##### 



SECURITIES AND EXCHANGE COMMISSION
 WASHINGTON, D.C. 20549
 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, 2006
 Commission File Number 0-50264 and 2-84126
 OR
 o
    
    TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES 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
 (410)296-3301
 None
  Units of Beneficial Interest
 o þ
 o þ
 þ o
 þ
  o o þ
  o þ
  5.




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##### 



TABLE OF CONTENTS
 PagePART IITEM 1.
    
    BUSINESS
    
    
    1-4ITEM 1A.
    
    RISK FACTORS
    
    
    5-12ITEM 1B.
    
    UNRESOLVED STAFF COMMENTS
    
    
    12ITEM 2.
    
    PROPERTIES
    
    
    13ITEM 3.
    
    LEGAL PROCEEDINGS
    
    
    13ITEM 4.
    
    SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
    
    
    13PART IIITEM 5.
    
    MARKET FOR REGISTRANTS COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES
    
    
    13ITEM 6.
    
    SELECTED FINANCIAL DATA
    
    
    13-14ITEM 7.
    
    MANAGEMENTS DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
    
    
    14-22ITEM 7A.
    
    QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
    
    
    22-27ITEM 8.
    
    FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
    
    
    28ITEM 9.
    
    CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE
    
    
    28ITEM 9A.
    
    CONTROLS AND PROCEDURES
    
    
    28ITEM 9b.
    
    OTHER INFORMATION
    
    
    28PART IIIITEM 10.
    
    DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT
    
    
    28-30ITEM 11.
    
    EXECUTIVE COMPENSATION
    
    
    31ITEM 12.
    
    SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS
    
    
    31ITEM 13.
    
    CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
    
    
    31ITEM 14.
    
    PRINCIPAL ACCOUNTING FEES AND SERVICES
    
    
    31PART IVITEM 15.
    
    EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON FORM 8-K
    
    
    32SIGNATURESCERTIFICATIONS
 i




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##### 



PART I
 Item 1. Business
 General development of business
      Financial information about segments
  Narrative description of business
 General
  1
        Use of Proceeds and Cash Management Income
 Subscription Proceeds and Available Assets.
 i.e.
   Market Sectors.
  Market Types .
   2




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##### 



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.UBS SECURITIES, LLC
    
    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 $8 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.
 3




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##### 



RECIPIENT
    
    NATURE OF PAYMENT
    
    AMOUNT OF PAYMENTOther
    
    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 2006,
2005 and 2004 were
0.02%, 0.03% and
0.03% of the Trusts
net assets,
respectively.
 Regulation
    http://www.sec.gov
 4




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##### 



Item 1A. Risk Factors
 Market Risks
 You Could Possibly Lose Your Total Investment in the Trust
  The Trust is Highly Leveraged
  Your Investment Could be Illiquid
     5




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##### 



Forward and Option Transactions are Over-the-Counter, are Not Regulated and are Subject to Credit Risk
   Options on Futures and Over-the-Counter Contracts are Speculative and Highly Leveraged
  An Investment in the Trust May Not Diversify an Overall Portfolio
   6




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##### 



Trading Risks
 Campbell & Company Analyzes Primarily Technical Market Data
   Increased Competition from Other Trend-Following Traders Could Reduce Campbell & Companys Profitability
  Speculative Position Limits May Alter Trading Decisions for the Trust
  Increase in Assets Under Management May Make Profitable Trading More Difficult
  7




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##### 



Investors Will Not be Able to Review the Trusts Holdings on a Daily Basis
  Tax Risks
 Investors are Taxed Based on Their Share of Trust Income and Gain
   Tax Could be Due from Investors on Their Share of the Trusts Ordinary Income Despite Overall Losses
  There Could be a Limit on the Deductibility of Management and Performance Fees
  Other Risks
 Fees and Commissions are Charged Regardless of Profitability and are Subject to Change
  8




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##### 



The Futures Broker Could Fail
 pro rata
 Investors Must Not Rely on the Past Performance of Either Campbell & Company or the Trust in
Deciding Whether to Buy Units
  Parties to the Trust Have Conflicts of Interest
     There are No Independent Experts Representing Investors
  9




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##### 



The Trust Places Significant Reliance on Campbell & Company
  The Trust Could Terminate Before Expiration of its Stated Term
  The Trust is Not a Regulated Investment Company
  Proposed Regulatory Change is Impossible to Predict
  Forwards, Options, Swaps, Hybrids and Other Derivatives are Not Subject to CFTC Regulation
  10




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##### 



The Trust is Subject to Foreign Market Credit and Regulatory Risk
  The Trust is Subject to Foreign Exchange Risk
  Transfers Could be Restricted
  Restrictions on Investment by ERISA Plans, Employee Retirement Income Security Act of 1974
   A Single-Advisor Fund May be More Volatile Than a Multi-Advisor Fund
  11




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##### 



The Performance Fee Could be an Incentive to Make Riskier Investments
  The Trust May Distribute Profits to Unitholders at Inopportune Times
  Potential Inability to Trade or Report Due to Systems Failure
  Potential Disruption or Inability to Trade Due to a Failure to Receive Timely and Accurate Market
Data from Third Party Vendors
  Item 1B. Unresolved Staff Comments
  12




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##### 



Item 2. Properties
  Item 3. Legal Proceedings
  Item 4. Submission of Matters to a Vote of Security Holders
  PART II
 Item 5.
    
