Exhibit 99.1

March 1, 2004


Dear Investor,

Since its inception in 1972, Campbell & Company has sought to both anticipate
and respond to the challenges of speculative trading in futures and
currencies. We have enjoyed some success in our efforts to deliver attractive
risk-adjusted returns to our investors and clients, which has resulted in a
significant growth in assets under management over time. We are writing to you
today to discuss one particular challenge, which is capacity, in light of this
growth and the expectation that assets under management will continue to
increase.

It is important to note that we remain comfortable with our current asset and
trading levels, and satisfied with recent risk-adjusted returns, but we feel
it prudent to inform you of the challenge we face in 2004 as we continue to
balance the demands of a healthy rate of growth with the inherent limitations
of finite market size. Be assured that should we ever conclude that our
ability to earn attractive risk-adjusted returns has been unduly compromised
by our growth in assets, we will not hesitate to restrict or halt the flow of
new assets, and, if necessary, begin to repatriate market gains.

As background, while it is generally accepted that there must be a finite
capacity for any trading strategy, we believe that it is virtually impossible
to define or quantify that capacity as it pertains to a single, albeit large,
market participant like Campbell & Company with any degree of certainty.
Rather, the fundamental notion of capacity is that it is fluid in nature,
forever expanding or contracting with the evolution of new or existing
markets, the flow of capital across national borders, the occurrence of
unforeseen geopolitical, economic or natural events, and the advances of
science and technology. Simply put, capacity is not an independent variable;
it is a decidedly dependent variable, and for this reason an accurate
assessment of capacity is relevant only to a single moment in time.
Consequently any specific asset or trading level may at one moment give
comfort, yet at another moment cause concern.

At Campbell & Company, through our substantial research efforts we have
continued to find new ways to manage our growing assets. These include the
application of dynamic portfolio and capital management tools, innovative
execution methods, and the development of additional uncorrelated investment
strategies. At the same time, a significant increase in assets does lead to
portfolio compromises, as increasingly large positions can only be established
and maintained in those markets that have sufficient depth and liquidity. This
factor has evolved in importance over many years as we have grown, but it
ultimately results in reduced diversification and more concentrated
portfolios. Modern Portfolio Theory suggests that over time, a more
concentrated portfolio will result in lower risk-adjusted returns, although
somewhat counter-intuitively, this has not yet occurred. We believe the reason
it has not yet occurred is the recent performance of the foreign exchange and
fixed income markets.

As assets under management have increased, our portfolios have necessarily
become more concentrated in the foreign exchange and fixed income sectors,
both of which have produced better risk-adjusted returns than many of the
smaller markets that we also trade. We have also




been able to develop new trading models specific to these sectors, which have
a low correlation with our traditional trading models, and this has created an
additional level of diversification which has also substantially expanded our
overall capacity. However, despite recent results, we acknowledge that there
may come a time when the increasingly narrow base of markets still available
to us is not sufficiently productive to compensate for the lost
diversification, and when this occurs, we expect our risk-adjusted returns to
begin to degrade.

We take confidence in knowing that our creative research resources are both
substantial and highly productive, and we continue to develop new ways to deal
with capacity issues and other market challenges. Although we cannot predict
the impact of innovations yet to be discovered or market events yet to unfold,
we remain totally committed to providing our investors and clients with
attractive and competitive risk-adjusted returns through the systematic
application of quantitative investment strategies.

We hope that this discussion of capacity has been helpful to you, and enhanced
your understanding of Campbell & Company's efforts to deliver attractive
risk-adjusted returns to its investors and clients. Of course, it is important
to remember that past results are not necessarily indicative of future
performance, and that trading in futures and currencies is speculative and can
be volatile.

If you have any questions regarding the issues discussed above or any other
aspect of our business, please do not hesitate to contact me. We thank you for
your continued confidence, and assure you of our very best efforts on your
behalf.

Sincerely,



Bruce L. Cleland
President & Chief Executive Officer