CAMPBELL FUND TRUST - FORM 10-Q

Attached files

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EX-32.2 - EXHIBIT 32.2 - CAMPBELL FUND TRUST	w76311exv32w2.htm
EX-31.1 - EXHIBIT 31.1 - CAMPBELL FUND TRUST	w76311exv31w1.htm
EX-31.2 - EXHIBIT 31.2 - CAMPBELL FUND TRUST	w76311exv31w2.htm
EX-32.1 - EXHIBIT 32.1 - CAMPBELL FUND TRUST	w76311exv32w1.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q


þ		Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the quarterly period ended September 30, 2009


o		Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the transition period from to

Commission File number: 0-50264

THE CAMPBELL FUND TRUST

(Exact name of registrant as specified in charter)


Delaware		94-6260018

(State of Organization)		(IRS Employer Identification Number)

2850 Quarry Lake Drive,
Baltimore, Maryland 21209

(Address of principal executive offices, including zip code)

(410) 413-2600
(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months, and (2) has been subject to such filing requirements for the past 90 days. Yes þ No o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes o No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, or a non-accelerated filer. See definition of “accelerated filer and large accelerated filer” in 12b-2 of the Exchange Act. (Check one):


Large accelerated filer o		Accelerated filer o		Non-accelerated filer o (Do not check if a smaller reporting company)		Smaller Reporting Company þ

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes o No þ

Total number of Pages: 37


		Page
PART I — FINANCIAL INFORMATION

Item 1.	Financial Statements

	Condensed Schedules of Investments as of September 30, 2009 (Unaudited) and December 31, 2008		3 - 6

	Statements of Financial Condition as of September 30, 2009 (Unaudited) and December 31, 2008		7

	Statements of Operations for the Three Months and Nine Months Ended September 30, 2009 and 2008 (Unaudited)		8

	Statements of Cash Flows for the Nine Months Ended September 30, 2009 and 2008 (Unaudited)		9

	Statements of Changes in Unitholders’ Capital (Net Asset Value) for the Nine Months Ended September 30, 2009 and 2008 (Unaudited)		10 - 11

	Financial Highlights for the Three Months and Nine Months Ended September 30, 2009 and 2008 (Unaudited)		12 - 14

	Notes to Financial Statements (Unaudited)		15 - 20

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		21 - 29

Item 3.	Quantitative and Qualitative Disclosure About Market Risk		29 - 35

Item 4(T).	Controls and Procedures		35

PART II — OTHER INFORMATION			36

Item 6.	Exhibits and Reports on Form 8-K		36

SIGNATURES			37

CERTIFICATIONS

THE CAMPBELL FUND TRUST

CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2009 (Unaudited)

FIXED INCOME SECURITIES


Maturity		Maturity					% of Net
Face Value		Date		Description	Values ($)		Asset Value
				Bank Deposits
				United States
				Financials (cost $26,631,000)	$	26,640,472		6.80	%

				Commercial Paper
				Germany
				Materials (cost $7,130,293)	$	7,140,044		1.82	%

				United Kingdom
				Financials (cost $14,391,600)	$	14,395,536		3.67	%

				United States
				Consumer Discretionary	$	14,439,403		3.68	%
				Consumer Staples	$	18,406,079		4.70	%
				Financials	$	26,553,790		6.78	%
				Healthcare	$	13,335,289		3.40	%
				Industrials	$	17,900,846		4.57	%
				Municipal	$	60,022,281		15.32	%
				Utilities
$	27,558,000		10/01/2009	Consolidated Edison Company, Inc.	$	27,557,762		7.03	%

				Total United States (cost $178,187,467)	$	178,215,450		45.48	%


				Total Commercial Paper (cost $199,709,360)	$	199,751,030		50.97	%


				Corporate Bonds
				United States
				Financials (cost $11,603,186)	$	11,603,699		2.96	%

				Government And Agency Obligations
				United States
				Municipal Bonds	$	11,633,595		2.97	%
				US Government Agency	$	39,743,369		10.14	%
				US Treasury Bill
$	15,000,000		10/01/2009	U.S. Treasury Bills *	$	15,000,000		3.83	%

				Total United States (cost $66,350,055)	$	66,376,964		16.94	%


				Short Term Investment Funds
				United States
				Short Term Investment Funds (cost $6,763)	$	6,763		0.00	%


				Total Fixed Income Securities (cost $304,300,364)	$	304,378,928		77.67	%

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2009 (Unaudited)

LONG FUTURES CONTRACTS


				% of Net
Description	Values ($)			Asset Value
Agricultural	$	(7,090	)		0.00	%
Metals	$	(36,854	)		(0.01	)%
Stock indices	$	90,649			0.02	%
Short-term interest rates	$	323,263			0.08	%
Long-term interest rates	$	1,178,360			0.30	%

Total long futures contracts	$	1,548,328			0.39	%

SHORT FUTURES CONTRACTS


				% of Net
Description	Values ($)			Asset Value
Agricultural	$	40,813			0.01	%
Energy	$	(809,998	)		(0.21	)%
Metals	$	11,444			0.00	%
Short-term interest rates	$	186,730			0.05	%
Long-term interest rates	$	197,082			0.05	%

Total short futures contracts	$	(373,929	)		(0.10	)%


Total futures contracts	$	1,174,399			0.29	%

FORWARD CURRENCY CONTRACTS


				% of Net
Description	Values ($)			Asset Value
Various long forward currency contracts	$	17,428,617			4.45	%
Various short forward currency contracts	$	(3,304,444	)		(0.84	)%

Total forward currency contracts	$	14,124,173			3.61	%

PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS


			% of Net
Description	Values ($)		Asset Value
Purchased options on forward currency contracts (premiums paid — $433,588)	$	285,797		0.07	%

WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS


				% of Net
Description	Values ($)			Asset Value
Written options on forward currency contracts (premiums received — $302,713)	$	(264,364	)		(0.07	)%


*		Pledged as collateral for the trading of futures, forward and option positions.

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008

FIXED INCOME SECURITIES

UNITED STATES GOVERNMENT SECURITIES*


Maturity		Maturity					% of Net
Face Value		Date		Description	Values ($)		Asset Value
$	25,000,000		01/22/2009	U.S. Treasury Bills	$	25,000,000		4.99	%

Total United States government securities (cost, including accrued interest, — $25,000,000)					$	25,000,000		4.99	%

LONG FUTURES CONTRACTS


			% of Net
Description	Values ($)		Asset Value
Metals	$	21,852		0.00	%
Stock indices	$	226,850		0.05	%
Short-term interest rates	$	860,185		0.17	%
Long-term interest rates	$	1,064,421		0.21	%

Total long futures contracts	$	2,173,308		0.43	%

SHORT FUTURES CONTRACTS


				% of Net
Description	Values ($)			Asset Value
Agricultural	$	(454,939	)		(0.09	)%
Energy	$	(155,724	)		(0.03	)%
Metals	$	(347,611	)		(0.07	)%
Stock indices	$	(678,007	)		(0.14	)%
Short-term interest rates	$	(84,325	)		(0.02	)%
Long-term interest rates	$	(475,421	)		(0.09	)%

Total short futures contracts	$	(2,196,027	)		(0.44	)%


Total futures contracts	$	(22,719	)		(0.01	)%

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008

FORWARD CURRENCY CONTRACTS


				% of Net
Description	Values ($)			Asset Value
Various long forward currency contracts	$	5,898,461			1.18	%
Various short forward currency contracts	$	(3,203,651	)		(0.64	)%

Total forward currency contracts	$	2,694,810			0.54	%

PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS


			% of Net
Description	Values ($)		Asset Value
Purchased options on forward currency contracts (premiums paid — $202,448)	$	109,058		0.02	%

WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS


				% of Net
Description	Values ($)			Asset Value
Written options on forward currency contracts (premiums received — $739,584)	$	(665,741	)		(0.13	)%


*		Pledged as collateral for the trading of futures, forward and option positions.

