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 June 30, 2010
 or
 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: 0-33311
 CAMPBELL ALTERNATIVE ASSET TRUST
  Delaware
    
    52-1823554(State of Organization)
    
    (IRS Employer Identification Number)
 
 
 þ o
 þ o
  Large accelerated filer o
Accelerated filer o
Non-accelerated filer o
(Do not check if a smaller reporting company)
Smaller reporting company þ o þ
 33




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##### 



PagePART I  FINANCIAL INFORMATIONItem 1.
    
    Financial StatementsCondensed Schedules of Investments as of June 30, 2010
and December 31, 2009 (Unaudited)
    
    
    3-6Statements of Financial Condition as of June 30, 2010
and December 31, 2009 (Unaudited)
    
    
    7Statements of Operations for the Three Months and Six Months Ended
June 30, 2010 and 2009 (Unaudited)
    
    
    8Statements of Cash Flows for the Six Months Ended
June 30, 2010 and 2009 (Unaudited)
    
    
    9Statements of Changes in Unitholders Capital (Net Asset Value)
for the Six Months Ended June 30, 2010 and 2009 (Unaudited)
    
    
    10Financial Highlights for the Three Months and Six Months Ended
June 30, 2010 and 2009 (Unaudited)
    
    
    11Notes to Financial Statements (Unaudited)
    
    
    12-18Item 2.
    
    Managements Discussion and Analysis of Financial Condition and
Results of Operations
    
    
    19-25Item 3.
    
    Quantitative and Qualitative Disclosure About Market Risk
    
    
    26-31Item 4T.
    
    Controls and Procedures
    
    
    31PART II  OTHER INFORMATION
    
    
    32Item 6.
    
    Exhibits and Reports on Form 8-K
    
    
    32SIGNATURES
    
    
    33CERTIFICATIONS
  2




---



##### 



FIXED INCOME SECURITIES
 Maturity
    
    
    
    
    
    
    
    
    % of NetFace Value
    
    
    Description
    
    Values ($)
    
    
    Asset ValueBank DepositsAustraliaFinancials
(cost $900,000)
    
    $
    899,835
    
    
    
    3.47
    %CanadaFinancials
(cost $900,000)
    
    $
    900,083
    
    
    
    3.47
    %NetherlandsFinancials
(cost $1,000,000)
    
    $
    999,999
    
    
    
    3.86
    %Total Bank Deposits
(cost $2,800,000)
    
    $
    2,799,917
    
    
    
    10.80
    %Commercial PaperUnited StatesConsumer Discretionary
    
    $
    1,800,649
    
    
    
    6.94
    %Consumer Staples
    
    $
    1,505,363
    
    
    
    5.81
    %Financials
    
    $
    626,870
    
    
    
    2.42
    %Industrials
    
    $
    399,138
    
    
    
    1.54
    %Municipal
    
    $
    3,526,030
    
    
    
    13.60
    %Utilities
    
    $
    1,255,766
    
    
    
    4.84
    %Total United States(cost $9,112,836)
    
    $
    9,113,816
    
    
    
    35.15
    %Corporate BondsUnited StatesConsumer Discretionary
    
    $
    824,010
    
    
    
    3.18
    %Financials
    
    $
    1,196,491
    
    
    
    4.61
    %Telecommunications
    
    $
    228,569
    
    
    
    0.88
    %Total United States(cost $2,256,115)
    
    $
    2,249,070
    
    
    
    8.67
    %Government And Agency ObligationsUnited StatesUS Government Agency
    
    $
    3,291,985
    
    
    
    12.70
    %US Treasury Bill$
    5,000,000
    
    
    U.S. Treasury Bills*Due 07/22/2010
    
    $
    4,999,781
    
    
    
    19.28
    %$
    2,100,000
    
    
    U.S. Treasury Bills*Due 07/15/2010
    
    $
    2,099,959
    
    
    
    8.10
    %Total United States(cost $10,388,612)
    
    $
    10,391,725
    
    
    
    40.08
    %Short Term Investment FundsUnited StatesShort Term Investment Funds
(cost $4,632)
    
    $
    4,632
    
    
    
    0.02
    %Total Fixed Income Securities
(cost $24,562,195)
    
    $
    24,559,160
    
    
    
    94.72
    %
 See Accompanying Notes to Financial Statements.
 3




---



##### 



LONG FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueAgriculture
    
    $
    6,043
    
    
    
    0.02
    %Energy
    
    $
    (89,606
    )
    
    
    (0.35
    )%Metals
    
    $
    34,056
    
    
    
    0.13
    %Stock indices
    
    $
    (349,149
    )
    
    
    (1.35
    )%Short-term interest rates
    
    $
    182,363
    
    
    
    0.70
    %Long-term interest rates
    
    $
    548,306
    
    
    
    2.11
    %Total long futures contracts
    
    $
    332,013
    
    
    
    1.26
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueAgriculture
    
    $
    (23,459
    )
    
    
    (0.09
    )%Energy
    
    $
    23,230
    
    
    
    0.09
    %Metals
    
    $
    (12,730
    )
    
    
    (0.05
    )%Stock indices
    
    $
    27,429
    
    
    
    0.11
    %Short-term interest rates
    
    $
    (17,532
    )
    
    
    (0.07
    )%Total short futures contracts
    
    $
    (3,062
    )
    
    
    (0.01
    )%Total futures contracts
    
    $
    328,951
    
    
    
    1.25
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    259,960
    
    
    
    1.00
    %Various short forward currency contracts
    
    $
    (549,773
    )
    
    
    (2.12
    )%Total forward currency contracts
    
    $
    (289,813
    )
    
    
    (1.12
    )%
 PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValuePurchased options on forward currency contracts (premiums paid  $13,748)
    
    $
    13,587
    
    
    
    0.05
    %
 WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueWritten options on forward currency contracts (premiums received  $29,054)
    