    Market for Registrants Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities
    Item 6. Selected Financial Data
 Dollars in thousands, except per Unit amounts
 For the Year Ended December 31,2006
    
    2005
    
    2004
    
    2003
    
    2002Total Assets
    
    $
    1,179,711
    
    
    $
    1,005,916
    
    
    $
    695,256
    
    
    $
    378,634
    
    
    $
    179,912Total Unitholders Capital
    
    
    1,153,999
    
    
    
    934,698
    
    
    
    648,451
    
    
    
    351,591
    
    
    
    142,674Total Trading Gain(includes brokerage commissions)
    
    
    64,620
    
    
    
    106,673
    
    
    
    64,059
    
    
    
    57,595
    
    
    
    19,676Net Income
    
    
    63,249
    
    
    
    92,986
    
    
    
    34,749
    
    
    
    40,791
    
    
    
    13,974Net Income Per ManagingOperator and OtherUnitholder Unit *
    
    
    153.91
    
    
    
    295.68
    
    
    
    154.59
    
    
    
    319.99
    
    
    
    247.02Increase in Net AssetValue per Managing Operator
and Other Unitholder Unit
    
    
    168.95
    
    
    
    288.33
    
    
    
    187.69
    
    
    
    347.18
    
    
    
    239.20
  13




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##### 



1stQtr.
    

2ndQtr.
    

3rdQtr.
    

4thQtr.2006
    
    2006
    
    2006
    
    2006Total Trading Gain (Loss)(includes brokerage
commissions)
    
    $
    53,338
    
    
    $
    (71,567
    )
    
    $
    (34,126
    )
    
    $
    116,975Net Income (Loss)
    
    
    45,081
    
    
    
    (69,352
    )
    
    
    (31,574
    )
    
    
    119,094Net Income (Loss)
per Managing Operator
and Other Unitholder
Unit *
    
    
    118.88
    
    
    
    (162.95
    )
    
    
    (74.19
    )
    
    
    288.13Increase (Decrease)
in Net Asset Value
per Managing Operator
and Other Unitholder
Unit
    
    
    117.73
    
    
    
    (163.48
    )
    
    
    (74.96
    )
    
    
    289.66Net Asset Value per
Managing Operator and
Other Unitholder Unit
at the End of the Period
    
    
    2,815.86
    
    
    
    2,652.38
    
    
    
    2,577.42
    
    
    
    2,867.08
 
 *
    
    - Based on weighted average number of units outstanding during the period. 1stQtr.
    

2ndQtr.
    

3rdQtr.
    

4thQtr.2005
    
    2005
    
    2005
    
    2005Total Trading Gain (Loss)(includes brokerage
commissions)
    
    $
    (18,638
    )
    
    $
    93,635
    
    
    $
    717
    
    
    $
    30,959Net Income (Loss)
    
    
    (21,510
    )
    
    
    88,984
    
    
    
    (1,147
    )
    
    
    26,659Net Income (Loss)
per Managing Operator
and Other Unitholder
Unit *
    
    
    (73.52
    )
    
    
    287.82
    
    
    
    (3.62
    )
    
    
    84.19Increase (Decrease)
in Net Asset Value
per Managing Operator
and Other Unitholder
Unit
    
    
    (74.85
    )
    
    
    286.77
    
    
    
    (5.43
    )
    
    
    81.84Net Asset Value per
Managing Operator and
Other Unitholder Unit
at the End of the Period
    
    
    2,334.95
    
    
    
    2,621.72
    
    
    
    2,616.29
    
    
    
    2,698.13
 
 *
    
    - Based on weighted average number of units outstanding during the period. Item 7. Managements Discussion and Analysis of Financial Condition and Results of Operations.
 Introduction
  Critical Accounting Policies
  14




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##### 



Capital Resources
  Liquidity
  i.e.
   15




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##### 



Results of Operations
  2006
  Sector
    
    % Gain (Loss)Stock Indices
    
    
    6.80
    %Interest Rates
    
    
    2.90Metals
    
    
    1.89Currencies
    
    
    1.80Agricultural
    
    
    (0.14
    )Energy
    
    
    (6.64
    )6.61
    %
    16




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##### 



2005
  Sector
    
    % Gain (Loss)Interest Rates
    
    
    6.77
    %Currencies
    
    
    6.06Energy
    
    
    3.37Metals
    
    
    1.04Agricultural
    
    
    (0.30
    )Stock Indices
    
    
    (2.93
    )14.01
    %
   17




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##### 



18




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##### 



2004
  Sector
    
    % Gain (Loss)Interest Rates
    
    
    12.54
    %Currencies
    
    
    2.12Energy
    
    
    1.68Agricultural
    
    
    0.49Metals
    
    
    (0.64
    )Stock Indices
    
    
    (1.96
    )14.23
    %
 19




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##### 



20




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##### 



Off-Balance Sheet Risk
    21




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##### 



Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts
Accounted for at Fair Value
  Item 7A. Quantitative and Qualitative Disclosures About Market Risk
 Introduction
 Past Results Not Necessarily Indicative of Future Performance
    i.e., 22
        Standard of Materiality
  Quantifying the Trusts Trading Value at Risk
 Quantitative Forward-Looking Statements
 The following quantitative disclosures regarding the Trusts market risk exposures
contain forward-looking statements within the meaning of the safe harbor from civil
liability provided for such statements by the Private Securities Litigation Reform Act of 1995
(set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities
Exchange Act of 1934). All quantitative disclosures in this section are deemed to be
forward-looking statements for purposes of the safe harbor, except for statements of
historical fact (such as the dollar amount of maintenance margin required for market risk
sensitive instruments held at the end of the reporting period).
      23




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##### 



The Trusts Trading Value at Risk in Different Market Sectors
  December 31, 2006
 TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Stock Indices
    
