONG FUTURES CONTRACTS % of NetDescription
    
    Value
    
    
    Asset ValueAgricultural
    
    $
    382,106
    
    
    
    0.06
    %Energy
    
    
    (953,863
    )
    
    
    (0.15
    )%Metals
    
    
    298,815
    
    
    
    0.04
    %Stock indices
    
    
    4,538,420
    
    
    
    0.70
    %Short-term interest rates
    
    
    (401,167
    )
    
    
    (0.06
    )%Long-term interest rates
    
    
    5,181,996
    
    
    
    0.80
    %Total long futures contracts
    $
    9,046,307
    
    
    
    1.39
    %
 SHORT FUTURES CONTRACTS % of NetDescription
    
    Value
    
    
    Asset ValueAgricultural
    
    $
    66,570
    
    
    
    0.01
    %Metals
    
    
    (588,298
    )
    
    
    (0.09
    )%Short-term interest rates
    
    
    697,760
    
    
    
    0.11
    %Long-term interest rates
    
    
    (2,353
    )
    
    
    0.00
    %Total short futures contracts
    $
    173,679
    
    
    
    0.03
    %Total futures contracts
    $
    9,219,986
    
    
    
    1.42
    %
 FORWARD CURRENCY CONTRACTS % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    $
    18,749,263
    
    
    
    2.89
    %Various short forward currency contracts
    
    (29,664,233
    )
    
    
    (4.57
    )%Total forward currency contracts
    $
    (10,914,970
    )
    
    
    (1.68
    )%
 See accompanying notes. 29




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##### 

\

THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2003    UNITED STATES GOVERNMENT SECURITIES Maturity
    
    
    
    
    
    
    
    
    % of NetFace Value
    
    
    
    Date
    
    
    Description
    
    Value
    
    
    Asset Value$
    65,000,000
    
    
    
    02/19/04
    
    
    U.S. Treasury Bills
    
    $
    64,919,830
    
    
    
    18.46
    %$
    45,000,000
    
    
    
    01/02/04
    
    
    U.S. Treasury Bills
    
    
    44,998,888
    
    
    
    12.80
    %$
    40,000,000
    
    
    
    03/11/04
    
    
    U.S. Treasury Bills
    
    
    39,931,944
    
    
    
    11.36
    %$
    33,000,000
    
    
    
    01/08/04
    
    
    U.S. Treasury Bills
    
    
    32,994,385
    
    
    
    9.38
    %$
    22,500,000
    
    
    
    03/25/04
    
    
    U.S. Treasury Bills
    
    
    22,454,588
    
    
    
    6.39
    %$
    21,000,000
    
    
    
    02/12/04
    
    
    U.S. Treasury Bills
    
    
    20,977,460
    
    
    
    5.97
    %$
    8,000,000
    
    
    
    02/26/04
    
    
    U.S. Treasury Bills
    
    
    7,988,800
    
    
    
    2.27
    %Total United States government securities
(cost, including accrued interest,  $234,265,895)
   $
    234,265,895
    
    
    
    66.63
    %
 LONG FUTURES CONTRACTS % of NetDescription
    
    Value
    
    
    Asset ValueAgricultural
    
    $
    9,600
    
    
    
    0.00
    %Energy
    
    
    1,163,847
    
    
    
    0.33
    %Metals
    
    
    543,990
    
    
    
    0.16
    %Stock indices
    
    
    5,214,137
    
    
    
    1.48
    %Short-term interest rates
    
    597,526
    
    
    
    0.17
    %Long-term interest rates
    
    (917,473
    )
    
    
    (0.26
    )%Total long futures contracts
    $
    6,611,627
    
    
    
    1.88
    %
 SHORT FUTURES CONTRACTS % of NetDescription
    
    Value
    
    
    Asset ValueAgricultural
    
    $
    (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
    %
 FORWARD CURRENCY CONTRACTS % of NetDescription
    
    Value
    
    
    Asset ValueVarious 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
    %
 See accompanying notes. 30




---



##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF OPERATIONS
For the Years Ended December 31, 2004, 2003 and 2002    2004
    
    
    2003
    
    
    2002TRADING GAINSFutures trading gains (losses)Realized
    
    $
    58,773,406
    
    
    $
    (15,973,938
    )
    
    $
    12,034,345Change in unrealized
    
    
    3,171,617
    
    
    
    3,761,793
    
    
    
    2,485,339Brokerage commissions
    
    
    (1,418,687
    )
    