    $
    (24,979
    )
    
    
    (0.10
    )%
 
 *
    
    Pledged as collateral for the trading of futures, forward and option positions. See Accompanying Notes to Financial Statements.
 4




---



##### 



FIXED INCOME SECURITIES
 Maturity
    
    
    
    
    
    
    
    
    % of NetFace Value
    
    
    Description
    
    Values ($)
    
    
    Asset ValueBank DepositsUnited StatesFinancials
(cost $1,100,000)
    
    $
    1,100,627
    
    
    
    3.79
    %Commercial PaperGermanyMaterials
(cost $588,603)
    
    $
    588,850
    
    
    
    2.03
    %NetherlandsConsumer Discretionary
(cost $827,966)
    
    $
    827,971
    
    
    
    2.85
    %United StatesConsumer Discretionary
    
    $
    2,048,923
    
    
    
    7.06
    %Consumer Staples
    
    $
    1,523,579
    
    
    
    5.25
    %Energy
    
    $
    924,969
    
    
    
    3.19
    %Financials
    
    $
    1,708,792
    
    
    
    5.89
    %Industrials$
    2,290,000
    
    
    Avery Dennison Corporation 
Due 01/04/2010
    
    $
    2,289,921
    
    
    
    7.90
    %Municipal
    
    $
    6,549,496
    
    
    
    22.58
    %Telecommunications
    
    $
    382,987
    
    
    
    1.32
    %Total United States(cost $15,424,662)
    
    $
    15,428,667
    
    
    
    53.19
    %Total Commercial Paper
(cost $16,841,231)
    
    $
    16,845,488
    
    
    
    58.07
    %Corporate BondsUnited StatesFinancials
(cost $1,395,877)
    
    $
    1,397,647
    
    
    
    4.82
    %Government And Agency ObligationsUnited StatesUS Government Agency
    
    $
    4,249,147
    
    
    
    14.65
    %US Treasury Bill$
    5,000,000
    
    
    U.S. Treasury Bills*
Due 04/01/2010
    
    $
    4,999,431
    
    
    
    17.24
    %$
    1,650,000
    
    
    U.S. Treasury Bills*
Due 03/25/2010
    
    $
    1,649,753
    
    
    
    5.69
    %Total United States(cost $10,896,184)
    
    $
    10,898,331
    
    
    
    37.58
    %Short Term Investment FundsUnited StatesShort Term Investment Funds
(cost $34,246)
    
    $
    34,246
    
    
    
    0.12
    %Total Fixed Income Securities
(cost $30,267,538)
    
    $
    30,276,339
    
    
    
    104.38
    %
 See Accompanying Notes to Financial Statements.
 5




---



##### 



LONG FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueAgriculture
    
    $
    (3,889
    )
    
    
    (0.01
    )%Energy
    
    $
    18,479
    
    
    
    0.06
    %Long-term interest rates
    
    $
    (252,217
    )
    
    
    (0.87
    )%Metals
    
    $
    163,924
    
    
    
    0.57
    %Short-term interest rates
    
    $
    (100,836
    )
    
    
    (0.35
    )%Stock indices
    
    $
    213,758
    
    
    
    0.74
    %Total long futures contracts
    
    $
    39,219
    
    
    
    0.14
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueAgriculture
    
    $
    838
    
    
    
    0.00
    %Long-term interest rates
    
    $
    11,956
    
    
    
    0.04
    %Metals
    
    $
    (107,732
    )
    
    
    (0.37
    )%Total short futures contracts
    
    $
    (94,938
    )
    
    
    (0.33
    )%Total futures contracts
    
    $
    (55,719
    )
    
    
    (0.19
    )%
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (1,124,565
    )
    
    
    (3.88
    )%Various short forward currency contracts
    
    $
    859,412
    
    
    
    2.96
    %Total forward currency contracts
    
    $
    (265,153
    )
    
    
    (0.92
    )%
 PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValuePurchased options on forward currency contracts (premiums paid  $70,105)
    
    $
    70,935
    
    
    
    0.24
    %
 WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueWritten options on forward currency contracts (premiums received  $21,883)
    
    $
    (19,069
    )
    
    
    (0.07
    )%
 
 *
    
    Pledged as collateral for the trading of futures, forward and option positions. See Accompanying Notes to Financial Statements.
 6




---



##### 



June 30,
    
    
    December 31,2010
    
    
    2009ASSETSEquity in broker trading accountsCash
    
    $
    1,412,324
    
    
    $
    695,155Fixed income securities
(cost $4,999,781 and $4,999,431, respectively)
    
    
    4,999,781
    
    
    
    4,999,431Net unrealized gain (loss) on open futures contracts
    
    
    328,951
    
    
    
    (55,719
    )Total equity in broker trading accounts
    
    
    6,741,056
    
    
    
    5,638,867Cash
    
    
    567,288
    
    
    
    279,164Fixed income securities
(cost $19,562,414 and $25,268,107, respectively)
    
    
    19,559,379
    
    
    
    25,276,908Options purchased, at fair value
(premiums paid  $13,748 and $70,105, respectively)
    
    
    13,587
    
    
    
    70,935Net unrealized gain (loss) on open forward currency contracts
    
    
    (289,813
    )
    
    
    (265,153
    )Interest receivable
    
    
    5,267
    
    
    
    7,530Prepaid expenses
    
    
    6,719
    
    
    
    1,218Total assets
    
    $
    26,603,483
    
    
    $
    31,009,469LIABILITIESAccounts payable
    
    $
    41,011
    
    
    $
    31,880Brokerage fee
    
    
    13,500
    
    
    
    18,138Options written, at fair value
(premiums received  $29,054 and $21,883, respectively)
    
    
    24,979
    
    
    
    19,069Accrued commissions and other trading fees on open contracts
    
    
    10,222
    
    
    