    
    0.75
    %
    
    
    6.80
    %Currencies
    
    
    0.69
    %
    
    
    1.80
    %Energy
    
    
    0.39
    %
    
    
    (6.64
    )%Long-Term Interest Rates
    
    
    0.34
    %
    
    
    (0.24
    )%Short-Term Interest Rates
    
    
    0.26
    %
    
    
    3.14
    %Agricultural / Metals
    
    
    0.17
    %
    
    
    1.75
    %Aggregate/Total
    
    
    1.41
    %
    
    
    6.61
    %
 
 *
    
    -The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The aggregate VaR represents the VaR of the Trusts open
positions across all market sectors, and is less than the sum of the VaRs for all such market
sectors due to the diversification benefit across asset classes.**
    
    -Of the return for the year ended December 31, 2006 approximately 6.61% was due to trading
gains (before commissions), approximately 4.68% was due to interest income offset by
approximately 5.03% due to brokerage fees, management fees, performance fees and operating
costs borne by the Trust giving a net return of 6.26%. December 31, 2005
 TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    1.48
    %
    
    
    6.06
    %Long-Term Interest Rates
    
    
    0.79
    %
    
    
    2.14
    %Energy
    
    
    0.63
    %
    
    
    3.37
    %Short-Term Interest Rates
    
    
    0.58
    %
    
    
    4.63
    %Stock Indices
    
    
    0.39
    %
    
    
    (2.93
    )%Agricultural / Metals
    
    
    0.06
    %
    
    
    0.74
    %Aggregate/Total
    
    
    2.44
    %
    
    
    14.01
    %
 
 *
    
    -The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The aggregate VaR represents the VaR of the Trusts open
positions across all market sectors, and is less than the sum of the VaRs for all such market
sectors due to the diversification benefit across asset classes. 24




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##### 



**
    
    -Of the return for the year ended December 31, 2005, approximately 14.01% was due to
trading gains (before commissions), approximately 2.93% was due to interest income offset by
approximately 4.98% due to brokerage fees, management fees, performance fees and operating
costs borne by the Trust giving a net return of 11.96%. December 31, 2004
 TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    1.18
    %
    
    
    2.12
    %Long-Term Interest Rates
    
    
    0.81
    %
    
    
    10.21
    %Short-Term Interest Rates
    
    
    0.26
    %
    
    
    2.33
    %Stock Indices
    
    
    0.57
    %
    
    
    (1.96
    )%Energy
    
    
    0.19
    %
    
    
    1.68
    %Agricultural and Metals
    
    
    0.11
    %
    
    
    (0.15
    )%Aggregate/Total
    
    
    1.85
    %
    
    
    14.23
    %
 
 *
    
    -The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The aggregate VaR represents the VaR of the Trusts open
positions across all market sectors, and is less than the sum of the VaRs for all such market
sectors due to the diversification benefit across asset classes.**
    
    -Of the return for the year ended December 31, 2004, approximately 14.23% was due to
trading gains (before commissions) and approximately 1.26% was due to interest income, offset
by approximately 7.04% in brokerage fees, management fees, performance fees and operating
costs borne by the Trust giving a net return of 8.45%. Material Limitations on Value at Risk as an Assessment of Market Risk
  1)
    
    Past changes in market risk factors will not always result in accurate predictions of
the distributions and correlations of future market movements;2)
    
    Changes in portfolio value caused by market movements may differ from those of the VaR
model;3)
    
    VaR results reflect past trading positions while future risk depends on future
positions;4)
    
    VaR using a one day time horizon does not fully capture the market risk of positions
that cannot be liquidated or hedged within one day; and5)
    
    The historical market risk factor data for VaR estimation may provide only limited
insight into losses that could be incurred under certain unusual market movements.
  Non-Trading Risk
 25
       Qualitative Disclosures Regarding Primary Trading Risk Exposures
 The following qualitative disclosures regarding the Trusts market risk exposures 
except for (i) those disclosures that are statements of historical fact and (ii) the
descriptions of how the Trust manages its primary market risk exposures  constitute
forward-looking statements within the meaning of Section 27A of the Securities Act and Section
21E of the Securities Exchange Act. The Trusts primary market risk exposures as well as the
strategies used and to be used by Campbell & Company for managing such exposures are subject
to numerous uncertainties, contingencies and risks, any one of which could cause the actual
results of the Trusts risk controls to differ materially from the objectives of such
strategies. Government interventions, defaults and expropriations, illiquid markets, the
emergence of dominant fundamental factors, political upheavals, changes in historical price
relationships, an influx of new market participants, increased regulation and many other
factors could result in material losses as well as in material changes to the risk exposures
and the risk management strategies of the Trust. There can be no assurance that the Trusts
current market exposure and/or risk management strategies will not change materially or that
any such strategies will be effective in either the short- or long-term. Investors must be
prepared to lose all or substantially all of their investment in the Trust.
  Currencies
 i.e.,
 Interest Rates
  Stock Indices
  26




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##### 



Energy
  Metals
  Agricultural
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
  Treasury Bill Positions
  Qualitative Disclosures Regarding Means of Managing Risk Exposure
   General
  27




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Item 8. Financial Statements and Supplementary Data
  Item 9.
    