    
    (1,097,308
    )
    
    
    (484,788
    )Gain (loss) from futures trading
    
    
    60,526,336
    
    
    
    (13,309,453
    )
    
    
    14,034,896Forward currency trading gains (losses)Realized
    
    
    26,429,299
    
    
    
    61,318,645
    
    
    
    6,956,076Change in unrealized
    
    
    (22,724,110
    )
    
    
    9,708,165
    
    
    
    (1,262,834
    )Brokerage commissions
    
    
    (172,043
    )
    
    
    (122,545
    )
    
    
    (52,459
    )Gain from forward currency trading
    
    
    3,533,146
    
    
    
    70,904,265
    
    
    
    5,640,783Total trading gains
    
    
    64,059,482
    
    
    
    57,594,812
    
    
    
    19,675,679EXPENSES NET OF INTEREST INCOMEIncomeInterest income
    
    
    6,710,489
    
    
    
    2,608,007
    
    
    
    1,544,116ExpensesManagement fee
    
    
    21,280,557
    
    
    
    10,875,410
    
    
    
    3,959,969Performance fee
    
    
    14,594,954
    
    
    
    8,420,623
    
    
    
    3,224,518Operating expenses
    
    
    145,685
    
    
    
    115,388
    
    
    
    61,493Total expenses
    
    
    36,021,196
    
    
    
    19,411,421
    
    
    
    7,245,980Expenses net of interest income
    
    
    (29,310,707
    )
    
    
    (16,803,414
    )
    
    
    (5,701,864
    )NET INCOME
    
    $
    34,748,775
    
    
    $
    40,791,398
    
    
    $
    13,973,815NET INCOME PER MANAGING OPERATOR
AND UNITHOLDERS UNIT(based on weighted average number
of units outstanding during the year)
    
    $
    154.59
    
    
    $
    319.99
    
    
    $
    247.02INCREASE IN NET ASSET VALUE
PER MANAGING OPERATOR AND
UNITHOLDERS UNIT
    
    $
    187.69
    
    
    $
    347.18
    
    
    $
    239.20
 See accompanying notes. 31




---



##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF CASH FLOWS
For the Years Ended December 31, 2004, 2003 and 2002    2004
    
    
    2003
    
    
    2002Cash flows from (for) operating activitiesNet income
    
    $
    34,748,775
    
    
    $
    40,791,398
    
    
    $
    13,973,815Adjustments to reconcile net income to
net cash (for) operating activitiesNet change in unrealized
    
    
    19,552,493
    
    
    
    (13,469,958
    )
    
    
    (1,222,505
    )Increase (decrease) in accounts payable
and accrued expenses
    
    
    (1,633,645
    )
    
    
    3,486,688
    
    
    
    278,679Net (purchases) of investments in
United States government securities
    
    
    (303,658,533
    )
    
    
    (118,199,944
    )
    
    
    (70,185,206
    )Net cash (for) operating activities
    
    
    (250,990,910
    )
    
    
    (87,391,816
    )
    
    
    (57,155,217
    )Cash flows from (for) financing activitiesAddition of units
    
    
    290,996,895
    
    
    
    177,832,783
    
    
    
    66,865,293(Increase) decrease in subscriptions receivable
    
    
    0
    
    
    
    0
    
    
    
    24,405Increase (decrease) in subscription deposits
    
    
    0
    
    
    
    (3,337,000
    )
    
    
    3,337,000Increase (decrease) in prepaid subscriptions
    
    
    21,395,069
    
    
    
    (10,344,942
    )
    
    
    27,732,672Redemption of units
    
    
    (28,885,679
    )
    
    
    (9,706,876
    )
    
    
    (7,298,981
    )Increase (decrease) in redemptions payable
    
    
    0
    
    
    
    0
    
    
    
    (143,389
    )Net cash from financing activities
    
    
    283,506,285
    
    
    
    154,443,965
    
    
    
    90,517,000Net increase in cash and cash equivalents
    
    
    32,515,375
    
    
    
    67,052,149
    
    
    
    33,361,783Cash and cash equivalentsBeginning of year
    
    
    126,510,947
    
    
    
    59,458,798
    
    
    
    26,097,015End of year
    
    $
    159,026,322
    
    
    $
    126,510,947
    
    
    $
    59,458,798End of year cash and cash equivalents consists of:Cash in broker trading accounts
    