    4,701Offering costs payable
    
    
    0
    
    
    
    5,727Redemptions payable
    
    
    582,542
    
    
    
    1,927,892Total liabilities
    
    
    672,254
    
    
    
    2,007,407UNITHOLDERS CAPITAL (Net Asset Value)Managing Owner  741.284 and 1,413.580 redeemable units
outstanding at June 30, 2010 and December 31, 2009
    
    
    1,100,696
    
    
    
    2,173,492Other Unitholders  16,722.597 and 17,448.570 redeemable units
outstanding at June 30, 2010 and December 31, 2009
    
    
    24,830,533
    
    
    
    26,828,570Total unitholders capital (Net Asset Value)
    
    
    25,931,229
    
    
    
    29,002,062Total liabilities and unitholders capital (Net Asset Value)
    
    $
    26,603,483
    
    
    $
    31,009,469
 See Accompanying Notes to Financial Statements.
 7




---



##### 



Three Months Ended
    
    
    Six Months EndedJune 30,
    
    
    June 30,2010
    
    
    2009
    
    
    2010
    
    
    2009TRADING GAINS (LOSSES)Futures trading gains (losses)Realized
    
    $
    541,984
    
    
    $
    (1,855,684
    )
    
    $
    (608,256
    )
    
    $
    (1,804,068
    )Change in unrealized
    
    
    (305,632
    )
    
    
    142,189
    
    
    
    384,670
    
    
    
    28,673Brokerage commissions
    
    
    (17,892
    )
    
    
    (13,031
    )
    
    
    (37,587
    )
    
    
    (25,879
    )Net gain (loss) from futures trading
    
    
    218,460
    
    
    
    (1,726,526
    )
    
    
    (261,173
    )
    
    
    (1,801,274
    )Forward currency and options on forward currency trading
gains (losses)Realized
    
    
    320,863
    
    
    
    (519,001
    )
    
    
    (158,618
    )
    
    
    (139,191
    )Change in unrealized
    
    
    (319,902
    )
    
    
    109,530
    
    
    
    (24,391
    )
    
    
    (119,565
    )Brokerage commissions
    
    
    (1,836
    )
    
    
    (1,485
    )
    
    
    (3,676
    )
    
    
    (2,309
    )Net gain (loss) from forward currency and options on
forward currency trading
    
    
    (875
    )
    
    
    (410,956
    )
    
    
    (186,685
    )
    
    
    (261,065
    )Total net trading gain (loss)
    
    
    217,585
    
    
    
    (2,137,482
    )
    
    
    (447,858
    )
    
    
    (2,062,339
    )NET INVESTMENT INCOME (LOSS)Investment incomeInterest income
    
    
    17,134
    
    
    
    4,673
    
    
    
    39,247
    
    
    
    7,151Realized gain (loss) on fixed income securities
    
    
    3,843
    
    
    
    0
    
    
    
    2,985
    
    
    
    0Change in unrealized gain (loss) on fixed income securities
    
    
    (7,404
    )
    
    
    0
    
    
    
    (11,837
    )
    
    
    0Total investment income
    
    
    13,573
    
    
    
    4,673
    
    
    
    30,395
    
    
    
    7,151ExpensesBrokerage fee
    
    
    197,440
    
    
    
    237,576
    
    
    
    397,066
    
    
    
    497,155Operating expenses
    
    
    33,146
    
    
    
    22,422
    
    
    
    56,993
    
    
    
    47,628Total expenses
    
    
    230,586
    
    
    
    259,998
    
    
    
    454,059
    
    
    
    544,783Net investment income (loss)
    
    
    (217,013
    )
    
    
    (255,325
    )
    
    
    (423,664
    )
    
    
    (537,632
    )NET INCOME (LOSS)
    
    $
    572
    
    
    $
    (2,392,807
    )
    
    $
    (871,522
    )
    
    $
    (2,599,971
    )NET INCOME (LOSS) PER MANAGING OWNER AND OTHER UNITHOLDERS
UNIT
(based on weighted average number of units outstanding during
the period)
    
    $
    0.03
    
    
    $
    (110.22
    )
    
    $
    (46.34
    )
    
    $
    (118.42
    )INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OWNER AND
OTHER UNITHOLDERS UNIT
    
    $
    (1.60
    )
    
    $
    (113.43
    )
    
    $
    (52.73
    )
    
    $
    (126.27
    )
 See Accompanying Notes to Financial Statements.
 8




---



##### 



Six Months EndedJune 30,2010
    
    
    2009Cash flows from (for) operating activitiesNet income (loss)
    
    $
    (871,522
    )
    
    $
    (2,599,971
    )Adjustments to reconcile net income (loss) to net cash from (for) operating activitiesNet change in unrealized
    
    
    (348,442
    )
    
    
    90,892(Increase) decrease in restricted cash
    
    
    0
    
    
    
    1,180,793(Increase) decrease in option premiums paid
    
    
    56,357
    
    
    
    (1,638
    )Increase (decrease) in option premiums received
    
    
    7,171
    
    
    
    (2,457
    )(Increase) decrease in interest receivable
    
    
    2,263
    
    
    
    558Increase (decrease) in interest payable
    
    
    0
    
    
    
    643(Increase) decrease in prepaid expenses
    
    
    (5,501
    )
    
    
    (3,912
    )Increase (decrease) in accounts payable and accrued expenses
    
    
    10,014
    
    
    
    (35,718
    )Purchases of investments in fixed income securities
    
    
    (163,232,770
    )
    
    
    (130,149,510
    )Sales/maturities of investments in fixed income securities
    
    
    168,938,111
    
    
    
    103,100,000Net cash from (for) operating activities
    
    
    4,555,681
    
    
    
    (28,420,320
    )Cash flows from (for) financing activitiesAddition of units
    
    
    1,327,572
    
    
    