    Changes in and Disagreements with Accountants on Accounting and
Financial Disclosure
  Item 9A. Controls and Procedures
  Item 9B. Other Information
  PART III
 Item 10. Directors and Executive Officers of the Registrant
  G. William Andrews Vice President: Director of Research Operations
 Theresa D. Becks Chief Financial Officer Treasurer Secretary Director
 28




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##### 



D. Keith Campbell Chairman of the Board of Directors
 William C. Clarke, III Executive Vice President Director
 Bruce L. Cleland President Director Chief Executive Officer
 Michael S. Harris Vice President and Director
of Trading
 Michael J. Hebrank
 29




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##### 



Kevin M. Heerdt Executive Vice President-Research Chief Operating Officer
 James M. Little Executive Vice President- Business Development Director The Handbook of Financial Futures
 Thomas P. Lloyd General Counsel Executive Vice President-Legal and Compliance
   Audit Committee Financial Expert
  Code of Ethics
  30




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##### 



Item 11. Executive Compensation
   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, 2006, no Units of
Beneficial Interest are owned or held by an officer of Campbell & Company.(b)
    
    Security Ownership of Management. As of December 31, 2006, Campbell & Company
owned 20.360 Units of Beneficial Interest having a value of $58,374.
 Item 13. Certain Relationships and Related Transactions
  Item 14. Principal Accounting Fees and Services
 The principal accountant for the years ended December 31, 2006 and 2005 was Deloitte
& Touche LLP.(a)
    
    Audit FeesThe aggregate fees billed for professional services rendered by the principal accountant
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, 2006 and 2005 were
$66,227 and $48,852, respectively.(b)
    
    Audit Related FeesNone.(c)
    
    Tax FeesNone.(d)
    
    All Other FeesNone.(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.
 31




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##### 



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 34 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 Document1.01
    
    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 Securites Exchange Act of 1934.31.02
    
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.32.01
    
    Certification of Bruce L. Cleland, Chief Executive Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.32.02
    
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.
 (b)
    
    Reports on Form 8-KNone.
 32




---



##### 



SIGNATURES
  THE CAMPBELL FUND TRUSTBy: CAMPBELL & COMPANY, INC.Managing OperatorBy:
    
    /s/ Theresa D. BecksTheresa D. BecksChief Financial Officer, Secretary,Treasurer and Director
  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
 33




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##### 



THE CAMPBELL FUND TRUST
 ANNUAL REPORT
  34




---



##### 



THE CAMPBELL FUND TRUST
 INDEX
 PAGESReports of Independent Registered Public Accounting FirmsDeloitte & Touche LLP
    
    36Arthur F. Bell, Jr. & Associates, L.L.C.
    
    37Financial StatementsStatements of Financial ConditionDecember 31, 2006 and 2005
    
    38Condensed Schedules of InvestmentsDecember 31, 2006 and 2005
    
    39-40Statements of Operations For the YearsEnded December 31, 2006, 2005 and 2004
    
    41Statements of Cash Flows For the YearsEnded December 31, 2006, 2005 and 2004
    
    42Statements of Changes in Unitholders Capital (Net Asset Value)For the Years Ended December 31, 2006, 2005 and 2004
    
    43Notes to Financial Statements
    
    44-49
 35




---



##### 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
 
      36




---



##### 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
 
     
 37




---



##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF FINANCIAL CONDITION
 2006
    
    
    2005ASSETSEquity in broker trading accountsCash
    
    $
    133,411,031
    
    
    $
    28,027,322United States government securities
    
    
    576,201,361
    
    
    
    480,021,830Net unrealized gain (loss) on open futures contracts
    
    
    29,440,339
    
    
    
    (2,223,857
    )Total equity in broker trading accounts
    
    
    739,052,731
    
    
    
    505,825,295Cash and cash equivalents
    
    
    52,562,559
    
    
    
    258,339,749United States government securities
    
    
    347,576,084
    
    
    
    273,355,666Net unrealized gain (loss) on open forward currency contracts
    
    
    39,126,795
    
    
    
    (31,744,009
    )Options purchased, at fair value (premium paid  $815,761)
    
    
    975,007
    
    
    
    0Interest receivable
    
    
    417,644
    
    
    
    139,729Total assets
    
    $
    1,179,710,820
    
    
    $
    1,005,916,430LIABILITIESAccounts payable
    
    $
    119,476
    
    
    $
    112,361Accrued commissions and other trading fees
on open contracts
    
    
    253,885
    
    
    
    156,266Options written, at fair value (premium received  $474,346)
    
    
    446,133
    
    
    
    0Management fee
    
    
    3,924,363
    
    
    
    3,143,094Performance fee
    
    
    0
    
    
    
    2,829,826Redemptions payable
    
    
    20,968,165
    
    
    
    2,257,332Subscription deposits
    
    
    0
    
    
    
    1,300,000Prepaid subscriptions
    
    
    0
    
    
    
    61,419,664Total liabilities
    
    
    25,712,022
    
    
    
    71,218,543UNITHOLDERS CAPITAL (Net Asset Value)Managing Operator  20.360 units outstanding
at December 31, 2006 and 2005
    
    
    58,374
    
    
    
    54,934Other Unitholders  402,479.470 and 346,403.516 units
outstanding at December 31, 2006 and 2005
    
    
    1,153,940,424
    
    
    
    934,642,953Total unitholders capital(Net Asset Value)
    
    
    1,153,998,798
    
    
    
    934,697,887Total liabilities and unitholders capital(Net Asset Value)
    
    $
    1,179,710,820
    
    
    $
    1,005,916,430
  38




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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$
    250,000,0000
    
    
    
    02/15/2007
    
    
    U.S. Treasury Bills
    
    $
    248,462,500
    
    
    
    21.53
    %$
    200,000,0000
    
    
    
    02/22/2007
    
    
    U.S. Treasury Bills
    
    
    198,590,222
    
    
    
    17.21
    %$
    200,000,0000
    
    
    
    03/08/2007
    
    
    U.S. Treasury Bills
    
    
    198,227,167
    
    
    
    17.18
    %$
    160,000,0000
    
    
    
    01/11/2007
    
    
    U.S. Treasury Bills
    
    
    159,782,889
    
    
    
    13.84
    %$
    120,000,0000
    
    
    