    $
    24,970,812
    
    
    $
    10,949,208
    
    
    $
    4,746,830Cash and cash equivalents
    
    
    134,055,510
    
    
    
    115,561,739
    
    
    
    54,711,968Total end of year cash and
cash equivalents
    
    $
    159,026,322
    
    
    $
    126,510,947
    
    
    $
    59,458,798
 See accompanying notes. 32




---



##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS CAPITAL (NET ASSET VALUE)
For the Years Ended December 31, 2004, 2003 and 2002    Total
    
    
    Unitholders CapitalNumber of
    
    
    ManagingUnits
    
    
    Operator
    
    
    Unitholders
    
    
    TotalBalances atDecember 31, 2001
    
    
    42,264.947
    
    
    $
    33,303
    
    
    $
    69,100,628
    
    
    $
    69,133,931Net income for the year
ended December 31, 2002
    
    
    
    
    
    
    4,871
    
    
    
    13,968,944
    
    
    
    13,973,815Additions
    
    
    38,309.344
    
    
    
    0
    
    
    
    66,865,293
    
    
    
    66,865,293Redemptions
    
    
    (4,478.563
    )
    
    
    0
    
    
    
    (7,298,981
    )
    
    
    (7,298,981
    )Balances atDecember 31, 2002
    
    
    76,095.728
    
    
    
    38,174
    
    
    
    142,635,884
    
    
    
    142,674,058Net income for the year
ended December 31, 2003
    
    
    
    
    
    
    7,068
    
    
    
    40,784,330
    
    
    
    40,791,398Additions
    
    
    86,831.994
    
    
    
    0
    
    
    
    177,832,783
    
    
    
    177,832,783Redemptions
    
    
    (4,703.857
    )
    
    
    0
    
    
    
    (9,706,876
    )
    
    
    (9,706,876
    )Balances atDecember 31, 2003
    
    
    158,223.865
    
    
    
    45,242
    
    
    
    351,546,121
    
    
    
    351,591,363Net income for the year
ended December 31, 2004
    
    
    
    
    
    
    3,822
    
    
    
    34,744,953
    
    
    
    34,748,775Additions
    
    
    123,200.764
    
    
    
    0
    
    
    
    290,996,895
    
    
    
    290,996,895Redemptions
    
    
    (12,335.700
    )
    
    
    0
    
    
    
    (28,885,679
    )
    
    
    (28,885,679
    )Balances atDecember 31, 2004
    
    
    269,088.929
    
    
    $
    49,064
    
    
    $
    648,402,290
    
    
    $
    648,451,354
 Net Asset Value per UnitDecember 31,2004
    
    
    2003
    
    
    2002$
    2,409.80
    
    
    $
    2,222.11
    
    
    $
    1,874.93
 See accompanying notes. 33




---



##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS     Note 1.
    ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES  A.
    General Description of the TrustThe Campbell Fund Trust (the Trust) is a Delaware statutory trust which operates as a
commodity investment pool. The Trust engages in the speculative trading of futures
contracts and forward currency contracts.B.
    RegulationThe Trust is a registrant with the Securities and Exchange Commission (SEC) pursuant
to the Securities Exchange Act of 1934 (the Act). As a registrant, the Trust is
subject to the regulations of the SEC and the informational requirements of the Act.
As a commodity investment pool, the Trust is subject to the regulations of the
Commodity Futures Trading Commission, an agency of the United States (U.S.)
government which regulates most aspects of the commodity futures industry; rules of
the National Futures Association, an industry self-regulatory organization; and the
requirements of the various commodity exchanges where the Trust executes
transactions. Additionally, the Trust is subject to the requirements of futures
commission merchants (brokers) and interbank market makers through which the Trust
trades.C.
    Method of ReportingThe Trusts financial statements are presented in accordance with U.S. generally
accepted accounting principles, which require the use of certain estimates made by
the Trusts management. Investment transactions are accounted for on the trade date.
Gains or losses are realized when contracts are liquidated. Unrealized gains and
losses on open contracts (the difference between contract trade price and market
price) are reported in the statement of financial condition as a net gain or loss, as
there exists a right of offset of unrealized gains or losses in accordance with
Financial Accounting Standards Board Interpretation No. 39  Offsetting of Amounts
Related to Certain Contracts. The market value of futures (exchange-traded)
contracts is determined by the various futures exchanges, and reflects the settlement
price for each contract as of the close of the last business day of the reporting
period. The market value of forward currency (non-exchange traded) contracts is
extrapolated on a forward basis from the spot prices quoted as of 5:00 P.M. (E.T.) of
the last business day of the reporting period. Any change in net unrealized gain or
loss from the preceding period is reported in the statement of operations. Brokerage
commissions include other trading fees and are charged to expense when contracts are
opened. United States government securities are stated at cost plus accrued
interest, which approximates market value.For purposes of both financial reporting and calculation of redemption value, Net
Asset Value per unit is calculated by dividing Net Asset Value by the number of units
outstanding. 34