    1,213,578Redemption of units
    
    
    (4,796,004
    )
    
    
    (3,133,400
    )Offering costs paid
    
    
    (81,956
    )
    
    
    (159,505
    )Net cash from (for) financing activities
    
    
    (3,550,388
    )
    
    
    (2,079,327
    )Net increase (decrease) in cash
    
    
    1,005,293
    
    
    
    (30,499,647
    )Unrestricted cashBeginning of period
    
    
    974,319
    
    
    
    34,224,210End of period
    
    $
    1,979,612
    
    
    $
    3,724,563End of period cash consists of:Cash in broker trading accounts
    
    $
    1,412,324
    
    
    $
    3,337,843Cash
    
    
    567,288
    
    
    
    386,720Total end of period cash
    
    $
    1,979,612
    
    
    $
    3,724,563
 See Accompanying Notes to Financial Statements.
 9




---



##### 



Unitholders CapitalManaging Owner
    
    Other Unitholders
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountSix Months Ended June 30, 2010Balances at December 31, 2009
    
    
    1,413.580
    
    
    $
    2,173,492
    
    
    
    17,448.570
    
    
    $
    26,828,570
    
    
    
    18,862.150
    
    
    $
    29,002,062Net income (loss) for the six months ended June 30, 2010
    
    
    
    
    
    
    (67,167
    )
    
    
    
    
    
    
    (804,355
    )
    
    
    
    
    
    
    (871,522
    )Additions
    
    
    0.000
    
    
    
    0
    
    
    
    915.159
    
    
    
    1,327,572
    
    
    
    915.159
    
    
    
    1,327,572Redemptions
    
    
    (672.296
    )
    
    
    (1,000,000
    )
    
    
    (1,641.132
    )
    
    
    (2,450,654
    )
    
    
    (2,313.428
    )
    
    
    (3,450,654
    )Offering costs
    
    
    
    
    
    
    (5,629
    )
    
    
    
    
    
    
    (70,600
    )
    
    
    
    
    
    
    (76,229
    )Balances at June 30, 2010
    
    
    741.284
    
    
    $
    1,100,696
    
    
    
    16,722.597
    
    
    $
    24,830,533
    
    
    
    17,463.881
    
    
    $
    25,931,229Six Months Ended June 30, 2009Balances at December 31, 2008
    
    
    1,413.580
    
    
    $
    2,306,948
    
    
    
    20,544.542
    
    
    $
    33,528,535
    
    
    
    21,958.122
    
    
    $
    35,835,483Net income (loss) for the six months ended June 30, 2009
    
    
    
    
    
    
    (168,389
    )
    
    
    
    
    
    
    (2,431,582
    )
    
    
    
    
    
    
    (2,599,971
    )Additions
    
    
    0.000
    
    
    
    0
    
    
    
    754.368
    
    
    
    1,213,578
    
    
    
    754.368
    
    
    
    1,213,578Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (2,282.327
    )
    
    
    (3,529,895
    )
    
    
    (2,282.327
    )
    
    
    (3,529,895
    )Offering costs
    
    
    
    
    
    
    (10,103
    )
    
    
    
    
    
    
    (146,893
    )
    
    
    
    
    
    
    (156,996
    )Balances at June 30, 2009
    
    
    1,413.580
    
    
    $
    2,128,456
    
    
    
    19,016.583
    
    
    $
    28,633,743
    
    
    
    20,430.163
    
    
    $
    30,762,199
 Net Asset Value per Managing Owner and Other Unitholders UnitJune 30, 2010
    
    
    December 31, 2009
    
    
    June 30, 2009
    
    
    December 31, 2008$
    1,484.85
    
    
    $
    1,537.58
    
    
    $
    1,505.72
    
    
    $
    1,631.99
 See Accompanying Notes to Financial Statements.
 10




---



##### 



Three Months Ended June 30,
    
    
    Six Months Ended June 30,2010
    
    
    2009
    
    
    2010
    
    
    2009Per Unit Performance
(for a unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    1,486.45
    
    
    $
    1,619.15
    
    
    $
    1,537.58
    
    
    $
    1,631.99Income (loss) from operations:Total net trading gains (losses) (1)
    
    
    10.90
    
    
    
    (98.21
    )
    
    
    (26.15
    )
    
    
    (94.63
    )Net investment income (loss) (1)
    
    
    (11.78
    )
    
    
    (11.76
    )
    
    
    (22.53
    )
    
    
    (24.49
    )Total net income (loss) from operations
    
    
    (0.88
    )
    
    
    (109.97
    )
    
    
    (48.68
    )
    
    
    (119.12
    )Offering costs (1)
    
    
    (0.72
    )
    
    
    (3.46
    )
    
    
    (4.05
    )
    
    
    (7.15
    )Net asset value per unit at end of period
    
    $
    1,484.85
    
    
    $
    1,505.72
    
    
    $
    1,484.85
    
    
    $
    1,505.72Total Return(3)
    
    
    (0.11
    )%
    
    
    (7.01
    )%
    
    
    (3.43
    )%
    
    
    (7.74
    )%Supplemental DataRatios to average net asset value:Expenses prior to performance fee (4)
    
    
    3.37
    %
    
    
    3.11
    %
    
    
    3.27
    %
    
    
    3.14
    %Performance fee (3)
    
    
    0.00
    %
    
    
    0.00
    %
    
    
    0.00
    %
    
    
    0.00
    %Total expenses
    
    
    3.37
    %
    
    
    3.11
    %
    
    
    3.27
    %
    
    
    3.14
    %Net investment income (loss) (2),(4)
    
    
    (3.17
    )%
    
    
    (3.05
    )%
    
    
    (3.06
    )%
    
    
    (3.09
    )%
 Total returns are calculated based on the change in value of a unit during the period. An
individual unitholders total returns and ratios may vary from the above total returns and ratios
based on the timing of additions and redemptions.
 