    03/22/2007
    
    
    U.S. Treasury Bills
    
    
    118,714,667
    
    
    
    10.29
    %Total United States government securities(cost, including accrued interest,  $923,777,445)
    
    $
    923,777,445
    
    
    
    80.05
    %
 LONG FUTURES CONTRACTS
 Description
    
    Value
    
    

%
of NetAsset ValueAgricultural
    
    $
    409,069
    
    
    
    0.04
    %Energy
    
    
    (10,707,917
    )
    
    
    (0.93
    )%Metals
    
    
    (1,896,745
    )
    
    
    (0.17
    )%Stock indices
    
    
    13,119,595
    
    
    
    1.14
    %Short-term interest rates
    
    
    287
    
    
    
    0.00
    %Long-term interest rates
    
    
    (1,194,784
    )
    
    
    (0.10
    )%Total long futures contracts
    
    $
    (270,495
    )
    
    
    (0.02
    )%
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueAgricultural
    
    $
    (60,800
    )
    
    
    (0.01
    )%Energy
    
    
    212,640
    
    
    
    0.02
    %Metals
    
    
    776,695
    
    
    
    0.07
    %Short-term interest rates
    
    
    8,895,678
    
    
    
    0.77
    %Long-term interest rates
    
    
    19,886,621
    
    
    
    1.72
    %Total short futures contracts
    
    $
    29,710,834
    
    
    
    2.57
    %Total futures contracts
    
    $
    29,440,339
    
    
    
    2.55
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (21,320,722
    )
    
    
    (1.85
    )%Various short forward currency contracts
    
    
    60,447,517
    
    
    
    5.24
    %Total forward currency contracts
    
    $
    39,126,795
    
    
    
    3.39
    %
 PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValuePurchased options on forward currency contracts
(premiums paid  $815,761)
    
    $
    975,007
    
    
    
    0.08
    %
 WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueWritten options on forward currency contracts
(premiums received  $474,346)
    
    $
    (446,133
    )
    
    
    (0.03
    )%
 
 *
    
    - pledged as collateral for the trading of futures, forward and options positions.  39




---



##### 



THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
 UNITED STATES GOVERNMENT SECURITIES *
 Maturity
    
    
    
    
    
    
    
    
    % of NetFace Value
    
    
    Date
    
    
    Description
    
    Value
    
    
    Asset Value$
    190,000,000
    
    
    
    03/02/2006
    
    
    U.S. Treasury Bills
    
    $
    188,779,250
    
    
    
    20.20
    %$
    170,000,000
    
    
    
    03/09/2006
    
    
    U.S. Treasury Bills
    
    
    168,772,411
    
    
    
    18.06
    %$
    135,000,000
    
    
    
    02/23/2006
    
    
    U.S. Treasury Bills
    
    
    134,234,812
    
    
    
    14.36
    %$
    110,000,000
    
    
    
    03/23/2006
    
    
    U.S. Treasury Bills
    
    
    109,040,937
    
    
    
    11.66
    %$
    85,000,000
    
    
    
    02/16/2006
    
    
    U.S. Treasury Bills
    
    
    84,576,417
    
    
    
    9.05
    %$
    68,000,000
    
    
    
    01/05/2006
    
    
    U.S. Treasury Bills
    
    
    67,973,669
    
    
    
    7.27
    %Total United States government securities(cost, including accrued interest,  $753,377,496)
    
    $
    753,377,496
    
    
    
    80.60
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (10,862,346
    )
    
    
    (1.16
    )%Metals
    
    
    680,140
    
    
    
    0.07
    %Stock indices
    
    
    (101,406
    )
    
    
    (0.01
    )%Long-term interest rates
    
    
    321,383
    
    
    
    0.03
    %Total long futures contracts
    
    $
    (9,962,229
    )
    
    
    (1.07
    )%
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueAgricultural
    
    $
    (442,817
    )
    
    
    (0.04
    )%Metals
    
    
    (17,225
    )
    
    
    (0.00
    )%Stock indices
    
    
    (213,230
    )
    
    
    (0.02
    )%Short-term interest rates
    
    
    9,435,205
    
    
    
    1.00
    %Long-term interest rates
    
    
    (1,023,561
    )
    
    
    (0.11
    )%Total short futures contracts
    
    $
    7,738,372
    
    
    
    0.83
    %Total futures contracts
    
    $
    (2,223,857
    )
    
    
    (0.24
    )%
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (23,306,838
    )
    
    
    (2.50
    )%Various short forward currency contracts
    
    
    (8,437,171
    )
    
    
    (0.90
    )%Total forward currency contracts
    
    $
    (31,744,009
    )
    
    
    (3.40
    )%
 
 *
    
    - pledged as collateral for the trading of futures and forward positions.  40




---



##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF OPERATIONS
 2006
    
    
    2005
    
    
    2004TRADING GAINSFutures trading gains (losses)Realized
    
    $
    18,977,950
    
    
    $
    71,661,253
    
    
    $
    58,773,406Change in unrealized
    
    
    31,664,196
    
    
    
    (11,443,843
    )
    
    
    3,171,617Brokerage commissions
    
    
    (1,885,399
    )
    
    
    (2,532,001
    )
    
    
    (1,418,687
    )Net gains from futures trading
    
    
    48,756,747
    
    
    
    57,685,409
    
    
    
    60,526,336Forward currency and options on forward
currency trading gains (losses)Realized
    
    
    (54,634,323
    )
    
    
    70,081,317
    
    
    
    26,429,299Change in unrealized
    
    
    71,058,263
    
    
    
    (20,829,039
    )
    
    
    (22,724,110
    )Brokerage commissions
    
    
    (560,530
    )
    