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST

STATEMENTS OF FINANCIAL CONDITION
September 30, 2009 (Unaudited) and December 31, 2008


	September 30,		December 31,
	2009		2008
ASSETS
Equity in broker trading accounts
Cash	$	42,363,611	$	488,681,500
Restricted cash		31,298,564		14,578,416
Net unrealized gain (loss) on open futures contracts		1,174,399		(22,719	)

Total equity in broker trading accounts		74,836,574		503,237,197

Cash and cash equivalents		9,793,718		15,195
Fixed income securities (cost $304,300,364 and $25,000,000, respectively)		304,378,928		25,000,000
Options purchased, at fair value (premiums paid — $433,588 and $202,448, respectively)		285,797		109,058
Net unrealized gain (loss) on open forward currency contracts		14,124,173		2,694,810
Interest receivable		39,524		5,337
Subscriptions receivable		20,557		2,163,382

Total assets	$	403,479,271	$	533,224,979


LIABILITIES
Cash deficit at forwards broker	$	0	$	67,540
Accounts payable		150,577		117,146
Management fee		1,328,246		1,767,267
Service fee		1,445		0
Options written, at fair value (premiums received — $302,713 and $739,584, respectively)		264,364		665,741
Accrued commissions and other trading fees on open contracts		44,584		30,509
Offering costs payable		7,437		619
Redemptions payable		9,819,922		29,369,592

Total liabilities		11,616,575		32,018,414


UNITHOLDERS’ CAPITAL (Net Asset Value)

*Series A Units — Redeemable*
Other Unitholders — 6,866.705 and 1,052.200 units outstanding at September 30, 2009 and December 31, 2008		16,474,695		2,656,823
*Series B Units — Redeemable*
Managing Operator — 20.360 units outstanding at September 30, 2009 and December 31, 2008		49,091		51,471
Other Unitholders — 154,152.134 and 197,186.512 units outstanding at September 30, 2009 and December 31, 2008		371,685,093		498,498,271
*Series W Units — Redeemable*
Other Unitholders — 1,506.459 and 0.000 units outstanding at September 30, 2009 and December 31, 2008		3,653,817		0

Total unitholders’ capital (Net Asset Value)		391,862,696		501,206,565


Total liabilities and unitholders’ capital (Net Asset Value)	$	403,479,271	$	533,224,979

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST
STATEMENTS OF OPERATIONS

For the Three Months and Nine Months Ended September 30, 2009 and 2008
(Unaudited)


	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2009			2008			2009			2008
TRADING GAINS (LOSSES)
Futures trading gains (losses)
Realized	$	2,559,718		$	25,200,452		$	(20,091,216	)	$	37,141,113
Change in unrealized		1,161,351			(23,987,278	)		1,197,118			(5,944,148	)
Brokerage commissions		(134,319	)		(248,928	)		(457,169	)		(755,466	)

Net gain (loss) from futures trading		3,586,750			964,246			(19,351,267	)		30,441,499


Forward currency and options on forward currency trading gains (losses)
Realized		(878,310	)		(3,588,474	)		(967,354	)		(4,692,866	)
Change in unrealized		13,696,935			(15,534,882	)		11,339,468			1,531,011
Brokerage commissions		(18,452	)		(19,239	)		(47,340	)		(75,320	)

Net gain (loss) from forward currency and options on forward currency trading		12,800,173			(19,142,595	)		10,324,774			(3,237,175	)


Total net trading gain (loss)		16,386,923			(18,178,349	)		(9,026,493	)		27,204,324


NET INVESTMENT INCOME (LOSS)
Investment income
Interest income		109,047			2,415,287			145,384			10,279,552
Change in unrealized gain (loss) on fixed income securities		78,564			0			78,564			0

Total investment income		187,611			2,415,287			223,948			10,279,552


Expenses
Management fee		3,962,831			5,914,999			13,163,913			19,942,828
Service fee		2,976			0			3,424			0
Operating expenses		114,050			43,363			207,856			153,322


Total expenses		4,079,857			5,958,362			13,375,193			20,096,150


Net investment income (loss)		(3,892,246	)		(3,543,075	)		(13,151,245	)		(9,816,598	)


NET INCOME (LOSS)	$	12,494,677		$	(21,721,424	)	$	(22,177,738	)	$	17,387,726


NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS UNIT (based on weighted average number of units outstanding during the period)
Series A₍₁₎	$	90.04		$	0.00		$	16.63		$	0.00

Series B	$	73.55		$	(95.41	)	$	(126.06	)	$	66.87

Series W₍₂₎	$	119.32		$	0.00		$	196.36		$	0.00


INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS UNIT
Series A₍₁₎	$	72.37		$	0.00		$	(125.81	)	$	0.00

Series B	$	75.67		$	(95.26	)	$	(116.89	)	$	63.43

Series W₍₂₎	$	82.00		$	0.00		$	(138.73	)	$	0.00


(1)		Series A Units commenced trading on October 1, 2008 therefore no information is provided for Series A Units for the year 2008.

(2)		Series W Units commenced trading on March 1, 2009; therefore, the information shown for the nine months ended September 30, 2009 is for the period March 1, 2009 through September 30, 2009. No information is provided for Series W Units for the year 2008.

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST

STATEMENTS OF CASH FLOWS
For the Nine Months Ended September 30, 2009 and 2008
(Unaudited)


	Nine Months Ended
	September 30,
	2009			2008
Cash flows from (for) operating activities
Net income (loss)	$	(22,177,738	)	$	17,387,726
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
Net change in unrealized		(12,615,150	)		4,413,137
(Increase) decrease in restricted cash		(16,720,148	)		0
(Increase) decrease in option premiums paid		(231,140	)		1,523,318
Increase (decrease) in option premiums received		(436,871	)		(848,734	)
(Increase) decrease in interest receivable		(34,187	)		32,644
(Increase) decrease in other assets		0			648
Increase (decrease) in accounts payable and accrued expenses		(390,070	)		(895,401	)
(Increase) decrease in receivable for securities sold		0			(154,993,456	)
Net maturities (purchases) of investments in fixed income securities		(279,300,364	)		466,837,408


Net cash from (for) operating activities		(331,905,668	)		333,457,290


Cash flows from (for) financing activities
Addition of units		22,385,164			9,404,484
Redemption of units		(126,928,532	)		(283,301,134	)
Offering costs paid		(22,790	)		0

Net cash from (for) financing activities		(104,566,158	)		(273,896,650	)


Net increase (decrease) in cash and cash equivalents		(436,471,826	)		59,560,640

Cash and cash equivalents
Beginning of period		488,629,155			74,537,120


End of period	$	52,157,329		$	134,097,760


End of period cash and cash equivalents consists of:
Cash in broker trading accounts	$	42,363,611		$	117,106,638
Cash and cash equivalents		9,793,718			16,991,122


Total end of period cash and cash equivalents	$	52,157,329		$	134,097,760

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST

STATEMENTS OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)
For the Nine Months Ended September 30, 2009 and 2008
(Unaudited)


	Unitholders’ Capital — Series B
	Managing Operator					Other Unitholders						Total
	Units		Amount			Units			Amount			Units			Amount
Nine Months Ended September 30, 2009

Balances at December 31, 2008		20.360	$	51,471			197,186.512		$	498,498,271			197,206.872		$	498,549,742

Net income (loss) for the nine months ended September 30, 2009				(2,380	)					(22,320,710	)					(22,323,090	)
Additions		0.000		0			368.291			872,013			368.291			872,013
Redemptions		0.000		0			(43,402.669	)		(105,364,481	)		(43,402.669	)		(105,364,481	)

Balances at September 30, 2009		20.360	$	49,091			154,152.134		$	371,685,093			154,172.494		$	371,734,184


Nine Months Ended September 30, 2008

Balances at December 31, 2007		20.360	$	50,838			310,254.708		$	774,687,938			310,275.068		$	774,738,776

Net income (loss) for the nine months ended September 30, 2008				1,291						17,386,435						17,387,726
Additions		0.000		0			3,499.136			8,864,885			3,499.136			8,864,885
Redemptions		0.000		0			(91,886.068	)		(232,875,225	)		(91,886.068	)		(232,875,225	)

Balances at September 30, 2008		20.360	$	52,129			221,867.776		$	568,064,033			221,888.136		$	568,116,162


Net Asset Value per Managing Operator and Other Unitholders’ Unit — Series B
September 30, 2009		December 31, 2008		September 30, 2008		December 31, 2007
$	2,411.16	$	2,528.05	$	2,560.37	$	2,496.94