 (1)
    
    Net investment income (loss) per unit and offering costs per unit are 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 See Accompanying Notes to Financial Statements.
 11




---



##### 



Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
 A.
    
    General Description of the TrustCampbell Alternative Asset Trust (the Trust) is a Delaware statutory trust which operates as
a commodity investment pool. The Trust was formed on May 3, 2000 and commenced trading on
October 1, 2001. The Trust engages in the speculative trading of futures contracts, forward
currency contracts and options on forward currency contracts.As of December 31, 2002, units are no longer offered to the public, but are offered
exclusively for sale to the Campbell & Company, Inc. 401(K) Plan (the 401(K) Plan). At June
30, 2010 and December 31, 2009, the 401(K) Plan held approximately 78% and 74% of the Trusts
outstanding units, respectively.B.
    
    RegulationAs a registrant with the Securities and Exchange Commission, the Trust is subject to the
regulatory requirements under the Securities Act of 1933 and the Securities Exchange Act of
1934. As a commodity investment pool, the Trust is subject to the regulations of the Commodity
Futures Trading Commission, an agency of the United States (U.S.) government which regulates
most aspects of the commodity futures industry; rules of the National Futures Association, an
industry self-regulatory organization; and the requirements of the various commodity exchanges
where the Trust executes transactions. Additionally, the Trust is subject to the requirements
of futures commission merchants (brokers) and interbank market makers through which the Trust
trades.C.
    
    Method of ReportingThe Trusts financial statements are presented in accordance with accounting principles
generally accepted in the United States of America, which may require the use of certain
estimates made by the Trusts management. Actual results may differ from these estimates.
Investment transactions are accounted for on the trade date. Gains or losses are realized when
contracts are liquidated. Unrealized gains and losses on open contracts (the difference
between contract trade price and market price) are reported in the statement of financial
condition as a net gain or loss, as there exists a right of offset of unrealized gains or
losses in accordance with Financial Accounting Standards Board (FASB) Accounting Standards
Codification (ASC) 210-20, Offsetting  Balance Sheet. The fair 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 on the last business day of the reporting
period. The fair 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.) on the last business day of
the reporting period.The fair 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 inputs 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 fair 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, are held at the
custodian and marked to market on the last business day of the reporting period
by the 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 are held at the brokers or interbank market makers and are stated
at cost plus accrued interest, which approximates fair value. Premiums and
discounts on fixed income 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 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.
 12




---



##### 



Level 3 inputs are unobservable inputs for an asset or liability (including the Trust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 June 30, 2010, the Trust did
not have any Level 3 assets or liabilities.In January 2010, the FASB issued Accounting Standards update No. 2010-06 (ASU 2010-06) for
improving disclosure about fair value measurements. ASU 2010-06 adds new disclosure
requirements about transfers into and out of Levels 1 and 2 and separate disclosures about
purchases, sales, issuances and settlements in the reconciliation for fair value measurements
using significant unobservable inputs (Level 3). It also clarifies existing disclosure
requirements relating to the levels of disaggregation for fair value measurement and inputs
and valuation techniques used to measure fair value. As of January 1, 2010, the Trust adopted
the provisions of ASC 2010-06 except for disclosures about purchases, sales, issuances and
settlements in the rollforward of activity in Level 3 fair value measurements, which are
effective for fiscal years beginning after December 15, 2010 and for interim periods within
those fiscal years.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 June 30, 2010 and December
31, 2009.
 Fair Value at June 30, 2010Description
    
    Level 1
    
    
    Level 2
    
    
    Level 3
    
    
    TotalInvestmentsFixed income securities
    
    $
    0
    
    
    $
    24,559,160
    
    
    $
    0
    
    
    $
    24,559,160Other Financial InstrumentsExchange-traded futures contracts
    
    
    328,951
    
    
    
    0
    
    
    
    0
    
    
    
    328,951Forward currency contracts
    
    
    0
    
    
    
    (289,813
    )
    
    
    0
    
    
    
    (289,813
    )Options purchased
    
    
    0
    
    
    
    13,587
    
    
    
    0
    
    
    
    13,587Options written
    
    
    0
    
    
    
    (24,979
    )
    
    
    0
    
    
    
    (24,979
    )Total
    
    $
    328,951
    
    
    $
    24,257,955
    
    
    $
    0
    
    
    $
    24,586,906
 Fair Value at December 31, 2009Description
    
    Level 1
    
    
    Level 2
    
    
    Level 3
    
    
    TotalInvestmentsFixed income securities
    
    $
    0
    
    
    $
    30,276,339
    
    
    $
    0
    
    
    $
    30,276,339Other Financial InstrumentsExchange-traded futures contracts
    
    
    (55,719
    )
    
    
    0
    
    
    
    0
    
    
    
    (55,719
    )Forward currency contracts
    
    
    0
    
    
    
    (265,153
    )
    
    
    0
    
    
    
    (265,153
    )Options purchased
    
    
    0
    
    
    
    70,935
    
    
    
    0
    
    
    
    70,935Options written
    
    
    0
    
    
    
    (19,069
    )
    
    
    0
    
    
    
    (19,069
    )Total
    
    $
    (55,719
    )
    
    $
    30,063,052
    
    
    $
    0
    
    
    $
    30,007,333
 D.
    
    Income Taxes
 The Trust prepares calendar year U.S. federal 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 to the Trust,
and has determined that no reserves for uncertain tax positions were required. The Trust files
federal and state tax returns. The 2006 through 2009 tax years generally remain subject to
examination by the U.S. federal and most state tax authorities.
 13




---



##### 



E.
    