    
    (265,031
    )
    
    
    (172,043
    )Net gain from forward currency
and options on forward currency
trading
    
    
    15,863,410
    
    
    
    48,987,247
    
    
    
    3,533,146Total net trading gains
    
    
    64,620,157
    
    
    
    106,672,656
    
    
    
    64,059,482EXPENSES NET OF INTEREST INCOMEIncomeInterest income
    
    
    51,891,355
    
    
    
    23,496,874
    
    
    
    6,710,489ExpensesManagement fee
    
    
    44,503,132
    
    
    
    32,154,825
    
    
    
    21,280,557Performance fee
    
    
    8,574,956
    
    
    
    4,821,357
    
    
    
    14,594,954Operating expenses
    
    
    184,685
    
    
    
    207,482
    
    
    
    145,685Total expenses
    
    
    53,262,773
    
    
    
    37,183,664
    
    
    
    36,021,196Expenses net of interest income
    
    
    (1,371,418
    )
    
    
    (13,686,790
    )
    
    
    (29,310,707
    )NET INCOME
    
    $
    63,248,739
    
    
    $
    92,985,866
    
    
    $
    34,748,775NET
INCOME PER MANAGING OPERATOR 
AND OTHER UNITHOLDERS UNIT(based on weighted average number
of units outstanding during the year)
    
    $
    153.91
    
    
    $
    295.68
    
    
    $
    154.59INCREASE IN NET ASSET VALUE
PER MANAGING OPERATOR AND
OTHER UNITHOLDERS UNIT
    
    $
    168.95
    
    
    $
    288.33
    
    
    $
    187.69
  41




---



##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF CASH FLOWS
 2006
    
    
    2005
    
    
    2004Cash flows from (for) operating activitiesNet income
    
    $
    63,248,739
    
    
    $
    92,985,866
    
    
    $
    34,748,775Adjustments to reconcile net income to
net cash (for) operating activitiesNet change in unrealized
    
    
    (102,722,459
    )
    
    
    32,272,882
    
    
    
    19,552,493Option premium paid
    
    
    (815,761
    )
    
    
    0
    
    
    
    0Option premium received
    
    
    474,346
    
    
    
    0
    
    
    
    0Increase in interest receivable
    
    
    (277,915
    )
    
    
    (66,071
    )
    
    
    (70,559
    )Increase (decrease) in accounts payable
and accrued expenses
    
    
    (1,943,823
    )
    
    
    3,842,697
    
    
    
    (1,633,645
    )Net purchases of investments in
United States government securities
    
    
    (170,399,949
    )
    
    
    (215,453,068
    )
    
    
    (303,658,533
    )Net cash for operating activities
    
    
    (212,436,822
    )
    
    
    (86,417,694
    )
    
    
    (251,061,469
    )Cash flows from (for) financing activitiesAddition of units
    
    
    200,977,020
    
    
    
    268,365,007
    
    
    
    312,391,964Increase (decrease) in subscription deposits
    
    
    (1,300,000
    )
    
    
    1,300,000
    
    
    
    0Redemption of units
    
    
    (87,633,679
    )
    
    
    (55,832,906
    )
    
    
    (28,885,679
    )Net cash from financing activities
    
    
    112,043,341
    
    
    
    213,832,101
    
    
    
    283,506,285Net increase (decrease) in cash and cash equivalents
    
    
    (100,393,481
    )
    
    
    127,414,407
    
    
    
    32,444,816Cash and cash equivalentsBeginning of year
    
    
    286,367,071
    
    
    
    158,952,664
    
    
    
    126,507,848End of year
    
    $
    185,973,590
    
    
    $
    286,367,071
    
    
    $
    158,952,664End of year cash and cash equivalents consists of:Cash in broker trading accounts
    
    $
    133,411,031
    
    
    $
    28,027,322
    
    
    $
    24,897,154Cash and cash equivalents
    
    
    52,562,559
    
    
    
    258,339,749
    
    
    
    134,055,510Total end of year cash and
cash equivalents
    
    $
    185,973,590
    
    
    $
    286,367,071
    
    
    $
    158,952,664
  42




---



##### 



THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS CAPITAL (NET ASSET VALUE)
 Total
    
    
    Unitholders CapitalNumber of
    
    
    ManagingUnits
    
    
    Operator
    
    
    Unitholders
    
    
    TotalBalances at
December 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 at
December 31, 2004
    
    
    269,088.929
    
    
    
    49,064
    
    
    
    648,402,290
    
    
    
    648,451,354Net income for the year
ended December 31, 2005
    
    
    
    
    
    
    5,870
    
    
    
    92,979,996
    
    
    
    92,985,866Additions
    
    
    100,482.413
    
    
    
    0
    
    
    
    251,350,905
    
    
    
    251,350,905Redemptions
    
    
    (23,147.466
    )
    
    
    0
    
    
    
    (58,090,238
    )
    
    
    (58,090,238
    )Balances at
December 31, 2005
    
    
    346,423.876
    
    
    
    54,934
    
    
    
    934,642,953
    
    
    
    934,697,887Net income for the year
ended December 31, 2006
    
    
    
    
    
    
    3,440
    
    
    
    63,245,299
    
    
    
    63,248,739Additions
    
    
    95,487.905
    
    
    
    0
    
    
    
    262,396,684
    
    
    
    262,396,684Redemptions
    
    
    (39,411.951
    )
    
    
    0
    
    
    
    (106,344,512
    )
    
    
    (106,344,512
    )Balances at
December 31, 2006
    
    
    402,499.830
    
    
    $
    58,374
    
    
    $
    1,153,940,424
    
    
    $
    1,153,998,798
 Net Asset Value per UnitDecember 31,2006
    
    2005
    
    2004$2,867.08
    
    $2,698.13
    
    $2,409.80
  43




---



##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
 A.
    