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)
For the Nine Months Ended September 30, 2009 and 2008
(Unaudited)


	Series A ₍₁₎						Series W ₍₂₎
	Units			Amount			Units			Amount
Nine Months Ended September 30, 2009

Balances at December 31, 2008		1,052.200		$	2,656,823			0.000		$	0

Net income (loss) for the nine months ended September 30, 2009					48,699						96,653
Additions		6,611.711			15,718,333			1,545.676			3,651,993
Redemptions		(797.206	)		(1,922,976	)		(39.217	)		(91,405	)
Offering costs					(26,184	)					(3,424	)

Balances at September 30, 2009		6,866.705		$	16,474,695			1,506.459		$	3,653,817


Net Asset Value per Other Unitholders’ Unit — Series A₍₁₎
September 30, 2009		December 31, 2008		September 30, 2008		December 31, 2007
$	2,399.21	$	2,525.02	$	2,560.37	$	0.00


Net Asset Value per Other Unitholders’ Unit — Series W₍₂₎
September 30, 2009		February 28, 2009		September 30, 2008		December 31, 2007
$	2,425.43	$	2,564.16	$	0.00	$	0.00


(1)		Series A Units commenced trading on October 1, 2008; therefore, no information is provided for the nine months ended September 30, 2008.

(2)		Series W Units commenced trading on March 1, 2009; therefore, no information is provided for the nine months ended September 30, 2008.

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST

FINANCIAL HIGHLIGHTS
For the Three Months and Nine Months Ended September 30, 2009 and 2008
(UNAUDITED)

The following information presents per unit operating performance data and other supplemental financial data for the three months and nine months ended September 30, 2009 and 2008. This information has been derived from information presented in the financial statements.


	Series A₍₅₎
	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2009			2008			2009			2008
Per Unit Performance (for a unit outstanding throughout the entire period)

Net asset value per unit at beginning of period	$	2,326.84		$	0.00		$	2,525.02		$	0.00


Income (loss) from operations:
Total net trading gains (losses) ₍₁₎		98.42			0.00			(46.04	)		0.00
Net investment income (loss)₍₁₎		(23.10	)		0.00			(70.83	)		0.00


Total net income (loss) from operations		75.32			0.00			(116.87	)		0.00


Offering costs ₍₁₎		(2.95	)		0.00			(8.94	)		0.00


Net asset value per unit at end of period	$	2,399.21		$	0.00		$	2,399.21		$	0.00


Total Return ₍₃₎		3.11	%		0.00	%		(4.98	)%		0.00	%


Supplemental Data

Ratios to average net asset value:
Expenses prior to performance fee ₍₄₎		4.19	%		0.00	%		4.11	%		0.00	%
Performance fee ₍₃₎		0.00	%		0.00	%		0.00	%		0.00	%


Total expenses		4.19	%		0.00	%		4.11	%		0.00	%

Net investment income (loss)₍₂₎₍₄₎		(3.98	)%		0.00	%		(3.98	)%		0.00	%

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


(1)		Net investment income (loss) per unit and offering costs per unit is calculated by dividing the net investment income (loss)and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

(2)		Excludes performance fee.

(3)		Not annualized

(4)		Annualized

(5)		Series A Units commenced trading on October 1, 2008; therefore, no information is provided for Series A Units for the three and nine months ended September 30, 2008.

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three Months and Nine Months Ended September 30, 2009 and 2008
(UNAUDITED)


	Series B
	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2009			2008			2009			2008
Per Unit Performance
(for a unit outstanding throughout the entire period)

Net asset value per unit at beginning of period	$	2,335.49		$	2,655.63		$	2,528.05		$	2,496.94


Income (loss) from operations:
Total net trading gains (losses) ₍₁₎		98.88			(79.70	)		(43.89	)		101.18
Net investment income (loss)₍₁₎		(23.21	)		(15.56	)		(73.00	)		(37.75	)


Total net income (loss) from operations		75.67			(95.26	)		(116.89	)		63.43


Net asset value per unit at end of period	$	2,411.16		$	2,560.37		$	2,411.16		$	2,560.37


Total Return ₍₃₎		3.24	%		(3.59	)%		(4.62	)%		2.54	%


Supplemental Data

Ratios to average net asset value:
Expenses prior to performance fee ₍₄₎		4.16	%		4.03	%		4.10	%		4.11	%
Performance fee ₍₃₎		0.00	%		0.00	%		0.00	%		0.00	%


Total expenses		4.16	%		4.03	%		4.10	%		4.11	%


Net investment income (loss)_(2), ₍₄₎		(3.97	)%		(2.40	)%		(4.03	)%		(2.01	)%


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

(2)		Excludes performance fee.

(3)		Not annualized

(4)		Annualized

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three Months and Nine Months Ended September 30, 2009 and 2008
(UNAUDITED)


	Series W₍₅₎
	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2009			2008			2009			2008
Per Unit Performance
(for a unit outstanding throughout the entire period)

Net asset value per unit at beginning of period	$	2,343.43		$	0.00		$	2,564.16		$	0.00


Income (loss) from operations:
Total net trading gains (losses) ₍₁₎		99.33			0.00			(98.10	)		0.00
Net investment income (loss)₍₁₎		(14.35	)		0.00			(33.67	)		0.00


Total net income (loss) from operations		84.98			0.00			(131.77	)		0.00


Offering costs ₍₁₎		(2.98	)		0.00			(6.96	)		0.00


Net asset value per unit at end of period	$	2,425.43		$	0.00		$	2,425.43		$	0.00


Total Return ₍₃₎		3.50	%		0.00	%		(5.41	)%		0.00	%


Supplemental Data

Ratios to average net asset value:
Expenses prior to performance fee ₍₄₎		2.68	%		0.00	%		2.66	%		0.00	%
Performance fee ₍₃₎		0.00	%		0.00	%		0.00	%		0.00	%


Total expenses		2.68	%		0.00	%		2.66	%		0.00	%


Net investment income (loss)_(2),(4)		(2.45	)%		0.00	%		(2.45	)%		0.00	%


(1)		Net investment income (loss) per unit and offering costs per unit is calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

(2)		Excludes performance fee.

(3)		Not annualized

(4)		Annualized

(5)		Series W Units commenced trading on March 1, 2009; therefore, the results for the nine months ended September 30, 2009 contains information for the period beginning March 1, 2009. No information is provided for Series W Units for the three and nine months ended September 30, 2008.

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST

NOTES TO FINANCIAL STATEMENTS

SEPTEMBER 30, 2009 (UNAUDITED)

Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

A.		General Description of the Trust

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

		Effective August 31, 2008, the Trust began offering units of beneficial interest classified into Series A units, Series B units and Series W units. The rights of the Series A units, Series B units and Series W units are identical, except that the fees and commissions vary on a Series-by-Series basis. The initial minimum subscription for Series A units and Series W units is $10,000. Series B units are only available for additional investments by existing holders of Series B units. See Note 1G, Note 11, Note 2 and Note 4 for an explanation of allocations and Series specific charges.

B.		Regulation

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

C.		Method of Reporting

		The Trust’s financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which 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 (FASB) Accounting Standards Codification (ASC) 210-20, Offsetting — Balance Sheet, (formerly FAS 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 was 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.

		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.

		The fixed income investments, other than U.S. Treasury bills held at the brokers or interbank market makers, are marked-to-market on the last business day of the reporting period by a custodian who utilizes a third party vendor hierarchy of pricing providers who specialize in such markets. The prices furnished by the providers consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. U.S. Treasury bills not held by the custodian are stated at cost plus accrued interest, which approximates fair value. Premiums and discounts on debt securities are amortized for financial reporting purposes.

		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.

		The Trust adopted the provisions of ASC 820, Fair Value Measurements and Disclosures (formerly FASB No. 157, “Fair Value Measurements”), as of January 1, 2008. ASC 820 provides guidance for determining fair value and requires increased disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

		ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).

		Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Trust has the ability to access at the measurement date. An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The value of the Trust’s exchange-traded futures contracts fall into this category.

		Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes forward currency contracts and options on forward currency contracts that the Trust values using models or other valuation methodologies derived from observable market data. This category also includes fixed income investments.