    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). Offering costs are
charged to the Trust at a monthly rate of 1/12 of 0.9% (0.9% annualized) of the Trusts
month-end net asset value (as defined in the Amended and Restated Declaration of Trust and
Trust Agreement) until such amounts are fully reimbursed. Such amounts are charged directly to
unitholders capital. The Trust is only liable for payment of offering costs on a monthly
basis. At June 30, 2010 and December 31, 2009, the Trust reflects a liability in the statement
of financial condition for offering costs payable to Campbell & Company of $0 and $5,727,
respectively.The offering costs for which Campbell & Company are being reimbursed relate to the offering of
units of the Trust to all unitholders except the 401(K) Plan. Therefore, Campbell & Company
rebates to the 401(K) Plan the offering costs charged to the 401(K) Plan. All such rebates are
made by issuing additional units to the 401(K) Plan.Effective May 2010, the Trust has reimbursed Campbell & Company for all offering
costs incurred in the initial and continuing offering of the Trust.
At June 30, 2010 and December 31, 2009, the amount of unreimbursed
offering costs incurred by Campbell & Company is $0 and $25,094, respectively.
 F.
    
    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.
 G.
    
    Reclassification
 Certain 2009 amounts in the Statement of Cash Flows were reclassified to conform with the
2010 presentation.
 Note 2. MANAGING OWNER AND COMMODITY TRADING ADVISOR
 The managing owner 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.
The Amended and Restated Declaration of Trust and Trust Agreement requires Campbell & Company
to maintain a capital account equal to 1% of the total capital accounts of the Trust.
Additionally, Campbell & Company is required by the Amended and Restated Declaration of Trust
and Trust Agreement to maintain a net worth of not less than $1,000,000.The Trust pays a monthly brokerage fee of 1/12 of 2.85% (2.85% annualized) of month-end net
assets to Campbell & Company and approximately $4 per round turn to the broker for execution
and clearing costs. Such costs are limited to 3.5% of average month-end net assets per year.
From the 2.85% fee, a portion (0.35%) is used to compensate selling agents for administrative
services and a portion (2.5%) is retained by Campbell & Company for trading and management
services rendered.Campbell & Company is also paid a performance fee equal to 20% of New Appreciation (as
defined) calculated as of the end of each calendar quarter and upon redemption of units. More
specifically, 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) adjusting for investment income. In determining the
brokerage and performance 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 brokerage fee and
performance fee are typically paid in the month following the month in which they are earned.
The brokerage fee and performance fee are paid from the available cash at the Trusts bank,
broker or cash management accounts.Campbell & Company rebates to the 401(K) Plan the brokerage fee and the performance fee
applicable to the 401(K) Plan. All such rebates are made by issuing additional units to the
401(K) Plan.
 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.
 14




---



##### 



Note 5. DEPOSITS WITH BROKER
 The Trust deposits assets with a 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 typically earns
interest income on its assets deposited with the broker.
 Note 6. OPERATING EXPENSES
 Operating expenses of the Trust are restricted by the Amended and Restated Declaration of
Trust and Trust Agreement to 0.40% per annum of the average month-end Net Asset Value of the
Trust.
 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.
 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 June 30, 2010 and December 31, 2009 was $7,099,740 and
$6,649,184, respectively, which equals 27% and 23% of Net Asset Value, respectively. The cash
deposited with interbank market makers at June 30, 2010 and December 31, 2009 was $558,922
and $102,855, respectively, which equals 2% and 0% of Net Asset Value, respectively. These
amounts are included in cash and cash equivalents. There was no restricted cash at June 30,
2010 or December 31, 2009.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 andOptions on ForwardFutures Contracts
    
    
    Currency Contracts(exchange traded)
    
    
    (non-exchange traded)June 30, 2010
    
    
    December 31, 2009
    
    
    June 30, 2010
    
    
    December 31, 2009Gross unrealized gains
    
    $
    904,545
    
    
    $
    529,851
    
    
    $
    753,991
    
    
    $
    1,199,815Gross unrealized losses
    
    
    (575,594
    )
    
    
    (585,570
    )
    
    
    (1,039,890
    )
    
    
    (1,461,324
    )Net unrealized gain (loss)
    
    $
    328,951
    
    
    $
    (55,719
    )
    
    $
    (285,899
    )
    
    $
    (261,509
    )
 15




---



##### 



Asset
    
    
    LiabilityDerivatives at
    
    
    Derivatives atStatement of Financial
    
    June 30, 2010
    
    
    June 30, 2010Type of Instrument *
    
    Condition Location
    
    Fair Value
    
    
    Fair Value
    
    
    NetAgricultural Contracts
    
    Equity in broker trading accounts
    
    $
    34,099
    
    
    $
    (51,515
    )
    
    $
    (17,416
    )Energy Contracts
    
    Equity in broker trading accounts
    
    
    24,250
    
    
    
    (90,626
    )
    
    
    (66,376
    )Metal Contracts
    
    Equity in broker trading accounts
    
    
    57,044
    
    
    
    (35,718
    )
    
    
    21,326Stock Indices Contracts
    
    Equity in broker trading accounts
    
    
    27,429
    
    
    
    (349,149
    )
    
    
    (321,720
    )Short-Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    212,081
    
    
    
    (47,250
    )
    
    
    164,831Long Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    549,643
    
    
    
    (1,337
    )
    
    
    548,306Forward Currency Contracts
    
    Net unrealized gain (loss) on forward currency contracts
    
    
    736,150
    
    
    
    (1,025,963
    )
    
    
    (289,813
    )Purchased Options on Forward
Currency
Contracts
    
    Options purchased, at fair value
    
    
    13,587
    
    
    
    0
    
    
    
    13,587Written Options on Forward Currency
    
    Options written, at fair valueContracts
    
    
    
    
    0
    
    
    
    (24,979
    )
    
    
    (24,979
    )Totals
    
    
    
    $
    1,654,283
    
    
    $
    (1,626,537
    )
    