    General Description of the TrustThe Campbell Fund Trust (the Trust) is a Delaware statutory trust which operates as a
commodity investment pool. The Trust engages in the speculative trading of futures
contracts, forward currency contracts and options on forward currency contracts.B.
    
    RegulationThe Trust is a registrant with the Securities and Exchange Commission (SEC) pursuant
to the Securities Exchange Act of 1934 (the Act). As a registrant, the Trust is
subject to the regulations of the SEC and the informational requirements of the Act.
As a commodity investment pool, the Trust is subject to the regulations of the
Commodity Futures Trading Commission, an agency of the United States (U.S.)
government which regulates most aspects of the commodity futures industry; rules of
the National Futures Association, an industry self-regulatory organization; and the
requirements of the various commodity exchanges where the Trust executes
transactions. Additionally, the Trust is subject to the requirements of futures
commission merchants (brokers) and interbank market makers through which the Trust
trades.C.
    
    Method of ReportingThe Trusts financial statements are presented in accordance with accounting
principles generally accepted in the United States of America, which may require the
use of certain estimates made by the Trusts management. Actual results may differ
from these estimates. Investment transactions are accounted for on the trade date.
Gains or losses are realized when contracts are liquidated. Unrealized gains and
losses on open contracts (the difference between contract trade price and market
price) are reported in the statement of financial condition as a net gain or loss, as
there exists a right of offset of unrealized gains or losses in accordance with
Financial Accounting Standards Board Interpretation No. 39  Offsetting of Amounts
Related to Certain Contracts. The market value of futures (exchange-traded)
contracts is determined by the various futures exchanges, and reflects the settlement
price for each contract as of the close of the last business day of the reporting
period. Beginning July 1, 2006, the market value of forward currency (non-exchange
traded) contracts is extrapolated on a forward basis from the spot prices quoted as
of 3:00 P.M. (E.T.) of the last business day of the reporting period or based on the
market value of its exchange-traded equivalent. Prior to July 1, 2006, the market
value of forward currency (non-exchange traded) contracts was extrapolated on a
forward basis from the spot prices quoted as of 5:00 P.M. (E.T.) of the last business
day of the reporting period or based on the market value of its exchange-traded
equivalent. The market value of option (non-exchange traded) contracts is calculated
by applying an industry-standard adaptation of the Black-Scholes options valuation
model to foreign currency options, using as input, the spot prices, interest rates
and option implied volatilities quoted as of 3:00 P.M. (E.T.) on the last business
day of the reporting period. Any change in net unrealized gain or loss from the
preceding period is reported in the statement of operations. When the Trust writes
an option, an amount equal to the premium received by the Trust is reflected as an
asset and an equivalent liability. The amount of the liability is subsequently
marked-to-market to reflect the current market value of option written. 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.
 44




---



##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 C.
    
    Method of Reporting (Continued)For purposes of both financial reporting and calculation of redemption value, Net
Asset Value per unit is calculated by dividing Net Asset Value by the number of
outstanding units.D.
    
    Cash and Cash EquivalentsCash and cash equivalents include cash and short-term time deposits held at financial
institutions.E.
    
    Income TaxesThe Trust prepares calendar year U.S. and applicable state information tax returns
and reports to the unitholders their allocable shares of the Trusts income, expenses
and trading gains or losses. No provision for income taxes has been made in the
accompanying financial statements as each unitholder is individually responsible for
reporting income or loss based on such unitholders respective share of the Trusts
income and expenses as reported for income tax purposes.F.
    
    Foreign Currency TransactionsThe Trusts functional currency is the U.S. dollar; however, it transacts business in
currencies other than the U.S. dollar. Assets and liabilities denominated in
currencies other than the U.S. dollar are translated into U.S. dollars at the rates
in effect at the date of the statement of financial condition. Income and expense
items denominated in currencies other than the U.S. dollar are translated into U.S.
dollars at the rates in effect during the period. Gains and losses resulting from
the translation to U.S. dollars are reported in income.G.
    
    ReclassificationCertain amounts in the 2004 and 2005 financial statements were reclassified to
conform with the 2006 presentation.H.
    
    Recently Issued Accounting PronouncementsIn July 2006, the Financial Accounting Standards Board (FASB) issued Interpretation
No. 48 (FIN 48) entitled Accounting For Uncertainty in Income Taxes  an
interpretation of FASB Statement No. 109. FIN 48 prescribes the minimum recognition
threshold a tax position must meet in connection with accounting for uncertainties in
income tax positions taken or expected to be taken by an entity before being measured
and recognized in the financial statements. Adoption of FIN 48 is required for
fiscal years beginning after December 15, 2006. The implementation of FIN 48 is not
expected to have a material impact on the Trusts financial statements.In September 2006, the FASB issued Statement of Financial Accounting Standards No.
157, Fair Value Measurements (FAS 157). FAS 157 defines fair value, establishes a
framework for measuring fair value in accounting principles generally accepted in the
United States of America,
and expands disclosures about fair value measurements. While FAS 157 does not
require any new fair value measurements, for some entities, the application of FAS
157 may change current practice. FAS 157 is effective for financial statements issued
for fiscal years beginning after November 15, 2007, and interim periods within those
fiscal years. The implementation of FAS 157 is not expected to have a material
impact on the Trusts financial statements.
 45