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2009 (UNAUDITED)

Level 3 inputs are unobservable inputs for an asset or liability (including the Fund’s own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of and for the period ended September 30, 2009, the Trust did not have any Level 3 assets or liabilities.

The following tables set forth by level within the fair value hierarchy the Trust’s investments accounted for at fair value on a recurring basis as of September 30, 2009 and December 31, 2008.


	Fair Value at September 30, 2009
Description	Level 1		Level 2			Level 3		Total
Investments
Fixed income securities	$	0	$	304,378,928		$	0	$	304,378,928
Other Financial Instruments
Exchange-traded futures contracts		1,174,399		0			0		1,174,399
Forward currency contracts		0		14,124,173			0		14,124,173
Options purchased		0		285,797			0		285,797
Options written		0		(264,364	)		0		(264,364	)

Total	$	1,174,399	$	318,524,534		$	0	$	319,698,933


	Fair Value at December 31, 2008
Description	Level 1			Level 2			Level 3		Total
Investments
Fixed income securities	$	0		$	25,000,000		$	0	$	25,000,000
Other Financial Instruments
Exchange-traded futures contracts		(22,719	)		0			0		(22,719	)
Forward currency contracts		0			2,694,810			0		2,694,810
Options purchased		0			109,058			0		109,058
Options written		0			(665,741	)		0		(665,741	)

Total	$	(22,719	)	$	27,138,127		$	0	$	27,115,408

D.		Cash and Cash Equivalents

		Cash and cash equivalents includes cash and overnight money market investments at financial institutions.

E.		Cash Deficit at Interbank Market Maker

		At December 31, 2008, the Trust recorded an overdraft of $67,540 which resulted from estimates of available cash.

F.		Income Taxes

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

		Management has continued to evaluate the application of ASC 740, Income Taxes (formerly FAS No. 48, “Accounting for Uncertainty in Income Taxes”) to the Trust, and has determined that no reserves for uncertain tax positions were required to have been recorded as a result of the adoption of ASC 740. Management is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly increase or decrease within twelve months. The Trust files federal and state tax returns. The 2005 through 2008 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2009 (UNAUDITED)

G.		Offering Costs

		Campbell & Company, Inc. (Campbell & Company) has incurred all costs in connection with the initial and continuous offering of units of the Trust (offering costs). Series A units and Series W units will each bear the offering costs incurred in the relation to the offering of Series A units and Series W units, respectively. Offering costs are charged to Series A and W at a monthly rate of 1/12 of 0.5% (0.5% annualized) of the Series’ month-end net asset value (as defined in the Declaration of Trust and Trust Agreement) until such amounts are fully reimbursed. Such amounts are charged directly to unitholders’ capital. Series A and W are only liable for payment of offering costs on a monthly basis. The offering costs allocable to the Series B units are borne by Campbell & Company.

		If the Trust terminates prior to completion of payment to Campbell & Company for the unreimbursed offering costs incurred through the date of such termination, Campbell & Company will not be entitled to any additional payments, and Series A units and Series W units will have no further obligation to Campbell & Company. At September 30, 2009 and December 31, 2008, the amount of unreimbursed offering costs incurred by Campbell & Company is $1,035,784 and $111,829 for Series A units and $259,117 and $31,754 for Series W units respectively.

H.		Foreign Currency Transactions

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

I.		Allocations

		Income or loss (prior to calculation of the management fee, service fee, offering costs and performance fee) is allocated pro rata to each Series of units. Each Series of units is then charged the management fee, service fee, offering costs and performance fee applicable to such Series of units.


Note 2.		MANAGING OPERATOR AND COMMODITY TRADING ADVISOR

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

Series A units and Series B units pay the managing operator a monthly management fee equal to 1/12 of 4% (4% annually) of the Net Assets (as defined) of Series A units and Series B units, respectively, as of the end of each month. Series W units pay the managing operator a monthly management fee equal to 1/12 of 2% (2% annually) of the Net Assets (as defined) of Series W units as of the end of each month. Each Series of units will pay the managing operator 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 on a Series-by-Series basis.

The performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark). In determining the management fee and performance fee (the fees), adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The performance fee is not subject to any clawback provisions. The fees are typically paid in the month following the month in which they are earned. The fees are paid from the available cash at the Trusts bank, broker or cash management custody accounts.


Note 3.		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.


Note 4.		CASH MANAGER AND CUSTODIAN

The Trust has appointed Wilmington Trust Investment Management LLC, a wholly owned subsidiary of Wilmington Trust Corporation, as cash manager under the Non-Custody Investment Advisory Agreement dated July 8, 2009, to manage and control the liquid assets of the Trust. The cash manager is registered as an investment adviser with the Securities and Exchange Commission of the United States under the Investment Advisers Act of 1940.

The Trust opened a custodial account at The Northern Trust Company (the custodian) and has granted the cash manager authority to make certain investments on behalf of the Trust provided such investments are consistent with the investment guidelines created by the managing operator. All securities purchased by the cash manager on behalf of the Trust will be held in its custody account at the custodian. The cash manager will have no beneficial or other interest in the securities and cash in such custody account. The cash manager began trading on behalf of the Trust in August 2009.


Note 5.		SERVICE FEE

The selling firms who sell Series W units receive a monthly service fee equal to 1/12 of 0.5% of the month-end Net Asset Value (as defined) of the Series W units, totaling approximately 0.50% per year.


Note 6.		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.

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2009 (UNAUDITED)


Note 7.		SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

Investments in the Trust are made by subscription agreement, subject to acceptance by Campbell & Company.

The Trust is not required to make distributions, but may do so at the sole discretion of Campbell & Company. A unitholder may request and receive redemption of units owned, subject to restrictions in the Declaration of Trust and Trust Agreement. Units are transferable, but no market exists for their sale and none is expected to develop. Monthly redemptions are permitted upon ten (10) business days’ advance written notice to Campbell & Company

Redemption fees, which are paid to Campbell & Company, apply to Series A units through the first twelve month-ends following purchase (the month-end as of which the unit is purchased is counted as the first month-end) as follows: 1.833% of Net Asset Value per unit redeemed through the second month-end, 1.666% of Net Asset Value per unit redeemed through the third month-end, 1.500% of Net Asset Value per unit redeemed through the fourth month-end, 1.333% of Net Asset Value per unit redeemed through the fifth month-end, 1.167% of Net Asset Value per unit redeemed through the sixth month-end, 1.000% of Net Asset Value per unit redeemed through the seventh month-end, 0.833% of Net Asset Value per unit redeemed through the eight month-end, 0.667% of Net Asset Value per unit redeemed through the ninth month-end, 0.500% of Net Asset Value per unit redeemed through the tenth month-end, 0.333% of Net Asset Value per unit redeemed through the eleventh month-end and 0.167% of Net Asset Value per unit redeemed through the twelfth month end.


Note 8.		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”). Specifically, the Fund trades a portfolio primarily focused on financial futures, which are instruments designed to hedge or speculate on changes in interest rates, currency exchange rates or stock index values. A secondary emphasis is on metals, energy and agriculture values. 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 trusts 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 Trusts 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 to satisfy such requirements at September 30, 2009 and December 31, 2008 was $15,000,000 and $25,000,000, respectively, which equals 4% and 5% of Net Asset Value, respectively. The cash deposited with interbank market makers at September 30, 2009 and December 31, 2008 was $6,376,646 and $(67,540), respectively, which equals 2% and -0% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents.

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 foreign 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. See Note 1. C. for an explanation of how the Trust determines its valuation for derivatives as well as the netting of derivatives.

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


							Forward Currency and
							Options on Forward
	Futures Contracts						Currency Contracts
	(exchange traded)						(non-exchange traded)
	September 30, 2009			December 31, 2008			September 30, 2009			December 31, 2008
Gross unrealized gains	$	3,744,476		$	3,247,644		$	24,862,756		$	13,542,469
Gross unrealized losses		(2,570,077	)		(3,270,363	)		(10,848,025	)		(10,867,206	)

Net unrealized gain (loss)	$	1,174,399		$	(22,719	)	$	14,014,731		$	2,675,263

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2009 (UNAUDITED)

In March 2008, the FASB issued ASC 815, “Derivatives and Hedging” (formerly SFAS No. 161, “Disclosures about Dervative instruments and Hedging Activities”). ASC 815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entity’s financial position, financial performance and cash flows. ASC 815 is effective for financial statements issued for the Trust’s first fiscal year beginning after November 15, 2008. The Trust adopted ASC 815 effective January 1, 2009.