    $
    27,746
 
 *
    
    Derivatives not designated as hedging instruments under ASC 815 Asset
    
    
    LiabilityDerivatives at
    
    
    Derivatives atStatement of Financial
    
    December 31, 2009
    
    
    December 31, 2009Type of Instrument *
    
    Condition Location
    
    Fair Value
    
    
    Fair Value
    
    
    NetAgricultural Contracts
    
    Equity in broker trading accounts
    
    $
    12,155
    
    
    $
    (15,206
    )
    
    $
    (3,051
    )Energy Contracts
    
    Equity in broker trading accounts
    
    
    19,804
    
    
    
    (1,325
    )
    
    
    18,479Metal Contracts
    
    Equity in broker trading accounts
    
    
    223,512
    
    
    
    (167,320
    )
    
    
    56,192Stock Indices Contracts
    
    Equity in broker trading accounts
    
    
    231,004
    
    
    
    (17,246
    )
    
    
    213,758Short-Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    0
    
    
    
    (100,836
    )
    
    
    (100,836
    )Long Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    43,376
    
    
    
    (283,637
    )
    
    
    (240,261
    )Forward Currency Contracts
    
    Net unrealized gain (loss) on forward currency contracts
    
    
    1,170,194
    
    
    
    (1,435,347
    )
    
    
    (265,153
    )Purchased Options on Forward Currency
Contracts
    
    Options purchased, at fair value
    
    
    70,935
    
    
    
    0
    
    
    
    70,935Written Options on Forward Currency Contracts
    
    Options written, at fair value

    
    
    0
    
    
    
    (19,069
    )
    
    
    (19,069
    )Totals
    
    
    
    $
    1,770,980
    
    
    $
    (2,039,986
    )
    
    $
    (269,006
    )
 
 *
    
    Derivatives not designated as hedging instruments under ASC 815 16




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##### 



Trading Revenue for the
    
    
    Trading Revenue for theThree Months Ended
    
    
    Three Months EndedType of Instrument
    
    June 30, 2010
    
    
    June 30, 2009Agricultural Contracts
    
    $
    (35,965
    )
    
    $
    0Energy Contracts
    
    
    (853,168
    )
    
    
    59,716Metal Contracts
    
    
    (115,003
    )
    
    
    (113,837
    )Stock Indices Contracts
    
    
    (1,222,363
    )
    
    
    (763,647
    )Short-Term Interest Rate Contracts
    
    
    853,764
    
    
    
    (481,020
    )Long Term Interest Rate Contracts
    
    
    1,608,127
    
    
    
    (430,700
    )Forward Currency Contracts
    
    
    5,660
    
    
    
    (646,366
    )Purchased Options on Forward Currency Contracts
    
    
    (212,918
    )
    
    
    (104,834
    )Written Options on Forward Currency Contracts
    
    
    208,218
    
    
    
    341,729Total
    
    $
    236,352
    
    
    $
    (2,138,959
    )
 Trading Revenue for
    
    
    Trading Revenue forthe Six Months Ended
    
    
    the Six Months EndedType of Instrument
    
    June 30, 2010
    
    
    June 30, 2009Agricultural Contracts
    
    $
    (28,823
    )
    
    $
    0Energy Contracts
    
    
    (1,067,659
    )
    
    
    29,684Metal Contracts
    
    
    (307,932
    )
    
    
    (310,165
    )Stock Indices Contracts
    
    
    (1,776,189
    )
    
    
    (1,051,862
    )Short-Term Interest Rate Contracts
    
    
    1,710,490
    
    
    
    (212,745
    )Long Term Interest Rate Contracts
    
    
    1,249,485
    
    
    
    (241,915
    )Forward Currency Contracts
    
    
    (35,959
    )
    
    
    (710,633
    )Purchased Options on Forward Currency Contracts
    
    
    (527,602
    )
    
    
    (177,894
    )Written Options on Forward Currency Contracts
    
    
    380,552
    
    
    
    629,771Total
    
    $
    (403,637
    )
    
    $
    (2,045,759
    )
 Trading Revenue for
    
    
    Trading Revenue forthe Three Months Ended
    
    
    the Three Months EndedLine Item in the Statement of Operations
    
    June 30, 2010
    
    
    June 30, 2009Futures trading gains (losses):Realized
    
    $
    541,023
    
    
    $
    (1,871,677
    )Change in unrealized
    
    
    (305,632
    )
    
    
    142,189Forward currency and options on forward currency trading gains
(losses):Realized
    
    
    320,863
    
    
    
    (519,001
    )Change in unrealized
    
    
    (319,902
    )
    
    
    109,530Total
    
    $
    236,352
    
    
    $
    (2,138,959
    )
 17




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##### 



Trading Revenue for
    
    
    Trading Revenue forthe Six Months Ended
    
    
    the Six Months EndedLine Item in the Statement of Operations
    
    June 30, 2010
    
    
    June 30, 2009Futures trading gains (losses):Realized
    
    $
    (605,298
    )
    
    $
    (1,815,676
    )Change in unrealized
    
    
    384,670
    
    
    
    28,673Forward currency and options on forward currency trading gains (losses):Realized
    
    
    (158,618
    )
    
    
    (139,191
    )Change in unrealized
    
    
    (24,391
    )
    
    
    (119,565
    )Total
    
    $
    (403,637
    )
    
    $
    (2,045,759
    )
      Note 9. INDEMNIFICATIONS
  Note 10. INTERIM FINANCIAL STATEMENTS
  Note 11. SUBSEQUENT EVENTS
  18




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##### 



Item 2. Managements Discussion and Analysis of Financial Condition and Results of Operations
 Introduction
   Critical Accounting Policies
   Capital Resources
   19