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##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 MANAGING OPERATOR AND COMMODITY TRADING ADVISOR
 The managing operator of the Trust is Campbell & Company, Inc.,
(Campbell & Company) which conducts and manages the business of
the Trust. Campbell & Company is also the commodity trading
advisor of the Trust.The Trust pays the managing operator a monthly management fee
equal to 1/3 of 1% (4% annually) of the Net Assets (as defined in
the Declaration of Trust and Trust Agreement) of the Trust as of
the end of each month and a quarterly performance fee equal to 20%
of the aggregate cumulative appreciation in Net Asset Value per
Unit (as defined) exclusive of appreciation attributable to
interest income.
 TRUSTEE
 The trustee of the Trust is U.S. Bank National Association, a
national banking corporation. The trustee has delegated to the
managing operator the duty and authority to manage the business
and affairs of the Trust and has only nominal duties and
liabilities with respect to the Trust.
 DEPOSITS WITH BROKER
 The Trust deposits assets with UBS Securities LLC to act as
broker, subject to Commodity Futures Trading Commission
regulations and various exchange and broker requirements. Margin
requirements are satisfied by the deposit of U.S. Treasury bills
and cash with such broker. The Trust earns interest income on its
assets deposited with the broker.
 SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
 Investments in the Trust are made by subscription agreement,
subject to acceptance by the managing operator. Effective June
30, 2006, subscriptions to the Trust will be effective on the last
day of the month in which they were accepted. Prior to June 30,
2006, subscriptions to the Trust were effective on the first day
of the following month in which they were accepted. Effective
January 1, 2006, additions of $63,069,339 were made to the Trust.
The Trust is not required to make distributions, but may do so at
the sole discretion of the managing operator. A Unitholder may
request and receive redemption of units owned, subject to
restrictions in the Declaration of Trust and Trust Agreement.
 TRADING ACTIVITIES AND RELATED RISKS
 The Trust engages in the speculative trading of U.S. and foreign
futures contracts, forward currency contracts and options on
forward currency contracts (collectively, derivatives). 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.
 46




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##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
 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, 2006 and 2005 were $923,777,445
and $753,377,496, respectively, which equals 80% and 81% of Net Asset Value, respectively. The cash deposited with
interbank market makers at December 31, 2006 and 2005 was $50,907,731 and $195,613,375, respectively, which equals
4% and 21% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents. There were
no restricted cash deposits at December 31, 2006.The Trust trades forward currency and options on forward currency contracts in unregulated markets between
principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with
forward currency and options on forward currency contracts are generally greater than those associated with exchange
traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency
and options on forward currency contracts typically involves delayed cash settlement.The Trust has a substantial portion of its assets on deposit with financial institutions. In the event of a
financial institutions insolvency, recovery of Trust assets on deposit may be limited to account insurance or other
protection afforded such deposits.For derivatives, risks arise from changes in the market value of the contracts. Theoretically, the Trust is exposed
to a market risk equal to the notional contract value of futures and forward currency contracts purchased and
unlimited liability on such contracts sold short. As both a buyer and seller of options, the Trust pays or receives
a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the
option. Written options expose the Trust to potentially unlimited liability, and purchased options expose the Trust
to a risk of loss limited to the premiums paid. The unrealized gain (loss) on open futures, forward currency and
options on forward currency contracts is comprised of the following:
 Forward Currency and OptionsFutures Contracts
    
    
    on Forward Currency Contracts(exchange traded)
    
    
    (non-exchange traded)December 31,
    
    
    December 31,
    
    
    December 31,
    
    
    December 31,2006
    
    
    2005
    
    
    2006
    
    
    2005Gross unrealized gains
    
    $
    45,023,586
    
    
    $
    14,087,349
    
    
    $
    74,081,735
    
    
    $
    23,965,693Gross unrealized losses
    
    
    (15,583,247
    )
    
    
    (16,311,206
    )
    
    
    (34,767,481
    )
    
    
    (55,709,702
    )Net unrealized gain (loss)
    
    $
    29,440,339
    
    
    $
    (2,223,857
    )
    
    $
    39,314,254
    
    
    $
    (31,744,009
    )
  47




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##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
 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.
 INDEMNIFICATIONS
 In 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.
 48




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##### 



THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 FINANCIAL HIGHLIGHTS
 The following information presents per unit operating performance data and other supplemental
financial data for the years ended December 31, 2006, 2005 and 2004. This information has been
derived from information presented in the financial statements.
 2006
    
    
    2005
    
    
    2004Per Unit Performance(for a unit outstanding throughout the entire year)Net asset value per unit at beginning of year
    
    $
    2,698.13
    
    
    $
    2,409.80
    
    
    $
    2,222.11Income (loss) from operations:Total trading gains (1)
    
    
    172.29
    
    
    
    331.85
    
    
    
    318.09Expenses net of interest income (1)
    
    
    (3.34
    )
    
    
    (43.52
    )
    
    
    (130.40
    )Total income from operations
    
    
    168.95
    
    
    
    288.33
    
    
    
    187.69Net asset value per unit at end of year
    
    $
    2,867.08
    
    
    $
    2,698.13
    
    
    $
    2,409.80Total Return
    
    
    6.26
    %
    
    
    11.96
    %
    
    
    8.45
    %Supplemental DataRatios to average net asset value:Expenses prior to performance fee
    
    
    4.03
    %
    
    
    4.03
    %
    
    
    4.01
    %Performance fee
    
    
    0.77
    %
    
    
    0.60
    %
    
    
    2.73
    %Total expenses
    
    
    4.80
    %
    
    
    4.63
    %
    
    
    6.74
    %Expenses net of interest income (2), (3)
    
    
    (0.65
    )%
    
    
    1.10
    %
    
    
    2.75
    %
 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 are 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.(3)
    
    Expenses net of interest income are shown as a positive percentage when
expenses exceed interest income for the year. 49




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##### 



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