The following tables summarize quantitative information required by ASC 815.

The fair value of the Trust’s derivatives by instrument type, as well as the location of those instruments on the Statement of Financial Condition, as of September 30, 2009 is as follows:


		Asset		Liability
		Derivatives at		Derivatives at
	Statement of Financial	September 30, 2009		September 30, 2009
Type of Instrument *	Condition Location	Fair Value		Fair Value			Net
Agricultural Contracts	Equity in broker trading accounts	$	166,530	$	(132,808	)	$	33,722
Energy Contracts	Equity in broker trading accounts		47,622		(857,620	)		(809,998	)
Metal Contracts	Equity in broker trading accounts		659,238		(684,648	)		(25,410	)
Stock Indices Contracts	Equity in broker trading accounts		867,678		(777,028	)		90,650
Short-Term Interest Rate Contracts	Equity in broker trading accounts		568,457		(58,464	)		509,993
Long Term Interest Rate Contracts	Equity in broker trading accounts		1,434,951		(59,509	)		1,375,442
Forward Currency Contracts	Net unrealized gain (loss) on forward currency contracts		24,697,380		(10,573,207	)		14,124,173
Purchased Options on Forward Currency Contracts	Options purchased, at fair value		285,797		0			285,797
Written Options on Forward Currency Contracts	Options written, at fair value		0		(264,364	)		(264,364	)

Totals		$	28,727,653	$	(13,407,648	)	$	15,320,005


*		Derivatives not designated as hedging instruments under Statement 133

The trading revenue of the Trust’s derivatives by instrument type, as well as the location of those gains and losses on the Statement of Operations, for the period ended September 30, 2009 is as follows:


	Trading Revenue for			Trading Revenue for
	the Three Months Ended			the Nine Months Ended
Type of Instrument	September 30, 2009			September 30, 2009
Agricultural Contracts	$	(417,005	)	$	(1,130,881	)
Energy Contracts		(4,320,433	)		(3,285,903	)
Metal Contracts		4,147,287			664,945
Stock Indices Contracts		7,768,986			(5,309,549	)
Short-Term Interest Rate Contracts		589,667			(2,105,288	)
Long Term Interest Rate Contracts		(4,043,838	)		(8,003,269	)
Forward Currency Contracts		12,550,415			4,184,858
Purchased Options on Forward Currency Contracts		(2,493,470	)		(4,842,260	)
Written Options on Forward Currency Contracts		2,761,680			11,029,516

Total	$	16,543,289		$	(8,797,831	)


	Trading Revenue for			Trading Revenue for
	the Three Months Ended			the Nine Months Ended
Line Item in the Statement of Operations	September 30, 2009			September 30, 2009
Futures trading gains (losses):
Realized	$	2,563,313		$	(20,367,063	)
Change in unrealized		1,161,351			1,197,118
Forward currency and options on forward currency trading gains (losses):
Realized		(878,310	)		(967,354	)
Change in unrealized		13,696,935			11,339,468

Total	$	16,543,289		$	(8,797,831	)

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2009 (UNAUDITED)

For the three months and nine months ended September 30, 2009, the monthly average of futures contracts bought and sold was approximately 18,200 and 17,200 respectively, and the monthly average of notional value of forward currency and options on forward currency contracts was $2,268,300,000 and $1,933,800,000 respectively.

Open contracts generally mature within nine months; as of September 30, 2009, the latest maturity date for open futures contracts is December 2010, the latest maturity date for open forward currency contracts is December 2009, and the latest expiry date for options on forward currency contracts is October 2009. However, the Trust intends to close all futures and foreign currency 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’s 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 precalculating “stop-loss” points at which systems will signal to close open positions. Campbell & Company controls the risk of the Trust’s non-trading fixed income instruments by limiting the duration of such instruments and requiring a minimum credit quality of the issuers of those instruments.

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 credit worthy. The unitholder bears the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.


Note 9.		INDEMNIFICATIONS

In the normal course of business, the Trust enters into contracts and agreements that contain a variety of representations and warranties 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 10.		INTERIM FINANCIAL STATEMENTS

The statement of financial condition, including the condensed schedule of investments, as of September 30, 2009, the statements of operations and financial highlights for the three months and nine months ended September 30, 2009 and 2008, and the statements of cash flows and changes in unitholders’ capital (Net Asset Value) for the nine months ended September 30, 2009 and 2008 are unaudited. In the opinion of management, such financial statements reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of financial position as of September 30, 2009, and the results of operations and financial highlights for the three months and nine months ended September 30, 2009 and 2008, and cash flows and changes in unitholders’ capital (Net Asset Value) for the nine months ended September 30, 2009 and 2008.


Note 11.		SUBSEQUENT EVENTS

Management of the Trust evaluated subsequent events through November 16, 2009, the date the financial statements were issued. There are no subsequent events to disclose.

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

Introduction

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

Effective August 31, 2008, the Trust began offering Series A, Series B, and Series W units. The units in the Trust prior to that date became Series B units. Series B units are only available for additional investment by existing holders of Series B units.

As of September 30, 2009, the aggregate capitalization of the Trust was $391,862,696 with Series A, Series B and Series W comprising $16,474,695, $371,734,184 and $3,653,817 respectively of the total. The Net Asset Value per Unit was $2,399.21 for Series A, $2,411.16 for Series B and $2,425.43 for Series W.

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 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 and option contracts which are traded in the inter-bank market). For forward contracts and options of forward contracts, fair values calculated by the Trust are compared to the interbank market maker values for reasonableness.

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.

The Trust maintains 40-80% of its net asset value in cash, cash equivalents or other liquid positions in its cash management program over and above that needed to post as collateral for trading. These funds are available to meet redemptions each month. After redemptions are taken into account each month, the trade level of the Trust is adjusted and positions in the instruments the Trust trades are liquidated, if necessary, on a pro-rata basis to meet those increases or decreases in trade levels.

Liquidity

Most United States futures 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. 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 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 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 brokerage and/or cash management accounts. The Trust meets margin requirements for its trading activities by depositing cash and U.S. government securities with the futures broker and the over-the-counter counterparties. This does not reduce the risk of loss from trading activities. The Trust receives all interest earned on its assets. No other person shall receive any interest or other economic benefits from the deposit of Trust assets.

Approximately 10% to 30% of the Trust’s assets normally are committed as required margin for futures contracts and held by the futures broker, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. Treasury bills in segregated accounts with the futures broker pursuant to the Commodity Exchange Act and regulations there under. 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 counterparty.

The managing operator deposits the majority of those assets of the Trust that are not required to be deposited as margin with the futures broker and over-the-counter counterparty in a custodial account with Northern Trust Company. The assets deposited in the custodial account with Northern Trust Company are segregated. The custodial account constitutes approximately 40% to 80% of the Trust’s assets and is invested directly by Wilmington Trust Investment Management LLC (“Wilmington”). Wilmington is registered with the Securities and Exchange Commission as an investment adviser under the Investment Advisers Act of 1940. Wilmington does not guarantee any interest or profits will accrue on the Trust’s assets in the custodial account. Wilmington will invest according to agreed upon investment guidelines that are modeled after those investments allowed by the futures broker as defined under The Commodity Exchange Act, Title 17, Part 1, § 1.25 Investment of customer funds. Investments can include, but are not limited to, (i) U.S. Government Securities, Government Agency Securities, Municipal Securities, banker acceptances and certificates of deposits; (ii) commercial paper; and (iii) corporate debt.

The Trust occasionally receives margin calls (requests to post more collateral) from its futures broker or over-the-counter counterparties, which are met by moving the required portion of the assets held in the custody account at Northern Trust to the margin accounts. In the past 3 years, the Trust has not needed to liquidate any position as a result of a margin call.

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

Results of Operations

The return for the nine months ended September 30, 2009 for Series A was (4.98)%. The returns for Series B for the nine months ended September 30, 2009 and 2008 were (4.62)% and 2.54%, respectively. The return for Series W for the period of March 1, 2009 (commencement of trading) through September 30, 2009 was (5.41)%.