---



##### 



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.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 currently.  Note 2.
    MANAGING OPERATOR AND COMMODITY TRADING ADVISORThe managing operator of the Trust is Campbell & Company, Inc.,
(Campbell & Company) which conducts and manages the business of
the Trust. Campbell & Company is also the commodity trading
advisor of the Trust.
The Trust pays the managing operator a monthly management fee
equal to 1/3 of 1% (4% annually) of the Net Assets (as defined in
the Declaration of Trust and Trust Agreement) of the Trust as of
the end of each month and a quarterly performance fee equal to 20%
of the aggregate cumulative appreciation in Net Asset Value per
Unit (as defined) exclusive of appreciation attributable to
interest income.Note 3.
    TRUSTEEThe trustee of the Trust is Delaware Trust Capital Management,
Inc., a Delaware banking corporation. The trustee has delegated to
the managing operator the duty and authority to manage the
business and affairs of the Trust and has only nominal duties and
liabilities with respect to the Trust. 35




---



##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)     Note 4.
    DEPOSITS WITH BROKERThe Trust deposits assets with ABN AMRO Incorporated to act as
broker, subject to Commodity Futures Trading Commission
regulations and various exchange and broker requirements. Margin
requirements are satisfied by the deposit of U.S. Treasury bills
and cash with such broker. The Trust pays interest if deposits
are below required levels and earns interest on excess deposits
with the broker.Note 5.
    SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONSInvestments in the Trust are made by subscription agreement,
subject to acceptance by the managing operator. Effective January
1, 2005 and 2004, additions of $44,625,092 and $23,010,493,
respectively, were made to the Trust.The Trust is not required to make distributions, but may do so at
the sole discretion of the managing operator. A Unitholder may
request and receive redemption of units owned, subject to
restrictions in the Declaration of Trust and Trust Agreement. At
December 31, 2004 and 2003, there were requests for redemptions of
$6,764,484 and $1,515,033 effective January 1, 2005 and 2004,
respectively.Note 6.
    TRADING ACTIVITIES AND RELATED RISKSThe Trust engages in the speculative trading of U.S. and foreign
futures contracts and forward currency contracts (collectively,
derivatives). The Trust is exposed to both market risk, the
risk arising from changes in the market value of the contracts,
and credit risk, the risk of failure by another party to perform
according to the terms of a contract.Purchase and sale of futures contracts requires margin deposits
with the broker. Additional deposits may be necessary for any
loss on contract value. The Commodity Exchange Act requires a
broker to segregate all customer transactions and assets from such
brokers proprietary activities. A customers cash and other
property (for example, U.S. Treasury bills) deposited with a
broker are considered commingled with all other customer funds
subject to the brokers segregation requirements. In the event of
a brokers insolvency, recovery may be limited to a pro rata share
of segregated funds available. It is possible that the recovered
amount could be less than total cash and other property deposited.The amount of required margin and good faith deposits with the
broker and interbank market makers usually range from 10% to 30%
of Net Asset Value. The market value of securities held at
December 31, 2004 and 2003 were $537,924,428 and $234,265,895,
respectively, which equals 83% and 67% of Net Asset Value,
respectively. The cash deposited with interbank market makers at
December 31, 2004 and 2003 was $89,619,141 and $92,308,440,
respectively, which equals 14% and 26% of Net Asset Value,
respectively. These amounts are included in cash and cash
equivalents. 36




---



##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)     Note 6.
    TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)The Trust trades forward currency contracts in unregulated markets
between principals and assumes the risk of loss from counterparty
nonperformance. Accordingly, the risks associated with forward
currency contracts are generally greater than those associated
with exchange traded contracts because of the greater risk of
counterparty default. Additionally, the trading of forward
currency contracts typically involves delayed cash settlement.The Trust has a substantial portion of its assets on deposit with
financial institutions. In the event of a financial institutions
insolvency, recovery of Trust assets on deposit may be limited to
account insurance or other protection afforded such deposits.For derivatives, risks arise from changes in the market value of
the contracts. Theoretically, the Trust is exposed to a market
risk equal to the notional contract value of futures and forward
currency contracts purchased and unlimited liability on such
contracts sold short.The unrealized gain (loss) on open futures and forward currency contracts is comprised of
the following: Futures Contracts
    