---



##### 



Liquidity
      20




---



##### 



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




---



##### 



Results of Operations
  2010
  Sector
    
    % Gain (Loss)Interest Rates
    
    
    10.77
    %Currencies
    
    
    (0.70
    )Commodities
    
    
    (5.12
    )Stock Indices
    
    
    (6.43
    )(1.48
    )%
   22




---



##### 



23




---



##### 



2009
  Sector
    
    % Gain (Loss)Interest Rates
    
    
    (0.66)
    %Currencies
    
    
    (0.73
    )Commodities
    
    
    (1.47
    )Stock Indices
    
    
    (2.80
    )(5.66
    )%
    24




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##### 



25




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##### 



Item 3. Quantitative and Qualitative Disclosures About Market Risk
 Introduction
 Past Results Not Necessarily Indicative of Future Performance
    Standard of Materiality
  Quantifying the Trusts Trading Value at Risk
 Quantitative Forward-Looking Statements
 The following quantitative disclosures regarding the Trusts market risk exposures contain
forward-looking statements within the meaning of the safe harbor from civil liability provided
for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section
27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All
quantitative disclosures in this section are deemed to be forward-looking statements for purposes
of the safe harbor, except for statements of historical fact (such as the dollar amount of
maintenance margin required for market risk sensitive instruments held at the end of the reporting
period).
  26




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##### 



The Trusts Trading Value at Risk in Different Market Sectors
  June 30, 2010
 TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Interest Rates
    
    
    0.81
    %
    
    
    10.77
    %Stock Indices
    
    
    0.77
    %
    
    
    (6.43
    )%Commodities
    
    
    0.69
    %
    
    
    (5.12
    )%Currencies
    
    
    0.67
    %
    
    
    (0.70
    )%Aggregate/Total
    
    
    1.56
    %
    
    
    (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.**
    
     Of the 2010 year-to-date decrease of (3.43)%, approximately (2.06)% was due to brokerage fees,
operating costs and offering costs borne by the Trust, approximately (1.48)% was due to trading
losses (before commissions) and approximately 0.11% was offset by investment income. 27




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##### 



December 31, 2009
 TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    0.90
    %
    
    
    3.41
    %Interest Rates
    
    
    0.68
    %
    
    
    (4.15
    )%Stock Indices
    
    
    0.45
    %
    
    
    (0.68
    )%Commodities
    
    
    0.41
    %
    
    
    (0.32
    )%Aggregate/Total
    
    
    1.62
    %
    
    
    (1.74
    )%
 
 *
    
     The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The aggregate VaR represents the VaR of the Trusts open positions
across all market sectors, and is less than the sum of the VaRs for all such market sectors due to
the diversification benefit across asset classes.**
    
     Of the return for the year ended December 31, 2009, approximately (1.74)% was due to trading
losses (before commissions) and approximately 0.15% due to investment income offset by
approximately (4.19)% due to brokerage fees, operating costs and offering costs borne by the Trust
offset by giving a net return of (5.78)%. Material Limitations of Value at Risk as an Assessment of Market Risk
  1)
    
    Past changes in market risk factors will not always result in accurate predictions of the
distributions and correlations of future market movements;
 2)
    
    Changes in portfolio value caused by market movements may differ from those of the VaR model;
 3)
    
    VaR results reflect past trading positions while future risk depends on future positions;
 4)
    
    VaR using a one day time horizon does not fully capture the market risk of positions that
cannot be liquidated or hedged within one day; 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.
  28




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##### 



Non-Trading Risk
  Qualitative Disclosures Regarding Primary Trading Risk Exposures
 The following qualitative disclosures regarding the Trusts market risk exposures  except for (i)
those disclosures that are statements of historical fact and (ii) the descriptions of how the Trust
manages its primary market risk exposures  constitute forward-looking statements within the
meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The
Trusts primary market risk exposures as well as the strategies used and to be used by Campbell &
Company for managing such exposures are subject to numerous uncertainties, contingencies and risks,
any one of which could cause the actual results of the Trusts risk controls to differ materially
from the objectives of such strategies. Government interventions, defaults and expropriations,
illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in
historical price relationships, an influx of new market participants, increased regulation and many
other factors could result in material losses as well as in material changes to the risk exposures
and the risk management strategies of the Trust. There can be no assurance that the Trusts
current market exposure and/or risk management strategies will not change materially or that any
such strategies will be effective in either the short- or long-term. Investors must be prepared to
lose all or substantially all of their investment in the Trust.
  Currencies
 i.e.,
 Interest Rates
  29




---



##### 



Stock Indices
  Energy
  Metals
  Agricultural
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
  Fixed Income Securities
  30




---



##### 



Treasury Bill Positions Held for Margin Purposes
  Qualitative Disclosures Regarding Means of Managing Risk Exposure
   General
  
 Item 4T. Controls and Procedures
  31




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##### 



PART II-OTHER INFORMATION
 Item 1. Legal Proceedings.
  Item 2. Changes in Securities and Use of Proceeds
  Item 3. Defaults Upon Senior Securities
  Item 4. Submissions of Matters to a vote of Security Holders.
  Item 5. Other Information
  
 Item 6. Exhibits and Reports on Form 8-K.
  ExhibitNumber
    
    Description of Document31.01
    
    Certification of Theresa D. Becks, Chief Executive Officer, pursuant to
Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.31.02
    
    Certification of Gregory T. Donovan, Chief Financial Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securites 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.
   32




---



##### 



SIGNATURES
  CAMPBELL ALTERNATIVE ASSET TRUST
(Registrant)By:
    Campbell & Company, Inc.Managing OwnerBy:
    /s/ Theresa D. BecksTheresa D. BecksChief Executive Officer Date: August 16, 2010 33




---



##### 



EXHIBIT INDEX
 PageExhibit Number
    
    Description of Document
    
    Number31.01
    
    Certification by Chief Executive Officer
    
    E 2  E 331.02
    
    Certification by Chief Financial Officer
    
    E 4  E 532.01
    
    Certification by Chief Executive Officer
    
    E 632.02
    
    Certification by Chief Financial Officer
    
    E 7
 E 1