2009

Of the 2009 year-to-date decrease of 4.98% for Series A, approximately 1.48% due to trading losses (before commissions) and approximately 3.60% was due to brokerage fees, management fees, operating costs and offering costs borne by Series A offset by approximately 0.10% due to interest income.

Of the 2009 year-to-date decrease of 4.62% for Series B, approximately 1.48% due to trading losses (before commissions) and approximately 3.24% due to brokerage fees, management fees and operating costs borne by Series B offset by. Interest income totaled 0.10%.

Of the decrease of 5.41% for Series W for the period March 1, 2009 (commencement of trading) through September 30, 2009, approximately 3.58% was due to trading losses (before commissions) and approximately 1.95% was due to brokerage fees, management fees, service fees, operating costs and offering costs borne by Series W offset by interest income totaled 0.12%.

During the nine months ended September 30, 2009, the Trust accrued management fees in the amount of $13,163,913 and paid management fees in the amount of $13,602,934. No performance fees were accrued or paid during this period.

An analysis of the 1.48% gross trading losses for the Trust for the period by sector is as follows:


Sector	% Gain (Loss)
Currencies		2.76	%
Stock Indices		(1.00	)
Commodities		(1.03	)
Interest Rates		(2.21	)

		(1.48)	%

President Obama’s stimulus plan took center stage in January; however, weak economic data continued to negatively impact global stock markets into the start of the New Year. An early month rally fizzled quickly, causing notable declines in major global indices. The Trust gained in equity indices trading on net short positions across each region. Gains were recorded in fixed income trading as the world’s central banks continued to lower interest rates. Mounting fiscal deficits and huge issuance needs begin to weigh heavy on the long-end; however, credit markets generally improved in January with yield spreads continuing to contract. Foreign exchange trading finished slightly negative on the month. Risk aversion and capital preservation benefited the Trust’s net long U.S. Dollar position; however, the U.K. government’s unprecedented move to give the Bank of England power to increase their stake in Royal Bank of Scotland to 70% helped fuel a late month rally in the British Pound, eliminating gains from a previous decline. Commodity trading was generally flat on volatility across precious and base metals and a slowing of the negative energy trend.

In February, the U.S. government’s ability to address the economic crisis was met with skepticism by Wall Street. Economic data remained persistently weak, especially on the employment and housing fronts. The U.S. was not alone in reporting negative news, as European and Asian economies also continued with the release of dismal economic data such as declining exports and falling dividends. The majority of February gains in the Trust resulted from equity indices trading, particularly from short positions in the U.S. and Asia. Additional gains were recorded in foreign exchange trading as investors continued to feed U.S. Dollar strength, particularly relative to the Japanese Yen. The U.S. Dollar continues to be the safe haven pick as the risk aversion theme continued, as evidenced by the U.S. treasury yields recording all-time lows.

Stock markets rallied in March as the 2008 fourth quarter earnings announcements subsided and large U.S. banks announced they would be profitable for the first two months of 2009. The majority of the Trust’s losses in March resulted from equity indices trading, as the equity rally adversely impacted net short positions globally. Commodities recorded losses as energy price swings have become correlated with equities and metals surged on news of China’s economic stimulus plan. Gains from fixed income markets were recorded from the Trust’s long global bond positions as prices moved significantly higher on announcements from the Swiss, British and American Central Banks on their intentions of adding liquidity by purchasing medium to long-term bonds in the market. Foreign exchange trading resulted in gains as investors sought currencies whose home central banks were not keen on engaging in quantitative easing.

While equity index trading produced the most profitable sector results for the Trust for 2008, the Trust’s net exposure on the short side of global stock indices through April 2009 has hurt performance as markets continued to stage rallies that began in mid-March. U.S. economic indicators, including housing and manufacturing, showed signs of improvement and stabilization rather than further deterioration. In addition, the G-20 agreed to trust more than $1 trillion in emergency aid to help cushion the economic fallout of the current international financial crisis. While the general tone of the economic outlook was more upbeat, officials have still been cautious in their assessment. April saw a continuation of the March risk-seeking rally leading to several growth currencies registering solid gains against the dollar. Losses were realized in the foreign exchange sector due to the Trust’s general bias to be long the dollar against most major currencies. In fixed income, the equity market rally helped general investor sentiment, driving bond prices lower across the board which produced losses for the Trust in this sector. Commodity trading finished relatively flat with gains from the energy sector offsetting small losses in base and precious metals.

In May, conflicting signals on global recovery weighed on the direction of the markets as increased risk appetite and signs of stabilization in the global economy emerged. Equity markets continued their rally, particularly in Asia, generating small gains in the stock index sector. Fixed income trading generated a marginal positive return as short-term rates in Europe climbed higher following the European Central Bank rate cut of 25 basis points. The gains in the stock index and fixed income sectors were offset by losses in the foreign exchange sector. The U.S. Dollar suffered a broad based decline in May on a combination of stronger risk appetite and growing fears over structural deficiencies in the U.S. Investors moved dormant dollar denominated assets overseas to capture growth and risk in commodity block currencies. Smaller losses were also recorded in the commodities sector as natural gas finished a volatile month higher.

During June, a surprise payroll number to the upside for May prompted an aggressive sell-off in short-term U.S. rates and raised market expectations of a rate hike in 2009. The price reaction was swift and caused particular difficulty for systematic trading. Losses for the Trust in the fixed income sector were offset by marginal gains in the foreign exchange sector. The Trust’s currency positions were generally mixed, thus hedging some U.S. Dollar risk, as investors crowded the Dollar as a safe-haven trade, pushing it higher on the month. Marginal gains were also recorded in the commodities sector, primarily from long positions in the energy complex. As geo-political headlines were plentiful, energies traded in a highly correlated fashion to global equity markets. The stock index sector finished basically flat for the month as global equity markets reflected mixed results congruent with both positive and negative economic data relating to global recovery.

Contrary to investor fears, global stock market returns in 2009 have fueled improved risk appetite as economic data and corporate earnings support the rally for yet another month in July. The Fund’s trading performance was relatively flat, with positive results from long stock and short U.S. Dollar positions being offset by losses incurred from short interest rate positions. For the first half of 2009, many “trend-following” strategies struggled to curb losses and eked out small gains in a market environment that is in a classic “consolidation” (trendless and choppy) period.

While risk appetite was generally strong in August, investors’ risk behavior was a bit random as fixed income initially sold off on better than expected payrolls data, but spent the rest of the month rallying. Bernanke’s nomination for a second term and continued “lower rates for longer” comments from Fed officials helped support treasury prices against the Fund’s general positioning across the curve. Smaller losses were recorded in currency trading as investors appeared unwilling to chase growth currencies higher, at the expense of the dollar, from already stretched levels. Gains were recorded in commodity markets as the Trust increased its exposure to this sector with the launch of more agile models providing more efficient holding period diversification. Trading in base and precious metals was a primary driver as the “risk on” trade prevailed on improving economic data. Equity indices trading yielded a marginal gain as positioning geographically and across model groups remains mixed.

During the month of September, the Fund’s technical and fundamental strategies both recorded healthy gains in the foreign exchange sector from short positions in the U.S. Dollar vs. most major currencies. Commodity-linked currencies were particularly profitable for the Fund, as both the Australian and New Zealand Dollars rose in value close to 5%. Technical and fundamental signals were also effective in the equity index sector, where the Fund benefited from primarily long positions across global stock indices. With the exception of Japan, global equities moved higher by 2 – 3% during the month on healthy M&A activity, as well as favorable signs of a manufacturing rebound and consumer spending renewal. Results were mixed in fixed income trading as gains earned from short-term rates were largely offset by losses on the long end of the curve. Commodities trading resulted in marginal losses overall, primarily due to short positions in natural gas. The price of natural gas rallied over 20% during the month as a result of significant short covering in the market despite record storage levels.