    
    Forward Currency Contracts(exchange traded)
    
    
    (non-exchange traded)December 31,
    
    
    December 31,
    
    
    December 31,
    
    
    December 31,2004
    
    
    2003
    
    
    2004
    
    
    2003Gross unrealized gains
    
    $
    12,418,105
    
    
    $
    8,084,457
    
    
    $
    25,436,620
    
    
    $
    25,390,198Gross unrealized losses
    
    
    (3,198,119
    )
    
    
    (2,036,088
    )
    
    
    (36,351,590
    )
    
    
    (13,581,058
    )Net unrealized gain (loss)
    
    $
    9,219,986
    
    
    $
    6,048,369
    
    
    $
    (10,914,970
    )
    
    $
    11,809,140
  Open contracts generally mature within three months; as of December 31, 2004, the
latest maturity date for open futures contracts is September 2005, and the latest maturity
date for open forward currency contracts is March 2005. However, the Trust intends to
close all contracts prior to maturity.Campbell & Company has established procedures to actively monitor market risk and minimize
credit risk, although there can be no assurance that it will, in fact, succeed in doing
so. Campbell & Companys basic market risk control procedures consist of continuously
monitoring open positions, diversification of the portfolio and maintenance of a
margin-to-equity ratio that rarely exceeds 30%. Campbell & Company seeks to minimize
credit risk primarily by depositing and maintaining the Trusts assets at financial
institutions and brokers which Campbell & Company believes to be creditworthy. The
unitholders bear the risk of loss only to the extent of the market value of their
respective investments and, in certain specific circumstances, distributions and
redemptions received. 37




---



##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)     Note 7.
    GUARANTEESIn the normal course of business, the Trust enters into contracts and agreements that contain a
variety of representations and warranties and which provide general indemnifications. The
Trusts maximum exposure under these arrangements is unknown, as this would involve future claims
that may be made against the Trust that have not yet occurred. The Trust expects the risk of any
future obligation under these indemnifications to be remote.Note 8.
    FINANCIAL HIGHLIGHTSThe following information presents per unit operating performance data and other
supplemental financial data for the years ended December 31, 2004, 2003 and 2002. This
information has been derived from information presented in the financial statements. 2004
    
    
    2003
    
    
    2002Per Unit Performance(for a unit outstanding throughout the entire year)Net asset value per unit at beginning of year
    
    $
    2,222.11
    
    
    $
    1,874.93
    
    
    $
    1,635.73Income (loss) from operations:Total trading gains (1)
    
    
    318.09
    
    
    
    479.00
    
    
    
    339.99Expenses net of interest income (1)
    
    
    (130.40
    )
    
    
    (131.82
    )
    
    
    (100.79
    )Total income from operations
    
    
    187.69
    
    
    
    347.18
    
    
    
    239.20Net asset value per unit at end of year
    
    $
    2,409.80
    
    
    $
    2,222.11
    
    
    $
    1,874.93Total Return
    
    
    8.45
    %
    
    
    18.52
    %
    
    
    14.62
    %Supplemental DataRatios to average net asset value:Expenses prior to performance fee
    
    
    (4.01
    )%
    
    
    (4.03
    )%
    
    
    (4.10
    )%Performance fee
    
    
    (2.73
    )%
    
    
    (3.09
    )%
    
    
    (3.29
    )%Total expenses
    
    
    (6.74
    )%
    
    
    (7.12
    )%
    
    
    (7.39
    )%Expenses net of interest income (2)
    
    
    (2.75
    )%
    
    
    (3.08
    )%
    
    
    (2.52
    )%
  Total returns are calculated based on the change in value of a unit during the year. 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
year. Total trading gains 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. 38




---



##### 



EXHIBIT INDEX Exhibit Number
    
    Description of Document
    
    Page Number31.01
    
    Certification by Chief Executive Officer
    
    E 231.02
    
    Certification by Chief Financial Officer
    
    E 332.01
    
    Certification by Chief Executive Officer
    
    E 432.02
    
    Certification by Chief Financial Officer
    
    E 5
 E 1