2008

Of the 2008 year-to-date increase of 2.54%, approximately 4.17% was due to trading gains (before commissions) and approximately 1.58% due to interest income offset by approximately 3.21% due to brokerage fees, management fees and operating costs borne by the Trust. During the nine months ended September 30, 2008, the fund accrued brokerage fees in the amount of $19,942,828 and paid brokerage fees in the amount of $20,800,454. No performance fees were accrued or paid during this period. An analysis of the 4.17% trading gains by sector is as follows:


Sector	% Gain (Loss)
Stock Indices		7.74	%
Currencies		0.76
Commodities		(0.82	)
Interest Rates		(3.51	)

		4.17	%

The 2007 credit crisis proceeded into 2008 with more write-downs, more credit downgrades, and a growing realization that sub-prime issues will have broader and longer-lasting impacts than initially suspected. Considerable “stress” across global equity markets benefited the Trust’s trading in January, which significantly offset losses stemming from the currency sector. Weak domestic economic data caused the Federal Open Market Committee of the U.S. Federal Reserve to cut short-term rates by a total of 1.25% during the month, which included an unprecedented 0.75% emergency cut. The S&P 500 recorded one of its worst performances for January in the history of the index. Currency trading in early January proved difficult as market-wide risk reduction was observed in several key crosses and the dynamics of high yielders were mixed amid changing short-term interest rates. Trading in fixed income produced slightly negative results as gains from the short end of the curve were offset by losses on the long end. Mid-month recession fears, weak housing data and a gloomy Bernanke testimony caused the curve to steepen substantially. Small gains were recorded in energy trading, while precious metals trading was positive and base metals trading was negative. Overall, the Trust finished the month with a slight loss.

In February, the U.S. Dollar weakened against all major currencies (except the British Pound) as U.S. economic data generally disappointed, stagflation concerns grew, and U.S. rate expectations declined dramatically. The Trust’s currency trading benefited from the U.S. Dollar decline to new lows, along with the Euro’s break to an all-time high and a more than 4% gain by the Australian Dollar. Additional gains were recorded in the equity indices sector as the S&P 500, Dow and Nasdaq indices continued the 2008 downslide that started in January. These two sectors were the main contributors to the Trust’s overall gain for the month. Consumer confidence fell to a 16-year low amid an ongoing drop in the value of real estate and a surge in residential foreclosures. The Trust’s trading in fixed income was relatively flat as recession fears and credit losses continued to grow, causing a steepening in the curve. The energy and metals sectors were also flat despite the continued speculative rally in precious and base metals and crude oil.

In March, the Trust’s trading resulted in a small gain. The U.S. Federal Reserve’s continued market intervention was rewarded at the end of March when U.S. stocks recovered from mid-month declines to finish flat for the month but still significantly negative year to date. The Trust’s gains were primarily from short positions in Asian and European equity indices as equity markets continued their downward direction. Ongoing uncertainty in the banking sector, coupled with negative sentiment on global growth continues to weigh on investor confidence. Some gains were recorded in the currency markets from long positions in the Euro as the Dollar continued to weaken during the month on lower U.S. yields and commodity market extensions. Fixed income had trading losses, primarily in Europe, as initial mid-month profits from the flight to quality were given back when market fears subsided at month-end. Marginal losses were also recorded in the commodity markets as energies came off their highs in the middle of the month to finish flat, while base metals continued to be fueled by U.S. Dollar price action.

The Trust’s trading in the foreign exchange sector produced gains in April, primarily as a result of the U.S. Dollar rally against key funding currencies, despite a generally weak global economy. Minimal gains were recorded in the commodities sector as the Trust’s technical models took advantage of escalating prices as access to petroleum supply continues to tighten. Losses were recorded in both the interest rates and equity indices sectors as prior trends reversed their course. U.S. Treasury prices declined in a technical break as curve flattening continued. Global equity prices reversed their downward trend amid the optimistic belief that the worst news had passed.

The Trust’s momentum-based models were well positioned in May for gains in the energy sector as the price of WTI Crude breached new technical levels, touching $135 per barrel mid-month. While commodity exposure has been relatively light for the Trust in the past, enhanced technical models are participating more actively in this sector. Foreign exchange models also posted gains this month as high yielding currencies performed well despite range-bound trading of the U.S. Dollar. Enhanced style management techniques enabled the models to successfully modulate risk exposure to carry factors resulting in a profitable outcome. Additional gains came from fixed income as the risk aversion theme continued to fade and inflation concerns grew. Marginal losses were recorded in equity indices as global equity indices, particularly in Europe and Asia, moved sideways due to the ever-changing economic situation in the United States.

In June, equity indices trading produced strong gains for the Trust as short positions benefited from the negative news that roiled markets around the globe. Signs of commodity-based inflation were constantly in the headlines and consumer confidence fell to a 16-year low. In the U.S., the Dow finished its worst performance for the month of June in over 75 years, and European and Asian equities fell in tandem. Additional gains were recorded in interest rates trading, particularly in Europe, in response to the European Central Bank’s increasingly hawkish stance and fears of inflation. Energy trading also contributed as crude oil hit new highs on the back of escalating tensions between Israel and Iran, and amongst OPEC members. Foreign exchange trading results were slightly positive, due to central banks being forced to choose between growth and inflation, driving dollar weakness, and a higher Euro.

The month of July held two distinct phases for most asset classes, with the overall environment dominated by reversals. The Trust captured profits in equity indices trading early in the month despite late month stabilization, particularly in the U.S. Intra-month swings in global indices were significant. The DJIA and the S&P hit technical bear market territory during the month, while Japanese equities saw the longest back-to-back daily losing streak in 54 years. Equity markets did find their bottom mid-month, after the U.S. announcement of a Government-Sponsored Enterprises (GSE) bail-out plan. Gains earned in equity indices trading offset the majority of losses incurred in interest rates and commodities trading. Lower commodity prices led to position short-covering in the face of reduced inflation worries in the Euro-Zone, pushing bond futures higher. Crude Oil declined almost 12% for the month on fears that weakening economic conditions would reduce global demand. Foreign exchange trading finished relatively flat as the Euro hit a new high, commodity-linked currencies fell, and the broad dollar index gained against most major currencies.

The global economic environment in August was dominated by a stronger U.S. dollar and the energy complex falling out of favor. The Trust experienced the majority of its losses for the month in Foreign Exchange trading as commodity-linked currencies fell in tandem with metal and energy markets. The U.S. Dollar Index posted unusually strong gains of nearly 6%, with other major currencies losing over 3%. The Trust’s currency models reacted with agility, reversing their course and dampening further losses in this sector. Small losses were recorded in commodity trading, despite the severity of the energy and metal complex downturn across the board. Natural gas led the way for the energy sector with a market price decline of 12.75%, while gold fell to its lowest level in eight months. Gains in interest rates sector were largely driven by foreign central bank activity as they increased purchases of U.S. Treasuries, pushing prices higher for a third straight month. Trading results in Equity Indices were relatively flat despite a positive finish in U.S. equity markets. European markets were mixed in seasonally low volume, while Asia was generally lower. During the month, the Japanese economy continued to show signs of deterioration, the Chinese markets persisted in their relentless plunge lower, sub-prime fallout continued to plague financial markets globally and the U.S. unemployment rate hit a four-year high.

The Trust’s leverage in September was at the lower end of typical commitment levels, which will probably increase again as soon as the market environment stabilizes. Diversification of positions by sector and geography played an important role in dampening losses. Fixed income trading was negative overall with losses incurred at the short-end of the curve, while the long-end gained slightly. Currency trading was also difficult as investors fled high yielding currencies in response to the substantial decline in global equity markets. Minor losses were recorded in commodity trading. As concern over the widening credit crisis came to a boiling point, equity markets in the U.S., Europe and Asia declined sharply, resulting in strong gains in equity index trading.

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, forward and option 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, forward and option 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 and option 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, forward currency and options on 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 swap and forward (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. 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.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Introduction

Past Results Not Necessarily Indicative of Future Performance

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

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

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

Standard of Materiality

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

Quantifying the Trust’s Trading Value at Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the Trust’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative 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 the 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 is estimated in terms of Value at Risk (VaR). The Trust estimates VaR using a model based upon historical simulation (with a confidence level of 97.5%) which involves constructing a distribution of hypothetical daily changes in the value of a trading portfolio. The VaR model takes into account linear exposures to risks, including equity and commodity prices, interest rates, foreign exchange rates, and correlation among these variables. The hypothetical changes in portfolio value are based on daily percentage changes observed in key market indices or other market factors to which the portfolio is sensitive. The Trust’s VaR at a one day 97.5% confidence level corresponds to the negative change in portfolio value that, based on observed market risk factors, would have been exceeded once in 40 trading days or one day in 40. VaR typically does not represent the worst case outcome.

The Trust uses approximately one quarter of daily market data and revalues its portfolio for each of the historical market moves that occurred over this time period. This generates a probability distribution of daily “simulated profit and loss” outcomes. The VaR is the 2.5 percentile of this distribution.

The VaR for a sector represents the one day downside risk for the aggregate exposures associated with this sector. The current methodology used to calculate 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.

The Trust’s VaR computations are based on the risk representation of the underlying benchmark for each instrument or contract and does not distinguish between exchange and non-exchange dealer-based instruments. It is also not based on exchange and/or dealer-based maintenance margin requirements.

VaR models, including the Trust’s, are continually evolving as trading portfolios become more diverse and modeling techniques and systems capabilities improve. Please note that the VaR model is used to numerically quantify market risk for historic reporting purposes only and is not utilized by the Trust in its daily risk management activities. Please further note that VaR as described above may not be comparable to similarly titled measures used by other entities.

Because the business of the Trust is the speculative trading of futures, forwards and options, the composition of the Trust’s trading portfolio can change significantly over any given time period, or even within a single trading day, which could positively or negatively materially impact market risk as measured by VaR.

The Trust’s Trading Value at Risk in Different Market Sectors

The following tables indicate the trading Value at Risk associated with the Trust’s open positions by market category as of September 30, 2009 and December 31, 2008 and the trading gains/losses by market category for the nine months ended September 30, 2009 and the year ended December 31, 2008.


	September 30, 2009
				Trading
Market Sector	Value at Risk*			Gain/(Loss)**
Currencies		0.80	%		2.76	%
Stock Indices		0.40	%		(1.00	)
Interest Rates		0.35	%		(2.21	)
Commodities		0.33	%		(1.03	)


Aggregate/Total		1.33	%		(1.48	)%


*		— 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.

**		— Represents the gross trading for the Trust for the nine months ended September 30, 2009.

Of the return for the nine months ended September 30, 2009 for Series A, approximately 1.48% due to trading losses (before commissions) and approximately 3.60% was due to brokerage fees, management fees, operating coast and offering costs borne by Series A offset by interest income of approximately 0.10% giving a net return of (4.98)%.

Of the return for the nine months ended September 30, 2009 for Series B, approximately 1.48% due to trading losses (before commissions) and approximately 3.24% due to brokerage fees, management fees and operating costs borne by Series B offset by interest income of approximately 0.10% giving a net return of (4.62)%.

Of the return for the period March 1, 2009 (commencement of trading) through September 30, 2009 for Series W, approximately 3.58% was due to trading losses (before commissions), approximately 1.95% was due to brokerage fees, management fees, service fees, operating costs and offering costs borne by Series W and interest income of approximately 0.12% giving a net return of (5.41)%.


	December 31, 2008
				Trading
Market Sector	Value at Risk*			Gain/(Loss)**
Currencies		0.50	%		(0.60	)%
Interest Rates		0.29	%		(4.69	)
Stock Indices		0.17	%		8.68	%
Commodities		0.06	%		0.43	%


Aggregate/Total		0.59	%		3.82	%


*		— 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.

**		— Represents the gross trading for the Trust for the year ended December 31, 2008.

Of the return for the period October 1, 2008 (commencement of trading) to December 31, 2008 for Series A, approximately 0.27% was due to trading losses (before commissions) and approximately 1.15% was due to brokerage fees, management fees, offering costs and operating costs borne by Series A offset by interest income of approximately 0.04% giving a net return of (1.38)%.

Of the return for the year ended December 31, 2008 for Series B, approximately 3.82% was due to trading gains (before commissions) and approximately 1.68% was due to interest income offset by approximately 4.25% in brokerage fees, management fees and operating costs borne by Series B giving a net return of 1.25%.

Material Limitations on Value at Risk as an Assessment of Market Risk

The following limitations of VaR as an assessment of market risk should be noted:

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; and

5)		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.

VaR is not necessarily representative of historic risk nor should it be used to predict the Trust’s future financial performance or its ability to manage and monitor risk. There can be no assurance that the Trust’s actual losses on a particular day will not exceed the VaR amounts indicated or that such losses will not occur more than once in 40 trading days.

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 held at the broker and over-the-counter counterparty. The market risk represented by these investments is minimal. Finally, the Trust has non-trading market risk on fixed income securities held as part of its cash management program. The cash managers will use their best endeavors in the management of the assets of the Trust but provide no guarantee that any profit or interest will accrue to the Trust as a result of such management.

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.

The following represent the primary trading risk exposures of the Trust as of September 30, 2009, by market sector.

Currencies

Exchange rate risk is a significant market exposure of the Trust. The Trust’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Trust trades in a large number of currencies, including cross-rates — i.e., positions between two currencies other than the U.S. Dollar. 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. Campbell & Company anticipates that G-7 interest rates will remain the primary rate 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, Netherlands and Taiwan). The stock index futures traded by the Trust are by law limited to futures on broadly based 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 crude oil and derivative product price movements often resulting from political developments and ongoing conflicts in the Middle East. Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

Metals

The Trust’s metals market exposure is to fluctuations in the price of copper, nickel, silver, gold and zinc.

Agricultural

The Trust’s agricultural exposure is to the fluctuations of the price of wheat, corn, coffee and cotton.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the primary non-trading risk exposures of the Trust as of September 30, 2009.

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).

Fixed Income Securities

The Trust’s primary market exposure in instruments (other than treasury positions described in the subsequent section) held other than for trading is in its fixed income portfolio. The cash manager, Wilmington, has authority to make certain investments on behalf of the Trust. All securities purchased by the cash manager on behalf of the Trust will be held in the Trust’s custody account at the custodian. The cash manager will use their best endeavors in the management of the assets of the Trust but provide no guarantee that any profit or interest will accrue to the Trust as a result of such management.

Treasury Bill Positions Held for Margin Purposes

The Trust also has market exposure in its Treasury Bill portfolio. The Trust holds Treasury Bills (interest bearing and credit risk-free) with maturities no longer than six months. Violent fluctuations in prevailing interest rates could cause minimal 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 precalculating “stop-loss” points at which systems will signal to close out open positions.

Campbell & Company manages the risk of the Trust’s non-trading instruments of Treasury Bills held for margin purposes by limiting the duration of such instruments to no more than six months. Campbell & Company manages the risk of the Trust’s fixed income securities held for cash management purposes by restricting the cash managers to investing in securities that are modeled after those investments allowed by the futures broker as defined under The Commodity Exchange Act, Title 17, Part 1, § 1.25 Investment of customer funds. Investments can include, but are not limited to, (i) U.S. Government Securities, Government Agency Securities, Municipal Securities, banker acceptances and certificates of deposits; (ii) commercial paper; and (iii) corporate debt.

General

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

Item 4(T). Controls and Procedures

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

PART II-OTHER INFORMATION

Item 1. Legal Proceedings.

None

Item 2. Changes in Securities and Use of Proceeds

None

Item 3. Defaults Upon Senior Securities

Not applicable.

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

None

Item 5. Other Information

None

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

(a)

Exhibits


Exhibit
Number		Description of Document

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

31.02		Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.

32.01		Certification of Theresa D. Becks, 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 Gregory T. Donovan, 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 of Form 8-K

None

SIGNATURES

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


	THE CAMPBELL FUND TRUST
	(Registrant)

		By:	Campbell & Company, Inc.
			Managing Operator

Date: November 16, 2009		By:	/s/ Theresa D. Becks
			Theresa D. Becks
			Chief Executive Officer

EXHIBIT INDEX


Exhibit Number	Description of Document	Page Number
31.01	Certification by Chief Executive Officer	E 2 – E 3
31.02	Certification by Chief Financial Officer	E 4 – E 5
32.01	Certification by Chief Executive Officer	E 6
32.02	Certification by Chief Financial Officer	E 7

E 1

Attached files

CAMPBELL FUND TRUST Reports

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